Form NPORT-P Voya INTERMEDIATE BOND For: Jun 30

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August 19, 2022 2:21 PM EDT
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    NPORT-P
    false
    
      
      
        
          0000002646
          XXXXXXXX
        
      
      
      
      
        S000008760
        C000028784
        C000023849
        C000028785
        C000074893
      
      
    
  
  
    
      Voya Intermediate Bond Portfolio
      811-02361
      0000002646
      GP0L16R6Y5YV83C5QZ60
      7337 East Doubletree Ranch Road
      Suite 100
      Scottsdale
      
      85258
      1-800-992-0180
      VOYA INTERMEDIATE BOND PORTFOLIO
      S000008760
      GP0L16R6Y5YV83C5QZ60
      2022-12-31
      2022-06-30
      N
    
    
      3135755180.86
      469540841.97
      2666214338.89
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      8136670.36000000
      336411371.19000000
      0.00000000
      10490082.18000000
      
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
      
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416VDP6
        
          
        
        220082.73000000
        PA
        USD
        231570.82000000
        0.008685378989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TJZ9
        
          
          
        
        835000.00000000
        PA
        USD
        803451.84000000
        0.030134555511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-22
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133B4JJ5
        
          
        
        4905202.59000000
        PA
        USD
        4442636.05000000
        0.166627115652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA
        000000000
        
          
          
        
        -282.00000000
        NC
        USD
        -748465.64000000
        -0.02807222319
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-21
            -35171284.36000000
            USD
            -748465.64000000
          
        
        
          N
          N
          N
        
      
      
        CBRE SERVICES INC
        549300CTE3HOMEUMM603
        CBRE Services Inc
        12505BAE0
        
          
          
        
        1123000.00000000
        PA
        USD
        914825.13000000
        0.034311762436
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413DL39
        
          
        
        25442.51000000
        PA
        USD
        27334.51000000
        0.001025218025
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBS3
        
          
          
        
        705000.00000000
        PA
        USD
        559096.72000000
        0.020969683938
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-03-25
          Fixed
          2.72600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2006-13T1
        12668BZK2
        
          
        
        1129634.85000000
        PA
        USD
        623550.08000000
        0.023387094987
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419ED55
        
          
        
        72405.51000000
        PA
        USD
        74534.47000000
        0.002795516808
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya Emerging Markets Hard Currency Debt Fund
        N/A
        Voya Emerging Markets Hard Currency Debt Fund
        92913M401
        
          
          
        
        15312135.20900000
        NS
        USD
        111319222.97000000
        4.175179067424
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MIRAE ASSET SECURITIES (USA) INC.
        25490087B4GFZLJZE912
        MIRAE ASSET SECURITIES USA INC
        000000000
        
          
        
        4467681.00000000
        PA
        USD
        4467681.00000000
        0.167566460611
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          1.59000000
          2022-07-01
          
            
              48.91186141
              USD
              43.86666255
              USD
              UST
            
            
              447364.58611482
              USD
              414984.13850335
              USD
              ADAS
            
            
              8539828.95553522
              USD
              4142207.89125955
              USD
              AMBS
            
          
        
        
          
          N
          N
        
      
      
        UNIV OF CALIFORNIA CA RGTS MED
        N/A
        Regents of the University of California Medical Center Pooled Revenue
        913366EQ9
        
          
        
        200000.00000000
        PA
        USD
        224357.74000000
        0.008414842600
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-05-15
          Fixed
          6.39800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B22X9
        
          
        
        587421.25000000
        PA
        USD
        560478.88000000
        0.021021523732
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YWH6
        
          
        
        74709.72000000
        PA
        USD
        78655.20000000
        0.002950070399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BAA44
        
          
        
        800957.00000000
        PA
        USD
        139189.35000000
        0.005220486139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BRY6
        
          
          
        
        835068.24000000
        PA
        USD
        864395.56000000
        0.032420332731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398RFN0
        
          
        
        521601.41000000
        PA
        USD
        542385.71000000
        0.020342914749
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXELON CORP
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAX9
        
          
          
        
        220000.00000000
        PA
        USD
        211337.85000000
        0.007926513893
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371K4S7
        
          
          
        
        83.01000000
        PA
        USD
        84.88000000
        0.000003183540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        549300N8C3A3L0UVQB07
        GSK Consumer Healthcare Capital US LLC
        36264FAC5
        
          
          
        
        614000.00000000
        PA
        USD
        574978.57000000
        0.021565354353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-24
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHSR4
        
          
        
        3310455.94000000
        PA
        USD
        3138331.80000000
        0.117707408373
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2H5
        
          
          
        
        2100000.00000000
        PA
        USD
        2001537.55000000
        0.075070391783
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-30
          Fixed
          2.40600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409TT73
        
          
        
        424.60000000
        PA
        USD
        455.91000000
        0.000017099525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EGHE7
        
          
        
        296.83000000
        PA
        USD
        297.70000000
        0.000011165643
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YV4A4
        
          
        
        1764939.51000000
        PA
        USD
        1776759.56000000
        0.066639787135
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTARES HOLDINGS
        5493008EAIGV4283RM42
        Antares Holdings LP
        03666HAE1
        
          
          
        
        255000.00000000
        PA
        USD
        214618.04000000
        0.008049541886
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        26211.20000000
        0.000983086754
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -6364323.12000000
            RON
            1369597.93000000
            USD
            2022-07-29
            26211.20000000
          
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAB8
        
          
          
        
        2443000.00000000
        PA
        USD
        2137152.06000000
        0.080156798679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABBZ1
        
          
        
        174761.96000000
        PA
        USD
        180482.57000000
        0.006769244594
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT INDUSTRIEL ET COMMERCIAL (NEW YORK)
        N4JDFKKH2FTD8RKFXO39
        CREDIT INDUSTRIEL ET COMMERCIAL (NEW YORK)
        22536U2Q2
        
          
        
        725000.00000000
        PA
        USD
        725009.74000000
        0.027192477717
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-05
          Floating
          1.15000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAG0
        
          
          
        
        297000.00000000
        PA
        USD
        298344.88000000
        0.011189831051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-30
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419FXQ4
        
          
        
        76582.99000000
        PA
        USD
        77369.88000000
        0.002901862722
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292JRE1
        
          
        
        4748.54000000
        PA
        USD
        4928.25000000
        0.000184840728
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WT44
        
          
        
        13287.42000000
        PA
        USD
        13722.09000000
        0.000514665674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SUX3
        
          
        
        309294.93000000
        PA
        USD
        323272.38000000
        0.012124770888
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128QLRW3
        
          
        
        1827.70000000
        PA
        USD
        1884.08000000
        0.000070664986
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Floating
          2.60200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B1N26
        
          
        
        233351.32000000
        PA
        USD
        222349.13000000
        0.008339506946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        RFMSI Series 2003-S9 Trust
        76111JZ72
        
          
        
        1263.37000000
        PA
        USD
        1221.93000000
        0.000045830148
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-03-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419KPA7
        
          
        
        285446.49000000
        PA
        USD
        287790.01000000
        0.010793956277
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BN9
        
          
          
        
        1147000.00000000
        PA
        USD
        985634.03000000
        0.036967546668
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411WBS5
        
          
        
        19739.56000000
        PA
        USD
        20822.59000000
        0.000780979597
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ADJQ9
        
          
        
        73591.63000000
        PA
        USD
        74006.72000000
        0.002775722826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412FM26
        
          
        
        649.80000000
        PA
        USD
        683.63000000
        0.000025640474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AETNA INC
        549300QKBENKLBXQ8968
        Aetna Inc
        00817YAJ7
        
          
          
        
        2403000.00000000
        PA
        USD
        2154645.89000000
        0.080812928599
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410F3B9
        
          
        
        11092.28000000
        PA
        USD
        12168.59000000
        0.000456399540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEJ42
        
          
        
        5328957.05000000
        PA
        USD
        5074902.22000000
        0.190341119465
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382TKU7
        
          
        
        12834518.72000000
        PA
        USD
        1780744.55000000
        0.066789249612
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VBC7
        
          
          
        
        1456000.00000000
        PA
        USD
        1298710.84000000
        0.048709918818
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCT0
        
          
          
        
        478000.00000000
        PA
        USD
        469948.32000000
        0.017626051782
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-05-10
          Fixed
          5.26800000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - PHP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -224.01000000
        -0.00000840180
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -76473.38000000
            USD
            4202365.45000000
            PHP
            2022-08-05
            -224.01000000
          
        
        
          N
          N
          N
        
      
      
        INDIANA MICHIGAN POWER
        JHR9V15J0ZRG02MIRD06
        Indiana Michigan Power Co
        454889AU0
        
          
          
        
        1619000.00000000
        PA
        USD
        1229898.65000000
        0.046129023914
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-05-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY PROGRESS LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        26442UAB0
        
          
          
        
        1029000.00000000
        PA
        USD
        937375.69000000
        0.035157551901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-08-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAN4
        
          
          
        
        1017000.00000000
        PA
        USD
        971213.22000000
        0.036426674548
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-03-04
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M76Q4
        
          
        
        29540.29000000
        PA
        USD
        31775.98000000
        0.001191801406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        UBS AG
        000000000
        
          
          
        
        2470000.00000000
        PA
        USD
        2469506.00000000
        0.092622185845
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-05-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374UNM9
        
          
        
        892828.92000000
        PA
        USD
        920865.71000000
        0.034538322616
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-05-20
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KNS4
        
          
        
        1700000.00000000
        PA
        USD
        1472801.97000000
        0.055239443750
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          3.27566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412LEU0
        
          
          
        
        5269.87000000
        PA
        USD
        5774.37000000
        0.000216575611
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417VDS9
        
          
        
        3865.23000000
        PA
        USD
        3991.54000000
        0.000149708143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY CORP
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364GAP8
        
          
          
        
        1085000.00000000
        PA
        USD
        883583.05000000
        0.033139985676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411G6F4
        
          
        
        10493.07000000
        PA
        USD
        11201.61000000
        0.000420131638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thornburg Mortgage Securities
        N/A
        Thornburg Mortgage Securities Trust 2006-5
        88522RAA2
        
          
          
        
        148988.96000000
        PA
        USD
        145075.85000000
        0.005441267338
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-10-25
          Variable
          2.48865200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LB-UBS Commercial Mortgage Tru
        N/A
        LB-UBS Commercial Mortgage Trust 2006-C7
        50180CAU4
        
          
          
        
        1525928.98000000
        PA
        USD
        2.29000000
        0.000000085889
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Variable
          0.63735000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398NE59
        
          
        
        2794761.35000000
        PA
        USD
        625888.20000000
        0.023474789362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEX5
        
          
          
        
        20461000.00000000
        PA
        USD
        20472988.92000000
        0.767867332396
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-06-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WHA3
        
          
        
        9281506.67000000
        PA
        USD
        1349246.13000000
        0.050605313695
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-15
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NBF1
        
          
          
        
        12940.99000000
        PA
        USD
        14182.90000000
        0.000531948980
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBG6
        
          
          
        
        963000.00000000
        PA
        USD
        918230.13000000
        0.034439471598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAF8
        
          
          
        
        808000.00000000
        PA
        USD
        794061.11000000
        0.029782343392
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-30
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2007-A1
        46630GAV7
        
          
          
        
        49540.01000000
        PA
        USD
        48688.29000000
        0.001826120626
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Variable
          2.41672000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Inve
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR5
        86359LPF0
        
          
        
        58534.52000000
        PA
        USD
        54617.14000000
        0.002048490220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-19
          Floating
          2.09514000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36297HMY1
        
          
        
        397.54000000
        PA
        USD
        412.52000000
        0.000015472124
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        2549000M7NBNQ7XU2038
        OCP CLO 2021-21 Ltd
        671000AG2
        
          
        
        5050000.00000000
        PA
        USD
        4608200.75000000
        0.172836845214
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          2.96271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AEZH9
        
          
        
        42301.54000000
        PA
        USD
        43595.18000000
        0.001635096599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398CKN7
        
          
          
        
        218038.04000000
        PA
        USD
        215532.70000000
        0.008083847455
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-15
          Variable
          4.95793500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411S6E1
        
          
        
        1586.66000000
        PA
        USD
        1738.40000000
        0.000065201059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31408AEG1
        
          
          
        
        9387.37000000
        PA
        USD
        10085.13000000
        0.000378256535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2003-2F
        36228FNB8
        
          
        
        1347.64000000
        PA
        USD
        1312.24000000
        0.000049217348
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA (NEW YORK)
        DG3RU1DBUFHT4ZF9WN62
        COOPERATIEVE RABOBANK UA (NEW YORK)
        21684LCV2
        
          
        
        725000.00000000
        PA
        USD
        724959.73000000
        0.027190602024
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-03
          Floating
          1.65000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAJ4
        
          
          
        
        977000.00000000
        PA
        USD
        785939.17000000
        0.029477718971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-17
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397FLC4
        
          
        
        5518306.39000000
        PA
        USD
        711885.25000000
        0.026700225845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-15
          Floating
          4.79600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135CK0
        
          
          
        
        522000.00000000
        PA
        USD
        473337.16000000
        0.017753154841
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-04-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397NUJ2
        
          
        
        1303756.95000000
        PA
        USD
        1335297.44000000
        0.050082149080
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822AJ3
        
          
          
        
        350000.00000000
        PA
        USD
        327710.21000000
        0.012291217747
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2026-09-13
          Fixed
          2.75700000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6NG9
        
          
        
        49861.44000000
        PA
        USD
        53549.29000000
        0.002008439052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAM7
        
          
          
        
        550000.00000000
        PA
        USD
        544001.19000000
        0.020403505527
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REYNOLDS AMERICAN INC
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713BA3
        
          
          
        
        562000.00000000
        PA
        USD
        533851.54000000
        0.020022829080
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2035-08-15
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya Securitized Credit Fund
        549300IRVV55AI1KRN67
        Voya Securitized Credit Fund
        92913M757
        
          
          
        
        19797467.07100000
        NS
        USD
        183522519.75000000
        6.883262049607
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DEPOSITORY TRUST & CLEAR
        MLDY5N6PZ58ZE60QU102
        Depository Trust & Clearing Corp/The
        249670AB6
        
          
          
        
        813000.00000000
        PA
        USD
        643057.24000000
        0.024118737590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DB Master Finance LLC
        549300F17UZJL70BPB08
        DB Master Finance LLC
        233046AL5
        
          
        
        923875.00000000
        PA
        USD
        864719.84000000
        0.032432495294
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.35200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415THV5
        
          
        
        16066.69000000
        PA
        USD
        17108.76000000
        0.000641687344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        Wells Fargo Mortgage Backed Securities 2006-AR4 Trust
        94983PAF5
        
          
        
        174149.82000000
        PA
        USD
        166336.75000000
        0.006238686349
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-25
          Variable
          2.87017000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413N6V2
        
          
        
        716.37000000
        PA
        USD
        759.48000000
        0.000028485331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAJ4
        
          
          
        
        905000.00000000
        PA
        USD
        828703.33000000
        0.031081647034
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AV2
        
          
          
        
        2195000.00000000
        PA
        USD
        2154271.27000000
        0.080798877966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJYS1
        
          
        
        61.97000000
        PA
        USD
        62.16000000
        0.000002331395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        231086.06000000
        0.008667197405
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -10683261692.88000000
            COP
            2788904.62000000
            USD
            2022-08-05
            231086.06000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128E2RS7
        
          
          
        
        3430.57000000
        PA
        USD
        3568.06000000
        0.000133824949
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YAR6
        
          
        
        1368641.11000000
        PA
        USD
        1361083.20000000
        0.051049279127
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKL2
        
          
          
        
        2649000.00000000
        PA
        USD
        2292649.45000000
        0.085988940069
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-08
          Fixed
          3.84600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBT1
        
          
          
        
        866000.00000000
        PA
        USD
        608516.68000000
        0.022823246845
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2040-09-25
          Fixed
          3.73400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASQN5
        
          
        
        21383.51000000
        PA
        USD
        21503.70000000
        0.000806525555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NXG5
        
          
        
        2197.46000000
        PA
        USD
        2207.41000000
        0.000082791918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        Long Beach Mortgage Loan Trust 2004-4
        542514HN7
        
          
        
        58753.09000000
        PA
        USD
        55202.55000000
        0.002070446820
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          2.18357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDUSTRIAL AND COMMERCIAL BANK OF CHINA FINANCIAL SERVICES LLC
        5493003O0P1GJ0O8CI80
        IND & COM BK CHINA FIN SVCS LLC
        000000000
        
          
        
        3749424.00000000
        PA
        USD
        3749424.00000000
        0.140627253604
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          1.50000000
          2022-07-01
          
            
              5840936.69429760
              USD
              5846363.23167840
              USD
              UST
            
          
        
        
          
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374TWL4
        
          
        
        982579.92000000
        PA
        USD
        1018205.71000000
        0.038189191887
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        MSFSBD3QN1GSN7Q6C537
        Commonwealth Bank of Australia
        202712BL8
        
          
          
        
        745000.00000000
        PA
        USD
        608021.49000000
        0.022804674070
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2039-09-12
          Fixed
          3.74300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412QHN2
        
          
        
        83502.32000000
        PA
        USD
        86227.00000000
        0.003234061070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        5493001GLQHON6UV2U40
        BlueMountain CLO XXVIII Ltd
        09630PAG8
        
          
        
        1450000.00000000
        PA
        USD
        1335693.60000000
        0.050097007600
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          3.04429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ALY45
        
          
        
        456994.78000000
        PA
        USD
        469624.24000000
        0.017613896720
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COREBRIDGE FINANCIAL INC
        549300XY1661QCIA7J65
        Corebridge Financial Inc
        21871XAJ8
        
          
          
        
        356000.00000000
        PA
        USD
        304282.77000000
        0.011412539703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-04-05
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDW3
        
          
          
        
        1527000.00000000
        PA
        USD
        1499201.96000000
        0.056229611330
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-09
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BK6
        
          
          
        
        398000.00000000
        PA
        USD
        394250.89000000
        0.014786916574
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.26900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GGR8
        
          
          
        
        67639.06000000
        PA
        USD
        74186.57000000
        0.002782468345
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585AAH5
        
          
          
        
        1336000.00000000
        PA
        USD
        1179724.17000000
        0.044247161707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CM9
        
          
          
        
        1355000.00000000
        PA
        USD
        1192292.78000000
        0.044718564543
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-05-24
          Fixed
          1.58900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M65R4
        
          
        
        162616.62000000
        PA
        USD
        163397.83000000
        0.006128458151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AA57
        
          
        
        617978.23000000
        PA
        USD
        637614.14000000
        0.023914586711
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        WFRBS Commercial Mortgage Trust 2013-C12
        92937FAJ0
        
          
        
        26326899.43000000
        PA
        USD
        113687.45000000
        0.004264002647
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-15
          Variable
          1.22111300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418P3T0
        
          
        
        43825.33000000
        PA
        USD
        44814.54000000
        0.001680830357
        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
        31410KXZ2
        
          
          
        
        59325.07000000
        PA
        USD
        63778.31000000
        0.002392092378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAH4
        
          
          
        
        786000.00000000
        PA
        USD
        741930.05000000
        0.027827096988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-01
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TELEDYNE TECHNOLOGIES IN
        549300VSMO9KYQWDND94
        Teledyne Technologies Inc
        879360AC9
        
          
          
        
        2105000.00000000
        PA
        USD
        1897702.15000000
        0.071175903689
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620A84H3
        
          
        
        8566.35000000
        PA
        USD
        9033.17000000
        0.000338801343
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        Wells Fargo Mortgage Backed Securities 2005-AR7 Trust
        94982PAA7
        
          
        
        55253.95000000
        PA
        USD
        55021.11000000
        0.002063641665
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Variable
          3.06689800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QSYA0
        
          
        
        1001473.40000000
        PA
        USD
        1010124.63000000
        0.037886099975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BQ1
        
          
          
        
        772000.00000000
        PA
        USD
        774239.55000000
        0.029038908789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERSTATE POWER & LIGHT
        EF9UQIIO4KY2BWOK3P26
        Interstate Power and Light Co
        461070AT1
        
          
          
        
        468000.00000000
        PA
        USD
        344068.20000000
        0.012904746440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-11-30
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        N/A
        PMTT4
        693458AG6
        
          
        
        1199013212.59050000
        PA
        USD
        1626521.37000000
        0.061004899203
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        25160PAH0
        
          
          
        
        686000.00000000
        PA
        USD
        594349.46000000
        0.022291885964
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-01-07
          Fixed
          2.55200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412WXR2
        
          
        
        7020.86000000
        PA
        USD
        7544.03000000
        0.000282949119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375A3E2
        
          
        
        2961487.58000000
        PA
        USD
        644260.07000000
        0.024163851367
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AU2
        
          
          
        
        549000.00000000
        PA
        USD
        501257.52000000
        0.018800345969
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAH4
        
          
          
        
        863000.00000000
        PA
        USD
        856178.52000000
        0.032112141455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AHX27
        
          
        
        727763.28000000
        PA
        USD
        762370.28000000
        0.028593735652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403JLJ3
        
          
        
        12059.01000000
        PA
        USD
        12567.19000000
        0.000471349576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBT2
        
          
          
        
        1893000.00000000
        PA
        USD
        1817523.61000000
        0.068168698348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-17
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDELSBANKEN AB (NEW YORK)
        NHBDILHZTYCNBV5UYZ31
        SVENSKA HANDELSBANKEN AB (NEW YORK)
        86959RWU0
        
          
        
        275000.00000000
        PA
        USD
        274991.15000000
        0.010313917601
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-29
          Floating
          1.65000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419DM24
        
          
        
        57912.08000000
        PA
        USD
        59327.28000000
        0.002225150436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAN3
        
          
          
        
        804000.00000000
        PA
        USD
        797548.82000000
        0.029913154706
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-06-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        USD CALL VERSUS AUD PUT
        000000000
        
          
        
        74544000.00000000
        NC
        USD
        319374.08000000
        0.011978559838
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY CAPITAL SERVICES LLC
                    I7331LVCZKQKX5T7XV54
                  
                  
                    MORGAN STANLEY CAPITAL SERVICES LLC
                    I7331LVCZKQKX5T7XV54
                    USD CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  AUD
                  2022-08-18
                
              
            
            1.00000000
            USD
            0.65000000
            USD
            2022-08-18
            XXXX
            -211230.11000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295MNX4
        
          
          
        
        83510.03000000
        PA
        USD
        83322.64000000
        0.003125129093
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Floating
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2Z5
        
          
          
        
        943000.00000000
        PA
        USD
        874235.59000000
        0.032789396458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-04-25
          Fixed
          4.61100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Homebanc Mortgage Trust
        N/A
        HomeBanc Mortgage Trust 2004-1
        43739EAB3
        
          
        
        125134.52000000
        PA
        USD
        120732.89000000
        0.004528251470
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-08-25
          Floating
          2.48357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140LYM67
        
          
        
        2909396.61000000
        PA
        USD
        2541501.63000000
        0.095322480002
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312945D47
        
          
        
        156392.13000000
        PA
        USD
        163956.88000000
        0.006149426083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        N/A
        BANK OF AMERICA NA
        000000000
        
          
        
        750000.00000000
        PA
        USD
        749997.08000000
        0.028129661935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-06
          Floating
          0.16000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBW2
        
          
          
        
        255000.00000000
        PA
        USD
        213191.32000000
        0.007996030810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-01-31
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292LDE2
        
          
        
        299929.10000000
        PA
        USD
        309236.81000000
        0.011598347720
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414AAX0
        
          
        
        48.12000000
        PA
        USD
        48.16000000
        0.000001806306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412WKY1
        
          
        
        7688.65000000
        PA
        USD
        8089.19000000
        0.000303396087
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ELEC POWER
        R64UBJHEC74EB3HGQ410
        Southwestern Electric Power Co
        845437BS0
        
          
          
        
        1499000.00000000
        PA
        USD
        1366615.79000000
        0.051256786450
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCE4
        
          
          
        
        1146000.00000000
        PA
        USD
        873895.69000000
        0.032776648045
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-22
          Fixed
          3.32800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN IMPERIAL BANK
        2IGI19DL77OX0HC3ZE78
        Canadian Imperial Bank of Commerce
        13607HR53
        
          
          
        
        421000.00000000
        PA
        USD
        382616.33000000
        0.014350546556
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2032-04-07
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASLL4
        
          
          
        
        10903.17000000
        PA
        USD
        11230.99000000
        0.000421233575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HJY7
        
          
          
        
        3320000.00000000
        PA
        USD
        3317062.80000000
        0.124410957949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-10
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418ACX4
        
          
        
        22736.75000000
        PA
        USD
        23468.25000000
        0.000880208678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-6CB
        12667F5E1
        
          
        
        1309055.50000000
        PA
        USD
        1174632.78000000
        0.044056202191
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CLU8
        
          
        
        125457.83000000
        PA
        USD
        134893.33000000
        0.005059358058
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ETKN5
        
          
        
        851296.88000000
        PA
        USD
        813979.30000000
        0.030529402236
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triton Container Finance LLC
        N/A
        Triton Container Finance VIII LLC
        89680HAE2
        
          
        
        1251250.05000000
        PA
        USD
        1094730.43000000
        0.041059355732
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-03-20
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GXO LOGISTICS INC
        5493007CNWMXN78JRN66
        GXO Logistics Inc
        36262GAB7
        
          
          
        
        602000.00000000
        PA
        USD
        526216.95000000
        0.019736483384
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEK7
        
          
          
        
        444000.00000000
        PA
        USD
        403972.13000000
        0.015151524920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-21
          Fixed
          2.47500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AUL54
        
          
        
        205389.01000000
        PA
        USD
        211545.99000000
        0.007934320467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        Chase Mortgage Finance Trust Series 2005-A1
        16162WPB9
        
          
          
        
        145105.18000000
        PA
        USD
        134828.76000000
        0.005056936272
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Variable
          2.89391600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CURRENCY CONTRACT - ZAR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -92039.89000000
        -0.00345208142
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3986131.00000000
            USD
            63520811.15000000
            ZAR
            2022-07-29
            -92039.89000000
          
        
        
          N
          N
          N
        
      
      
        FED CAISSES DESJARDINS
        549300B2Q47IR0CR5B54
        Federation des Caisses Desjardins du Quebec
        31429KAD5
        
          
          
        
        1925000.00000000
        PA
        USD
        1819248.55000000
        0.068233394572
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-02-10
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296XJ88
        
          
        
        501748.20000000
        PA
        USD
        529363.71000000
        0.019854506904
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412VPZ5
        
          
        
        7667.40000000
        PA
        USD
        8066.57000000
        0.000302547694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROGERS COMMUNICATIONS IN
        54930030NVF3Y2OL0A78
        Rogers Communications Inc
        775109CC3
        
          
          
        
        325000.00000000
        PA
        USD
        297575.66000000
        0.011160980408
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2032-03-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CZ1
        
          
          
        
        1212000.00000000
        PA
        USD
        1161930.57000000
        0.043579788505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-25
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        30003.50000000
        0.001125322130
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-07-14
            0.00000000
            USD
            0.00000000
            USD
            5408500.00000000
            USD
            30003.50000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J9N23
        
          
        
        297799.72000000
        PA
        USD
        304660.77000000
        0.011426717108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAQ1
        
          
          
        
        585000.00000000
        PA
        USD
        583212.29000000
        0.021874171235
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY PROGRESS LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        144141DD7
        
          
          
        
        44000.00000000
        PA
        USD
        39557.50000000
        0.001483657912
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38383D3T3
        
          
        
        29328178.82000000
        PA
        USD
        5137766.09000000
        0.192698914526
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AJ6C1
        
          
        
        4055.52000000
        PA
        USD
        4155.37000000
        0.000155852811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBL4
        
          
          
        
        773500.00000000
        PA
        USD
        664786.99000000
        0.024933741458
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-02-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BN53
        
          
          
        
        653889.13000000
        PA
        USD
        701523.65000000
        0.026311599925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SunRun Athena Issuer
        5493001ZI15Y2FZFMI30
        Sunrun Athena Issuer 2018-1 LLC
        86772DAA4
        
          
        
        1840309.60000000
        PA
        USD
        1802768.94000000
        0.067615304355
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-04-30
          Fixed
          5.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31376KPN0
        
          
        
        26744.83000000
        PA
        USD
        28220.64000000
        0.001058453537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAK7
        
          
          
        
        794000.00000000
        PA
        USD
        679826.93000000
        0.025497834892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-12-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIV OF CALIFORNIA CA RGTS MED
        N/A
        Regents of the University of California Medical Center Pooled Revenue
        913366EP1
        
          
        
        300000.00000000
        PA
        USD
        373376.97000000
        0.014004011776
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2048-05-15
          Fixed
          6.54800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        06417XAG6
        
          
          
        
        2676000.00000000
        PA
        USD
        2463424.02000000
        0.092394072902
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2037-05-04
          Fixed
          4.58800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129354X4
        
          
        
        1678.73000000
        PA
        USD
        1768.49000000
        0.000066329626
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128KV3T0
        
          
          
        
        174737.76000000
        PA
        USD
        191794.50000000
        0.007193513934
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AXET4
        
          
        
        184984.24000000
        PA
        USD
        191005.15000000
        0.007163908288
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2GJ2
        
          
        
        19489.11000000
        PA
        USD
        20126.65000000
        0.000754877419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBF9
        
          
          
        
        900000.00000000
        PA
        USD
        790571.67000000
        0.029651467193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-02-14
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAC5
        
          
          
        
        452000.00000000
        PA
        USD
        448258.11000000
        0.016812530915
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BAEB4
        
          
        
        360110.98000000
        PA
        USD
        11886.33000000
        0.000445812995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPALACHIAN POWER CO
        3SCHO1ABYYIG382BEI70
        Appalachian Power Co
        037735CZ8
        
          
          
        
        771000.00000000
        PA
        USD
        666021.51000000
        0.024980043812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        PARKER-HANNIFIN CORP
        5493002CONDB4N2HKI23
        Parker-Hannifin Corp
        701094AS3
        
          
          
        
        1221000.00000000
        PA
        USD
        1215956.49000000
        0.045606104215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAP9
        
          
          
        
        116000.00000000
        PA
        USD
        97372.00000000
        0.003652069474
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F040677
        
          
        
        77558000.00000000
        PA
        USD
        76502181.23000000
        2.869318498296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK (NEW YORK)
        N/A
        TORONTO-DOMINION BANK (NEW YORK)
        000000000
        
          
        
        325000.00000000
        PA
        USD
        324992.56000000
        0.012189288582
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-25
          Floating
          0.20000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-65CB
        12668AZ40
        
          
        
        1068754.74000000
        PA
        USD
        847780.29000000
        0.031797154401
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCW Gem Ltd
        N/A
        TCW CLO 2020-1 Ltd
        87190CBC3
        
          
        
        6000000.00000000
        PA
        USD
        5580576.00000000
        0.209307103281
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          3.11271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVERGY KANSAS CENTRAL
        J75GNWGEO73W89ZV3S44
        Evergy Kansas Central Inc
        95709TAQ3
        
          
          
        
        1749000.00000000
        PA
        USD
        1358082.65000000
        0.050936739413
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TCA2
        
          
        
        1817000.00000000
        PA
        USD
        1150454.81000000
        0.043149374497
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31395MPZ6
        
          
        
        447657.64000000
        PA
        USD
        467041.08000000
        0.017517011786
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R01
        20754FAK8
        
          
        
        265543.76000000
        PA
        USD
        264010.06000000
        0.009902056865
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-07-25
          Floating
          4.07357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYG3
        
          
          
        
        1608000.00000000
        PA
        USD
        1412650.19000000
        0.052983369318
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-10
          Fixed
          1.54200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINOR ASA
        OW6OFBNCKXC4US5C7523
        Equinor ASA
        29446MAF9
        
          
          
        
        826000.00000000
        PA
        USD
        766635.06000000
        0.028753692035
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2030-04-06
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LBA2
        
          
          
        
        2878000.00000000
        PA
        USD
        2609020.13000000
        0.097854853300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-14
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        N/A
        Home Equity Asset Trust 2005-2
        437084JU1
        
          
        
        144149.75000000
        PA
        USD
        143786.16000000
        0.005392895758
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          2.71857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283HZ65
        
          
          
        
        7315.85000000
        PA
        USD
        7852.53000000
        0.000294519832
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414PU64
        
          
        
        18984.06000000
        PA
        USD
        20723.10000000
        0.000777248089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GEORGIA POWER CO
        D981X4Z4RWS7PDMJUZ03
        Georgia Power Co
        373334KR1
        
          
          
        
        284000.00000000
        PA
        USD
        282240.66000000
        0.010585820347
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-05-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TC2
        
          
          
        
        100.00000000
        PA
        USD
        79.46000000
        0.000002980255
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FELR9
        
          
        
        15553576.60000000
        PA
        USD
        14846249.71000000
        0.556828815052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIEDMONT NATURAL GAS CO
        VXB4M3BDPKF3I2AZ3G89
        Piedmont Natural Gas Co Inc
        720186AM7
        
          
          
        
        313000.00000000
        PA
        USD
        233919.29000000
        0.008773461555
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398N2X1
        
          
        
        3999519.85000000
        PA
        USD
        412929.23000000
        0.015487473155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-25
          Floating
          4.44643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296QH44
        
          
        
        42486.19000000
        PA
        USD
        44898.04000000
        0.001683962138
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QUFD0
        
          
        
        1071442.84000000
        PA
        USD
        1048931.10000000
        0.039341589485
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF WISCONSIN INVESTMENT BOARD
        VY0GIYI3352UC4XOP168
        STATE OF WISCONSIN INVESTMENT BOARD
        000000000
        
          
        
        8080092.00000000
        PA
        USD
        8080092.00000000
        0.303054855048
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          1.55000000
          2022-07-01
          
            
              6583043.16590997
              USD
              8241706.30979593
              USD
              UST
            
          
        
        
          
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
        93363NAH8
        
          
          
        
        424381.37000000
        PA
        USD
        399368.71000000
        0.014978867384
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Variable
          2.52132800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WHB1
        
          
        
        8135634.46000000
        PA
        USD
        1361299.10000000
        0.051057376751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-15
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rockland Park CLO Ltd
        N/A
        Rockland Park CLO Ltd
        773663AE9
        
          
        
        2450000.00000000
        PA
        USD
        2280511.45000000
        0.085533687848
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          2.96271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378PJM1
        
          
        
        5489363.54000000
        PA
        USD
        1237058.81000000
        0.046397575467
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-12-16
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBV1
        
          
          
        
        419000.00000000
        PA
        USD
        398277.42000000
        0.014937937066
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA GLOBAL FINANCIAL PRODUCTS INC
        0Z3VO5H2G7GRS05BHJ91
        SWOP IRS USD
        000000000
        
          
        
        6658000.00000000
        NC
        USD
        -77791.89000000
        -0.00291769078
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              NOMURA GLOBAL FINANCIAL PRODUCTS INC
              0Z3VO5H2G7GRS05BHJ91
            
            Call
            Purchased
            
              
                
                  
                    NOMURA GLOBAL FINANCIAL PRODUCTS INC
                    0Z3VO5H2G7GRS05BHJ91
                  
                  
                    NOMURA GLOBAL FINANCIAL PRODUCTS INC
                    0Z3VO5H2G7GRS05BHJ91
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2057-05-27
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            0.00000000
            USD
            2027-05-25
            XXXX
            -77791.90000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CK4
        
          
          
        
        317000.00000000
        PA
        USD
        242626.47000000
        0.009100036199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CE8
        
          
          
        
        1110000.00000000
        PA
        USD
        1028795.52000000
        0.038586377133
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-11-23
          Fixed
          1.82200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394VKD1
        
          
        
        258736.05000000
        PA
        USD
        274073.12000000
        0.010279485636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403TTL8
        
          
        
        210157.56000000
        PA
        USD
        223307.20000000
        0.008375440666
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31395ADQ5
        
          
        
        3127187.42000000
        PA
        USD
        359981.80000000
        0.013501607682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-15
          Floating
          4.67600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022671
        
          
        
        54900000.00000000
        PA
        USD
        50259234.92000000
        1.885041055661
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-07-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TES LLC
        N/A
        TES 2017-1 LLC
        88159DAB1
        
          
        
        5500000.00000000
        PA
        USD
        5326801.70000000
        0.199788952534
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-10-20
          Fixed
          7.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468Q5
        
          
          
        
        1074000.00000000
        PA
        USD
        1006804.96000000
        0.037761591231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-28
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC22
        36253BAW3
        
          
        
        38597852.23000000
        PA
        USD
        466038.19000000
        0.017479397031
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-10
          Variable
          1.09606500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2019-KBF3 Mortgage Trust
        30311TAE7
        
          
        
        1245369.80000000
        PA
        USD
        1243453.18000000
        0.046637405022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-25
          Floating
          5.86986000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSX CORP
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HL0
        
          
          
        
        1574000.00000000
        PA
        USD
        1431674.17000000
        0.053696889598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2068-03-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2012-CCRE4 Mortgage Trust
        12624QAA1
        
          
        
        65166000.00000000
        PA
        USD
        148366.69000000
        0.005564694774
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          0.76793400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2019-GC42
        36257UAN7
        
          
        
        105209756.61000000
        PA
        USD
        4538822.55000000
        0.170234721334
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-09-01
          Variable
          0.93168900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410M3L2
        
          
        
        2302.35000000
        PA
        USD
        2481.10000000
        0.000093057034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORPORATION
        N/A
        WESTPAC BANKING CORP
        000000000
        
          
        
        750000.00000000
        PA
        USD
        749964.24000000
        0.028128430226
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-02
          Floating
          0.19000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375KRD6
        
          
        
        6512159.27540000
        PA
        USD
        894600.39000000
        0.033553206017
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-06-16
          Floating
          4.94071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418RHT1
        
          
        
        456574.66000000
        PA
        USD
        470271.18000000
        0.017638161086
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GNLK7
        
          
        
        43213.10000000
        PA
        USD
        43583.83000000
        0.001634670902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417AFZ7
        
          
        
        126077.29000000
        PA
        USD
        126785.07000000
        0.004755246723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414XWZ1
        
          
        
        11478.29000000
        PA
        USD
        11934.00000000
        0.000447600923
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Mortgage Funding
        N/A
        Bear Stearns Mortgage Funding Trust 2006-AR5
        07401NAP4
        
          
        
        1801344.93000000
        PA
        USD
        1605491.54000000
        0.060216146788
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          1.81357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AK6
        
          
          
        
        843000.00000000
        PA
        USD
        811147.70000000
        0.030423199221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-12-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        WFRBS Commercial Mortgage Trust 2012-C8
        92936YAK7
        
          
        
        2327411.15000000
        PA
        USD
        76.80000000
        0.000002880488
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-15
          Variable
          1.49083900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BBCCRE Trust
        N/A
        BBCCRE Trust 2015-GTP
        05490TAN2
        
          
        
        22800000.00000000
        PA
        USD
        401362.08000000
        0.015053631440
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-10
          Variable
          0.74868700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citimortgage Alternative Loan
        N/A
        CitiMortgage Alternative Loan Trust Series 2007-A2
        12566UAE4
        
          
        
        190956.91000000
        PA
        USD
        173083.97000000
        0.006491750024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AWXE0
        
          
        
        9377076.86000000
        PA
        USD
        1404931.79000000
        0.052693880214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-15
          Floating
          4.82600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bojangles Issuer, LLC
        N/A
        Bojangles Issuer LLC
        09748RAA6
        
          
        
        2344125.00000000
        PA
        USD
        2226296.85000000
        0.083500295438
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-10-20
          Fixed
          3.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TKD6
        
          
          
        
        750000.00000000
        PA
        USD
        759882.71000000
        0.028500435952
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-29
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AAWP2
        
          
        
        57590.07000000
        PA
        USD
        59472.16000000
        0.002230584358
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABRA HEALTH CARE LP
        549300OVKLRFSIQG0H81
        Sabra Health Care LP
        78574MAA1
        
          
          
        
        653000.00000000
        PA
        USD
        518954.69000000
        0.019464102432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-12-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ALLZ8
        
          
        
        90740.96000000
        PA
        USD
        93648.18000000
        0.003512402533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BLHF0
        
          
        
        7073221.10000000
        PA
        USD
        5203394.59000000
        0.195160400801
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CF4
        
          
          
        
        349000.00000000
        PA
        USD
        294817.66000000
        0.011057537861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CURRENCY CONTRACT - RON
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9990.90000000
        -0.00037472231
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1353377.63000000
            USD
            6364323.12000000
            RON
            2022-07-29
            -9990.90000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31408AE30
        
          
        
        6250.85000000
        PA
        USD
        6644.57000000
        0.000249213647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413CPL7
        
          
        
        3718.00000000
        PA
        USD
        3917.46000000
        0.000146929672
        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
        31409WGR6
        
          
        
        346212.77000000
        PA
        USD
        374928.26000000
        0.014062195020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAL3
        
          
          
        
        830000.00000000
        PA
        USD
        830060.73000000
        0.031132558170
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-06
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128CUME3
        
          
        
        254249.97000000
        PA
        USD
        267683.68000000
        0.010039840987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377LJM1
        
          
        
        1215861.87000000
        PA
        USD
        133127.88000000
        0.004993142451
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-09-16
          Floating
          5.14071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833EG1
        
          
          
        
        1905000.00000000
        PA
        USD
        1370386.40000000
        0.051398208313
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2061-02-08
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REYNOLDS AMERICAN INC
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713AZ9
        
          
          
        
        624000.00000000
        PA
        USD
        579291.55000000
        0.021727118542
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2043-09-15
          Fixed
          6.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VBE3
        
          
          
        
        253000.00000000
        PA
        USD
        215223.67000000
        0.008072256864
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-03-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAF9
        
          
          
        
        1320000.00000000
        PA
        USD
        1306019.46000000
        0.048984038565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-12-14
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375QLL1
        
          
          
        
        711039.78000000
        PA
        USD
        82618.41000000
        0.003098715988
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-05-16
          Floating
          4.99071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412YEC2
        
          
        
        1325.42000000
        PA
        USD
        1419.45000000
        0.000053238405
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2002-AR2 Trust
        929227LE4
        
          
        
        4163.72000000
        PA
        USD
        4069.65000000
        0.000152637765
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-27
          Floating
          1.47300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBZ2
        
          
          
        
        489000.00000000
        PA
        USD
        407707.25000000
        0.015291615683
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          2.44000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QNKH1
        
          
        
        2055576.33000000
        PA
        USD
        2012363.86000000
        0.075476447285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468C6
        
          
          
        
        4000000.00000000
        PA
        USD
        4002412.44000000
        0.150115929601
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418TCJ4
        
          
        
        191312.06000000
        PA
        USD
        194197.48000000
        0.007283640972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCJ8
        
          
          
        
        529000.00000000
        PA
        USD
        479266.26000000
        0.017975533812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Asset Acceptance Corpor
        N/A
        Nomura Asset Acceptance Corp Alternative Loan Trust Series 2001-R1A
        65535VAA6
        
          
          
        
        13690.19000000
        PA
        USD
        13301.32000000
        0.000498884122
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-02-19
          Variable
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BC2C1
        
          
        
        9267085.67000000
        PA
        USD
        9270762.85000000
        0.347712586898
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396PCB5
        
          
          
        
        1534909.06000000
        PA
        USD
        253774.34000000
        0.009518152246
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-25
          Floating
          5.11643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SN9
        
          
          
        
        17000.00000000
        PA
        USD
        10823.55000000
        0.000405951983
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-05-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSL FINANCE PLC
        2549007CCNBNAF4HBC02
        CSL Finance PLC
        12661PAB5
        
          
          
        
        793000.00000000
        PA
        USD
        779223.81000000
        0.029225850248
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2029-04-27
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412MAD0
        
          
        
        67753.86000000
        PA
        USD
        74146.41000000
        0.002780962089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GJH77
        
          
        
        718311.10000000
        PA
        USD
        728570.72000000
        0.027326037122
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AP8
        
          
          
        
        209000.00000000
        PA
        USD
        187910.17000000
        0.007047826847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418RGS4
        
          
        
        41093.75000000
        PA
        USD
        42324.04000000
        0.001587420762
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WRU8
        
          
        
        7877070.90000000
        PA
        USD
        792504.23000000
        0.029723950488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAM8
        
          
          
        
        294000.00000000
        PA
        USD
        272711.83000000
        0.010228428600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A1KE4
        
          
        
        13493678.02000000
        PA
        USD
        13938707.62000000
        0.522790212950
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CY9
        
          
          
        
        1429000.00000000
        PA
        USD
        1372871.97000000
        0.051491433002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Babson CLO Ltd
        549300TE5WUQQTRVZ282
        Barings CLO Ltd 2017-I
        06760BAC6
        
          
        
        3470000.00000000
        PA
        USD
        3381032.67000000
        0.126810235046
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-18
          Floating
          2.39429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        JPMBB Commercial Mortgage Securities Trust 2013-C17
        46640UAN2
        
          
        
        3720000.00000000
        PA
        USD
        3473591.29000000
        0.130281772149
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-15
          Variable
          5.04889600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
        93363NAA3
        
          
          
        
        453729.74000000
        PA
        USD
        435590.67000000
        0.016337421326
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Variable
          3.01137000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGU8
        
          
          
        
        666000.00000000
        PA
        USD
        611217.89000000
        0.022924559405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-12-07
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AHX8
        
          
        
        51623.11000000
        PA
        USD
        56632.67000000
        0.002124085418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410WS82
        
          
          
        
        5192.76000000
        PA
        USD
        5692.86000000
        0.000213518467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377DAL0
        
          
        
        1133549.03000000
        PA
        USD
        97927.53000000
        0.003672905383
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8NA8
        
          
        
        56105.67000000
        PA
        USD
        60332.09000000
        0.002262837204
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413ETX3
        
          
        
        8765.99000000
        PA
        USD
        9223.78000000
        0.000345950431
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410LC75
        
          
        
        70765.13000000
        PA
        USD
        76056.31000000
        0.002852595490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LCD86
        
          
        
        39829.40000000
        PA
        USD
        42851.96000000
        0.001607221121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409CZQ1
        
          
        
        223.29000000
        PA
        USD
        234.98000000
        0.000008813244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DK3
        
          
          
        
        1886000.00000000
        PA
        USD
        1649542.58000000
        0.061868341038
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379BSP4
        
          
        
        5750298.55000000
        PA
        USD
        543009.32000000
        0.020366304091
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-04-16
          Floating
          4.09071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGC7
        
          
          
        
        3641000.00000000
        PA
        USD
        3541879.13000000
        0.132843000592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396LH86
        
          
        
        3831684.00000000
        PA
        USD
        197510.28000000
        0.007407892048
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-25
          Floating
          3.07643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        Mosaic Solar Loans 2017-2 LLC
        61946GAA1
        
          
          
        
        1728714.32000000
        PA
        USD
        1643031.29000000
        0.061624126239
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-06-22
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBZ7
        
          
          
        
        998000.00000000
        PA
        USD
        745244.68000000
        0.027951416700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-25
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CKR6
        
          
        
        1082267.58210000
        PA
        USD
        1117398.90000000
        0.041909567573
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410PYY3
        
          
          
        
        34672.09000000
        PA
        USD
        37977.73000000
        0.001424406486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GBA0
        
          
        
        32528.71000000
        PA
        USD
        35682.57000000
        0.001338323385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        Sofi Professional Loan Program 2018-C Trust
        78490DAB0
        
          
        
        798331.85000000
        PA
        USD
        786896.70000000
        0.029513632438
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-01-25
          Fixed
          3.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBB0
        
          
          
        
        140000.00000000
        PA
        USD
        128190.18000000
        0.004807947288
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-08-15
          Fixed
          3.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385HU59
        
          
        
        2136.31000000
        PA
        USD
        2140.03000000
        0.000080264739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Floating
          3.18200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413A6W8
        
          
        
        47846.46000000
        PA
        USD
        51391.73000000
        0.001927516826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36297AKJ1
        
          
        
        47155.02000000
        PA
        USD
        50022.50000000
        0.001876161990
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418WJT8
        
          
        
        66933.41000000
        PA
        USD
        68179.42000000
        0.002557162003
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        5493002WMPR84WZ75V46
        Sofi Professional Loan Program 2018-A LLC
        83406EAD7
        
          
        
        2200000.00000000
        PA
        USD
        2125290.64000000
        0.079711919968
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-02-25
          Fixed
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YED3
        
          
          
        
        2773000.00000000
        PA
        USD
        2249376.41000000
        0.084365925769
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-07-21
          Fixed
          2.23900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DCG4
        
          
        
        1483000.00000000
        PA
        USD
        1115946.53000000
        0.041855094458
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-27
          Fixed
          1.41113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL AUSTRALIA BANK
        F8SB4JFBSYQFRQEH3Z21
        National Australia Bank Ltd
        632525AU5
        
          
          
        
        432000.00000000
        PA
        USD
        347681.67000000
        0.013040274554
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-08-21
          Fixed
          2.33200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2M4
        
          
          
        
        418000.00000000
        PA
        USD
        411099.58000000
        0.015418849640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-04
          Fixed
          5.01300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2016-2 A PTT
        N/A
        United Airlines 2016-2 Class A Pass Through Trust
        90932DAA3
        
          
          
        
        945030.30000000
        PA
        USD
        809595.08000000
        0.030364966094
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-07
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TAC0
        
          
        
        2532000.00000000
        PA
        USD
        2251975.36000000
        0.084463402928
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTERPOINT ENER HOUSTON
        549300S8SEQBOJLKHW63
        CenterPoint Energy Houston Electric LLC
        15189XAM0
        
          
          
        
        750000.00000000
        PA
        USD
        645539.85000000
        0.024211851259
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F97C9
        
          
        
        37195765.49000000
        PA
        USD
        6013874.60000000
        0.225558557400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK PARTNERS LP
        T4DHW82NMF6BXJT50795
        ONEOK Partners LP
        68268NAG8
        
          
          
        
        350000.00000000
        PA
        USD
        334088.23000000
        0.012530434073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AP4
        
          
          
        
        2177000.00000000
        PA
        USD
        2169859.03000000
        0.081383518134
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-11-07
          Fixed
          2.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419EC98
        
          
          
        
        319599.98000000
        PA
        USD
        330025.56000000
        0.012378058102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-SBT1
        20753VBE7
        
          
        
        800000.00000000
        PA
        USD
        767866.72000000
        0.028799887120
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-02-25
          Floating
          5.27357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7ZR0
        
          
        
        48657.25000000
        PA
        USD
        52349.86000000
        0.001963452796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416KGR3
        
          
        
        1984.87000000
        PA
        USD
        1999.94000000
        0.000075010473
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOTALENERGIES CAPITAL
        5299005IX98ZZ9LSGK46
        TotalEnergies Capital Canada Ltd
        89153UAF8
        
          
          
        
        2000000.00000000
        PA
        USD
        1986200.90000000
        0.074495169837
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2023-07-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31395QJ76
        
          
        
        233955.45000000
        PA
        USD
        33558.31000000
        0.001258650120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASTY8
        
          
        
        87319.14000000
        PA
        USD
        88327.35000000
        0.003312837558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIBERTY MUTUAL GROUP INC
        QUR0DG15Z6FFGYCHH861
        Liberty Mutual Group Inc
        53079EBN3
        
          
          
        
        971000.00000000
        PA
        USD
        921223.36000000
        0.034551736766
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-06-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YA25
        
          
        
        4916488.43000000
        PA
        USD
        595304.40000000
        0.022327702289
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-07-20
          Floating
          4.45486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        Bank 2019-BNK19
        06540WBH5
        
          
        
        50672153.22000000
        PA
        USD
        2670708.77000000
        0.100168569759
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-15
          Variable
          1.08658500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONONGAHELA POWER CO
        N/A
        Monongahela Power Co
        610202BR3
        
          
          
        
        830000.00000000
        PA
        USD
        790337.59000000
        0.029642687704
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89114TZT2
        
          
          
        
        633000.00000000
        PA
        USD
        592782.60000000
        0.022233118746
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-03-10
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MWK4
        
          
        
        7661.81000000
        PA
        USD
        8223.99000000
        0.000308451945
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413RLS3
        
          
        
        5951.81000000
        PA
        USD
        6263.12000000
        0.000234906845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CP8
        
          
          
        
        651000.00000000
        PA
        USD
        493442.38000000
        0.018507228500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING/PTL
        N/A
        Penske Truck Leasing Co Lp / PTL Finance Corp
        709599BL7
        
          
          
        
        1295000.00000000
        PA
        USD
        1157666.74000000
        0.043419867754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412BFT4
        
          
        
        84789.20000000
        PA
        USD
        90263.49000000
        0.003385455125
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAV2
        
          
          
        
        935000.00000000
        PA
        USD
        967966.45000000
        0.036304900018
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418TDX2
        
          
        
        26145.55000000
        PA
        USD
        26998.47000000
        0.001012614387
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X1L38
        
          
        
        1320862.16000000
        PA
        USD
        1332443.48000000
        0.049975107423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412LND8
        
          
        
        3628.56000000
        PA
        USD
        3883.61000000
        0.000145660082
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAF3
        
          
        
        1500000.00000000
        PA
        USD
        1291422.45000000
        0.048436557825
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-10-25
          Floating
          4.02566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEC ENERGY GROUP INC
        549300IGLYTZUK3PVP70
        WEC Energy Group Inc
        92939UAG1
        
          
          
        
        396000.00000000
        PA
        USD
        346780.80000000
        0.013006486198
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2006-6
        073868AV3
        
          
          
        
        778985.12000000
        PA
        USD
        510572.01000000
        0.019149698602
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Variable
          3.12781400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A4MK2
        
          
        
        8664241.03000000
        PA
        USD
        1126028.16000000
        0.042233219721
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          4.32643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377YTY6
        
          
        
        85090.49000000
        PA
        USD
        1367.57000000
        0.000051292575
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP IRS USD
        000000000
        
          
        
        20904800.00000000
        NC
        USD
        -190805.57000000
        -0.00715642276
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    GB
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2057-06-02
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            0.00000000
            USD
            2027-05-28
            XXXX
            -190805.58000000
          
        
        
          N
          N
          N
        
      
      
        OLD REPUBLIC INTL CORP
        549300IV6O2YY2A1KH37
        Old Republic International Corp
        680223AL8
        
          
          
        
        1321000.00000000
        PA
        USD
        999912.07000000
        0.037503064004
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-11
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140MGLJ8
        
          
        
        1972849.31000000
        PA
        USD
        1720594.96000000
        0.064533257319
        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
        3140GRVU5
        
          
        
        20670.13000000
        PA
        USD
        20938.98000000
        0.000785344962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GHN6
        
          
          
        
        186484.42000000
        PA
        USD
        204558.85000000
        0.007672258265
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377LBJ6
        
          
        
        3681914.84000000
        PA
        USD
        449287.13000000
        0.016851125712
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-08-20
          Floating
          5.02486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419EDT3
        
          
        
        35344.55000000
        PA
        USD
        36500.00000000
        0.001368982210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MUNICH RE
        529900MUF4C20K50JS49
        Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
        62582PAA8
        
          
          
        
        1368000.00000000
        PA
        USD
        1379751.12000000
        0.051749444891
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2042-05-23
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBOTT LABORATORIES
        HQD377W2YR662HK5JX27
        Abbott Laboratories
        002824BH2
        
          
          
        
        109000.00000000
        PA
        USD
        114522.25000000
        0.004295312958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-11-30
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RSN0
        
          
          
        
        105497.77000000
        PA
        USD
        111080.54000000
        0.004166226937
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVITATION HOMES OP
        549300147YMUQB3GW319
        Invitation Homes Operating Partnership LP
        46188BAB8
        
          
          
        
        928000.00000000
        PA
        USD
        781400.65000000
        0.029307495597
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCP9
        
          
          
        
        1435000.00000000
        PA
        USD
        1259592.49000000
        0.047242731824
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-22
          Fixed
          1.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
          
        
        2500000.00000000
        PA
        USD
        2509193.50000000
        0.094110719584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Taco Bell Funding, LLC
        N/A
        Taco Bell Funding LLC
        87342RAJ3
        
          
        
        1492500.00000000
        PA
        USD
        1224754.90000000
        0.045936100565
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-08-25
          Fixed
          2.54200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup COmmercial Mortgage Trust 2018-C6
        17327GAA2
        
          
        
        2101000.00000000
        PA
        USD
        1873980.44000000
        0.070286188648
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-10
          Variable
          5.23371700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396V4Q8
        
          
          
        
        376743.46000000
        PA
        USD
        368246.92000000
        0.013811602264
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-25
          Floating
          1.00112200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHG7
        
          
          
        
        435000.00000000
        PA
        USD
        415251.00000000
        0.015574554301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-05
          Fixed
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK & CO INC
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933YBG9
        
          
          
        
        405000.00000000
        PA
        USD
        288542.79000000
        0.010822190316
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2061-12-10
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405T3S9
        
          
        
        4940.21000000
        PA
        USD
        5138.59000000
        0.000192729816
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FIN GRP CAYMAN 2
        5493005X5HKEZQSVVC05
        Mizuho Financial Group Cayman 2 Ltd
        000000000
        
          
          
        
        5870000.00000000
        PA
        USD
        5873979.86000000
        0.220311614648
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-07-18
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CFD1
        
          
        
        4377845.22000000
        PA
        USD
        4144528.09000000
        0.155446170607
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KXL3
        
          
          
        
        10927.86000000
        PA
        USD
        11829.47000000
        0.000443680383
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOS ANGELES CNTY CA PUBLIC WKS
        N/A
        Los Angeles County Public Works Financing Authority
        54473ENT7
        
          
        
        200000.00000000
        PA
        USD
        238290.34000000
        0.008937403738
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-08-01
          Fixed
          7.48800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833DD9
        
          
          
        
        2489000.00000000
        PA
        USD
        2250429.30000000
        0.084405415842
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-09-12
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEW7
        
          
          
        
        39816000.00000000
        PA
        USD
        40207938.75000000
        1.508053503558
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-06-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402EWA2
        
          
          
        
        17823.65000000
        PA
        USD
        18758.44000000
        0.000703560840
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIXIS SA (NEW YORK)
        2549003L5ZG5M2ZSE107
        NATIXIS SA (NEW YORK)
        63873QSD7
        
          
        
        725000.00000000
        PA
        USD
        725009.74000000
        0.027192477717
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-11
          Floating
          1.45000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CCM6
        
          
        
        3436.17000000
        PA
        USD
        3548.56000000
        0.000133093575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WGLD4
        
          
        
        3312825.52000000
        PA
        USD
        3338256.96000000
        0.125205873785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B4CZ9
        
          
        
        19294394.45000000
        PA
        USD
        2049386.91000000
        0.076865047198
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-25
          Floating
          4.47643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31307NG73
        
          
        
        806794.40000000
        PA
        USD
        792331.84000000
        0.029717484766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAIN STREET CAPITAL CORP
        5493001FS9QJLJNF3E20
        Main Street Capital Corp
        56035LAD6
        
          
          
        
        684000.00000000
        PA
        USD
        682420.05000000
        0.025595093389
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BZ2
        
          
          
        
        1070000.00000000
        PA
        USD
        944876.39000000
        0.035438875870
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-14
          Fixed
          1.45600000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RRN1
        
          
          
        
        2147.17000000
        PA
        USD
        2261.06000000
        0.000084804134
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382AZF5
        
          
        
        30756522.16000000
        PA
        USD
        4008512.91000000
        0.150344736037
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Floating
          4.45486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132FCAG0
        
          
        
        244468.10000000
        PA
        USD
        268347.48000000
        0.010064737710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413YUB5
        
          
        
        84.19000000
        PA
        USD
        84.27000000
        0.000003160661
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEUG2
        
          
        
        411337.16000000
        PA
        USD
        414495.05000000
        0.015546201367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KQC6
        
          
        
        2500000.00000000
        PA
        USD
        2147169.75000000
        0.080532525786
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          3.42566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410LC26
        
          
        
        45041.57000000
        PA
        USD
        46509.52000000
        0.001744402890
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BG8
        
          
          
        
        167000.00000000
        PA
        USD
        163071.85000000
        0.006116231828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Bank
        N/A
        BANK 2019-BNK16
        065405AJ1
        
          
        
        12350158.41000000
        PA
        USD
        593557.88000000
        0.022262196678
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-02-15
          Variable
          1.10265500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        ROYAL BANK OF CANADA (TORONTO)
        000000000
        
          
        
        1160000.00000000
        PA
        USD
        1160000.00000000
        0.043507379848
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          1.57000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        ELEVANCE HEALTH INC
        8MYN82XMYQH89CTMTH67
        Elevance Health Inc
        036752AT0
        
          
          
        
        448000.00000000
        PA
        USD
        436431.05000000
        0.016368940922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDS0
        
          
        
        4218748.73000000
        PA
        USD
        4365648.09000000
        0.163739577359
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-04-25
          Floating
          5.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416M2B9
        
          
        
        53658.61000000
        PA
        USD
        55409.64000000
        0.002078214012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOSAIC CO
        2YD5STGSJNMUB7H76907
        Mosaic Co/The
        61945CAD5
        
          
          
        
        1991000.00000000
        PA
        USD
        2053912.79000000
        0.077034796491
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-11-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DBU4
        
          
        
        1756000.00000000
        PA
        USD
        1486528.37000000
        0.055754271077
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413JJ88
        
          
        
        1851.45000000
        PA
        USD
        2029.30000000
        0.000076111660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A4BU8
        
          
        
        158835.71000000
        PA
        USD
        161839.85000000
        0.006070023990
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAA0
        
          
          
        
        1000000.00000000
        PA
        USD
        955262.60000000
        0.035828424821
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BWX2
        
          
        
        33099.77000000
        PA
        USD
        35588.85000000
        0.001334808289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A3FN6
        
          
        
        1638914.63310000
        PA
        USD
        102827.14000000
        0.003856671929
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Floating
          4.37643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CJW7
        
          
        
        4941.35000000
        PA
        USD
        5420.89000000
        0.000203317862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NWX9
        
          
        
        27936.64000000
        PA
        USD
        30024.64000000
        0.001126115014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTOS FINANCE LTD
        213800BKUBSWG53XNS94
        Santos Finance Ltd
        803014AA7
        
          
          
        
        852000.00000000
        PA
        USD
        723591.94000000
        0.027139301197
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2031-04-29
          Fixed
          3.64900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RURAL UTIL COOP
        4NYF266XZC35SCTGX023
        National Rural Utilities Cooperative Finance Corp
        637432MT9
        
          
          
        
        1507000.00000000
        PA
        USD
        1400488.27000000
        0.052527219945
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-04-30
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AGP93
        
          
        
        326708.89000000
        PA
        USD
        337353.85000000
        0.012652915599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312941US4
        
          
        
        36650.81000000
        PA
        USD
        38176.69000000
        0.001431868752
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AXDT9
        
          
        
        1252340.38000000
        PA
        USD
        1194346.50000000
        0.044795592108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2005-NC2
        61744CPK6
        
          
        
        774809.03000000
        PA
        USD
        768990.14000000
        0.028842022517
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          2.53857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BK72
        
          
          
        
        1187520.52000000
        PA
        USD
        1276421.43000000
        0.047873924139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389EZQ1
        
          
          
        
        7364.13000000
        PA
        USD
        7281.70000000
        0.000273110075
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Floating
          2.58500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407EH48
        
          
        
        6596.27000000
        PA
        USD
        7006.82000000
        0.000262800326
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-C59
        95003CBU3
        
          
        
        24936725.24000000
        PA
        USD
        2380246.58000000
        0.089274389732
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-04-15
          Variable
          1.67563500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2020-8
        46652TCK4
        
          
        
        1840417.78000000
        PA
        USD
        1519270.40000000
        0.056982305504
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-25
          Variable
          3.51317100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2003-4
        81743PBW5
        
          
        
        39903.35000000
        PA
        USD
        37827.71000000
        0.001418779782
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-20
          Floating
          2.29514000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAZ4
        
          
          
        
        445000.00000000
        PA
        USD
        410751.14000000
        0.015405780923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2012-CCRE3 Mortgage Trust
        12624PAF2
        
          
        
        16622455.36000000
        PA
        USD
        51432.37000000
        0.001929041084
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          1.98008200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413BLR0
        
          
        
        5055.78000000
        PA
        USD
        5549.77000000
        0.000208151682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RLJ9
        
          
          
        
        4145000.00000000
        PA
        USD
        3112500.52000000
        0.116738571036
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2055-09-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417KGA9
        
          
          
        
        43352.16000000
        PA
        USD
        44770.29000000
        0.001679170700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANGLO AMERICAN CAPITAL
        TINT358G1SSHR3L3PW36
        Anglo American Capital PLC
        034863AZ3
        
          
          
        
        445000.00000000
        PA
        USD
        383917.48000000
        0.014399347959
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2028-03-17
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KILROY REALTY LP
        5493008CT3N3JR7P1552
        Kilroy Realty LP
        49427RAR3
        
          
          
        
        326000.00000000
        PA
        USD
        252723.79000000
        0.009478749938
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-11-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371LHE2
        
          
        
        219.53000000
        PA
        USD
        224.63000000
        0.000008425054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017BT5
        
          
          
        
        2066000.00000000
        PA
        USD
        1973789.17000000
        0.074029651000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        06406RBH9
        
          
          
        
        1791000.00000000
        PA
        USD
        1754123.38000000
        0.065790786375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-06-13
          Fixed
          4.28900000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust 2017-4
        35563PCS6
        
          
        
        1714693.98000000
        PA
        USD
        1746004.64000000
        0.065486281974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-06-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5ED8
        
          
          
        
        26712.30000000
        PA
        USD
        28739.22000000
        0.001077903587
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPOWER FINANCE 2020 LP
        N/A
        Empower Finance 2020 LP
        29248HAA1
        
          
          
        
        721000.00000000
        PA
        USD
        621108.59000000
        0.023295523579
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-09-17
          Fixed
          1.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COTERRA ENERGY INC
        FCNMH6O7VWU7LHXMK351
        Coterra Energy Inc
        127097AE3
        
          
          
        
        4243000.00000000
        PA
        USD
        4072157.73000000
        0.152731821691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLEGHANY CORP
        549300DCJE6AYX159479
        Alleghany Corp
        017175AE0
        
          
          
        
        901000.00000000
        PA
        USD
        843987.07000000
        0.031654884518
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WHC9
        
          
        
        3080737.49000000
        PA
        USD
        577063.41000000
        0.021643549116
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-15
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAL0
        
          
          
        
        853000.00000000
        PA
        USD
        724691.84000000
        0.027180554444
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-15
          Fixed
          3.96400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Lt
        N/A
        Benefit Street Partners CLO XVIII Ltd
        08186PAJ2
        
          
        
        2000000.00000000
        PA
        USD
        1932184.00000000
        0.072469192435
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          2.21429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4A45
        
          
          
        
        5754.97000000
        PA
        USD
        6192.09000000
        0.000232242768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394F2W4
        
          
        
        2685688.00000000
        PA
        USD
        375847.80000000
        0.014096683620
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-25
          Floating
          5.05643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THE TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        TORONTO-DOMINION BANK (TORONTO)
        000000000
        
          
        
        2040000.00000000
        PA
        USD
        2040000.00000000
        0.076512978354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          1.56000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        FHLMC Structured Pass Through
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Pass-Through Certificates
        31395HHV5
        
          
          
        
        1711014.25000000
        PA
        USD
        1759267.42000000
        0.065983720601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-25
          Floating
          1.67590200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 5 Year US Treasury Note
        000000000
        
          
          
        
        -610.00000000
        NC
        USD
        -1693309.68000000
        -0.06350988573
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-30
            -66779190.32000000
            USD
            -1693309.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418UWQ3
        
          
        
        221105.97000000
        PA
        USD
        228308.23000000
        0.008563011107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING/PTL
        N/A
        Penske Truck Leasing Co Lp / PTL Finance Corp
        709599BM5
        
          
          
        
        1661000.00000000
        PA
        USD
        1482697.58000000
        0.055610592080
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411AGB5
        
          
        
        26645.83000000
        PA
        USD
        28773.93000000
        0.001079205432
        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
        3138AFR69
        
          
        
        14172.35000000
        PA
        USD
        14520.18000000
        0.000544599126
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411JF50
        
          
        
        7485.88000000
        PA
        USD
        8201.63000000
        0.000307613303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410LBD3
        
          
        
        55102.86000000
        PA
        USD
        56906.10000000
        0.002134340783
        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
        31410S7M3
        
          
        
        1654.45000000
        PA
        USD
        1747.85000000
        0.000065555494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ALU47
        
          
          
        
        44044.46000000
        PA
        USD
        44674.81000000
        0.001675589593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414EBJ2
        
          
        
        15585.80000000
        PA
        USD
        16641.47000000
        0.000624160997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA3
        35564KJP5
        
          
        
        2550000.00000000
        PA
        USD
        2236872.24000000
        0.083896939843
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-09-25
          Floating
          3.02566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBH4
        
          
          
        
        500000.00000000
        PA
        USD
        402986.42000000
        0.015114554524
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-02-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128KVTV7
        
          
        
        15703.97000000
        PA
        USD
        16359.87000000
        0.000613599205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36212URW3
        
          
        
        13067.59000000
        PA
        USD
        13632.80000000
        0.000511316731
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        70625.49000000
        0.002648905190
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -621498480.94000000
            HUF
            1706545.60000000
            USD
            2022-07-29
            70625.49000000
          
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AA5
        
          
          
        
        840000.00000000
        PA
        USD
        816993.22000000
        0.030642443410
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGK4
        
          
          
        
        779000.00000000
        PA
        USD
        635537.49000000
        0.023836699125
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-22
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KCJ7
        
          
          
        
        614000.00000000
        PA
        USD
        629611.03000000
        0.023614419171
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175CE2
        
          
          
        
        1065000.00000000
        PA
        USD
        740743.81000000
        0.027782605441
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0FW4
        
          
          
        
        44521.20000000
        PA
        USD
        44462.50000000
        0.001667626617
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-12-25
          Floating
          5.52357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412SY41
        
          
        
        41880.40000000
        PA
        USD
        44719.46000000
        0.001677264252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31391BHQ3
        
          
        
        11930.68000000
        PA
        USD
        12522.83000000
        0.000469685794
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578AAN8
        
          
          
        
        1596000.00000000
        PA
        USD
        1391078.90000000
        0.052174308708
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-10-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AUTJ0
        
          
        
        699888.06000000
        PA
        USD
        702384.42000000
        0.026343884276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-01-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        5493001GRJRD2VIG9H40
        California Street CLO IX LP
        13079WDG0
        
          
        
        1750000.00000000
        PA
        USD
        1685985.00000000
        0.063235163632
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-16
          Floating
          3.54429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABF1
        
          
          
        
        289000.00000000
        PA
        USD
        269982.14000000
        0.010126047859
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAD8
        
          
          
        
        537000.00000000
        PA
        USD
        486760.76000000
        0.018256625242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KLY8
        
          
        
        934.47000000
        PA
        USD
        994.52000000
        0.000037300827
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398EKB9
        
          
          
        
        44452.37000000
        PA
        USD
        45038.66000000
        0.001689236283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-15
          Floating
          4.42400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DW5
        
          
          
        
        1158000.00000000
        PA
        USD
        1001907.63000000
        0.037577910199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DCS8
        
          
        
        1728000.00000000
        PA
        USD
        1109300.23000000
        0.041605815924
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31383HWV2
        
          
        
        9.33000000
        PA
        USD
        9.79000000
        0.000000367187
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AP3
        
          
          
        
        1460000.00000000
        PA
        USD
        1446321.73000000
        0.054246266284
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2028-05-12
          Fixed
          4.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        Sofi Professional Loan Program 2018-B Trust
        83404RAC2
        
          
        
        5000000.00000000
        PA
        USD
        4838100.50000000
        0.181459548447
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-08-25
          Fixed
          3.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARS INC
        54930073HKEO6GZBSS03
        Mars Inc
        571676AD7
        
          
          
        
        1870000.00000000
        PA
        USD
        1693975.25000000
        0.063534848841
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-04-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AAE8
        
          
        
        242686.73000000
        PA
        USD
        250379.23000000
        0.009390814022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RURAL UTIL COOP
        4NYF266XZC35SCTGX023
        National Rural Utilities Cooperative Finance Corp
        637432NY7
        
          
          
        
        616000.00000000
        PA
        USD
        537116.20000000
        0.020145274600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2019-GC40
        36257HBE5
        
          
        
        5310000.00000000
        PA
        USD
        4807325.13000000
        0.180305276281
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-10
          Variable
          3.66801300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJQ76
        
          
        
        1985098.12000000
        PA
        USD
        2009014.15000000
        0.075350811849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QR5N6
        
          
        
        902424.14000000
        PA
        USD
        885334.59000000
        0.033205679569
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412T3G6
        
          
        
        868.99000000
        PA
        USD
        915.58000000
        0.000034340074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2020-1 A PTT
        N/A
        United Airlines 2020-1 Class A Pass Through Trust
        90931GAA7
        
          
          
        
        1791747.54000000
        PA
        USD
        1763618.00000000
        0.066146895029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296QZG7
        
          
        
        32870.01000000
        PA
        USD
        34671.51000000
        0.001300402203
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KLA CORP
        549300H0BF5JCG96TJ81
        KLA Corp
        482480AM2
        
          
          
        
        917000.00000000
        PA
        USD
        923649.51000000
        0.034642732826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-07-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402DP79
        
          
          
        
        33477.60000000
        PA
        USD
        35900.61000000
        0.001346501272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2013-GC16
        36248GAF7
        
          
        
        28218114.05000000
        PA
        USD
        274308.29000000
        0.010288306007
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-11-10
          Variable
          1.17903800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MCG0
        
          
          
        
        7897.42000000
        PA
        USD
        8657.16000000
        0.000324698576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374XQG3
        
          
          
        
        1914883.98000000
        PA
        USD
        254333.93000000
        0.009539140431
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-04-20
          Floating
          4.60486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742AZ8
        
          
          
        
        362000.00000000
        PA
        USD
        337312.09000000
        0.012651349333
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2043-02-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2005-A1
        466247LZ4
        
          
        
        4885.41000000
        PA
        USD
        4673.10000000
        0.000175270979
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-25
          Variable
          2.49641000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AH1
        
          
          
        
        2008000.00000000
        PA
        USD
        1861123.62000000
        0.069803976103
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403J7H3
        
          
        
        2734.12000000
        PA
        USD
        2845.34000000
        0.000106718351
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398JUG6
        
          
        
        2413722.02000000
        PA
        USD
        344250.34000000
        0.012911577849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-15
          Floating
          5.27600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust
        93935YAA8
        
          
        
        1264759.46000000
        PA
        USD
        739391.28000000
        0.027731876961
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          1.82357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F042673
        
          
        
        65670000.00000000
        PA
        USD
        65939349.45000000
        2.473145106460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AB3
        
          
          
        
        478000.00000000
        PA
        USD
        451897.62000000
        0.016949035694
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2028-10-20
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396ERS7
        
          
        
        426273.28000000
        PA
        USD
        5391.59000000
        0.000202218925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-15
          Floating
          5.27600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prime Mortgage Trust
        N/A
        Prime Mortgage Trust 2007-1
        74162FAD7
        
          
        
        397461.37000000
        PA
        USD
        347509.86000000
        0.013033830586
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411UAU5
        
          
        
        5406.97000000
        PA
        USD
        5853.85000000
        0.000219556616
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2005-4
        07386HSY8
        
          
          
        
        240730.31000000
        PA
        USD
        231654.71000000
        0.008688525398
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Variable
          2.75158000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROGERS COMMUNICATIONS IN
        54930030NVF3Y2OL0A78
        Rogers Communications Inc
        775109CD1
        
          
          
        
        588000.00000000
        PA
        USD
        517743.18000000
        0.019418663100
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2052-03-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414NDD3
        
          
        
        1126.52000000
        PA
        USD
        1186.50000000
        0.000044501298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
        92922F2Q0
        
          
          
        
        35604658.66000000
        PA
        USD
        160279.71000000
        0.006011508814
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-25
          Variable
          1.01719000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCC8
        
          
          
        
        766000.00000000
        PA
        USD
        645178.76000000
        0.024198308087
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Commercial Mortg
        N/A
        CSWF 2021-SOP2
        12657VAL6
        
          
        
        3616000.01000000
        PA
        USD
        3398432.52000000
        0.127462840118
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-15
          Floating
          3.64087800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377XVA7
        
          
        
        1058570.78000000
        PA
        USD
        42942.72000000
        0.001610625198
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2026-08-16
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417UFL4
        
          
        
        63477.34000000
        PA
        USD
        65548.01000000
        0.002458467387
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5DD9
        
          
        
        27198.75000000
        PA
        USD
        29262.74000000
        0.001097538917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2BX6
        
          
        
        19371.88000000
        PA
        USD
        19953.22000000
        0.000748372691
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810ST6
        
          
          
        
        920000.00000000
        PA
        USD
        662939.06000000
        0.024864432327
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-11-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410FVY8
        
          
        
        68498.13000000
        PA
        USD
        73602.01000000
        0.002760543626
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCJ8
        
          
          
        
        170000.00000000
        PA
        USD
        156081.25000000
        0.005854039854
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-06-30
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - MXN
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -23286.08000000
        -0.00087337614
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -6074387.23000000
            USD
            122418536.85000000
            MXN
            2022-08-05
            -23286.08000000
          
        
        
          N
          N
          N
        
      
      
        FRESENIUS MED CARE III
        5299006ZHLMXOOUVTU44
        Fresenius Medical Care US Finance III Inc
        35805BAC2
        
          
          
        
        1237000.00000000
        PA
        USD
        1066335.39000000
        0.039994361085
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-12-01
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARGILL INC
        QXZYQNMR4JZ5RIRN4T31
        Cargill Inc
        141781BM5
        
          
          
        
        374000.00000000
        PA
        USD
        320728.36000000
        0.012029353954
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-23
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407EYE7
        
          
        
        331688.79000000
        PA
        USD
        331995.32000000
        0.012451936633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Floating
          1.98200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHY8
        
          
          
        
        225000.00000000
        PA
        USD
        211156.39000000
        0.007919707988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-13
          Fixed
          2.01500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ASW34
        
          
        
        1200889.67000000
        PA
        USD
        31768.58000000
        0.001191523859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-15
          Floating
          5.37600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DB2
        
          
          
        
        118000.00000000
        PA
        USD
        117937.09000000
        0.004423391183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-16
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHWESTERN MUTUAL LIFE
        1DU7IM20QESYGDO4HO54
        Northwestern Mutual Life Insurance Co/The
        668138AC4
        
          
          
        
        156000.00000000
        PA
        USD
        116464.64000000
        0.004368164940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-09-30
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AAS44
        
          
        
        15093.58000000
        PA
        USD
        15469.12000000
        0.000580190413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CT0
        
          
          
        
        768000.00000000
        PA
        USD
        766232.98000000
        0.028738611477
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2020-8
        46652TCG3
        
          
        
        1386537.47000000
        PA
        USD
        1200944.30000000
        0.045043051583
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-25
          Variable
          3.51317100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89115A2E1
        
          
          
        
        694000.00000000
        PA
        USD
        686894.10000000
        0.025762898728
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2032-06-08
          Fixed
          4.45600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B4ZD3
        
          
        
        5947386.45000000
        PA
        USD
        839097.72000000
        0.031471502788
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-25
          Floating
          4.42643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415PM96
        
          
        
        60947.03000000
        PA
        USD
        65500.44000000
        0.002456683209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140MGLH2
        
          
        
        3923682.07000000
        PA
        USD
        3421982.50000000
        0.128346114192
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAM5
        
          
          
        
        1780000.00000000
        PA
        USD
        1769970.48000000
        0.066385153443
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-06-01
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296P6K2
        
          
        
        8917.59000000
        PA
        USD
        9278.03000000
        0.000347985151
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WDZ2
        
          
        
        34976.90000000
        PA
        USD
        35504.37000000
        0.001331639751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A7ZK7
        
          
          
        
        75003.19000000
        PA
        USD
        75842.36000000
        0.002844571004
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAKER HUGHES LLC/CO-OBL
        N/A
        Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc
        05724BAD1
        
          
          
        
        277000.00000000
        PA
        USD
        254283.32000000
        0.009537242234
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          2.06100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31393F4B9
        
          
        
        16637.68000000
        PA
        USD
        16675.90000000
        0.000625452341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTN NORTH SANTA FE
        N/A
        Burlington Northern Santa Fe LLC
        12189LAZ4
        
          
          
        
        1161000.00000000
        PA
        USD
        1033698.18000000
        0.038770258074
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DC6
        
          
          
        
        497000.00000000
        PA
        USD
        429494.34000000
        0.016108770166
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132FCAR6
        
          
        
        559156.80000000
        PA
        USD
        598746.51000000
        0.022456803313
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AJ4
        
          
          
        
        1795000.00000000
        PA
        USD
        1589315.85000000
        0.059609455504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F95L1
        
          
        
        32173542.54000000
        PA
        USD
        5074887.30000000
        0.190340559870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARTNERRE FINANCE B LLC
        549300O0FAGHK2F79881
        PartnerRe Finance B LLC
        70213BAC5
        
          
          
        
        2920000.00000000
        PA
        USD
        2442057.76000000
        0.091592702221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RH69
        
          
        
        24053.05000000
        PA
        USD
        24529.79000000
        0.000920023182
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Floating
          1.52400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBD6
        
          
          
        
        611000.00000000
        PA
        USD
        485658.02000000
        0.018215265476
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2037-08-15
          Fixed
          4.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HFJB6
        
          
        
        432352.83000000
        PA
        USD
        433535.06000000
        0.016260322873
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417KWA1
        
          
        
        150007.89000000
        PA
        USD
        154908.70000000
        0.005810061769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38148LAF3
        
          
          
        
        1000000.00000000
        PA
        USD
        951867.03000000
        0.035701069344
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-22
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COREBRIDGE FINANCIAL INC
        549300XY1661QCIA7J65
        Corebridge Financial Inc
        21871XAG4
        
          
          
        
        3052000.00000000
        PA
        USD
        2741039.41000000
        0.102806416199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-05
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YCJ4
        
          
        
        2574.78000000
        PA
        USD
        2619.47000000
        0.000098246789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4YR8
        
          
        
        32297.27000000
        PA
        USD
        35464.14000000
        0.001330130870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403FSH8
        
          
        
        3913.34000000
        PA
        USD
        4164.47000000
        0.000156194119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVERSOURCE ENERGY
        SJ7XXD41SQU3ZNWUJ746
        Eversource Energy
        30040WAQ1
        
          
          
        
        1070000.00000000
        PA
        USD
        1005432.10000000
        0.037710100247
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        549300EJIXF1G1X7PN20
        Commonbond Student Loan Trust 2018-BGS
        20268MAC0
        
          
        
        602872.13000000
        PA
        USD
        591211.74000000
        0.022174201502
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-09-25
          Fixed
          3.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416JFN6
        
          
        
        115.81000000
        PA
        USD
        121.70000000
        0.000004564524
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJJJ0
        
          
        
        1045.73000000
        PA
        USD
        1148.30000000
        0.000043068555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YY84
        
          
        
        41804.99000000
        PA
        USD
        42552.58000000
        0.001595992466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XWX8
        
          
        
        4889313.49000000
        PA
        USD
        4882062.15000000
        0.183108390004
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-05-25
          Floating
          4.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAIN STREET CAPITAL CORP
        5493001FS9QJLJNF3E20
        Main Street Capital Corp
        56035LAE4
        
          
          
        
        2805000.00000000
        PA
        USD
        2451231.02000000
        0.091936757830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST GAS CORP
        OQQR1IQTGBKH0UR88X59
        Southwest Gas Corp
        845011AE5
        
          
          
        
        233000.00000000
        PA
        USD
        211694.22000000
        0.007939880035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - CNY
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1436.44000000
        -0.00005387563
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -5479992.57000000
            USD
            36684320.28000000
            CNY
            2022-08-05
            -1436.44000000
          
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CQ9
        
          
          
        
        1757000.00000000
        PA
        USD
        1681339.15000000
        0.063060914701
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-06-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EGWU4
        
          
        
        104187.83000000
        PA
        USD
        107597.29000000
        0.004035582902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414BS50
        
          
        
        472.92000000
        PA
        USD
        508.19000000
        0.000019060358
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412WLH7
        
          
        
        513.98000000
        PA
        USD
        540.72000000
        0.000020280440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SS8
        
          
          
        
        77000.00000000
        PA
        USD
        54190.25000000
        0.002032479130
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-11-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2018-4
        46649CBE2
        
          
        
        1224273.57700000
        PA
        USD
        1138035.38000000
        0.042683566861
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          3.71587000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOS ANGELES CNTY CA PUBLIC WKS
        N/A
        Los Angeles County Public Works Financing Authority
        54473ENS9
        
          
          
        
        300000.00000000
        PA
        USD
        392669.43000000
        0.014727601763
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-08-01
          Fixed
          7.61800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-IRON
        05608JAJ2
        
          
        
        4000000.00000000
        PA
        USD
        3704603.20000000
        0.138946188457
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-02-15
          Floating
          3.67400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AJG97
        
          
        
        79522.54000000
        PA
        USD
        82123.08000000
        0.003080137961
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFP4
        
          
          
        
        550000.00000000
        PA
        USD
        539371.07000000
        0.020229846570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Santander Drive Auto Receivabl
        N/A
        Santander Drive Auto Receivables Trust 2019-3
        80286HAF6
        
          
        
        13282.93000000
        PA
        USD
        13288.52000000
        0.000498404040
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DAJ0
        
          
        
        580000.00000000
        PA
        USD
        555358.03000000
        0.020829459278
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MYLAN INC
        30ZMPDNA1RHIBH89C294
        Mylan Inc
        628530BJ5
        
          
          
        
        1466000.00000000
        PA
        USD
        1173386.69000000
        0.044009465888
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-04-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENRGY TRANS LP/REG FIN
        N/A
        Energy Transfer LP / Regency Energy Finance Corp
        75886AAJ7
        
          
          
        
        1067000.00000000
        PA
        USD
        1072796.94000000
        0.040236710318
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31391LAN5
        
          
        
        546.10000000
        PA
        USD
        595.85000000
        0.000022348165
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371M3X3
        
          
        
        2705.91000000
        PA
        USD
        2968.47000000
        0.000111336510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31391PEW2
        
          
        
        511.25000000
        PA
        USD
        538.31000000
        0.000020190049
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUN COMMUNITIES OPER LP
        549300PUNBPJCGT6X741
        Sun Communities Operating LP
        866677AH0
        
          
          
        
        852000.00000000
        PA
        USD
        775702.29000000
        0.029093770845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEH4
        
          
          
        
        914000.00000000
        PA
        USD
        756284.78000000
        0.028365490687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-10-20
          Fixed
          2.51100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376JFX7
        
          
        
        5670226.42000000
        PA
        USD
        716232.38000000
        0.026863270876
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-05-20
          Floating
          4.60486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASHINGTON GAS LIGHT CO
        DL22T1SB4DUBS063O841
        Washington Gas Light Co
        93884PDY3
        
          
          
        
        711000.00000000
        PA
        USD
        590172.23000000
        0.022135213264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        145081.43000000
        0.005441476624
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -122418536.85000000
            MXN
            6196182.58000000
            USD
            2022-08-05
            145081.43000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        064159TF3
        
          
          
        
        1545000.00000000
        PA
        USD
        1480271.93000000
        0.055519614773
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-02-03
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAY1
        
          
          
        
        1890000.00000000
        PA
        USD
        1494717.99000000
        0.056061433928
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2033-10-29
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F020679
        
          
        
        37016000.00000000
        PA
        USD
        32134515.00000000
        1.205248750307
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412WPM2
        
          
        
        5630.61000000
        PA
        USD
        5929.02000000
        0.000222375970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378JDF6
        
          
        
        527580.22000000
        PA
        USD
        502264.60000000
        0.018838117876
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AHVA3
        
          
        
        7603798.37000000
        PA
        USD
        1134338.44000000
        0.042544908091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-15
          Floating
          5.22600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GHP1
        
          
        
        70687.75000000
        PA
        USD
        75952.32000000
        0.002848695203
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDEX CORP
        549300E707U7WNPZN687
        FedEx Corp
        31428XBA3
        
          
          
        
        526000.00000000
        PA
        USD
        469320.84000000
        0.017602517290
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YTV9
        
          
        
        19908.01000000
        PA
        USD
        20255.49000000
        0.000759709739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NTU9
        
          
        
        10537.07000000
        PA
        USD
        10774.91000000
        0.000404127674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833EF3
        
          
          
        
        838000.00000000
        PA
        USD
        619549.55000000
        0.023237049661
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-02-08
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANSU8
        
          
        
        524766.71000000
        PA
        USD
        531069.46000000
        0.019918483381
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KHA5
        
          
          
        
        31330.27000000
        PA
        USD
        32992.89000000
        0.001237443273
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QSWF1
        
          
        
        683874.82000000
        PA
        USD
        669493.99000000
        0.025110283904
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MLCC Mortgage Investors Inc
        N/A
        Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3
        59020UL78
        
          
          
        
        14985.36000000
        PA
        USD
        14219.64000000
        0.000533326964
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413Y6V8
        
          
        
        39214.94000000
        PA
        USD
        42793.65000000
        0.001605034125
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV FIN
        5493000EYEKDT0FBSQ91
        Anheuser-Busch InBev Finance Inc
        035242AB2
        
          
          
        
        1909000.00000000
        PA
        USD
        1581997.39000000
        0.059334966695
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2043-01-17
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBW9
        
          
          
        
        863000.00000000
        PA
        USD
        751240.53000000
        0.028176299221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403K5F6
        
          
        
        7426.35000000
        PA
        USD
        7725.93000000
        0.000289771526
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - THB
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -26381.82000000
        -0.00098948608
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -4521382.89000000
            USD
            158691496.61000000
            THB
            2022-08-05
            -26381.82000000
          
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AU0
        
          
          
        
        900000.00000000
        PA
        USD
        866487.92000000
        0.032498809542
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M86L3
        
          
          
        
        10506.08000000
        PA
        USD
        11283.15000000
        0.000423189907
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK INC
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680BB8
        
          
          
        
        163000.00000000
        PA
        USD
        140295.28000000
        0.005261965549
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust 2005-3
        17307GTJ7
        
          
        
        22962.67000000
        PA
        USD
        22673.19000000
        0.000850388870
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Variable
          2.82910900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396EU46
        
          
        
        241809.53000000
        PA
        USD
        272052.35000000
        0.010203693905
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-15
          Floating
          15.88800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412NMF0
        
          
        
        116141.29000000
        PA
        USD
        123902.86000000
        0.004647145512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGL CLO Ltd.
        54930005OE1IFBESDA27
        AGL CLO 12 Ltd
        00120BAG5
        
          
        
        2000000.00000000
        PA
        USD
        1823486.00000000
        0.068392325905
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          2.91271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413E2C8
        
          
        
        17101.96000000
        PA
        USD
        17993.47000000
        0.000674869598
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132XCR98
        
          
        
        929923.60000000
        PA
        USD
        935645.68000000
        0.035092665520
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379DCX0
        
          
        
        2713525.36000000
        PA
        USD
        317573.10000000
        0.011911011630
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-06-20
          Floating
          4.00486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QPAS6
        
          
        
        4975796.80000000
        PA
        USD
        4941767.13000000
        0.185347706593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        WFRBS Commercial Mortgage Trust 2011-C5
        92936JAN4
        
          
        
        696126.09000000
        PA
        USD
        694024.21000000
        0.026030323214
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-11-15
          Variable
          5.70322900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411XDX0
        
          
          
        
        436.25000000
        PA
        USD
        470.42000000
        0.000017643742
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8Y24
        
          
        
        27798.75000000
        PA
        USD
        29854.83000000
        0.001119746059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2MZ9
        
          
        
        30497.74000000
        PA
        USD
        31489.70000000
        0.001181064085
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAK1
        
          
          
        
        1642000.00000000
        PA
        USD
        1539833.12000000
        0.057753538323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415XXY2
        
          
        
        1458.55000000
        PA
        USD
        1585.73000000
        0.000059474963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31408JBQ3
        
          
        
        197312.51000000
        PA
        USD
        207838.32000000
        0.007795259254
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBY5
        
          
          
        
        1750000.00000000
        PA
        USD
        1579709.57000000
        0.059249158890
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-1
        35563PHZ5
        
          
        
        759586.66000000
        PA
        USD
        721343.37000000
        0.027054965517
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QMLW2
        
          
        
        1056966.17000000
        PA
        USD
        925452.03000000
        0.034710338793
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128L14P2
        
          
          
        
        5487.30000000
        PA
        USD
        5998.37000000
        0.000224977036
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QNKY4
        
          
        
        2015006.08000000
        PA
        USD
        1918811.04000000
        0.071967621357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCZ0
        
          
          
        
        1700000.00000000
        PA
        USD
        1575015.41000000
        0.059073098026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-10-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAR1
        
          
          
        
        912000.00000000
        PA
        USD
        806093.28000000
        0.030233626315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WET82
        
          
        
        1174442.83000000
        PA
        USD
        1152328.91000000
        0.043219665170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KFH2
        
          
        
        2059.92000000
        PA
        USD
        2214.88000000
        0.000083072090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KQY8
        
          
        
        4000000.00000000
        PA
        USD
        3389400.80000000
        0.127124093159
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          4.32566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Broad River BSL Funding CLO Lt
        5493000KEEYM16WOW109
        Broad River Bsl Funding Clo Ltd 2020-1
        11124TAJ3
        
          
        
        3490000.00000000
        PA
        USD
        3368230.41000000
        0.126330068849
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          2.23271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DNB BANK ASA
        N/A
        DNB BANK ASA
        000000000
        
          
        
        325000.00000000
        PA
        USD
        325005.75000000
        0.012189783291
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-08
          Floating
          0.18000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCD6
        
          
          
        
        2326000.00000000
        PA
        USD
        1810523.84000000
        0.067906162441
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-04-22
          Fixed
          3.15700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAQ3
        
          
          
        
        725000.00000000
        PA
        USD
        632122.39000000
        0.023708611148
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-04-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411JT30
        
          
        
        63061.35000000
        PA
        USD
        68203.51000000
        0.002558065531
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MBT6
        
          
          
        
        1430000.00000000
        PA
        USD
        1378344.52000000
        0.051696688443
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-27
          Fixed
          2.44800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGR4
        
          
          
        
        1000000.00000000
        PA
        USD
        944056.03000000
        0.035408107151
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-21
          Fixed
          3.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOTALENERGIES CAP INTL
        549300U37G2I8G4RUG09
        TotalEnergies Capital International SA
        89153VAX7
        
          
          
        
        500000.00000000
        PA
        USD
        394781.64000000
        0.014806823076
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2041-06-29
          Fixed
          2.98600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GZC0
        
          
          
        
        194640.39000000
        PA
        USD
        207515.03000000
        0.007783133822
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAX2
        
          
          
        
        1553000.00000000
        PA
        USD
        1538562.22000000
        0.057705871488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-06-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411XMB8
        
          
        
        743.76000000
        PA
        USD
        782.69000000
        0.000029355854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Inve
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR5
        86359LPE3
        
          
        
        110843.82000000
        PA
        USD
        104763.81000000
        0.003929309375
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-19
          Floating
          2.09514000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS PASS-THROUGH TRUST
        N/A
        CVS Pass-Through Trust
        126650BQ2
        
          
          
        
        52208.41990000
        PA
        USD
        55622.16000000
        0.002086184864
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-10
          Fixed
          6.94300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AQ4
        
          
          
        
        580000.00000000
        PA
        USD
        457750.50000000
        0.017168555930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-06-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AAV99
        
          
          
        
        11449.69000000
        PA
        USD
        11513.99000000
        0.000431847876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371K5Z0
        
          
        
        9852.51000000
        PA
        USD
        10238.54000000
        0.000384010386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST FINANCIAL CORP
        549300DRQQI75D2JP341
        Truist Financial Corp
        89832QAF6
        
          
          
        
        784000.00000000
        PA
        USD
        713440.00000000
        0.026758538861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        842587DF1
        
          
          
        
        1280000.00000000
        PA
        USD
        1150694.40000000
        0.043158360646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        SUMITOMO MITSUI TRUST NY
        5493006GGLR4BTEL8O61
        Sumitomo Mitsui Trust Bank Ltd/ New York
        86564MBD9
        
          
        
        500000.00000000
        PA
        USD
        499992.94000000
        0.018752916174
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-25
          Floating
          1.68000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        06675FAT4
        
          
          
        
        1535000.00000000
        PA
        USD
        1472372.38000000
        0.055223331392
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-11-21
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418VWS7
        
          
          
        
        91483.49000000
        PA
        USD
        94466.85000000
        0.003543107867
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BlackRock Liquidity FedFund
        549300T8K043VZEOVK74
        BlackRock Liquidity FedFund
        09248U700
        
          
          
        
        2436000.00000000
        NS
        USD
        2436000.00000000
        0.091365497682
        Long
        STIV
        RF
        US
        N
        
        1
        
          
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBM4
        
          
          
        
        2400000.00000000
        PA
        USD
        1913871.34000000
        0.071782351181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2077-08-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VENTAS REALTY LP
        32SXKSJ72K64GM3HOU64
        Ventas Realty LP
        92277GAB3
        
          
          
        
        163000.00000000
        PA
        USD
        166226.42000000
        0.006234548272
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-09-30
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BW5
        
          
          
        
        920000.00000000
        PA
        USD
        850385.50000000
        0.031894866350
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARTFORD FINL SVCS GRP
        IU7C3FTM7Y3BQM112U94
        Hartford Financial Services Group Inc/The
        416515BC7
        
          
          
        
        2813000.00000000
        PA
        USD
        2227236.30000000
        0.083535530790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-02-12
          Floating
          3.53629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AKGW3
        
          
        
        150473.45000000
        PA
        USD
        155340.07000000
        0.005826240888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GAR3
        
          
          
        
        1394000.00000000
        PA
        USD
        1394313.61000000
        0.052295630912
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Fixed
          2.72600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3
        589929R26
        
          
        
        40010.82000000
        PA
        USD
        39231.64000000
        0.001471436089
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Variable
          2.11961200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E64L3
        
          
        
        1985187.26000000
        PA
        USD
        1941732.98000000
        0.072827339935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GDBW1
        
          
        
        90419.20000000
        PA
        USD
        95073.82000000
        0.003565873103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2017-6
        46649HBA9
        
          
        
        994137.02000000
        PA
        USD
        919117.75000000
        0.034472762995
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-25
          Variable
          3.77680000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411JNM4
        
          
        
        7728.41000000
        PA
        USD
        8176.39000000
        0.000306666642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARTFORD FINL SVCS GRP
        IU7C3FTM7Y3BQM112U94
        Hartford Financial Services Group Inc/The
        416515AS3
        
          
          
        
        340000.00000000
        PA
        USD
        371236.62000000
        0.013923735034
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-10-15
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404FWY5
        
          
        
        8736.02000000
        PA
        USD
        9341.14000000
        0.000350352177
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377MY42
        
          
        
        4200338.85000000
        PA
        USD
        196839.64000000
        0.007382738781
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-05-16
          Floating
          4.59071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        N/A
        LCM 30 Ltd
        50200YAU2
        
          
        
        2450000.00000000
        PA
        USD
        2293937.45000000
        0.086037248263
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          3.06271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31401ML33
        
          
        
        80680.26000000
        PA
        USD
        82535.92000000
        0.003095622088
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGC2
        
          
          
        
        2268000.00000000
        PA
        USD
        1786979.74000000
        0.067023108905
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2061-03-22
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A7ZJ0
        
          
        
        47652.84000000
        PA
        USD
        49214.76000000
        0.001845866601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140MGLQ2
        
          
        
        2941544.28000000
        PA
        USD
        2667564.90000000
        0.100050654633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLS Auto Receivables Trust
        N/A
        GLS Auto Receivables Issuer Trust 2021-4
        36263DAC1
        
          
        
        350000.00000000
        PA
        USD
        327842.34000000
        0.012296173462
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31373UDJ3
        
          
        
        294.86000000
        PA
        USD
        301.93000000
        0.000011324295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A9LB8
        
          
        
        36733.20000000
        PA
        USD
        37929.92000000
        0.001422613307
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAM1
        
          
          
        
        1964000.00000000
        PA
        USD
        1788831.98000000
        0.067092579689
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-11-06
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410EZ76
        
          
        
        12917.82000000
        PA
        USD
        13603.49000000
        0.000510217419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128P7JU8
        
          
        
        16628.33000000
        PA
        USD
        17018.56000000
        0.000638304271
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust
        93934FCF7
        
          
          
        
        148571.37000000
        PA
        USD
        142109.70000000
        0.005330017843
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AP5M6
        
          
        
        438665.12000000
        PA
        USD
        451782.72000000
        0.016944726213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RHU6
        
          
        
        44838.62000000
        PA
        USD
        45683.69000000
        0.001713429011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Floating
          1.52400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409CE76
        
          
        
        31146.17000000
        PA
        USD
        34142.54000000
        0.001280562462
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378JCS9
        
          
        
        446174.06000000
        PA
        USD
        417941.33000000
        0.015675458792
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-01-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHNSON & JOHNSON
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160CF9
        
          
          
        
        407000.00000000
        PA
        USD
        386359.30000000
        0.014490931744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-03
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRED SUIS GP FUN LTD
        549300PXR5FKNXF0OH19
        Credit Suisse Group Funding Guernsey Ltd
        225433AH4
        
          
          
        
        750000.00000000
        PA
        USD
        750683.57000000
        0.028155409677
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2022-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAW4
        
          
          
        
        1611000.00000000
        PA
        USD
        1609360.57000000
        0.060361260027
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417JFE5
        
          
        
        56117.26000000
        PA
        USD
        57953.31000000
        0.002173617820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EG6F6
        
          
        
        54388.90000000
        PA
        USD
        54956.71000000
        0.002061226256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398NQJ6
        
          
        
        1406086.71000000
        PA
        USD
        201673.05000000
        0.007564022406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-25
          Floating
          4.97643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128NHK36
        
          
        
        40363.84000000
        PA
        USD
        41025.13000000
        0.001538703374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          1.61800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRR Re-Remic Trust
        N/A
        FRR Re-REMIC Trust 2018-C1
        30307WBC9
        
          
          
        
        1000000.00000000
        PA
        USD
        955340.70000000
        0.035831354068
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-27
          Variable
          2.95414400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        O'REILLY AUTOMOTIVE INC
        549300K2RLMQL149Q332
        O'Reilly Automotive Inc
        67103HAL1
        
          
          
        
        468000.00000000
        PA
        USD
        466612.21000000
        0.017500926433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-06-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PEJ7
        
          
          
        
        482000.00000000
        PA
        USD
        482017.75000000
        0.018078732192
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAF0
        
          
        
        1500000.00000000
        PA
        USD
        1265884.05000000
        0.047478705351
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          3.67566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP IRS USD
        000000000
        
          
        
        19473000.00000000
        NC
        USD
        -227522.00000000
        -0.00853352248
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    GB
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2057-05-27
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            0.00000000
            USD
            2027-05-25
            XXXX
            -227522.01000000
          
        
        
          N
          N
          N
        
      
      
        VITERRA FINANCE BV
        213800HBZGEIZLKJBI17
        Viterra Finance BV
        92852LAA7
        
          
          
        
        1065000.00000000
        PA
        USD
        943429.04000000
        0.035384591037
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-04-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417SYQ7
        
          
        
        8117.86000000
        PA
        USD
        8383.22000000
        0.000314424083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBH7
        
          
          
        
        170000.00000000
        PA
        USD
        136835.57000000
        0.005132204414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418A3J5
        
          
        
        5376.36000000
        PA
        USD
        5525.84000000
        0.000207254155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YN27
        
          
        
        1549131.50000000
        PA
        USD
        1540561.70000000
        0.057780864708
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Structured Pass Through
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Pass-Through Certificates
        31393LFK4
        
          
          
        
        273130.01000000
        PA
        USD
        298399.75000000
        0.011191889025
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RBC5
        
          
          
        
        2131000.00000000
        PA
        USD
        1862520.06000000
        0.069856351488
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-06-09
          Fixed
          1.79200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCHE HOLDINGS INC
        PVJRP0EQNV6OGDPZGY95
        Roche Holdings Inc
        771196BW1
        
          
          
        
        1130000.00000000
        PA
        USD
        999721.98000000
        0.037495934419
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-12-13
          Fixed
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RPM INTERNATIONAL INC
        549300TJCKW4BRXPJ474
        RPM International Inc
        749685AY9
        
          
          
        
        19000.00000000
        PA
        USD
        15789.28000000
        0.000592198450
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BSA7
        
          
        
        52885.53000000
        PA
        USD
        58013.90000000
        0.002175890330
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417VRU9
        
          
        
        3456.34000000
        PA
        USD
        3505.12000000
        0.000131464299
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERKINELMER INC
        549300IKL1SDPFI7N655
        PerkinElmer Inc
        714046AG4
        
          
          
        
        293000.00000000
        PA
        USD
        259996.52000000
        0.009751523581
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBW5
        
          
          
        
        985000.00000000
        PA
        USD
        978353.67000000
        0.036694486850
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-13
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOW CHEMICAL CO/THE
        ZQUIP1CSZO8LXRBSOU78
        Dow Chemical Co/The
        260543CK7
        
          
          
        
        1226000.00000000
        PA
        USD
        1164784.15000000
        0.043686815910
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-10-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Beacon Container Finance II LL
        N/A
        Beacon Container Finance II LLC
        07359BAA5
        
          
        
        886666.71000000
        PA
        USD
        793939.19000000
        0.029777770617
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-10-22
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GEORGIA POWER COMPANY
        D981X4Z4RWS7PDMJUZ03
        Georgia Power Co
        373334FS5
        
          
          
        
        1310000.00000000
        PA
        USD
        1330440.73000000
        0.049899991557
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-2
        35563PKA6
        
          
        
        471091.50000000
        PA
        USD
        447734.03000000
        0.016792874581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296QH51
        
          
        
        20305.55000000
        PA
        USD
        21468.42000000
        0.000805202330
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AHXV3
        
          
        
        11540.36000000
        PA
        USD
        11917.44000000
        0.000446979818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCA1
        
          
          
        
        1260000.00000000
        PA
        USD
        927390.53000000
        0.034783044876
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-25
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN DEERE CAPITAL CORP
        E0KSF7PFQ210NWI8Z391
        John Deere Capital Corp
        24422EWE5
        
          
          
        
        1014000.00000000
        PA
        USD
        973421.03000000
        0.036509481469
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-18
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEWE5
        
          
        
        2258733.17000000
        PA
        USD
        2216203.44000000
        0.083121728349
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BDMF2
        
          
        
        11224235.94000000
        PA
        USD
        1474681.65000000
        0.055309943708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Floating
          4.32643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415LQ42
        
          
        
        48596.46000000
        PA
        USD
        53050.09000000
        0.001989715876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416TX79
        
          
        
        5243.90000000
        PA
        USD
        5362.41000000
        0.000201124490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135CH7
        
          
          
        
        822000.00000000
        PA
        USD
        792360.23000000
        0.029718549572
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-13
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409VNM1
        
          
        
        16218.50000000
        PA
        USD
        17265.43000000
        0.000647563466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BY9
        
          
          
        
        356000.00000000
        PA
        USD
        315088.57000000
        0.011817825949
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-07-20
          Fixed
          1.53800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
          
        
        578000.00000000
        PA
        USD
        567306.84000000
        0.021277615671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396HWV7
        
          
        
        1830022.11000000
        PA
        USD
        1924047.00000000
        0.072164003168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        WFRBS Commercial Mortgage Trust 2013-C11
        92937EAN4
        
          
        
        9020000.00000000
        PA
        USD
        7974137.31000000
        0.299080880096
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-03-15
          Variable
          4.37067800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAQ2
        
          
          
        
        845000.00000000
        PA
        USD
        737433.54000000
        0.027658449256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-15
          Fixed
          5.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403DBD0
        
          
          
        
        39243.58000000
        PA
        USD
        41322.13000000
        0.001549842763
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CLH5
        
          
        
        643148.00000000
        PA
        USD
        648441.56000000
        0.024320683845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AQBR6
        
          
        
        29400.95000000
        PA
        USD
        30260.68000000
        0.001134968016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        Sofi Professional Loan Program 2018-D Trust
        83401AAC2
        
          
        
        1000000.00000000
        PA
        USD
        947426.40000000
        0.035534517468
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-02-25
          Fixed
          4.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KNN0
        
          
        
        33259.14000000
        PA
        USD
        36455.32000000
        0.001367306426
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410G2H5
        
          
        
        230703.75000000
        PA
        USD
        247946.71000000
        0.009299579046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLEGHANY CORP
        549300DCJE6AYX159479
        Alleghany Corp
        017175AF7
        
          
          
        
        111000.00000000
        PA
        USD
        80882.41000000
        0.003033604943
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-08-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31393KBY0
        
          
        
        69738.71490000
        PA
        USD
        74314.52000000
        0.002787267284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418WGZ7
        
          
        
        55612.23000000
        PA
        USD
        57278.83000000
        0.002148320529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAL7
        
          
          
        
        471000.00000000
        PA
        USD
        466821.59000000
        0.017508779515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-06-01
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414QAH0
        
          
        
        9239.07000000
        PA
        USD
        9629.93000000
        0.000361183640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406K5J5
        
          
        
        9225.75000000
        PA
        USD
        9648.34000000
        0.000361874132
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W93Z1
        
          
        
        80259.25000000
        PA
        USD
        80874.40000000
        0.003033304517
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WRQ7
        
          
        
        8014282.40000000
        PA
        USD
        728559.98000000
        0.027325634303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORIX CORP
        35380016EMHNBOVYE123
        ORIX Corp
        686330AK7
        
          
          
        
        5000000.00000000
        PA
        USD
        4924005.50000000
        0.184681532470
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-12-04
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414UZ92
        
          
        
        95545.53000000
        PA
        USD
        104312.67000000
        0.003912388755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Lt
        5493002BNZCV0YE1MG83
        Benefit Street Partners CLO IV Ltd
        08180FBL4
        
          
        
        2250000.00000000
        PA
        USD
        2126164.50000000
        0.079744695277
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          3.21271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396TA86
        
          
        
        1107051.29000000
        PA
        USD
        138631.94000000
        0.005199579717
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-15
          Floating
          5.27600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDD8
        
          
          
        
        2155000.00000000
        PA
        USD
        1925791.01000000
        0.072229414638
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410LM58
        
          
        
        243868.07000000
        PA
        USD
        261371.33000000
        0.009803087703
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AULV7
        
          
        
        229694.58000000
        PA
        USD
        236124.02000000
        0.008856152956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan T
        N/A
        New Century Home Equity Loan Trust 2005-2
        64352VKV2
        
          
        
        94574.12000000
        PA
        USD
        94387.29000000
        0.003540123861
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          2.35857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CURRENCY CONTRACT - CZK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -18207.92000000
        -0.00068291283
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -2289373.98000000
            USD
            53820783.06000000
            CZK
            2022-07-29
            -18207.92000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBR6
        
          
          
        
        381000.00000000
        PA
        USD
        339042.47000000
        0.012716249592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          2.18200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-8
        46591KBU6
        
          
        
        1898466.56000000
        PA
        USD
        1731936.30000000
        0.064958629722
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.42513100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AD3
        
          
          
        
        1812000.00000000
        PA
        USD
        1611484.57000000
        0.060440923540
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-09-17
          Fixed
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDS7
        
          
          
        
        1417000.00000000
        PA
        USD
        1014127.23000000
        0.038036222940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-11-01
          Fixed
          2.88700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WWF5
        
          
          
        
        24388.42000000
        PA
        USD
        25186.68000000
        0.000944660736
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4WW9
        
          
        
        42076.49000000
        PA
        USD
        45265.96000000
        0.001697761479
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419JWZ7
        
          
        
        12513.97000000
        PA
        USD
        12753.36000000
        0.000478332136
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375JRN7
        
          
        
        229678.06000000
        PA
        USD
        302717.65000000
        0.011353837746
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-03-20
          Floating
          16.87640000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LANDESBANK BADEN-WURTTEMBERG
        B81CK4ESI35472RHJ606
        LANDESBANK BADEN-WURTTEMBERG (NEW YORK)
        000000000
        
          
        
        2230000.00000000
        PA
        USD
        2230000.00000000
        0.083639187122
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          1.57000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WLP1
        
          
        
        4595080.28000000
        PA
        USD
        4215073.16000000
        0.158092059536
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KLA CORP
        549300H0BF5JCG96TJ81
        KLA Corp
        482480AN0
        
          
          
        
        644000.00000000
        PA
        USD
        664872.56000000
        0.024936950878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-07-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403DS59
        
          
        
        10035.04000000
        PA
        USD
        11007.14000000
        0.000412837776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AL2
        
          
          
        
        812000.00000000
        PA
        USD
        613155.82000000
        0.022997244109
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2043-02-11
          Fixed
          3.17900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GTF88
        
          
        
        95692.58000000
        PA
        USD
        97081.35000000
        0.003641168250
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HASBRO INC
        549300NUB6D2R1ITYR45
        Hasbro Inc
        418056AX5
        
          
          
        
        1652000.00000000
        PA
        USD
        1609764.98000000
        0.060376427975
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-19
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403KB77
        
          
        
        762.32000000
        PA
        USD
        805.05000000
        0.000030194496
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLI Funding LLC
        N/A
        CLI Funding VIII LLC
        12565KAE7
        
          
        
        1101853.35000000
        PA
        USD
        988369.18000000
        0.037070132193
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-01-18
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B4PJ1
        
          
        
        7211155.10000000
        PA
        USD
        965906.82000000
        0.036227650789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-25
          Floating
          4.42643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCKESSON CORP
        549300WZWOM80UCFSF54
        McKesson Corp
        581557BR5
        
          
          
        
        1595000.00000000
        PA
        USD
        1420353.67000000
        0.053272298827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMGEN INC
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162CS7
        
          
          
        
        719000.00000000
        PA
        USD
        550956.54000000
        0.020664375401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-21
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BQ4
        
          
          
        
        1115000.00000000
        PA
        USD
        975837.83000000
        0.036600126845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-03
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M75R3
        
          
        
        131705.11000000
        PA
        USD
        141666.39000000
        0.005313390897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBH6
        
          
          
        
        3226433.79000000
        PA
        USD
        3334821.64000000
        0.125077027430
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-04-25
          Floating
          7.17357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -38684.27000000
        -0.00145090623
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -11065390.55000000
            TRY
            614208.94000000
            USD
            2022-07-29
            -38684.27000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129324M5
        
          
        
        12093.05000000
        PA
        USD
        13029.53000000
        0.000488690268
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416PPC5
        
          
        
        369.07000000
        PA
        USD
        380.09000000
        0.000014255793
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412P4D0
        
          
        
        57991.74000000
        PA
        USD
        58598.58000000
        0.002197819550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137A1Z30
        
          
        
        693013.43000000
        PA
        USD
        726594.64000000
        0.027251921550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PDF0
        
          
          
        
        2070000.00000000
        PA
        USD
        2034044.29000000
        0.076289601339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-14
          Fixed
          4.56500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A9XL3
        
          
        
        263253.21000000
        PA
        USD
        271836.25000000
        0.010195588780
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABD6
        
          
          
        
        818000.00000000
        PA
        USD
        788332.87000000
        0.029567497950
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WRJ3
        
          
        
        9095108.17000000
        PA
        USD
        679086.25000000
        0.025470054679
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31293KQ66
        
          
        
        4582.91000000
        PA
        USD
        4824.93000000
        0.000180965570
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A74E5
        
          
        
        18765.02000000
        PA
        USD
        19378.36000000
        0.000726811783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296QK32
        
          
        
        95246.71000000
        PA
        USD
        100657.38000000
        0.003775292126
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KNQS5
        
          
        
        4305666.42000000
        PA
        USD
        3890191.74000000
        0.145906939410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AB71
        
          
        
        299007.47000000
        PA
        USD
        328036.64000000
        0.012303460948
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412TWY5
        
          
        
        14522.61000000
        PA
        USD
        15357.23000000
        0.000575993826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCR5
        
          
          
        
        1537000.00000000
        PA
        USD
        1278560.97000000
        0.047954170501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-08
          Fixed
          2.54500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396YTY8
        
          
        
        261908.10000000
        PA
        USD
        308783.36000000
        0.011581340460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-25
          Floating
          11.44107500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6SU3
        
          
        
        64767.49000000
        PA
        USD
        69665.68000000
        0.002612906208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QS6V5
        
          
        
        1363669.50000000
        PA
        USD
        1375463.54000000
        0.051588633364
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CW7
        
          
          
        
        1423000.00000000
        PA
        USD
        1359820.45000000
        0.051001917969
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-11-16
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405ULC1
        
          
        
        8147.26000000
        PA
        USD
        8574.81000000
        0.000321609927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DXC TECHNOLOGY CO
        549300DOVZ3EDJB7O259
        DXC Technology Co
        23355LAM8
        
          
          
        
        775000.00000000
        PA
        USD
        667652.73000000
        0.025041224940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        UNITED AIR 2014-1 A PTT
        N/A
        United Airlines 2014-1 Class A Pass Through Trust
        90932PAA6
        
          
          
        
        536136.38000000
        PA
        USD
        505533.29000000
        0.018960714546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-11
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415LR82
        
          
        
        2263.12000000
        PA
        USD
        2393.38000000
        0.000089766976
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        USD CALL VERSUS AUD PUT
        000000000
        
          
        
        34940000.00000000
        NC
        USD
        104203.31000000
        0.003908287060
        N/A
        DFE
        CORP
        GB
        
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            Call
            Purchased
            
              
                
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                  
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                    USD CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  AUD
                  2022-08-18
                
              
            
            1.00000000
            USD
            0.64000000
            USD
            2022-08-18
            XXXX
            -151841.38000000
          
        
        
          N
          N
          N
        
      
      
        BAXTER INTERNATIONAL INC
        J5OIVXX3P24RJRW5CK77
        Baxter International Inc
        071813CP2
        
          
          
        
        1150000.00000000
        PA
        USD
        1008085.80000000
        0.037809630879
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          2.27200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407H5Y8
        
          
        
        2489.19000000
        PA
        USD
        2727.86000000
        0.000102312104
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CI FINANCIAL CORP
        549300M9W7JJQSVCEM78
        CI Financial Corp
        125491AP5
        
          
          
        
        931000.00000000
        PA
        USD
        604677.31000000
        0.022679246044
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2051-06-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Driven Brands Funding, LLC
        N/A
        DRIVEN BRANDS FUNDING LLC
        26208LAD0
        
          
        
        1354500.00000000
        PA
        USD
        1300578.57000000
        0.048779970575
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-04-20
          Fixed
          4.64100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Popular ABS Mortgage Pass-Thro
        N/A
        Popular ABS Mortgage Pass-Through Trust 2005-D
        73316PHP8
        
          
          
        
        344806.09000000
        PA
        USD
        337616.78000000
        0.012662777147
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Variable
          3.54915400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NBN CO LTD
        2549007CRZ2NT7S96A24
        NBN Co Ltd
        62878U2A9
        
          
          
        
        738000.00000000
        PA
        USD
        666617.27000000
        0.025002388603
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2026-05-05
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK INC
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680BA0
        
          
          
        
        770000.00000000
        PA
        USD
        717606.15000000
        0.026914795991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAT7
        
          
          
        
        512000.00000000
        PA
        USD
        476052.94000000
        0.017855013869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJ4B1
        
          
        
        136494.09000000
        PA
        USD
        148198.25000000
        0.005558377203
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CES6
        
          
          
        
        7481600.00000000
        PA
        USD
        7335475.00000000
        0.275126980340
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-05-31
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAG8
        
          
          
        
        1505000.00000000
        PA
        USD
        1412963.23000000
        0.052995110310
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.75500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECOLAB INC
        82DYEISM090VG8LTLS26
        Ecolab Inc
        278865BJ8
        
          
          
        
        380000.00000000
        PA
        USD
        265511.98000000
        0.009958388420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2055-08-18
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJS9
        
          
          
        
        1971000.00000000
        PA
        USD
        1755401.40000000
        0.065838720255
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          1.73400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7HN9
        
          
        
        6528.55000000
        PA
        USD
        7024.17000000
        0.000263451062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412LGP9
        
          
        
        72652.22000000
        PA
        USD
        78990.50000000
        0.002962646282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622AAGA6
        
          
        
        5314717.86000000
        PA
        USD
        5251738.93000000
        0.196973621115
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENESAS ELECTRONICS CORP
        5299000EPC47VJQOFB81
        Renesas Electronics Corp
        75972BAB7
        
          
          
        
        525000.00000000
        PA
        USD
        468814.29000000
        0.017583518442
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2026-11-25
          Fixed
          2.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2012-CCRE2 Mortgage Trust
        12624KAE6
        
          
          
        
        852512.02000000
        PA
        USD
        340.96000000
        0.000012788169
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-15
          Variable
          1.53589100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        549300KDXV3I7WKXA522
        Commonbond Student Loan Trust 2017-B-GS
        20268KAC4
        
          
        
        501261.91000000
        PA
        USD
        487869.50000000
        0.018298210045
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-09-25
          Fixed
          3.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST FINANCIAL CORP
        549300DRQQI75D2JP341
        Truist Financial Corp
        89788MAD4
        
          
          
        
        1501000.00000000
        PA
        USD
        1347039.65000000
        0.050522556658
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-02
          Fixed
          1.26700000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -59093.22000000
        -0.00221637169
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-07-14
            0.00000000
            USD
            0.00000000
            USD
            3245100.00000000
            USD
            -59093.22000000
          
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY INDIANA LLC
        6URPHM2EAWGJ2C6ISB97
        Duke Energy Indiana LLC
        26443TAB2
        
          
          
        
        1425000.00000000
        PA
        USD
        1105057.80000000
        0.041446697809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGN8
        
          
          
        
        1185000.00000000
        PA
        USD
        983546.61000000
        0.036889255138
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          2.35500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398WRX4
        
          
        
        521461.37000000
        PA
        USD
        68702.12000000
        0.002576766578
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31388W5H5
        
          
        
        5018.79000000
        PA
        USD
        5271.68000000
        0.000197721538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDY5
        
          
          
        
        485000.00000000
        PA
        USD
        378539.35000000
        0.014197633869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-05-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONE GAS INC
        549300HXDWI0LATTX840
        ONE Gas Inc
        68235PAL2
        
          
          
        
        1409000.00000000
        PA
        USD
        1343101.52000000
        0.050374851729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-11
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XLIT LTD
        635400XCGXK8NVDIVE95
        XLIT Ltd
        98420EAD7
        
          
          
        
        1750000.00000000
        PA
        USD
        1817570.70000000
        0.068170464522
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2045-03-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385HJE3
        
          
        
        18552.37000000
        PA
        USD
        18905.10000000
        0.000709061523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Floating
          3.96500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405E6P5
        
          
        
        4035.32000000
        PA
        USD
        4406.18000000
        0.000165259781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QRZE3
        
          
        
        525634.36000000
        PA
        USD
        517195.36000000
        0.019398116365
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BU2
        
          
          
        
        1604000.00000000
        PA
        USD
        1543464.21000000
        0.057889727299
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEUR8
        
          
        
        1689679.93000000
        PA
        USD
        1657869.02000000
        0.062180635510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate M
        N/A
        Bear Stearns ARM Trust 2005-12
        07387AFZ3
        
          
        
        3619.30000000
        PA
        USD
        3225.60000000
        0.000120980521
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Variable
          3.38267300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403NCM7
        
          
        
        5835.14000000
        PA
        USD
        6100.31000000
        0.000228800434
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B1JS2
        
          
        
        501521.89000000
        PA
        USD
        74882.23000000
        0.002808560021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2015-2
        81733YEG0
        
          
        
        671466.53000000
        PA
        USD
        606918.39000000
        0.022763300802
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-25
          Variable
          3.77181300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413HHE1
        
          
        
        18512.16000000
        PA
        USD
        20292.26000000
        0.000761088848
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-53T2
        12668AKU8
        
          
        
        733556.11000000
        PA
        USD
        381619.14000000
        0.014313145587
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BXNY4
        
          
        
        7605870.83000000
        PA
        USD
        1198743.05000000
        0.044960490704
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-15
          Floating
          4.67600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AMTT6
        
          
        
        12839804.12000000
        PA
        USD
        2707317.64000000
        0.101541635288
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-3
        35563PGA1
        
          
        
        931375.02000000
        PA
        USD
        882977.98000000
        0.033117291701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FMA1
        
          
          
        
        411184.78000000
        PA
        USD
        418287.34000000
        0.015688436368
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES CORP
        5493003QENHHS261UR94
        Targa Resources Corp
        87612KAA0
        
          
          
        
        342000.00000000
        PA
        USD
        343778.96000000
        0.012893898100
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BN61
        
          
        
        32779.84000000
        PA
        USD
        35158.37000000
        0.001318662550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417WKM2
        
          
        
        381370.89000000
        PA
        USD
        401819.41000000
        0.015070784225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413AJH7
        
          
        
        2785.57000000
        PA
        USD
        3016.08000000
        0.000113122188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5GQ7
        
          
        
        26545.51000000
        PA
        USD
        29135.34000000
        0.001092760607
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296DGJ1
        
          
        
        1820.22000000
        PA
        USD
        1906.49000000
        0.000071505503
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-09-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2018-1
        33850TBA5
        
          
        
        1890108.09000000
        PA
        USD
        1734053.77000000
        0.065038048318
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-25
          Variable
          3.96105800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31393PYL2
        
          
          
        
        158569.48000000
        PA
        USD
        31571.66000000
        0.001184138106
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMCOR FLEXIBLES NORTH AM
        PTVU09TE3QPJPL7K4E13
        Amcor Flexibles North America Inc
        02343JAA8
        
          
          
        
        777000.00000000
        PA
        USD
        769266.30000000
        0.028852380274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-17
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415R3A0
        
          
        
        11789.81000000
        PA
        USD
        12406.99000000
        0.000465341057
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Mortgage Pass-Th
        N/A
        First Horizon Asset Securities Inc
        32051GJ89
        
          
        
        73677.93000000
        PA
        USD
        66058.37000000
        0.002477609134
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Variable
          2.68307500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TAS5
        
          
        
        2140000.00000000
        PA
        USD
        1691731.10000000
        0.063450678939
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCV6
        
          
          
        
        1058000.00000000
        PA
        USD
        1006823.71000000
        0.037762294475
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-24
          Fixed
          2.59500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFL8
        
          
          
        
        4336000.00000000
        PA
        USD
        4278182.04000000
        0.160459044030
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-22
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404ABG8
        
          
        
        10397.18000000
        PA
        USD
        10971.22000000
        0.000411490548
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JERSEY CENTRAL PWR & LT
        549300W9UGH9ZPLNPF79
        Jersey Central Power & Light Co
        476556DD4
        
          
          
        
        421000.00000000
        PA
        USD
        358575.97000000
        0.013448880113
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AW9
        
          
          
        
        1250000.00000000
        PA
        USD
        1239198.86000000
        0.046477840956
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-08
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6SS8
        
          
          
        
        30641.50000000
        PA
        USD
        32949.90000000
        0.001235830875
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RH77
        
          
        
        13943.76000000
        PA
        USD
        14218.21000000
        0.000533273330
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-10-01
          Floating
          1.52400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409GPE0
        
          
        
        2285.66000000
        PA
        USD
        2404.87000000
        0.000090197924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAF8
        
          
          
        
        130000.00000000
        PA
        USD
        118793.38000000
        0.004455507506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-07-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2016-1 AA PTT
        N/A
        United Airlines 2016-1 Class AA Pass Through Trust
        90931LAA6
        
          
          
        
        228003.16000000
        PA
        USD
        208710.60000000
        0.007827975303
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-07
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NF4
        
          
          
        
        461000.00000000
        PA
        USD
        334567.48000000
        0.012548408997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-11-03
          Fixed
          2.90400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B4Q66
        
          
        
        23092391.43000000
        PA
        USD
        23860527.50000000
        0.894921580458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGET CORP
        8WDDFXB5T1Z6J0XC1L66
        Target Corp
        87612EBN5
        
          
          
        
        547000.00000000
        PA
        USD
        414943.41000000
        0.015563017719
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-01-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412WVY9
        
          
        
        5281.77000000
        PA
        USD
        5719.54000000
        0.000214519137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XD6N1
        
          
        
        4857874.90000000
        PA
        USD
        4403397.34000000
        0.165155414393
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAY4
        
          
          
        
        208000.00000000
        PA
        USD
        183686.88000000
        0.006889426604
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AD0
        
          
          
        
        3000000.00000000
        PA
        USD
        2980533.87000000
        0.111788982098
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-14
          Fixed
          2.99700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6NC8
        
          
        
        26948.25000000
        PA
        USD
        28979.25000000
        0.001086906239
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QPTX2
        
          
        
        831894.57000000
        PA
        USD
        814401.18000000
        0.030545225420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        Sofi Professional Loan Program 2017-C LLC
        83405DAD0
        
          
        
        2500000.00000000
        PA
        USD
        2440909.50000000
        0.091549635166
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-07-25
          Variable
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        225313AP0
        
          
          
        
        2036000.00000000
        PA
        USD
        1587401.20000000
        0.059537643948
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          N/A
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411EE45
        
          
        
        1041.22000000
        PA
        USD
        1118.47000000
        0.000041949740
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A6JS4
        
          
        
        912621.64000000
        PA
        USD
        143656.23000000
        0.005388022557
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XSX3
        
          
        
        2621243.18000000
        PA
        USD
        2630429.06000000
        0.098657824377
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-02-25
          Floating
          4.42357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292K4A2
        
          
        
        11850.87000000
        PA
        USD
        12250.89000000
        0.000459486314
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CON EDISON CO OF NY INC
        VZFZPMWDHTQCFKYOBP05
        Consolidated Edison Co of New York Inc
        209111FN8
        
          
          
        
        449000.00000000
        PA
        USD
        374962.59000000
        0.014063482613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2057-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2019-KG01 Mortgage Trust
        30298CAN1
        
          
        
        66299944.79000000
        PA
        USD
        250955.24000000
        0.009412418061
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-04-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANG31
        
          
        
        54864.18000000
        PA
        USD
        56104.96000000
        0.002104292936
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296GQP9
        
          
        
        4793.60000000
        PA
        USD
        5000.23000000
        0.000187540436
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31393GYQ1
        
          
          
        
        175736.09000000
        PA
        USD
        186714.89000000
        0.007002996243
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-2
        41161PLR2
        
          
          
        
        34914.98000000
        PA
        USD
        32170.83000000
        0.001206610793
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-19
          Floating
          2.05229000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE AG
        ANGGYXNX0JLX3X63JN86
        Credit Suisse AG
        22546DAA4
        
          
          
        
        6000000.00000000
        PA
        USD
        6015000.00000000
        0.225600767060
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAN0
        
          
          
        
        335000.00000000
        PA
        USD
        282333.51000000
        0.010589302813
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AEU47
        
          
        
        5007412.28000000
        PA
        USD
        547446.86000000
        0.020532740073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-25
          Floating
          4.57643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410F2G9
        
          
        
        9792.26000000
        PA
        USD
        10500.72000000
        0.000393843804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BAL42
        
          
        
        2370700.09000000
        PA
        USD
        137974.98000000
        0.005174939538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-15
          Floating
          4.87600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 2 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -345.00000000
        NC
        USD
        414432.63000000
        0.015543860219
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-30
            -72869823.60000000
            USD
            414432.63000000
          
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XXI Ltd
        55820JBE9
        
          
        
        1650000.00000000
        PA
        USD
        1539222.30000000
        0.057730628687
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-10-15
          Floating
          2.44429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CD9
        
          
          
        
        440000.00000000
        PA
        USD
        400141.16000000
        0.015007839173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411CTY7
        
          
        
        9147.63000000
        PA
        USD
        9767.53000000
        0.000366344515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417NB34
        
          
          
        
        133440.28000000
        PA
        USD
        137803.52000000
        0.005168508697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296XUD4
        
          
        
        55344.22000000
        PA
        USD
        58323.15000000
        0.002187489173
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKQ1
        
          
          
        
        174000.00000000
        PA
        USD
        169543.48000000
        0.006358959125
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-04-27
          Fixed
          4.57100000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414R4E2
        
          
        
        34688.38000000
        PA
        USD
        37851.45000000
        0.001419670183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        GS Mortgage-Backed Securities Corp Trust 2019-PJ2
        36257LAA5
        
          
        
        246958.78000000
        PA
        USD
        243357.38000000
        0.009127449974
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416PF36
        
          
        
        87820.28000000
        PA
        USD
        90681.22000000
        0.003401122658
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31374CK47
        
          
          
        
        295671.17000000
        PA
        USD
        311080.18000000
        0.011667485822
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MTJ6
        
          
        
        35764.43000000
        PA
        USD
        36571.70000000
        0.001371671416
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NESTLE HOLDINGS INC
        549300EAEU8YV8MQXP30
        Nestle Holdings Inc
        641062AW4
        
          
          
        
        1537000.00000000
        PA
        USD
        1347844.30000000
        0.050552736152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-14
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5GM6
        
          
          
        
        6863.91000000
        PA
        USD
        7537.04000000
        0.000282686950
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AFCY4
        
          
        
        2772.50000000
        PA
        USD
        2856.04000000
        0.000107119669
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2020-3
        81748ACE2
        
          
        
        2001532.72000000
        PA
        USD
        1693313.69000000
        0.063510036132
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-04-25
          Variable
          3.32981400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AMJR9
        
          
        
        1097191.26000000
        PA
        USD
        1228853.00000000
        0.046089805387
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412XZK3
        
          
        
        6547.52000000
        PA
        USD
        6884.95000000
        0.000258229426
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE HOLDINGS FINA
        549300D2L6J4NC1QVZ22
        Blackstone Holdings Finance Co LLC
        09261BAC4
        
          
          
        
        798000.00000000
        PA
        USD
        674997.28000000
        0.025316692291
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-05
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Broad River BSL Funding CLO Lt
        5493000KEEYM16WOW109
        Broad River Bsl Funding Clo Ltd 2020-1
        11124TAN4
        
          
        
        3000000.00000000
        PA
        USD
        2702244.00000000
        0.101351341510
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          3.06271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KYNDRYL HOLDINGS INC
        549300LQ4LWX2R8ZV130
        Kyndryl Holdings Inc
        50155QAE0
        
          
          
        
        411000.00000000
        PA
        USD
        304711.69000000
        0.011428626932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BNK0
        
          
        
        28257.62000000
        PA
        USD
        29076.40000000
        0.001090549982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CY4
        
          
          
        
        3000000.00000000
        PA
        USD
        2844518.37000000
        0.106687535525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-25
          Fixed
          4.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CQ3
        
          
          
        
        265000.00000000
        PA
        USD
        227969.44000000
        0.008550304327
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        UBS AG STAMFORD CT
        254900R882POXXVAK772
        UBS AG/Stamford CT
        90261AAB8
        
          
          
        
        3500000.00000000
        PA
        USD
        3510431.40000000
        0.131663510648
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-08-17
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PECO ENERGY CO
        YH65D4JBECK76IFEJ279
        PECO Energy Co
        693304AS6
        
          
          
        
        465000.00000000
        PA
        USD
        424119.88000000
        0.015907193724
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-10-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407JED0
        
          
        
        78.42000000
        PA
        USD
        82.48000000
        0.000003093524
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410PZ30
        
          
          
        
        56627.98910000
        PA
        USD
        59570.09000000
        0.002234257356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAMPA ELECTRIC CO
        WS423EPRKJIIJUITXD73
        Tampa Electric Co
        875127BC5
        
          
          
        
        580000.00000000
        PA
        USD
        532216.27000000
        0.019961496052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-05-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295MZJ2
        
          
        
        4401.56000000
        PA
        USD
        4354.69000000
        0.000163328579
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Floating
          2.33900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398RKF1
        
          
        
        2131283.09000000
        PA
        USD
        276997.00000000
        0.010389149737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-25
          Floating
          4.79643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Securitized Asset Backed Recei
        N/A
        Securitized Asset Backed Receivables LLC Trust 2006-WM4
        81377XAB8
        
          
        
        52307.21000000
        PA
        USD
        17677.59000000
        0.000663022088
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          1.78357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO SECURITIES CO., LTD.
        549300I6K0JHSVK8I066
        MIZUHO BANK LTD (NEW YORK)
        000000000
        
          
        
        1800000.00000000
        PA
        USD
        1800000.00000000
        0.067511451489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          1.57000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416RFA6
        
          
        
        13575.50000000
        PA
        USD
        13936.26000000
        0.000522698411
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARBIRD FUNDING CORP
        N/A
        STARBIRD FUNDING CORP
        000000000
        
          
        
        650000.00000000
        PA
        USD
        649884.95000000
        0.024374820153
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-23
          Fixed
          0.23000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        CNO GLOBAL FUNDING
        6354008GTNR4833ULD48
        CNO Global Funding
        18977W2C3
        
          
          
        
        400000.00000000
        PA
        USD
        348883.43000000
        0.013085348199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-06
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NP25
        
          
          
        
        250298.86000000
        PA
        USD
        268927.69000000
        0.010086499276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411AY33
        
          
        
        25816.75000000
        PA
        USD
        28293.54000000
        0.001061187751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAL7
        
          
          
        
        373000.00000000
        PA
        USD
        333723.03000000
        0.012516736750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          4.27900000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QNKW8
        
          
        
        2748794.03000000
        PA
        USD
        2626108.04000000
        0.098495758637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        N/A
        Oaktown Re VII Ltd
        67389JAC2
        
          
        
        2900000.00000000
        PA
        USD
        2688747.18000000
        0.100845124894
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-04-25
          Floating
          4.27566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409FLW6
        
          
        
        50917.68000000
        PA
        USD
        53138.82000000
        0.001993043815
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411DY78
        
          
        
        3837.56000000
        PA
        USD
        4081.05000000
        0.000153065338
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAZ4
        
          
          
        
        1870000.00000000
        PA
        USD
        1675580.05000000
        0.062844911812
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2026-09-11
          Fixed
          1.62100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A2VA8
        
          
        
        55924.10000000
        PA
        USD
        53487.62000000
        0.002006126034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 17-2 AA PTT
        N/A
        American Airlines 2017-2 Class AA Pass Through Trust
        02376AAA7
        
          
          
        
        45443.62000000
        PA
        USD
        41856.35000000
        0.001569879412
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6NA2
        
          
        
        54493.53000000
        PA
        USD
        58629.10000000
        0.002198964244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EXEW9
        
          
        
        311331.50000000
        PA
        USD
        294943.46000000
        0.011062256162
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A2MD2
        
          
        
        1000000.00000000
        PA
        USD
        1023489.90000000
        0.038387382629
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63859UBH5
        
          
          
        
        820000.00000000
        PA
        USD
        731100.28000000
        0.027420911715
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-10-13
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2020-J1
        12559YBJ3
        
          
        
        1438097.58000000
        PA
        USD
        1252693.01000000
        0.046983957430
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-25
          Variable
          3.44974700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MC7H1
        
          
        
        6523.31000000
        PA
        USD
        6559.99000000
        0.000246041359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CW3
        
          
          
        
        478000.00000000
        PA
        USD
        439895.50000000
        0.016498879838
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.80500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HN2J0
        
          
        
        3120367.92000000
        PA
        USD
        3128757.22000000
        0.117348300710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296QMF3
        
          
          
        
        51424.16000000
        PA
        USD
        54369.00000000
        0.002039183392
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust
        93934FHV7
        
          
        
        1636616.68000000
        PA
        USD
        1405922.47000000
        0.052731037017
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417UTT2
        
          
        
        6783.86000000
        PA
        USD
        6867.94000000
        0.000257591443
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GUJL2
        
          
        
        67754.24000000
        PA
        USD
        68551.44000000
        0.002571115120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396KKA9
        
          
          
        
        273925.73840000
        PA
        USD
        15653.79000000
        0.000587116713
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-08-25
          Floating
          5.07643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH JERSEY INDUSTRIES
        549300DJYWYT5VXLFA46
        South Jersey Industries Inc
        838518AA6
        
          
          
        
        2359000.00000000
        PA
        USD
        2103377.16000000
        0.078890025056
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Variable
          5.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GTWR7
        
          
        
        2293655.47000000
        PA
        USD
        2239008.03000000
        0.083977045556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CBB9
        
          
          
        
        405000.00000000
        PA
        USD
        354611.14000000
        0.013300173764
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LB-UBS Commercial Mortgage Tru
        N/A
        LB-UBS Commercial Mortgage Trust 2006-C7
        50180CAT7
        
          
        
        292067.96000000
        PA
        USD
        0.44000000
        0.000000016502
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Variable
          0.63735000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TCX1
        
          
        
        325742.04000000
        PA
        USD
        320763.29000000
        0.012030664051
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132WJSM4
        
          
        
        4015239.67000000
        PA
        USD
        3930795.77000000
        0.147429848855
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLN 15-2 AA PTT
        N/A
        American Airlines 2015-2 Class AA Pass Through Trust
        02377BAB2
        
          
          
        
        39368.28000000
        PA
        USD
        36539.39000000
        0.001370459586
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-22
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411REN4
        
          
        
        28219.43000000
        PA
        USD
        29713.79000000
        0.001114456162
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMD2 Re-REMIC Trust
        N/A
        BMD2 Re-Remic Trust 2019-FRR1
        055631EU5
        
          
        
        3537000.00000000
        PA
        USD
        2441699.86000000
        0.091579278694
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396CBT6
        
          
        
        3593592.16000000
        PA
        USD
        454039.59000000
        0.017029373196
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-15
          Floating
          5.40600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WT51
        
          
        
        20085.36000000
        PA
        USD
        20687.34000000
        0.000775906861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KXK5
        
          
        
        132372.40000000
        PA
        USD
        142311.11000000
        0.005337571999
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELEVANCE HEALTH INC
        8MYN82XMYQH89CTMTH67
        Elevance Health Inc
        036752AU7
        
          
          
        
        267000.00000000
        PA
        USD
        251757.17000000
        0.009442495538
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-05-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179W2U1
        
          
        
        4959762.95000000
        PA
        USD
        4549290.69000000
        0.170627343182
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405R5C6
        
          
        
        19735.38000000
        PA
        USD
        21153.07000000
        0.000793374699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GAQ6
        
          
        
        1053465.55000000
        PA
        USD
        1109043.97000000
        0.041596204544
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31392CRC0
        
          
        
        13285.92000000
        PA
        USD
        13424.73000000
        0.000503512782
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-25
          Floating
          2.52357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407CK22
        
          
        
        5706.80000000
        PA
        USD
        6027.04000000
        0.000226052343
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396WDQ6
        
          
        
        1826380.00000000
        PA
        USD
        272175.73000000
        0.010208321440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-25
          Floating
          4.47643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDA6
        
          
          
        
        1018000.00000000
        PA
        USD
        911806.75000000
        0.034198553983
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411JCE4
        
          
        
        179076.52000000
        PA
        USD
        196707.57000000
        0.007377785316
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCS2
        
          
          
        
        550000.00000000
        PA
        USD
        545158.30000000
        0.020446904513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-10
          Fixed
          4.92700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6PE2
        
          
        
        6018.29000000
        PA
        USD
        6519.27000000
        0.000244514100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RBSSP Resecuritization Trust
        N/A
        RBSSP Resecuritization Trust 2011-3
        74930NAC3
        
          
        
        35992.24710000
        PA
        USD
        35992.25000000
        0.001349938355
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-26
          Floating
          1.50571000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411AGT6
        
          
        
        12902.65000000
        PA
        USD
        13645.89000000
        0.000511807689
        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
        3138AMM44
        
          
        
        52032.14000000
        PA
        USD
        52758.64000000
        0.001978784647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust
        93363CAC3
        
          
          
        
        235299.40000000
        PA
        USD
        211658.05000000
        0.007938523430
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-07-25
          Floating
          1.72300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GKHC3
        
          
        
        624137.21000000
        PA
        USD
        632228.50000000
        0.023712590948
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEM3
        
          
          
        
        1505000.00000000
        PA
        USD
        1437738.51000000
        0.053924340928
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-18
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFW9
        
          
          
        
        488000.00000000
        PA
        USD
        339904.60000000
        0.012748584952
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2056-10-30
          Fixed
          2.98700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERAT RABOBANK UA/NY
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA/NY
        21684LCM2
        
          
        
        375000.00000000
        PA
        USD
        375006.18000000
        0.014065117516
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-11
          Floating
          1.46681800
          N
          N
          N
        
        
          
          N
          N
        
      
      
        PUBLIC SERVICE ENTERPRIS
        PUSS41EMO3E6XXNV3U28
        Public Service Enterprise Group Inc
        744573AU0
        
          
          
        
        1714000.00000000
        PA
        USD
        1431995.37000000
        0.053708936641
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-15
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Alternative Loan T
        N/A
        Wells Fargo Alternative Loan 2007-PA2 Trust
        94985FAG3
        
          
        
        864745.25000000
        PA
        USD
        698203.18000000
        0.026187061175
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          2.05357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412PPU9
        
          
        
        693227.71000000
        PA
        USD
        715877.16000000
        0.026849947866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDK4
        
          
          
        
        1757900.00000000
        PA
        USD
        1627945.87000000
        0.061058327016
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-11-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wind River CLO Ltd
        N/A
        THL Credit Wind River 2017-3 Clo Ltd
        97316LAE8
        
          
        
        7000000.00000000
        PA
        USD
        6642503.00000000
        0.249136121695
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-04-15
          Floating
          3.54429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN IMPERIAL BANK
        2IGI19DL77OX0HC3ZE78
        Canadian Imperial Bank of Commerce
        13607GLZ5
        
          
          
        
        910000.00000000
        PA
        USD
        873095.03000000
        0.032746618201
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-01-28
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2005-10
        07386HZE4
        
          
          
        
        500286.05000000
        PA
        USD
        479533.18000000
        0.017985545010
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Variable
          2.99881500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416SSK8
        
          
          
        
        40629.99000000
        PA
        USD
        41955.66000000
        0.001573604169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411JCP9
        
          
        
        473158.50000000
        PA
        USD
        537052.39000000
        0.020142881319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAN3
        
          
          
        
        410000.00000000
        PA
        USD
        349456.57000000
        0.013106844596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        05565QDV7
        
          
          
        
        752000.00000000
        PA
        USD
        657075.67000000
        0.024644517899
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          N/A
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359WKH3
        
          
          
        
        171967.03000000
        PA
        USD
        178361.90000000
        0.006689705977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        JPY CALL VERSUS USD PUT
        000000000
        
          
        
        6000500.00000000
        NC
        USD
        136719.65000000
        0.005127856677
        N/A
        DFE
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                    JPY CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    FR
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2025-02-27
                
              
            
            1.00000000
            USD
            107.50000000
            USD
            2025-02-27
            XXXX
            -160905.15000000
          
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        N/A
        BlueMountain CLO XXXI Ltd
        09631BAG8
        
          
        
        5000000.00000000
        PA
        USD
        4615005.00000000
        0.173092047877
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-19
          Floating
          3.04429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414LZT8
        
          
        
        1583.97000000
        PA
        USD
        1603.53000000
        0.000060142576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31391DRP0
        
          
        
        8243.04000000
        PA
        USD
        8657.97000000
        0.000324728956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410FYT6
        
          
        
        10887.18000000
        PA
        USD
        11941.51000000
        0.000447882596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAK0
        
          
          
        
        672000.00000000
        PA
        USD
        564284.85000000
        0.021164271820
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KITE REALTY GROUP LP
        549300X6R2GYI8Y3OD81
        Kite Realty Group LP
        49803XAA1
        
          
          
        
        435000.00000000
        PA
        USD
        416650.53000000
        0.015627045580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296P6M8
        
          
        
        32083.06000000
        PA
        USD
        33923.44000000
        0.001272344818
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MILEAGE PLUS HLDINGS LLC
        N/A
        Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
        599191AA1
        
          
          
        
        720000.00000000
        PA
        USD
        709794.00000000
        0.026621790665
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2H3
        
          
          
        
        880000.00000000
        PA
        USD
        860319.56000000
        0.032267456800
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-02-21
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        549300XC4C7GRVLU6076
        SMB Private Education Loan Trust 2014-A
        784456AF2
        
          
        
        1550000.00000000
        PA
        USD
        1381281.26000000
        0.051806834876
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GCH4
        
          
          
        
        41768.25000000
        PA
        USD
        45822.33000000
        0.001718628893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya Investment Grade Credit Fund
        5493007IKJE2N4RJF070
        Voya Investment Grade Credit Fund
        92913M708
        
          
          
        
        16294910.57200000
        NS
        USD
        151379719.21000000
        5.677702538837
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        31395QJ27
        
          
        
        243951.01000000
        PA
        USD
        39593.42000000
        0.001485005140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH EDISON CO
        D8YOXB8L2ZDC8P7Q0771
        Commonwealth Edison Co
        202795JL5
        
          
          
        
        568000.00000000
        PA
        USD
        490307.28000000
        0.018389642304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-08-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAL3
        
          
          
        
        800000.00000000
        PA
        USD
        633597.36000000
        0.023763931907
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2032-11-22
          Fixed
          3.22500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-J3
        12667GDJ9
        
          
        
        246691.38020000
        PA
        USD
        15892.19000000
        0.000596058230
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          3.37643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIEDMONT OPERATING PARTN
        549300WKGDPAS39FBD10
        Piedmont Operating Partnership LP
        720198AD2
        
          
          
        
        1130000.00000000
        PA
        USD
        1134351.11000000
        0.042545383296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133B4JG1
        
          
        
        2951288.01000000
        PA
        USD
        2767176.66000000
        0.103786729357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBN2
        
          
          
        
        1522000.00000000
        PA
        USD
        975144.40000000
        0.036574118808
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-02-04
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        383742Y31
        
          
          
        
        1352718.97000000
        PA
        USD
        150673.96000000
        0.005651232078
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-04-20
          Floating
          4.80486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAL5
        
          
          
        
        1565000.00000000
        PA
        USD
        1451254.52000000
        0.054431277291
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKW35
        
          
        
        196904.83000000
        PA
        USD
        214917.44000000
        0.008060771291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust 2007-10
        17313QAL2
        
          
          
        
        747457.87000000
        PA
        USD
        680783.81000000
        0.025533723979
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          3.39569600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        N/A
        Sound Point CLO XXVI Ltd
        83614XAU5
        
          
        
        2800000.00000000
        PA
        USD
        2609135.20000000
        0.097859169157
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          3.26271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        03523TBU1
        
          
          
        
        1260000.00000000
        PA
        USD
        1283329.44000000
        0.048133018462
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2039-01-23
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAX2
        
          
          
        
        998971.57000000
        PA
        USD
        1005030.53000000
        0.037695038817
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-05-25
          Floating
          5.62357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403U7A3
        
          
        
        33035.12000000
        PA
        USD
        35420.16000000
        0.001328481340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LAP87
        
          
        
        47962.38000000
        PA
        USD
        50692.77000000
        0.001901301379
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YAT6
        
          
        
        6181888.97000000
        PA
        USD
        1073153.05000000
        0.040250066708
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-11-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411XER2
        
          
        
        5069.01000000
        PA
        USD
        5332.87000000
        0.000200016552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATWH3
        
          
        
        6656551.46000000
        PA
        USD
        1052742.27000000
        0.039484532606
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-25
          Floating
          4.37643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFNK8
        
          
        
        1216196.61000000
        PA
        USD
        1212566.82000000
        0.045478970025
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKB61
        
          
        
        5720.08000000
        PA
        USD
        5907.55000000
        0.000221570708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRITON CONTAINER
        549300O4LZFLCX53XZ54
        Triton Container International Ltd
        89680YAA3
        
          
          
        
        830000.00000000
        PA
        USD
        734967.07000000
        0.027565940940
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2026-04-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414AQH8
        
          
        
        1050.00000000
        PA
        USD
        1151.30000000
        0.000043181074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414QWC7
        
          
        
        17600.39000000
        PA
        USD
        19290.88000000
        0.000723530727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415LCG0
        
          
        
        53676.30000000
        PA
        USD
        55324.25000000
        0.002075011344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PEE8
        
          
          
        
        245000.00000000
        PA
        USD
        197893.92000000
        0.007422280988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-05-15
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        5493006CLZCEH6WYKR81
        Symphony CLO XXV Ltd
        87167WAG0
        
          
        
        8200000.00000000
        PA
        USD
        7622744.60000000
        0.285901417932
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-19
          Floating
          3.09429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NNZ4
        
          
        
        3.86000000
        PA
        USD
        3.86000000
        0.000000144774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DBG5
        
          
        
        1388000.00000000
        PA
        USD
        1204885.32000000
        0.045190864906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0UD9
        
          
          
        
        974879.39000000
        PA
        USD
        968018.38000000
        0.036306847723
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-09-25
          Floating
          3.92357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP IRS USD
        000000000
        
          
        
        -17721000.00000000
        NC
        USD
        -443215.11000000
        -0.01662338633
        N/A
        DIR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    CH
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-14
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            0.01000000
            USD
            3.07000000
            USD
            2022-07-12
            XXXX
            -256037.05000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419DP70
        
          
        
        15071.09000000
        PA
        USD
        15562.54000000
        0.000583694257
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Babson CLO Ltd
        5493000D71NBEM2WZE67
        Barings CLO Ltd 2018-III
        06760PAE1
        
          
        
        4393000.00000000
        PA
        USD
        4301186.30000000
        0.161321850132
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-20
          Floating
          2.36271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP IRS USD
        000000000
        
          
        
        -5907000.00000000
        NC
        USD
        -147738.37000000
        -0.00554112877
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Call
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    GB
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-14
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            0.01000000
            USD
            3.07000000
            USD
            2022-07-12
            XXXX
            -84976.49000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        -413.00000000
        NC
        USD
        -145106.33000000
        -0.00544241053
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-21
            -48808299.92000000
            USD
            -145106.33000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
          
        
        1235000.00000000
        PA
        USD
        1137471.30000000
        0.042662410272
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.90700000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHV4
        
          
          
        
        814000.00000000
        PA
        USD
        730436.73000000
        0.027396024368
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-23
          Fixed
          3.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418XMM7
        
          
        
        20624.99000000
        PA
        USD
        21296.69000000
        0.000798761363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B2HQ6
        
          
        
        22000000.00000000
        PA
        USD
        269424.10000000
        0.010105117809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Variable
          1.71829600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBX2
        
          
          
        
        295000.00000000
        PA
        USD
        205468.61000000
        0.007706380053
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31401HHE5
        
          
          
        
        166272.90000000
        PA
        USD
        174967.82000000
        0.006562406384
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411E2K2
        
          
        
        527.21000000
        PA
        USD
        557.74000000
        0.000020918798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296QDB2
        
          
        
        7608.26000000
        PA
        USD
        7891.50000000
        0.000295981455
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPALACHIAN POWER CO
        3SCHO1ABYYIG382BEI70
        Appalachian Power Co
        037735CY1
        
          
          
        
        181000.00000000
        PA
        USD
        144217.10000000
        0.005409058750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-4
        35563PGZ6
        
          
        
        726440.21000000
        PA
        USD
        688534.49000000
        0.025824423789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-03-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AB4
        
          
          
        
        791000.00000000
        PA
        USD
        766364.34000000
        0.028743538312
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-07-30
          Fixed
          1.00800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBL2
        
          
          
        
        1800000.00000000
        PA
        USD
        1562215.81000000
        0.058593031595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412EE36
        
          
        
        84073.04000000
        PA
        USD
        89815.18000000
        0.003368640648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY CORP
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364GAM5
        
          
          
        
        1626000.00000000
        PA
        USD
        1465375.07000000
        0.054960887751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9HT8
        
          
          
        
        808341.36000000
        PA
        USD
        773301.70000000
        0.029003733447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        OHA Credit Funding 9 Ltd
        67690AAJ0
        
          
        
        1800000.00000000
        PA
        USD
        1682584.20000000
        0.063107611997
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-07-19
          Floating
          2.94429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities Trust 2006-SD4
        07389NAA3
        
          
        
        623024.65000000
        PA
        USD
        601607.31000000
        0.022564101513
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Variable
          3.06546700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LDA20
        
          
        
        353.51000000
        PA
        USD
        373.53000000
        0.000014009751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIEDMONT OPERATING PARTN
        549300WKGDPAS39FBD10
        Piedmont Operating Partnership LP
        720198AF7
        
          
          
        
        429000.00000000
        PA
        USD
        331916.64000000
        0.012448985633
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominos Pizza Master Issuer LL
        N/A
        Domino's Pizza Master Issuer LLC
        25755TAL4
        
          
        
        293250.00000000
        PA
        USD
        266359.15000000
        0.009990162685
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-10-25
          Fixed
          3.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295GSG8
        
          
        
        31136.44000000
        PA
        USD
        32844.50000000
        0.001231877704
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ADXM4
        
          
        
        1059608.88000000
        PA
        USD
        1095199.23000000
        0.041076938715
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANQA4
        
          
        
        158322.20000000
        PA
        USD
        160225.16000000
        0.006009462842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN ELECTRIC POWER
        1B4S6S7G0TW5EE83BO58
        American Electric Power Co Inc
        025537AU5
        
          
          
        
        775000.00000000
        PA
        USD
        613380.84000000
        0.023005683791
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-02-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F022675
        
          
        
        82700000.00000000
        PA
        USD
        74397695.73000000
        2.790386903439
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        428236BX0
        
          
          
        
        1840000.00000000
        PA
        USD
        1847501.35000000
        0.069293054314
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - HUF
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12087.00000000
        0.000453339396
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1623833.11000000
            USD
            621498480.94000000
            HUF
            2022-07-29
            12087.00000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J86J7
        
          
        
        6771135.87000000
        PA
        USD
        6623338.97000000
        0.248417348650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410QR94
        
          
          
        
        10690.60000000
        PA
        USD
        11714.13000000
        0.000439354399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJJP6
        
          
          
        
        5671.89000000
        PA
        USD
        6104.32000000
        0.000228950835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN NATL RESOURCES
        549300T15RIMIKZC5Q38
        Canadian Natural Resources Ltd
        136385AP6
        
          
          
        
        205000.00000000
        PA
        USD
        225423.23000000
        0.008454805253
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2039-02-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417TNK0
        
          
        
        287837.92000000
        PA
        USD
        297208.18000000
        0.011147197570
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WXP2
        
          
        
        252328.43000000
        PA
        USD
        256820.53000000
        0.009632403751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2JF7
        
          
        
        167026.01000000
        PA
        USD
        172452.54000000
        0.006468067382
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Alternative Mort
        N/A
        First Horizon Alternative Mortgage Securities Trust 2005-AA1
        32051GGD1
        
          
          
        
        131877.64000000
        PA
        USD
        89232.24000000
        0.003346776690
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Variable
          2.80092400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404VFS2
        
          
        
        3765.93000000
        PA
        USD
        3992.49000000
        0.000149743774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WNE4
        
          
        
        3740971.83000000
        PA
        USD
        3438028.64000000
        0.128947946526
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASB BANK LIMITED
        549300IBZWZL1KTPF918
        ASB Bank Ltd
        04342JAA5
        
          
          
        
        1049000.00000000
        PA
        USD
        1039006.18000000
        0.038969341843
        Long
        DBT
        CORP
        NZ
        N
        
        2
        
          2032-06-17
          Fixed
          5.28400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397QPY8
        
          
        
        585211.61000000
        PA
        USD
        614365.92000000
        0.023042630558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175CD4
        
          
          
        
        764000.00000000
        PA
        USD
        628427.48000000
        0.023570028516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KPN3
        
          
        
        5000000.00000000
        PA
        USD
        4155939.00000000
        0.155874152328
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          4.67566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        METROPOLITAN EDISON CO
        N/A
        Metropolitan Edison Co
        591894CB4
        
          
          
        
        411000.00000000
        PA
        USD
        404804.41000000
        0.015182740715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.HY.33.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        -331005.54000000
        -0.01241481358
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.HY.33.V1
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2024-12-20
            0.00000000
            USD
            -2196437.54000000
            USD
            27986640.00000000
            USD
            1865432.00000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411YGG2
        
          
        
        20896.25000000
        PA
        USD
        22482.22000000
        0.000843226280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WT93
        
          
        
        160872.29000000
        PA
        USD
        166129.56000000
        0.006230915406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B45F1
        
          
        
        16691877.04000000
        PA
        USD
        2351418.10000000
        0.088193138327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-25
          Floating
          4.42643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132XCR64
        
          
        
        10555678.85000000
        PA
        USD
        10333592.43000000
        0.387575457804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SONOCO PRODUCTS CO
        GKOMIK4RDJGHEF0VNP11
        Sonoco Products Co
        835495AN2
        
          
          
        
        1111000.00000000
        PA
        USD
        1000215.69000000
        0.037514451685
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE HOLDINGS FINA
        549300D2L6J4NC1QVZ22
        Blackstone Holdings Finance Co LLC
        09261BAF7
        
          
          
        
        1492000.00000000
        PA
        USD
        1019385.40000000
        0.038233437767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-08-05
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412MTG3
        
          
        
        5457.10000000
        PA
        USD
        5863.70000000
        0.000219926054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179M2T6
        
          
        
        232966.37000000
        PA
        USD
        247793.03000000
        0.009293815069
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-02-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412MGA0
        
          
        
        784.01000000
        PA
        USD
        836.89000000
        0.000031388699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJF7
        
          
          
        
        178000.00000000
        PA
        USD
        142419.87000000
        0.005341651191
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-23
          Fixed
          1.89800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AR2F0
        
          
        
        48422.81000000
        PA
        USD
        49129.81000000
        0.001842680435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128K97D0
        
          
        
        1404.30000000
        PA
        USD
        1473.85000000
        0.000055278751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup Commercial Mortgage Trust 2017-P8
        17326DAJ1
        
          
        
        34732288.87000000
        PA
        USD
        1259398.00000000
        0.047235437212
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Variable
          1.02311900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSL FINANCE PLC
        2549007CCNBNAF4HBC02
        CSL Finance PLC
        12661PAF6
        
          
          
        
        278000.00000000
        PA
        USD
        266954.31000000
        0.010012484971
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2062-04-27
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya Emerging Markets Local Currency Debt Fund
        549300ZQOPFIB5V6CL41
        Voya Emerging Markets Local Currency Debt Fund
        92913M500
        
          
          
        
        8969716.31100000
        NS
        USD
        47898285.10000000
        1.796490417193
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418UWW0
        
          
        
        97299.26000000
        PA
        USD
        100482.52000000
        0.003768733763
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378CCP0
        
          
        
        23021.89000000
        PA
        USD
        24279.72000000
        0.000910643966
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-05-16
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        842587DJ3
        
          
          
        
        2295000.00000000
        PA
        USD
        1955730.15000000
        0.073352322859
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-09-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31295NJR0
        
          
        
        2428.39000000
        PA
        USD
        2434.39000000
        0.000091305112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL AUSTRALIA BANK LTD
        N/A
        NATIONAL AUSTRALIA BANK LTD
        000000000
        
          
        
        400000.00000000
        PA
        USD
        399956.45000000
        0.015000911373
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Floating
          0.20000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TBE5
        
          
        
        2163000.00000000
        PA
        USD
        1784731.32000000
        0.066938778850
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTL AIRLINES 2012-2 A
        N/A
        Continental Airlines 2012-2 Class A Pass Through Trust
        210795QB9
        
          
          
        
        21898.43000000
        PA
        USD
        21065.15000000
        0.000790077140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-29
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MDB5
        
          
        
        35536.22000000
        PA
        USD
        38193.93000000
        0.001432515362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B9 Mortgage Trust
        08160JAG2
        
          
        
        19469444.67000000
        PA
        USD
        1031465.87000000
        0.038686532247
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-03-15
          Variable
          1.20185400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAV1
        
          
          
        
        1832000.00000000
        PA
        USD
        1723742.83000000
        0.064651322470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-05-14
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2007-23CB
        02151EAC6
        
          
        
        1584915.31000000
        PA
        USD
        745499.47000000
        0.027960972946
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410VDU1
        
          
          
        
        19770.65000000
        PA
        USD
        21606.78000000
        0.000810391711
        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
        31379CVN8
        
          
          
        
        672.54000000
        PA
        USD
        705.64000000
        0.000026465989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-02-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BW9
        
          
          
        
        383000.00000000
        PA
        USD
        399875.73000000
        0.014997883859
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-02-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RURAL UTIL COOP
        4NYF266XZC35SCTGX023
        National Rural Utilities Cooperative Finance Corp
        637432NV3
        
          
          
        
        1490000.00000000
        PA
        USD
        1301039.17000000
        0.048797246006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ARBU1
        
          
        
        17652422.14000000
        PA
        USD
        3052470.96000000
        0.114487080632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2JJ9
        
          
        
        2108.08000000
        PA
        USD
        2171.16000000
        0.000081432312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241LTG1
        
          
        
        38008.78000000
        PA
        USD
        40305.82000000
        0.001511724673
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA (HOUSTON)
        L3I9ZG2KFGXZ61BMYR72
        BANK OF NOVA SCOTIA (HOUSTON)
        06417MVA0
        
          
        
        725000.00000000
        PA
        USD
        725012.78000000
        0.027192591736
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-12
          Floating
          1.44000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406RQ65
        
          
        
        2620.19000000
        PA
        USD
        2757.16000000
        0.000103411040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XLT9
        
          
        
        4309758.93000000
        PA
        USD
        4324937.90000000
        0.162212686238
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-11-25
          Floating
          4.47357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413Y2K6
        
          
        
        576.96000000
        PA
        USD
        619.87000000
        0.000023249068
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        N/A
        Palmer Square CLO 2021-2 Ltd
        69701XAE4
        
          
        
        7000000.00000000
        PA
        USD
        6479921.00000000
        0.243038262358
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-15
          Floating
          2.84429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHS86
        
          
        
        14585304.16000000
        PA
        USD
        14266088.01000000
        0.535069060349
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUST & NZ BANKING GROUP
        N/A
        AUST & NZ BANKING GROUP
        000000000
        
          
        
        600000.00000000
        PA
        USD
        599907.62000000
        0.022500352325
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-18
          Floating
          0.20000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAF8
        
          
          
        
        1472000.00000000
        PA
        USD
        1289691.81000000
        0.048371647814
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411RBH0
        
          
        
        17962.43000000
        PA
        USD
        19286.82000000
        0.000723378451
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410WKW7
        
          
        
        526.72000000
        PA
        USD
        565.82000000
        0.000021221849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - TRY
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2706.56000000
        -0.00010151321
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -655599.77000000
            USD
            11065390.55000000
            TRY
            2022-07-29
            -2706.56000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402QYY1
        
          
          
        
        942315.63000000
        PA
        USD
        1010741.05000000
        0.037909219647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413CNQ8
        
          
        
        24112.74000000
        PA
        USD
        25371.81000000
        0.000951604288
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397JR97
        
          
        
        839434.02000000
        PA
        USD
        879040.53000000
        0.032969612276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DBJ9
        
          
        
        924000.00000000
        PA
        USD
        771968.18000000
        0.028953717964
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L8QW0
        
          
        
        778652.48000000
        PA
        USD
        785469.24000000
        0.029460093606
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31378C2T8
        
          
          
        
        496.87000000
        PA
        USD
        499.60000000
        0.000018738178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TBC9
        
          
        
        2164000.00000000
        PA
        USD
        1830163.18000000
        0.068642762635
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL AUSTRALIA BANK LTD (NEW YORK)
        549300E2IPL06NDXMZ63
        NATIONAL AUSTRALIA BANK LTD (NEW YORK)
        63253TZ68
        
          
        
        725000.00000000
        PA
        USD
        724937.05000000
        0.027189751379
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-08
          Floating
          1.36000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - SGD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2033.93000000
        -0.00007628531
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -221646.39000000
            USD
            305095.21000000
            SGD
            2022-08-05
            -2033.93000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416XKS8
        
          
        
        384981.92000000
        PA
        USD
        397558.65000000
        0.014910978618
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAL6
        
          
          
        
        850000.00000000
        PA
        USD
        842129.00000000
        0.031585195072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-13
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GEORGIA POWER CO
        D981X4Z4RWS7PDMJUZ03
        Georgia Power Co
        373334KK6
        
          
          
        
        1505000.00000000
        PA
        USD
        1454131.69000000
        0.054539189471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GJJU4
        
          
        
        151834.27000000
        PA
        USD
        155720.59000000
        0.005840512809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY PROGRESS LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        26442UAC8
        
          
          
        
        479000.00000000
        PA
        USD
        408517.32000000
        0.015321998462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-10-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241KYP7
        
          
        
        50714.38000000
        PA
        USD
        53777.73000000
        0.002017007005
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DXC TECHNOLOGY CO
        549300DOVZ3EDJB7O259
        DXC Technology Co
        23355LAL0
        
          
          
        
        775000.00000000
        PA
        USD
        697025.03000000
        0.026142873055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409YBW6
        
          
        
        12654.14000000
        PA
        USD
        13503.69000000
        0.000506474284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHFF4
        
          
        
        3302.53000000
        PA
        USD
        3410.66000000
        0.000127921448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners XV
        549300VYCI9AZ4NZBX86
        Octagon Investment Partners XV Ltd
        67590EAS3
        
          
        
        4000000.00000000
        PA
        USD
        3870080.00000000
        0.145152621210
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-19
          Floating
          2.39429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHNSON & JOHNSON
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160BV5
        
          
          
        
        250000.00000000
        PA
        USD
        230725.12000000
        0.008653659859
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385XM87
        
          
          
        
        31289.70000000
        PA
        USD
        32215.13000000
        0.001208272325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GK2F2
        
          
          
        
        976489.68000000
        PA
        USD
        989161.73000000
        0.037099857861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KXB5
        
          
        
        4121.34000000
        PA
        USD
        4314.96000000
        0.000161838451
        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
        31415RL36
        
          
        
        3304.71000000
        PA
        USD
        3491.32000000
        0.000130946711
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QPDN1
        
          
        
        2352518.70000000
        PA
        USD
        2242155.88000000
        0.084095109957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Co
        N/A
        Triangle Re 2021-3 Ltd
        89600HAC3
        
          
        
        6500000.00000000
        PA
        USD
        6205913.35000000
        0.232761232264
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-02-25
          Floating
          3.82566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410FSS5
        
          
        
        29024.57000000
        PA
        USD
        31840.37000000
        0.001194216441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYERISCHE LANDESBANK (NEW YORK BRANCH)
        549300DJ6F1V4GISFC11
        BAYERISCHE LANDESBANK (NEW YORK BRANCH)
        0727MCTT4
        
          
        
        525000.00000000
        PA
        USD
        525002.72000000
        0.019690942035
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-27
          Floating
          1.69000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407RY99
        
          
        
        3443.13000000
        PA
        USD
        3522.14000000
        0.000132102657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        IndyMac INDX Mortgage Loan Trust 2006-AR2
        45661EAF1
        
          
        
        1761288.12000000
        PA
        USD
        1351335.45000000
        0.050683676488
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-25
          Floating
          2.04357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BJ8
        
          
          
        
        2880000.00000000
        PA
        USD
        2244561.70000000
        0.084185343513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403VRB7
        
          
        
        348.29000000
        PA
        USD
        369.16000000
        0.000013845848
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVERSOURCE ENERGY
        SJ7XXD41SQU3ZNWUJ746
        Eversource Energy
        30040WAN8
        
          
          
        
        925000.00000000
        PA
        USD
        827181.58000000
        0.031024571728
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416LHE9
        
          
        
        11692.57000000
        PA
        USD
        12074.22000000
        0.000452860065
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TD SYNNEX CORP
        5493004HI6PFLF46NS53
        TD SYNNEX Corp
        87162WAE0
        
          
          
        
        390000.00000000
        PA
        USD
        344100.95000000
        0.012905974774
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-09
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        N/A
        Palmer Square CLO 2013-2 Ltd
        69688AAS0
        
          
        
        4000000.00000000
        PA
        USD
        3749356.00000000
        0.140624703172
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-17
          Floating
          2.89429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YYW3
        
          
        
        5045637.45000000
        PA
        USD
        4903456.43000000
        0.183910811613
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-02-16
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHDC3
        
          
        
        483800.35000000
        PA
        USD
        498764.16000000
        0.018706829106
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDF6
        
          
          
        
        493000.00000000
        PA
        USD
        427064.95000000
        0.016017652585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XHCG0
        
          
        
        3970512.04000000
        PA
        USD
        3713489.68000000
        0.139279487992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAM3
        
          
          
        
        599000.00000000
        PA
        USD
        518576.27000000
        0.019449909275
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-02-21
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B5KY8
        
          
        
        10700000.00000000
        PA
        USD
        212809.63000000
        0.007981715006
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Variable
          1.84886500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6N61
        
          
        
        509.72000000
        PA
        USD
        559.07000000
        0.000020968681
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413YL41
        
          
        
        18453.20000000
        PA
        USD
        19987.18000000
        0.000749646407
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BHVB0
        
          
        
        2535871.64000000
        PA
        USD
        601035.31000000
        0.022542647874
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN NATURAL GAS CO
        5493007M02M6CT9EXE41
        Northern Natural Gas Co
        665501AM4
        
          
          
        
        611000.00000000
        PA
        USD
        456300.18000000
        0.017114159703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-10-16
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAE7
        
          
          
        
        492000.00000000
        PA
        USD
        431877.84000000
        0.016198166580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4UM3
        
          
        
        1875.04000000
        PA
        USD
        2061.20000000
        0.000077308113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413MA23
        
          
        
        544.60000000
        PA
        USD
        574.43000000
        0.000021544779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661EF0
        
          
          
        
        304000.00000000
        PA
        USD
        260195.68000000
        0.009758993348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-04-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GRN5
        
          
          
        
        28116.72000000
        PA
        USD
        30195.40000000
        0.001132519601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QQ4G4
        
          
        
        496170.50000000
        PA
        USD
        487785.30000000
        0.018295052010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCA5
        
          
          
        
        732000.00000000
        PA
        USD
        653980.20000000
        0.024528418081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-11-21
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379BCY2
        
          
        
        4745543.26000000
        PA
        USD
        476751.99000000
        0.017881232691
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-12-16
          Floating
          4.69071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417CJ63
        
          
        
        212680.33000000
        PA
        USD
        215089.25000000
        0.008067215259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MH83
        
          
        
        17311.04000000
        PA
        USD
        17488.06000000
        0.000655913507
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBP4
        
          
          
        
        836000.00000000
        PA
        USD
        753844.32000000
        0.028273957911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-12-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT US Long Bond Future
        000000000
        
          
          
        
        339.00000000
        NC
        USD
        -708007.03000000
        -0.02655476792
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-21
            47701882.03000000
            USD
            -708007.03000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711X5R1
        
          
        
        2374768.96000000
        PA
        USD
        2329343.67000000
        0.087365206766
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-03-25
          Floating
          3.72357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410MRV4
        
          
        
        341.67000000
        PA
        USD
        367.51000000
        0.000013783963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YH59
        
          
        
        51283.17000000
        PA
        USD
        53388.76000000
        0.002002418156
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CQ0
        
          
          
        
        1673000.00000000
        PA
        USD
        1262292.65000000
        0.047344005003
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          N/A
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6PL6
        
          
        
        6785.18000000
        PA
        USD
        7251.01000000
        0.000271959005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        5493000RGRVHYZAIY180
        SMB Private Education Loan Trust 2017-A
        78448WAD7
        
          
        
        1500000.00000000
        PA
        USD
        1434605.55000000
        0.053806834997
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-06-17
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WJK9
        
          
        
        2987.69000000
        PA
        USD
        3085.10000000
        0.000115710877
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AES CORP/THE
        2NUNNB7D43COUIRE5295
        AES Corp/The
        00130HCC7
        
          
          
        
        1283000.00000000
        PA
        USD
        1160928.97000000
        0.043542222133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413AJE4
        
          
        
        18604.64000000
        PA
        USD
        19741.04000000
        0.000740414591
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398RNT8
        
          
        
        3963276.18000000
        PA
        USD
        4115229.38000000
        0.154347282586
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AUTH4
        
          
        
        26775621.30000000
        PA
        USD
        3145778.05000000
        0.117986690121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-25
          Floating
          4.42643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK & CO INC
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933YBF1
        
          
          
        
        405000.00000000
        PA
        USD
        299858.25000000
        0.011246592054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-12-10
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-2
        35563PFA2
        
          
        
        711750.60000000
        PA
        USD
        676203.14000000
        0.025361919712
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2057-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEC ENERGY GROUP INC
        549300IGLYTZUK3PVP70
        WEC Energy Group Inc
        92939UAD8
        
          
          
        
        1683000.00000000
        PA
        USD
        1459939.17000000
        0.054757006918
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NARRAGANSETT ELECTRIC
        VAI0KZ806W8MCH0BCZ61
        Narragansett Electric Co/The
        631005BJ3
        
          
          
        
        188000.00000000
        PA
        USD
        176724.89000000
        0.006628307687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-09
          Fixed
          3.39500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES CORP
        5493003QENHHS261UR94
        Targa Resources Corp
        87612KAC6
        
          
          
        
        433000.00000000
        PA
        USD
        435124.87000000
        0.016319950862
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-07-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B12F0
        
          
        
        3964301.95000000
        PA
        USD
        467560.08000000
        0.017536477588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-25
          Floating
          4.62643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDV0
        
          
          
        
        4427600.00000000
        PA
        USD
        4285086.63000000
        0.160718010082
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-01-31
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661EJ2
        
          
          
        
        580000.00000000
        PA
        USD
        503583.54000000
        0.018887586517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC-GNMA
        S6XOOCT0IEG5ABCC6L87
        FHLMC-GNMA
        3133T4GF7
        
          
        
        9556.15000000
        PA
        USD
        9443.97000000
        0.000354208956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-25
          Floating
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2016-2 AA PTT
        N/A
        United Airlines 2016-2 Class AA Pass Through Trust
        90932EAA1
        
          
          
        
        3580445.40000000
        PA
        USD
        3273482.72000000
        0.122776427695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-07
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAL5
        
          
          
        
        789000.00000000
        PA
        USD
        671073.46000000
        0.025169524078
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-20
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE HOLDINGS FINA
        549300D2L6J4NC1QVZ22
        Blackstone Holdings Finance Co LLC
        09261BAD2
        
          
          
        
        1061000.00000000
        PA
        USD
        844219.72000000
        0.031663610373
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-30
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828Z78
        
          
          
        
        139400.00000000
        PA
        USD
        130172.92000000
        0.004882312652
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-01-31
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374KA37
        
          
        
        481054.32000000
        PA
        USD
        53861.97000000
        0.002020166541
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-02-16
          Floating
          5.26071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378DZV0
        
          
        
        73308.47000000
        PA
        USD
        4871.11000000
        0.000182697614
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAP4
        
          
          
        
        1625000.00000000
        PA
        USD
        1412589.17000000
        0.052981080680
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        160.51000000
        0.000006020146
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -11094.00000000
            ILS
            3341.17000000
            USD
            2022-07-29
            160.51000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419DJQ5
        
          
        
        5560.39000000
        PA
        USD
        5629.19000000
        0.000211130437
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6VK1
        
          
        
        26001.65000000
        PA
        USD
        27969.85000000
        0.001049047317
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELEMENT FLEET MANAGEMENT
        5493000PGBS1C22ELQ16
        Element Fleet Management Corp
        286181AD4
        
          
          
        
        1400000.00000000
        PA
        USD
        1376626.08000000
        0.051632236010
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-06-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DSLA Mortgage Loan Trust
        N/A
        DSLA Mortgage Loan Trust 2004-AR3
        23332UBF0
        
          
        
        112215.28000000
        PA
        USD
        104652.98000000
        0.003925152545
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-07-19
          Variable
          2.69947300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBZ5
        
          
          
        
        530000.00000000
        PA
        USD
        420373.69000000
        0.015766687766
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2060-01-31
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412YFP2
        
          
          
        
        55065.29000000
        PA
        USD
        59019.02000000
        0.002213588725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKANDINAVISKA ENSKILDA BANKEN AB
        N/A
        SKANDINAVISKA ENSKILDA BANKEN AB (NEW YORK)
        000000000
        
          
        
        1670000.00000000
        PA
        USD
        1670000.00000000
        0.062635624437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          1.56000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        DUKE ENERGY PROGRESS LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        144141DB1
        
          
          
        
        250000.00000000
        PA
        USD
        226581.89000000
        0.008498262375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCK0
        
          
          
        
        2030000.00000000
        PA
        USD
        1899468.34000000
        0.071242147050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-23
          Fixed
          0.96900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        05530QAP5
        
          
          
        
        1250000.00000000
        PA
        USD
        1184582.38000000
        0.044429375490
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-16
          Fixed
          4.44800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARGILL INC
        QXZYQNMR4JZ5RIRN4T31
        Cargill Inc
        141781BS2
        
          
          
        
        831000.00000000
        PA
        USD
        693698.06000000
        0.026018090514
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-10
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASB BANK LIMITED
        549300IBZWZL1KTPF918
        ASB Bank Ltd
        00216LAD5
        
          
          
        
        914000.00000000
        PA
        USD
        819888.11000000
        0.030751020202
        Long
        DBT
        CORP
        NZ
        N
        
        2
        
          2026-10-22
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASSE3
        
          
          
        
        4068.76000000
        PA
        USD
        4191.04000000
        0.000157190663
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128L4R71
        
          
        
        161758.47000000
        PA
        USD
        176124.75000000
        0.006605798619
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AE8
        
          
          
        
        383000.00000000
        PA
        USD
        304483.05000000
        0.011420051477
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2032-02-11
          Fixed
          2.09500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMONDBACK ENERGY INC
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAN9
        
          
          
        
        677000.00000000
        PA
        USD
        620743.89000000
        0.023281845009
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AEB93
        
          
        
        16747.50000000
        PA
        USD
        16841.52000000
        0.000631664144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2019-GC40
        36257HBC9
        
          
        
        6930000.00000000
        PA
        USD
        6377662.37000000
        0.239202913170
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-10
          Variable
          3.66801300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411AEE1
        
          
        
        3963.63000000
        PA
        USD
        4154.24000000
        0.000155810429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419CQN6
        
          
        
        20850.89000000
        PA
        USD
        21531.57000000
        0.000807570857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394FFH3
        
          
        
        137316.69000000
        PA
        USD
        171178.13000000
        0.006420268899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-25
          Floating
          17.50582300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBL5
        
          
          
        
        1180000.00000000
        PA
        USD
        1160676.33000000
        0.043532746526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CA5
        
          
          
        
        856000.00000000
        PA
        USD
        730685.88000000
        0.027405369078
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ADT39
        
          
        
        227680.00000000
        PA
        USD
        234803.49000000
        0.008806624680
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RBC CAPITAL MARKETS, LLC
        549300LCO2FLSSVFFR64
        RBC DOMINION SECURITIES INC
        000000000
        
          
        
        22797493.00000000
        PA
        USD
        22797493.00000000
        0.855051023748
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          1.55000000
          2022-07-01
          
            
              4265822.81500687
              USD
              2565023.58923743
              USD
              UST
            
            
              42666197.10493678
              USD
              20688419.50897103
              USD
              AMBS
            
          
        
        
          
          N
          N
        
      
      
        SMALL BUSINESS ADMINISTRATION
        N/A
        United States Small Business Administration
        83162CRL9
        
          
        
        111730.59000000
        PA
        USD
        114717.79000000
        0.004302646952
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2027-12-01
          Fixed
          5.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE CIB (NEW YORK)
        254900BN8XS34XZDJ223
        CREDIT AGRICOLE CIB (NEW YORK)
        22532XQY7
        
          
        
        725000.00000000
        PA
        USD
        725004.81000000
        0.027192292811
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-04
          Floating
          1.65000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Starwood Mortgage Residential
        N/A
        Starwood Mortgage Residential Trust 2020-1
        85573AAD7
        
          
        
        698000.00000000
        PA
        USD
        643258.58000000
        0.024126289121
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          2.87800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER HLDGS CORP
        529900IKZG65COT1D505
        Schlumberger Holdings Corp
        806851AJ0
        
          
          
        
        500000.00000000
        PA
        USD
        498228.48000000
        0.018686737698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAJ9
        
          
          
        
        1100000.00000000
        PA
        USD
        1106702.66000000
        0.041508390524
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KCB4
        
          
          
        
        1215000.00000000
        PA
        USD
        976255.32000000
        0.036615785376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2082-03-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJL4
        
          
          
        
        322000.00000000
        PA
        USD
        257503.01000000
        0.009658001093
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-24
          Fixed
          1.92200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FLORIDA POWER & LIGHT CO
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081GE1
        
          
          
        
        359000.00000000
        PA
        USD
        267739.38000000
        0.010041930091
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-12-04
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RIO TINTO FIN USA LTD
        213800RX94ZKEZXPKH58
        Rio Tinto Finance USA Ltd
        767201AT3
        
          
          
        
        143000.00000000
        PA
        USD
        104867.89000000
        0.003933213038
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2051-11-02
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAH6
        
          
          
        
        537000.00000000
        PA
        USD
        479305.94000000
        0.017977022064
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-09-02
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BL1
        
          
          
        
        1067000.00000000
        PA
        USD
        1048083.75000000
        0.039309808469
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030674
        
          
        
        4390000.00000000
        PA
        USD
        4139975.80000000
        0.155275430771
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VCQ5
        
          
          
        
        1429000.00000000
        PA
        USD
        1371341.09000000
        0.051434015262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-11-01
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A8ZR4
        
          
        
        128544.92000000
        PA
        USD
        129025.94000000
        0.004839293605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YWA1
        
          
        
        60836.18000000
        PA
        USD
        62827.04000000
        0.002356413701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        131856.45000000
        0.004945455737
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -158691496.61000000
            THB
            4626857.52000000
            USD
            2022-08-05
            131856.45000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411E2C0
        
          
        
        48108.86000000
        PA
        USD
        51693.35000000
        0.001938829494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BR2
        
          
          
        
        282000.00000000
        PA
        USD
        228597.50000000
        0.008573860573
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-03
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP TEXAS INC
        5493001L78U618KXNZ75
        AEP Texas Inc
        0010EPAN8
        
          
          
        
        1198000.00000000
        PA
        USD
        1190615.91000000
        0.044655671250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3622A2CN0
        
          
        
        17936.31000000
        PA
        USD
        18978.88000000
        0.000711828742
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-09-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        ACE Securities Corp Mortgage Loan Trust Series 2007-D1
        00083BAB1
        
          
        
        1211200.64000000
        PA
        USD
        986692.25000000
        0.037007236650
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-02-25
          Variable
          6.33600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MLB1
        
          
          
        
        553.49000000
        PA
        USD
        594.14000000
        0.000022284029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANSB0
        
          
        
        13308.98000000
        PA
        USD
        13408.74000000
        0.000502913055
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416NHN5
        
          
        
        12780.79000000
        PA
        USD
        12969.90000000
        0.000486453763
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31375JFS4
        
          
        
        4435.40000000
        PA
        USD
        4562.81000000
        0.000171134403
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCE3
        
          
          
        
        452000.00000000
        PA
        USD
        430920.32000000
        0.016162253488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-11
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVNET INC
        XJI53DCPL7QABOWK4Z75
        Avnet Inc
        053807AV5
        
          
          
        
        598000.00000000
        PA
        USD
        587555.71000000
        0.022037077118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAF4
        
          
          
        
        495000.00000000
        PA
        USD
        399781.22000000
        0.014994339133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335BXB7
        
          
        
        5740399.65000000
        PA
        USD
        5442058.80000000
        0.204111827043
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCJ3
        
          
          
        
        1465000.00000000
        PA
        USD
        1261259.58000000
        0.047305258305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          2.06900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust
        92925GAC7
        
          
        
        792744.42000000
        PA
        USD
        713191.25000000
        0.026749209153
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Variable
          2.38744800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YES0
        
          
          
        
        2549000.00000000
        PA
        USD
        2471159.94000000
        0.092684219117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-04-20
          Fixed
          5.29700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY ARKANSAS LLC
        549300A0I5ONUIFMLP35
        Entergy Arkansas LLC
        29366MAA6
        
          
          
        
        512000.00000000
        PA
        USD
        473031.91000000
        0.017741706024
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LVC76
        
          
        
        11572.32000000
        PA
        USD
        11751.77000000
        0.000440766139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31400UTM6
        
          
        
        40394.61000000
        PA
        USD
        42368.09000000
        0.001589072918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASTRAZENECA FINANCE LLC
        549300C3HATU4Q460S18
        Astrazeneca Finance LLC
        04636NAE3
        
          
          
        
        862000.00000000
        PA
        USD
        761251.37000000
        0.028551769409
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-05-28
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PPG INDUSTRIES INC
        549300BKPEP01R3V6C59
        PPG Industries Inc
        693506BU0
        
          
          
        
        1333000.00000000
        PA
        USD
        1199115.91000000
        0.044974475326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACK HILLS CORP
        3MGELCRSTNSAMJ962671
        Black Hills Corp
        092113AR0
        
          
          
        
        851000.00000000
        PA
        USD
        763354.15000000
        0.028630637037
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TH1
        
          
          
        
        54534300.00000000
        PA
        USD
        53239110.38000000
        1.996805343195
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-05-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BJ9
        
          
          
        
        1766000.00000000
        PA
        USD
        1762355.58000000
        0.066099546247
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.51900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Mortgage Pass-Th
        N/A
        First Horizon Mortgage Pass-Through Trust 2005-AR3
        32051GQL2
        
          
          
        
        19542.09000000
        PA
        USD
        13303.37000000
        0.000498961010
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Variable
          3.21345300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKANDINAVISKA ENSKILDA
        N/A
        SKANDINAVISKA ENSKILDA
        000000000
        
          
        
        725000.00000000
        PA
        USD
        724988.44000000
        0.027191678831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-20
          Floating
          0.18000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410BDV3
        
          
        
        9454.07000000
        PA
        USD
        10102.21000000
        0.000378897144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AUN47
        
          
        
        4038292.01000000
        PA
        USD
        718474.74000000
        0.026947373642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-15
          Floating
          5.27600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133B3WP8
        
          
        
        4793698.66000000
        PA
        USD
        4331144.18000000
        0.162445461222
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        62068.35000000
        0.002327958000
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-07-14
            0.00000000
            USD
            0.00000000
            USD
            5694000.00000000
            USD
            62068.35000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396LFD7
        
          
        
        135499.98000000
        PA
        USD
        145846.98000000
        0.005470189619
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GFD1
        
          
          
        
        366000.00000000
        PA
        USD
        405932.63000000
        0.015225056143
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-10-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EBZN8
        
          
        
        33711.70000000
        PA
        USD
        34109.90000000
        0.001279338255
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DCE9
        
          
        
        4451000.00000000
        PA
        USD
        3670693.63000000
        0.137674363852
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-27
          Fixed
          2.03788000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHU6
        
          
          
        
        1355000.00000000
        PA
        USD
        1193891.72000000
        0.044778534965
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-23
          Fixed
          4.07800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WRP9
        
          
        
        7592751.29000000
        PA
        USD
        563696.49000000
        0.021142204577
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EGSJ4
        
          
        
        11968.03000000
        PA
        USD
        12862.87000000
        0.000482439457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NML6
        
          
        
        304.92000000
        PA
        USD
        305.24000000
        0.000011448441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468Y8
        
          
          
        
        983000.00000000
        PA
        USD
        684518.12000000
        0.025673784362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-01-25
          Fixed
          2.80200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Structured Produc
        N/A
        Bear Stearns Structured Products Inc Trust 2007-R6
        07402FAA3
        
          
        
        93014.69200000
        PA
        USD
        77080.64000000
        0.002891014382
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-26
          Variable
          3.49035000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY ARKANSAS LLC
        549300A0I5ONUIFMLP35
        Entergy Arkansas LLC
        29366MAB4
        
          
          
        
        699000.00000000
        PA
        USD
        485937.19000000
        0.018225736127
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRETE 2021-ML08 TRUST
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily ML Certificates
        30318LAK3
        
          
        
        10482280.37860000
        PA
        USD
        1688882.48000000
        0.063343837566
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-25
          Variable
          1.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ELM75
        
          
        
        20451.19000000
        PA
        USD
        21119.12000000
        0.000792101358
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
          
        
        4000000.00000000
        PA
        USD
        4012483.88000000
        0.150493672675
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36176SAL4
        
          
        
        46792.32000000
        PA
        USD
        48527.85000000
        0.001820103106
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BV7
        
          
          
        
        1000000.00000000
        PA
        USD
        1001267.35000000
        0.037553895626
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DAU5
        
          
        
        2125000.00000000
        PA
        USD
        1579077.51000000
        0.059225452618
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416PXM4
        
          
        
        69722.07000000
        PA
        USD
        71990.03000000
        0.002700084121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOFA SECURITIES, INC.
        549300HN4UKV1E2R3U73
        BOFA SECURITIES INC
        000000000
        
          
        
        1881495.00000000
        PA
        USD
        1881495.00000000
        0.070568032455
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          1.45000000
          2022-07-01
          
            
              2011858.14406500
              USD
              1919125.06364303
              USD
              UST
            
          
        
        
          
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296QZD4
        
          
        
        74429.88000000
        PA
        USD
        78141.27000000
        0.002930794754
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX
        46637WAE3
        
          
        
        4020488.32000000
        PA
        USD
        6.03000000
        0.000000226163
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2045-06-15
          Variable
          0.55182700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKE-TWO INTERACTIVE SOF
        BOMSTHHJK882EWYX3334
        Take-Two Interactive Software Inc
        874054AH2
        
          
          
        
        455000.00000000
        PA
        USD
        427642.92000000
        0.016039330137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YWB9
        
          
          
        
        11001.39000000
        PA
        USD
        11193.65000000
        0.000419833088
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410LDQ2
        
          
        
        3418.82000000
        PA
        USD
        3530.27000000
        0.000132407584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417Y2Y2
        
          
        
        10573.31000000
        PA
        USD
        10919.67000000
        0.000409557095
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CJM9
        
          
        
        13400.13000000
        PA
        USD
        14408.14000000
        0.000540396913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2HT9
        
          
        
        162642.79000000
        PA
        USD
        167965.50000000
        0.006299774836
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAX3
        
          
          
        
        712000.00000000
        PA
        USD
        570682.48000000
        0.021404223646
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2032-01-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418M5H1
        
          
        
        206358.96000000
        PA
        USD
        221834.67000000
        0.008320211423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSL FINANCE PLC
        2549007CCNBNAF4HBC02
        CSL Finance PLC
        12661PAC3
        
          
          
        
        1168000.00000000
        PA
        USD
        1146241.44000000
        0.042991346317
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2032-04-27
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VBD5
        
          
          
        
        755000.00000000
        PA
        USD
        645579.01000000
        0.024213320008
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133THLK1
        
          
          
        
        116449.39000000
        PA
        USD
        122651.02000000
        0.004600193548
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORTUNE BRANDS HOME & SE
        54930032LHW54PQUJD44
        Fortune Brands Home & Security Inc
        34964CAF3
        
          
          
        
        347000.00000000
        PA
        USD
        307294.20000000
        0.011525487486
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        ULTRA LONG TERM US TREASURY BOND
        000000000
        
          
          
        
        525.00000000
        NC
        USD
        -1665519.53000000
        -0.06246757830
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-21
            82695988.28000000
            USD
            -1665519.53000000
          
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAQ3
        
          
          
        
        665000.00000000
        PA
        USD
        623023.67000000
        0.023367351263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AAW33
        
          
        
        2911551.23000000
        PA
        USD
        373465.40000000
        0.014007328463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-15
          Floating
          5.22600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KML2
        
          
        
        5776.06000000
        PA
        USD
        6238.01000000
        0.000233965060
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJA8
        
          
          
        
        291000.00000000
        PA
        USD
        251512.54000000
        0.009433320357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-20
          Fixed
          4.08300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418NET3
        
          
          
        
        65424.78000000
        PA
        USD
        67563.57000000
        0.002534063710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411WVC8
        
          
        
        8940.25000000
        PA
        USD
        9542.05000000
        0.000357887580
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BK5
        
          
          
        
        638000.00000000
        PA
        USD
        456931.71000000
        0.017137846096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2060-02-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -30421.56000000
        -0.00114100204
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-07-14
            0.00000000
            USD
            0.00000000
            USD
            2163400.00000000
            USD
            -30421.56000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412MKD9
        
          
        
        4310.21000000
        PA
        USD
        4717.02000000
        0.000176918259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        DUALDIGI AUDUSD 0.6728 USDJPY 126.25
        000000000
        
          
        
        538000.00000000
        NC
        USD
        3892.47000000
        0.000145992388
        N/A
        DFE
        CORP
        GB
        
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            Call
            Purchased
            
              
                
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                  
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                    JPY CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    GB
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2022-08-10
                
              
            
            1.00000000
            USD
            0.67280000
            USD
            2022-08-10
            XXXX
            -36457.53000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412QHQ5
        
          
        
        156046.44000000
        PA
        USD
        161135.25000000
        0.006043597007
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCY3
        
          
          
        
        425000.00000000
        PA
        USD
        414063.08000000
        0.015529999743
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-03-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust 2005-8
        17307GH35
        
          
          
        
        1148871.31000000
        PA
        USD
        1130993.03000000
        0.042419433933
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BMS4
        
          
        
        9213.74620000
        PA
        USD
        10108.15000000
        0.000379119932
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412YCU4
        
          
        
        31557.60000000
        PA
        USD
        33234.31000000
        0.001246498059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50076QAE6
        
          
          
        
        296000.00000000
        PA
        USD
        270921.96000000
        0.010161297088
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-06-04
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406FT76
        
          
        
        22790.72000000
        PA
        USD
        23744.09000000
        0.000890554433
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON BANCSHARES
        549300XTVCVV9I7B5T19
        Huntington Bancshares Inc/OH
        446150BA1
        
          
          
        
        489000.00000000
        PA
        USD
        488017.94000000
        0.018303777490
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-05-17
          Fixed
          5.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ENY86
        
          
        
        1450920.19000000
        PA
        USD
        1386961.47000000
        0.052019878888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5R93
        
          
          
        
        73169.26000000
        PA
        USD
        78741.56000000
        0.002953309448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419EJT7
        
          
        
        136873.23000000
        PA
        USD
        141334.60000000
        0.005300946662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412M4W5
        
          
        
        311.96000000
        PA
        USD
        335.22000000
        0.000012572882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBUBS Mortgage Trust
        N/A
        DBUBS 2011-LC2 Mortgage Trust
        23305XAL5
        
          
        
        2939416.88000000
        PA
        USD
        2936165.88000000
        0.110124900206
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2044-07-10
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        Mosaic Solar Loan Trust 2018-2-GS
        61946LAB8
        
          
        
        857651.84000000
        PA
        USD
        832692.63000000
        0.031231271164
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-02-22
          Fixed
          4.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410WKM9
        
          
        
        18898.02000000
        PA
        USD
        19953.57000000
        0.000748385818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAR2
        
          
          
        
        1094000.00000000
        PA
        USD
        892725.74000000
        0.033482894716
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-11-18
          Fixed
          2.52800000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FE2J8
        
          
        
        1712235.37000000
        PA
        USD
        1502052.14000000
        0.056336511213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XLVIII Ltd
        55821UAE4
        
          
        
        2090000.00000000
        PA
        USD
        1970232.55000000
        0.073896255123
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-19
          Floating
          3.04429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36297A3M3
        
          
        
        90509.00000000
        PA
        USD
        95936.13000000
        0.003598215214
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410WXF0
        
          
        
        687.19000000
        PA
        USD
        753.26000000
        0.000028252042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407PL97
        
          
        
        135386.97000000
        PA
        USD
        134281.97000000
        0.005036428168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Floating
          1.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241LKK1
        
          
        
        8388.32000000
        PA
        USD
        8874.44000000
        0.000332847958
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128L45F7
        
          
        
        5624.99000000
        PA
        USD
        6033.05000000
        0.000226277756
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BK4
        
          
          
        
        2000000.00000000
        PA
        USD
        1900879.54000000
        0.071295076028
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-13
          Fixed
          4.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BT9
        
          
          
        
        571000.00000000
        PA
        USD
        487595.37000000
        0.018287928426
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-07
          Fixed
          2.62300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAJ2
        
          
          
        
        796000.00000000
        PA
        USD
        679212.10000000
        0.025474774855
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2027-09-02
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBEMARLE CORP
        HDBLS2Q6GV1LSKQPBS54
        Albemarle Corp
        012653AE1
        
          
          
        
        217000.00000000
        PA
        USD
        212195.86000000
        0.007958694727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-06-01
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620AQ7G2
        
          
        
        1304.79000000
        PA
        USD
        1379.41000000
        0.000051736650
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALTIMORE GAS & ELECTRIC
        88V8C2WYSOD1SPSSLH72
        Baltimore Gas and Electric Co
        059165EN6
        
          
          
        
        912000.00000000
        PA
        USD
        777307.08000000
        0.029153960679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129344N9
        
          
        
        7162.27000000
        PA
        USD
        7623.46000000
        0.000285928249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan As
        N/A
        Chase Funding Trust Series 2002-4
        161546DQ6
        
          
          
        
        40417.36000000
        PA
        USD
        38938.25000000
        0.001460432097
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-25
          Floating
          2.36357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HGR74
        
          
        
        125727.70000000
        PA
        USD
        125747.46000000
        0.004716329747
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP IRS USD
        000000000
        
          
        
        12484500.00000000
        NC
        USD
        -100755.98000000
        -0.00377899025
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    GB
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2057-06-16
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            0.00000000
            USD
            2027-06-14
            XXXX
            -100755.98000000
          
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM Re-REMIC Trust 2021-FRR1
        364614AC1
        
          
        
        6158000.00000000
        PA
        USD
        4786069.96000000
        0.179508072182
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KYNDRYL HOLDINGS INC
        549300LQ4LWX2R8ZV130
        Kyndryl Holdings Inc
        50155QAA8
        
          
          
        
        564000.00000000
        PA
        USD
        475182.85000000
        0.017822379959
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620ARHX2
        
          
        
        11237.32000000
        PA
        USD
        11648.46000000
        0.000436891356
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-09-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B2BP4
        
          
        
        3656549.71000000
        PA
        USD
        3566224.89000000
        0.133756121478
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAD5
        
          
          
        
        399000.00000000
        PA
        USD
        374961.19000000
        0.014063430105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-06-15
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIZENS FINANCIAL GROUP
        2138004JDDA4ZQUPFW65
        Citizens Financial Group Inc
        75524RAA7
        
          
          
        
        2000000.00000000
        PA
        USD
        2004809.58000000
        0.075193113725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-28
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFP9
        
          
          
        
        1645000.00000000
        PA
        USD
        1624629.88000000
        0.060933956295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-21
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BIO-RAD LABS
        549300ZC1GPV35XYDK53
        Bio-Rad Laboratories Inc
        090572AR9
        
          
          
        
        226000.00000000
        PA
        USD
        213455.85000000
        0.008005952367
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406L3C0
        
          
          
        
        61378.19000000
        PA
        USD
        61025.02000000
        0.002288826487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Floating
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833AL4
        
          
          
        
        2000000.00000000
        PA
        USD
        1844086.10000000
        0.069164960712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-05-04
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711X3H5
        
          
          
        
        4219872.89000000
        PA
        USD
        4176948.34000000
        0.156662136238
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-03-25
          Floating
          3.62357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CET4
        
          
          
        
        12154900.00000000
        PA
        USD
        11926520.85000000
        0.447320407667
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-05-31
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396TUX9
        
          
          
        
        541098.42000000
        PA
        USD
        55118.07000000
        0.002067278282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-15
          Floating
          5.16100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411FKX1
        
          
        
        1393.51000000
        PA
        USD
        1496.42000000
        0.000056125270
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACK HILLS CORP
        3MGELCRSTNSAMJ962671
        Black Hills Corp
        092113AT6
        
          
          
        
        574000.00000000
        PA
        USD
        479991.92000000
        0.018002750679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBF0
        
          
          
        
        1231997.26000000
        PA
        USD
        1287823.61000000
        0.048301578429
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-04-25
          Floating
          7.32357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ABQK2
        
          
        
        5374767.53000000
        PA
        USD
        838097.18000000
        0.031433976172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          Floating
          4.52643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416Q6H3
        
          
        
        61565.21000000
        PA
        USD
        63572.94000000
        0.002384389697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RFM FREDDIE V FING 3.75
        N/A
        RFM FREDDIE V FING 3.75
        000000000
        
          
        
        8200000.00000000
        PA
        USD
        8200000.00000000
        0.307552167895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-05-27
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade RE 2021-3 Ltd
        078777AD1
        
          
        
        3300000.00000000
        PA
        USD
        2980444.50000000
        0.111785630154
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-09-25
          Floating
          2.47566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QSEF1
        
          
        
        602851.70000000
        PA
        USD
        590173.97000000
        0.022135278525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414EQZ0
        
          
          
        
        39768.53000000
        PA
        USD
        42729.91000000
        0.001602643470
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MP22
        
          
        
        1042.16000000
        PA
        USD
        1143.31000000
        0.000042881398
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NBN CO LTD
        2549007CRZ2NT7S96A24
        NBN Co Ltd
        62878U2D3
        
          
          
        
        550000.00000000
        PA
        USD
        488674.57000000
        0.018328405292
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-01-08
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        SUMITOMO MITSUI TR BK LT
        5493006GGLR4BTEL8O61
        Sumitomo Mitsui Trust Bank Ltd
        86563VAT6
        
          
          
        
        1234000.00000000
        PA
        USD
        1120542.15000000
        0.042027459445
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-09-12
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-LTV2
        46651AAT9
        
          
        
        32919.69000000
        PA
        USD
        32703.98000000
        0.001226607310
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411LK26
        
          
          
        
        42872.66000000
        PA
        USD
        46998.92000000
        0.001762758504
        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
        31416CEK8
        
          
        
        21420.25000000
        PA
        USD
        23031.79000000
        0.000863838651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
        92922F4V7
        
          
        
        961088.65000000
        PA
        USD
        915657.89000000
        0.034342996234
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-25
          Floating
          2.60357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M44X8
        
          
        
        6126.87000000
        PA
        USD
        6560.69000000
        0.000246067613
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO BANK NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        00084DAV2
        
          
          
        
        600000.00000000
        PA
        USD
        481328.53000000
        0.018052882057
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2037-03-13
          Fixed
          3.32400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA BANK ABP
        529900ODI3047E2LIV03
        Nordea Bank Abp
        65559CAD3
        
          
          
        
        1470000.00000000
        PA
        USD
        1086340.78000000
        0.040744690483
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          N/A
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31395N2N6
        
          
        
        1688696.68000000
        PA
        USD
        242103.12000000
        0.009080407245
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-25
          Floating
          5.57643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJKN9
        
          
          
        
        2901.11000000
        PA
        USD
        3121.66000000
        0.000117082109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A1T92
        
          
        
        81050.00000000
        PA
        USD
        83701.30000000
        0.003139331252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410X3E4
        
          
        
        469.28000000
        PA
        USD
        512.44000000
        0.000019219760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HESS CORP
        UASVRYNXNK17ULIGK870
        Hess Corp
        42809HAD9
        
          
          
        
        2306000.00000000
        PA
        USD
        2251052.31000000
        0.084428782681
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAE2
        
          
          
        
        1000000.00000000
        PA
        USD
        882607.93000000
        0.033103412472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAC1
        
          
          
        
        673000.00000000
        PA
        USD
        537376.82000000
        0.020155049508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDM0
        
          
          
        
        4476400.00000000
        PA
        USD
        4324971.80000000
        0.162213957704
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-30
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GVR2
        
          
          
        
        2500000.00000000
        PA
        USD
        2484743.10000000
        0.093193674032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6NU8
        
          
        
        77959.07000000
        PA
        USD
        83869.34000000
        0.003145633821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405AYL1
        
          
        
        3799.05000000
        PA
        USD
        3908.65000000
        0.000146599241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407PLG1
        
          
        
        369.25000000
        PA
        USD
        388.48000000
        0.000014570471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135CJ3
        
          
          
        
        540000.00000000
        PA
        USD
        499822.19000000
        0.018746511963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-13
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398SWY5
        
          
        
        10644523.83000000
        PA
        USD
        1304978.70000000
        0.048945003444
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-25
          Floating
          4.40643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL (CHICAGO)
        NQQ6HPCNCCU6TUTQYE16
        BANK OF MONTREAL (CHICAGO)
        06367CRW9
        
          
        
        400000.00000000
        PA
        USD
        399988.80000000
        0.015002124704
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-25
          Floating
          1.66000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402C7G1
        
          
        
        62768.51000000
        PA
        USD
        63410.88000000
        0.002378311416
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Floating
          1.99600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJZ3
        
          
          
        
        2501000.00000000
        PA
        USD
        2144089.29000000
        0.080416988939
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-14
          Fixed
          2.08700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KND7
        
          
        
        1000000.00000000
        PA
        USD
        860024.30000000
        0.032256382671
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-11-25
          Floating
          4.57566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRITON CONTAINER
        549300O4LZFLCX53XZ54
        Triton Container International Ltd
        89680YAC9
        
          
          
        
        702000.00000000
        PA
        USD
        568187.65000000
        0.021310651649
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2031-06-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALIFORNIA ST UNIV REVENUE
        N/A
        California State University
        13077CTM6
        
          
        
        500000.00000000
        PA
        USD
        566336.75000000
        0.021241231124
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-01
          Fixed
          6.43400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31288VRT8
        
          
        
        325.07000000
        PA
        USD
        322.95000000
        0.000012112679
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-01
          Floating
          2.36300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAP6
        
          
          
        
        710000.00000000
        PA
        USD
        579692.91000000
        0.021742172095
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-21
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140MGMF5
        
          
        
        2665359.65000000
        PA
        USD
        2578824.62000000
        0.096722329573
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468U6
        
          
          
        
        802000.00000000
        PA
        USD
        631638.38000000
        0.023690457694
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-13
          Fixed
          1.79400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
          
        
        284000.00000000
        PA
        USD
        265616.95000000
        0.009962325463
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NJK2
        
          
        
        28415.02000000
        PA
        USD
        29056.40000000
        0.001089799855
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405RDJ2
        
          
        
        136558.72000000
        PA
        USD
        140309.53000000
        0.005262500015
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Floating
          2.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411WZQ3
        
          
        
        608.25000000
        PA
        USD
        642.50000000
        0.000024097837
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419EZG7
        
          
        
        116775.47000000
        PA
        USD
        119853.69000000
        0.004495275876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31384LXE9
        
          
        
        56048.34000000
        PA
        USD
        58933.07000000
        0.002210365053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        549300AT2084FJB5UN46
        Morgan Stanley Mortgage Loan Trust 2005-5AR
        61748HLP4
        
          
        
        2000000.00000000
        PA
        USD
        2067778.40000000
        0.077554845078
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          3.42357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        JPMBB Commercial Mortgage Securities Trust 2015-C28
        46644FAF8
        
          
        
        1982284.73000000
        PA
        USD
        36005.82000000
        0.001350447316
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Variable
          1.09458500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBV7
        
          
          
        
        594000.00000000
        PA
        USD
        425872.17000000
        0.015972915747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-11-19
          Fixed
          2.52500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CURRENCY CONTRACT - PEN
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -16017.29000000
        -0.00060075027
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1654543.63000000
            USD
            6295765.68000000
            PEN
            2022-08-05
            -16017.29000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XEP5
        
          
          
        
        2549826.60000000
        PA
        USD
        2606288.94000000
        0.097752416299
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-07-25
          Floating
          5.17357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        GSAMP Trust 2007-FM1
        3622MAAB7
        
          
        
        103805.28000000
        PA
        USD
        55064.82000000
        0.002065281068
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          1.69357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407HKP0
        
          
        
        31254.01000000
        PA
        USD
        33222.70000000
        0.001246062610
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WE4G1
        
          
        
        1024365.66000000
        PA
        USD
        1005072.86000000
        0.037696626461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AK1
        
          
          
        
        780000.00000000
        PA
        USD
        648545.48000000
        0.024324581506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31386TFM2
        
          
          
        
        273.31000000
        PA
        USD
        293.69000000
        0.000011015243
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEC5
        
          
          
        
        1204000.00000000
        PA
        USD
        1058105.48000000
        0.039685687101
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-20
          Fixed
          1.51200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335HXD0
        
          
        
        1077.59000000
        PA
        USD
        1120.78000000
        0.000042036380
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AV5M7
        
          
        
        8474586.27000000
        PA
        USD
        1855974.22000000
        0.069610840843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AUUY5
        
          
        
        7447406.70000000
        PA
        USD
        865234.50000000
        0.032451798318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-25
          Floating
          5.02643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418VNK4
        
          
        
        17245.36000000
        PA
        USD
        17761.49000000
        0.000666168872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06055HAB9
        
          
          
        
        1419000.00000000
        PA
        USD
        1371995.63000000
        0.051458564676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2004-HYB9
        12669GHG9
        
          
          
        
        13472.72000000
        PA
        USD
        13487.30000000
        0.000505859555
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-20
          Variable
          2.52037600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCG4
        
          
          
        
        16997000.00000000
        PA
        USD
        16120592.19000000
        0.604624765340
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-06-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DAG6
        
          
        
        2328000.00000000
        PA
        USD
        2250252.60000000
        0.084398788468
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBE2
        
          
          
        
        1385000.00000000
        PA
        USD
        1370158.49000000
        0.051389660239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407JZK1
        
          
        
        11839.43000000
        PA
        USD
        11791.03000000
        0.000442238638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Floating
          1.71100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        842587DD6
        
          
          
        
        780000.00000000
        PA
        USD
        787209.53000000
        0.029525365553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Variable
          5.11300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620A3S88
        
          
        
        36662.03000000
        PA
        USD
        38594.90000000
        0.001447554288
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-09-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137A1HA4
        
          
        
        7879141.12000000
        PA
        USD
        514292.03000000
        0.019289223019
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-15
          Floating
          3.17600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CER8
        
          
          
        
        9502000.00000000
        PA
        USD
        9417001.66000000
        0.353197472635
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-05-31
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416SQL8
        
          
        
        4546.74000000
        PA
        USD
        4695.91000000
        0.000176126500
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2004-22
        12669F6Z1
        
          
          
        
        1388836.59000000
        PA
        USD
        1339099.02000000
        0.050224732515
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Variable
          2.71141300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BX6
        
          
          
        
        1166000.00000000
        PA
        USD
        1064258.13000000
        0.039916450619
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NSTAR ELECTRIC CO
        54930080R72Y2Z31UR68
        NSTAR Electric Co
        67021CAR8
        
          
          
        
        526000.00000000
        PA
        USD
        437318.88000000
        0.016402240195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Mello Warehouse Securitization
        N/A
        Mello Warehouse Securitization Trust 2021-1
        58550LAC9
        
          
        
        700000.00000000
        PA
        USD
        687433.60000000
        0.025783133410
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-02-25
          Floating
          1.76786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI TR BK LT
        5493006GGLR4BTEL8O61
        Sumitomo Mitsui Trust Bank Ltd
        86563VBA6
        
          
          
        
        874000.00000000
        PA
        USD
        820293.22000000
        0.030766214405
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-03-10
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416LA22
        
          
        
        24510.40000000
        PA
        USD
        25167.31000000
        0.000943934237
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        N/A
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
          
        
        2608000.00000000
        NS
        USD
        2608000.00000000
        0.097816591935
        Long
        STIV
        RF
        US
        N
        
        1
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LYWE3
        
          
        
        398885.83000000
        PA
        USD
        392132.68000000
        0.014707470223
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416XP53
        
          
        
        62065.11000000
        PA
        USD
        62929.41000000
        0.002360253228
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
          
        
        3000000.00000000
        PA
        USD
        2825296.20000000
        0.105966581860
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AL70
        
          
        
        13225.75000000
        PA
        USD
        14509.61000000
        0.000544202684
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBZ1
        
          
          
        
        1663000.00000000
        PA
        USD
        1611627.49000000
        0.060446283949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175CA0
        
          
          
        
        747000.00000000
        PA
        USD
        520014.04000000
        0.019503834797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-06-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414HJX6
        
          
        
        56887.08000000
        PA
        USD
        60517.86000000
        0.002269804760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER HOLDINGS USA
        549300SMVCQN2P0O6I58
        Santander Holdings USA Inc
        80282KBC9
        
          
          
        
        454000.00000000
        PA
        USD
        401059.69000000
        0.015042289892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-06
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust Series 2005-17
        863579VM7
        
          
        
        31162.08000000
        PA
        USD
        28808.69000000
        0.001080509154
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Variable
          2.96138500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4
        46645UAV9
        
          
        
        38520136.50000000
        PA
        USD
        781198.00000000
        0.029299894933
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Variable
          0.72426600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QS6F0
        
          
        
        939609.23000000
        PA
        USD
        920923.16000000
        0.034540477356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407F7B0
        
          
        
        4611.68000000
        PA
        USD
        4852.38000000
        0.000181995120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31339D4L9
        
          
        
        57446.75000000
        PA
        USD
        57248.15000000
        0.002147169834
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-15
          Floating
          1.67400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding 2007-8 Trust
        05953LAJ8
        
          
        
        87191.06000000
        PA
        USD
        76870.39000000
        0.002883128669
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VAS3
        
          
          
        
        125000.00000000
        PA
        USD
        99056.30000000
        0.003715241440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412PMN8
        
          
        
        10369.99000000
        PA
        USD
        10708.97000000
        0.000401654504
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585AAJ1
        
          
          
        
        900000.00000000
        PA
        USD
        810618.99000000
        0.030403369233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2054-09-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YVZE2
        
          
        
        716874.14000000
        PA
        USD
        721823.47000000
        0.027072972321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WISCONSIN ELECTRIC POWER
        AENKIFMULUAWOUU8Q584
        Wisconsin Electric Power Co
        976656CM8
        
          
          
        
        861000.00000000
        PA
        USD
        750866.67000000
        0.028162277092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        193862.61000000
        0.007271081217
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -19482975.10000000
            PLN
            4525284.67000000
            USD
            2022-07-29
            193862.61000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEV9
        
          
          
        
        7330000.00000000
        PA
        USD
        7417616.37000000
        0.278207804294
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-06-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137A8HP6
        
          
        
        731101.09000000
        PA
        USD
        725236.05000000
        0.027200965782
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398NAS3
        
          
        
        4420504.90000000
        PA
        USD
        669915.14000000
        0.025126079708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-25
          Floating
          4.97643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M5WX4
        
          
        
        50166.61000000
        PA
        USD
        53958.79000000
        0.002023797907
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412N3V6
        
          
        
        25095.16000000
        PA
        USD
        25915.88000000
        0.000972010375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R01
        20754LAF6
        
          
        
        8600000.00000000
        PA
        USD
        7377650.18000000
        0.276708817906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          4.07566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBD4
        
          
          
        
        301000.00000000
        PA
        USD
        286373.14000000
        0.010740814638
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-14
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A6JS0
        
          
        
        115127.80000000
        PA
        USD
        118887.86000000
        0.004459051107
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AUQS3
        
          
        
        1144713.67000000
        PA
        USD
        1118205.54000000
        0.041939821704
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAK4
        
          
          
        
        1155000.00000000
        PA
        USD
        1094404.30000000
        0.041047123782
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-22
          Fixed
          3.59100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376LTT6
        
          
        
        2900840.77000000
        PA
        USD
        444280.30000000
        0.016663337733
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-06-20
          Floating
          5.07486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416H5W1
        
          
        
        19034.08000000
        PA
        USD
        19655.94000000
        0.000737222799
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAP9
        
          
          
        
        1059000.00000000
        PA
        USD
        773329.14000000
        0.029004762622
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-09-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411H6U9
        
          
        
        4341.18000000
        PA
        USD
        4761.88000000
        0.000178600794
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411ABC8
        
          
        
        27936.23000000
        PA
        USD
        30616.93000000
        0.001148329658
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DDE8
        
          
        
        1724000.00000000
        PA
        USD
        1476439.03000000
        0.055375856639
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2018-3
        46649TAY2
        
          
        
        1358094.64000000
        PA
        USD
        1258634.71000000
        0.047206808981
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-25
          Variable
          3.71213900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A0A72
        
          
        
        1317328.96000000
        PA
        USD
        1390069.76000000
        0.052136459538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-25
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213U2Q2
        
          
        
        14156.00000000
        PA
        USD
        14685.57000000
        0.000550802303
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2013-1 A PTT
        N/A
        United Airlines 2013-1 Class A Pass Through Trust
        909319AA3
        
          
          
        
        125606.74000000
        PA
        USD
        120263.28000000
        0.004510638107
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAA1
        
          
          
        
        955000.00000000
        PA
        USD
        969622.55000000
        0.036367014304
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-22
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MDTS1
        
          
        
        341977.07000000
        PA
        USD
        336162.65000000
        0.012608238021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413BTW1
        
          
        
        19730.24000000
        PA
        USD
        21002.98000000
        0.000787745369
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        79832.39000000
        0.002994222513
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-07-14
            0.00000000
            USD
            0.00000000
            USD
            5408500.00000000
            USD
            79832.39000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264AAX3
        
          
          
        
        851000.00000000
        PA
        USD
        761187.96000000
        0.028549391130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410EA57
        
          
        
        163936.25000000
        PA
        USD
        175039.63000000
        0.006565099716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        N/A
        Palmer Square CLO 2021-3 Ltd
        69688FAC4
        
          
        
        2000000.00000000
        PA
        USD
        1910244.00000000
        0.071646302854
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-15
          Floating
          1.63249000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES 2020-A
        N/A
        Delta Air Lines 2020-1 Class A Pass Through Trust
        247361ZW1
        
          
          
        
        584148.20000000
        PA
        USD
        512229.60000000
        0.019211868773
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-10
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAQ6
        
          
          
        
        3394000.00000000
        PA
        USD
        2853194.98000000
        0.107012963600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          5.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KJY1
        
          
          
        
        2522.14000000
        PA
        USD
        2766.94000000
        0.000103777853
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407N6V0
        
          
        
        2629.07000000
        PA
        USD
        2818.66000000
        0.000105717682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31375KZR1
        
          
        
        1337.39000000
        PA
        USD
        1339.55000000
        0.000050241647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397QRC4
        
          
        
        1783968.68000000
        PA
        USD
        185894.00000000
        0.006972207646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A4UC7
        
          
        
        58210.55000000
        PA
        USD
        58863.73000000
        0.002207764362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419KE92
        
          
        
        189684.10000000
        PA
        USD
        199817.68000000
        0.007494434227
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEALED AIR CORP
        Q0M0CZB4YN6JZ65WXI09
        Sealed Air Corp
        81211KAZ3
        
          
          
        
        1070000.00000000
        PA
        USD
        931811.68000000
        0.034948866128
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          1.57300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359HA87
        
          
        
        2190.87000000
        PA
        USD
        2206.85000000
        0.000082770914
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-25
          Floating
          3.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967HB0
        
          
          
        
        4000000.00000000
        PA
        USD
        4115906.28000000
        0.154372670642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-13
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TRANSMISSION SY
        N/A
        American Transmission Systems Inc
        030288AC8
        
          
          
        
        733000.00000000
        PA
        USD
        621662.64000000
        0.023316303979
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FDB62
        
          
        
        2279671.53000000
        PA
        USD
        2229793.07000000
        0.083631425931
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-2
        12669GPT2
        
          
        
        13020.42000000
        PA
        USD
        11509.60000000
        0.000431683223
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          2.30357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325URK4
        
          
        
        4745655.51000000
        PA
        USD
        695426.93000000
        0.026082934138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-15
          Floating
          4.62600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan As
        N/A
        Chase Funding Trust Series 2003-5
        161546GR1
        
          
          
        
        106707.98000000
        PA
        USD
        99820.57000000
        0.003743906427
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-25
          Floating
          2.22357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2002-AR9 Trust
        9393357P4
        
          
        
        14365.91000000
        PA
        USD
        13649.00000000
        0.000511924334
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-08-25
          Floating
          1.87590200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933MW1
        
          
        
        4162.60000000
        PA
        USD
        4280.18000000
        0.000160533980
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - IDR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -42484.41000000
        -0.00159343565
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -5490462.75000000
            USD
            81522390850.23000000
            IDR
            2022-08-05
            -42484.41000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BE6Q2
        
          
        
        2273940.72000000
        PA
        USD
        285512.13000000
        0.010708521285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-09-15
          Floating
          4.77600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUQUESNE LIGHT HOLDINGS
        4CUJ1D8WDXK9X7QI6B93
        Duquesne Light Holdings Inc
        266233AH8
        
          
          
        
        707000.00000000
        PA
        USD
        581604.12000000
        0.021813854629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.53200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413FHY1
        
          
        
        10570.25000000
        PA
        USD
        11243.51000000
        0.000421703155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCY5
        
          
          
        
        8250800.00000000
        PA
        USD
        7391234.21000000
        0.277218305452
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-09-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371KBU4
        
          
          
        
        6626.15000000
        PA
        USD
        7128.96000000
        0.000267381354
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2020-CBM Mortgage Trust
        20049AAJ7
        
          
        
        3906000.00000000
        PA
        USD
        3421578.27000000
        0.128330952995
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-10
          Variable
          3.75377800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36194U2W2
        
          
        
        2087911.92000000
        PA
        USD
        2046511.78000000
        0.076757211532
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AFT34
        
          
        
        6315.36000000
        PA
        USD
        6521.69000000
        0.000244604865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AFGT3
        
          
        
        1956296.75000000
        PA
        USD
        79159.20000000
        0.002968973605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-15
          Floating
          4.72600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        Carlyle Global Market Strategies CLO 2014-1 Ltd
        14310MAY3
        
          
        
        2400000.00000000
        PA
        USD
        2293240.80000000
        0.086011119456
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-17
          Floating
          2.17429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KME1
        
          
        
        30424.39000000
        PA
        USD
        31323.43000000
        0.001174827902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SALESFORCE INC
        RCGZFPDMRW58VJ54VR07
        Salesforce Inc
        79466LAK0
        
          
          
        
        1173000.00000000
        PA
        USD
        908783.35000000
        0.034085157248
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-07-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312926Z43
        
          
        
        22034.26000000
        PA
        USD
        23523.77000000
        0.000882291031
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6E87
        
          
        
        139868.85000000
        PA
        USD
        150500.12000000
        0.005644711972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust 2015-A
        17323MAD7
        
          
        
        732185.81000000
        PA
        USD
        713557.47000000
        0.026762944733
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-06-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWISS RE TREASURY (US)
        549300G1I1ZMYS87KM16
        Swiss Re Treasury US Corp
        87089HAB9
        
          
          
        
        674000.00000000
        PA
        USD
        624916.06000000
        0.023438327927
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2042-12-06
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417WKY6
        
          
        
        860806.03000000
        PA
        USD
        880587.59000000
        0.033027636869
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QPD27
        
          
        
        2133659.41000000
        PA
        USD
        2031795.07000000
        0.076205241280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379B3W6
        
          
        
        7560915.10000000
        PA
        USD
        1541724.27000000
        0.057824468479
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-16
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Taco Bell Funding, LLC
        N/A
        Taco Bell Funding LLC
        87342RAE4
        
          
        
        1737000.00000000
        PA
        USD
        1667801.39000000
        0.062553162574
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-11-25
          Fixed
          4.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAXTER INTERNATIONAL INC
        J5OIVXX3P24RJRW5CK77
        Baxter International Inc
        071813CL1
        
          
          
        
        550000.00000000
        PA
        USD
        492991.18000000
        0.018490305629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          1.91500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        OHA Credit Funding 8 Ltd
        67707GAJ8
        
          
        
        1500000.00000000
        PA
        USD
        1405570.50000000
        0.052717835903
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-18
          Floating
          2.94429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414PZS1
        
          
        
        3871.82000000
        PA
        USD
        4075.05000000
        0.000152840300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CUBESMART LP
        549300MPHKO3I3FJRA97
        CubeSmart LP
        22966RAH9
        
          
          
        
        760000.00000000
        PA
        USD
        650061.81000000
        0.024381453528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DCQ2
        
          
        
        3298000.00000000
        PA
        USD
        2260752.62000000
        0.084792606019
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3896.06000000
        0.000146127036
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -13034344.01000000
            MYR
            2962687.58000000
            USD
            2022-08-05
            3896.06000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416A4X5
        
          
        
        442.66000000
        PA
        USD
        481.36000000
        0.000018054062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PEK4
        
          
          
        
        265000.00000000
        PA
        USD
        265309.36000000
        0.009950788881
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413A6M0
        
          
        
        10810.94000000
        PA
        USD
        11374.72000000
        0.000426624365
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JERSEY CENTRAL PWR & LT
        549300W9UGH9ZPLNPF79
        Jersey Central Power & Light Co
        476556DC6
        
          
          
        
        2802000.00000000
        PA
        USD
        2770959.72000000
        0.103928618175
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trus
        N/A
        CSAIL 2020-C19 Commercial Mortgage Trust
        12597NAE3
        
          
        
        750000.00000000
        PA
        USD
        527983.50000000
        0.019802740248
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-03-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CM9
        
          
          
        
        670000.00000000
        PA
        USD
        540395.13000000
        0.020268255335
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E2JY2
        
          
        
        485743.00000000
        PA
        USD
        477585.27000000
        0.017912485993
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402V4E7
        
          
          
        
        194443.94000000
        PA
        USD
        202691.71000000
        0.007602228637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8A87
        
          
        
        84449.29000000
        PA
        USD
        90838.18000000
        0.003407009656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TD0
        
          
          
        
        36863200.00000000
        PA
        USD
        30348781.38000000
        1.138272378830
        Long
        DBT
        UST
        US
        N
        
        2
        
          2052-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133THQB6
        
          
          
        
        118236.21000000
        PA
        USD
        124009.98000000
        0.004651163193
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413BCR0
        
          
        
        1281.68000000
        PA
        USD
        1348.69000000
        0.000050584455
        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
        31411CDR9
        
          
        
        83309.17000000
        PA
        USD
        89505.53000000
        0.003357026803
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIME WARNER CABLE LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JAY4
        
          
          
        
        3754000.00000000
        PA
        USD
        3446613.88000000
        0.129269947645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBE8
        
          
          
        
        224000.00000000
        PA
        USD
        201229.33000000
        0.007547380083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-03-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ANT39
        
          
        
        101321.91000000
        PA
        USD
        834.81000000
        0.000031310686
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312929KW1
        
          
        
        47176.05000000
        PA
        USD
        51455.78000000
        0.001929919108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QRSU5
        
          
        
        566525.19000000
        PA
        USD
        554624.83000000
        0.020801959614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANTOR FITZGERALD SECURITIES
        549300DWZ3YOKJO5X179
        CANTOR FITZGERALD SECURITIES
        000000000
        
          
        
        13044062.00000000
        PA
        USD
        13044062.00000000
        0.489235310520
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          1.55000000
          2022-07-01
          
            
              39272837.21432899
              USD
              12752374.34665896
              USD
              AMBS
            
            
              121368.73576024
              USD
              119407.52608045
              USD
              UST
            
            
              514014.30717200
              USD
              458763.76300185
              USD
              ADAS
            
          
        
        
          
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP IRS USD
        000000000
        
          
        
        -5907000.00000000
        NC
        USD
        -5946.90000000
        -0.00022304658
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    GB
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-07-14
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            0.01000000
            USD
            3.07000000
            USD
            2022-07-12
            XXXX
            56814.98000000
          
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAM5
        
          
          
        
        1080000.00000000
        PA
        USD
        756251.76000000
        0.028364252227
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2050-09-02
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HN0
        
          
          
        
        436000.00000000
        PA
        USD
        319259.64000000
        0.011974267610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya Floating Rate Fund
        54930033N6GOK9FB2919
        Voya Floating Rate Fund
        92913L619
        
          
          
        
        95346.42900000
        NS
        USD
        795189.22000000
        0.029824654694
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MNT0
        
          
        
        26098.50000000
        PA
        USD
        28605.92000000
        0.001072903989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2016-CR28 Mortgage Trust
        12593YBH5
        
          
        
        72331807.83000000
        PA
        USD
        1316388.27000000
        0.049372934906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Variable
          0.77575400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413K2V2
        
          
        
        6024.20000000
        PA
        USD
        6343.36000000
        0.000237916356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        Mosaic Solar Loan Trust 2018-1
        61946FAA3
        
          
        
        1467854.19000000
        PA
        USD
        1417712.29000000
        0.053173230273
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-06-22
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DZ BANK AG
        N/A
        DZ BANK AG (NEW YORK)
        000000000
        
          
        
        500000.00000000
        PA
        USD
        500000.00000000
        0.018753180969
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          1.55000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Carlyle Global Market Strategi
        549300N3CJKPCWZ7KX23
        Carlyle Global Market Strategies CLO 2016-1 Ltd
        14312HAY2
        
          
        
        5500000.00000000
        PA
        USD
        5086812.50000000
        0.190787830738
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          3.11271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAR0
        
          
          
        
        844000.00000000
        PA
        USD
        820458.59000000
        0.030772416832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-05-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312929FV9
        
          
        
        108519.47000000
        PA
        USD
        116755.91000000
        0.004379089418
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241KZ35
        
          
        
        69587.42000000
        PA
        USD
        73681.14000000
        0.002763511504
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31395PBA9
        
          
        
        551251.72250000
        PA
        USD
        577282.60000000
        0.021651770136
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377GTD1
        
          
        
        1190645.52000000
        PA
        USD
        137083.66000000
        0.005141509367
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-06-20
          Floating
          4.25486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CELANESE US HOLDINGS LLC
        CD30XVRLT4QO00B1C706
        Celanese US Holdings LLC
        15089QAK0
        
          
          
        
        1195000.00000000
        PA
        USD
        1029434.61000000
        0.038610347074
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-05
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407CDB0
        
          
          
        
        35040.81000000
        PA
        USD
        34874.76000000
        0.001308025371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Floating
          1.63700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404WSB3
        
          
          
        
        28681.66000000
        PA
        USD
        30189.08000000
        0.001132282561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416VKN3
        
          
        
        12427.33000000
        PA
        USD
        13172.21000000
        0.000494041675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CJ7
        
          
          
        
        1358000.00000000
        PA
        USD
        1329245.37000000
        0.049855157952
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-30
          Fixed
          3.97100000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAN8
        
          
          
        
        495000.00000000
        PA
        USD
        343796.40000000
        0.012894552211
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2051-11-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDEA BANK ABP
        529900ODI3047E2LIV03
        Nordea Bank Abp
        65557CAN3
        
          
          
        
        2661000.00000000
        PA
        USD
        2565148.09000000
        0.096209372689
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          N/A
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AV1
        
          
          
        
        1125000.00000000
        PA
        USD
        1065489.06000000
        0.039962618325
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-02-05
          Fixed
          2.43800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138APZN1
        
          
        
        129915.13000000
        PA
        USD
        131283.37000000
        0.004923961591
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS (SUISSE) SA
        QHSFEYI7HUOXXZ413E03
        SWOP IRS USD
        000000000
        
          
        
        -17721000.00000000
        NC
        USD
        -17840.70000000
        -0.00066913975
        N/A
        DIR
        CORP
        CH
        
        N
        
        2
        
          
            
              BNP PARIBAS (SUISSE) SA
              QHSFEYI7HUOXXZ413E03
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                  
                  
                    BNP PARIBAS (SUISSE) SA
                    QHSFEYI7HUOXXZ413E03
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    CH
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-07-14
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            0.01000000
            USD
            3.07000000
            USD
            2022-07-12
            XXXX
            169337.36000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AY0
        
          
          
        
        510000.00000000
        PA
        USD
        485949.42000000
        0.018226194830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3129265E4
        
          
        
        6891.94000000
        PA
        USD
        7414.83000000
        0.000278103297
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITADEL SECURITIES LLC
        12UUJYTN7D3SW8KCSG25
        CITADEL SECURITIES LLC
        000000000
        
          
        
        6893617.00000000
        PA
        USD
        6893617.00000000
        0.258554494267
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          1.55000000
          2022-07-01
          
            
              7859816.98340088
              USD
              7122355.50122083
              USD
              UST
            
          
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4QC8
        
          
        
        236628.78000000
        PA
        USD
        232618.45000000
        0.008724671779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        Renaissance Home Equity Loan Trust 2003-2
        759950AW8
        
          
        
        44986.62000000
        PA
        USD
        42365.41000000
        0.001588972401
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.50357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582BE1
        
          
          
        
        1262000.00000000
        PA
        USD
        1203764.09000000
        0.045148811648
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2035-05-11
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERKINELMER INC
        549300IKL1SDPFI7N655
        PerkinElmer Inc
        714046AM1
        
          
          
        
        237000.00000000
        PA
        USD
        197671.62000000
        0.007413943324
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411LCU3
        
          
        
        10711.73000000
        PA
        USD
        11269.90000000
        0.000422692948
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2018-1
        46648RAZ4
        
          
        
        1530057.63000000
        PA
        USD
        1417209.15000000
        0.053154359322
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-06-25
          Variable
          3.63291200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BZ8
        
          
          
        
        774000.00000000
        PA
        USD
        663612.26000000
        0.024889681610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-12
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCN3
        
          
          
        
        694000.00000000
        PA
        USD
        614777.35000000
        0.023058061800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          3.27300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VBB9
        
          
          
        
        1000000.00000000
        PA
        USD
        910687.11000000
        0.034156560360
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36297DAD9
        
          
        
        1686.33000000
        PA
        USD
        1788.85000000
        0.000067093255
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAE9
        
          
          
        
        1000000.00000000
        PA
        USD
        948296.13000000
        0.035567137876
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-3
        35563PLB3
        
          
        
        195412.03000000
        PA
        USD
        185704.08000000
        0.006965084437
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2058-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Winwater Mortgage Loan Trust
        N/A
        WinWater Mortgage Loan Trust 2015-5
        97654DCC8
        
          
        
        589517.64000000
        PA
        USD
        542651.46000000
        0.020352882065
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-20
          Variable
          3.75388200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2015-3
        81746LCD2
        
          
        
        774636.04000000
        PA
        USD
        656916.77000000
        0.024638558139
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-07-25
          Variable
          3.72323600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9TD0
        
          
        
        1647017.77000000
        PA
        USD
        116258.54000000
        0.004360434879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CMS ENERGY CORP
        549300IA9XFBAGNIBW29
        CMS Energy Corp
        125896BU3
        
          
          
        
        600000.00000000
        PA
        USD
        527232.00000000
        0.019774554217
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust 2006-9
        52521HBJ1
        
          
        
        6537323.12710000
        PA
        USD
        862535.39000000
        0.032350564522
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          4.99643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419JM70
        
          
          
        
        38480.85000000
        PA
        USD
        39422.51000000
        0.001478594928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FDNH1
        
          
        
        1598086.35000000
        PA
        USD
        1481991.61000000
        0.055584113714
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407VTH8
        
          
        
        1070.34000000
        PA
        USD
        1125.67000000
        0.000042219786
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERO Funding Trust
        N/A
        HERO Funding Trust 2015-2
        42770UAA1
        
          
        
        1138009.25710000
        PA
        USD
        1136111.29000000
        0.042611401245
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-09-20
          Fixed
          3.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANGLO AMERICAN CAPITAL
        TINT358G1SSHR3L3PW36
        Anglo American Capital PLC
        034863AS9
        
          
          
        
        1250000.00000000
        PA
        USD
        1226890.90000000
        0.046016214154
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2024-09-11
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MK76
        
          
        
        243441.91000000
        PA
        USD
        261713.62000000
        0.009815925755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACA1
        
          
          
        
        527000.00000000
        PA
        USD
        458035.56000000
        0.017179247494
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406J3J0
        
          
          
        
        19625.58000000
        PA
        USD
        19520.31000000
        0.000732135812
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Floating
          2.17500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A4KC2
        
          
        
        507934.97000000
        PA
        USD
        8590.04000000
        0.000322181149
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-25
          Floating
          4.99643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XB5W0
        
          
        
        149019.53000000
        PA
        USD
        150159.52000000
        0.005631937305
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402CU67
        
          
          
        
        100007.93000000
        PA
        USD
        105194.25000000
        0.003945453614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        74977RDP6
        
          
          
        
        550000.00000000
        PA
        USD
        496936.64000000
        0.018638285480
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2033-04-06
          Fixed
          3.75800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411EB55
        
          
        
        15219.12000000
        PA
        USD
        16012.16000000
        0.000600557868
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128QLP96
        
          
        
        10673.67000000
        PA
        USD
        10983.68000000
        0.000411957877
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Floating
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        N/A
        American Homes 4 Rent 2015-SFR1 Trust
        02666AAG3
        
          
        
        2416888.53310000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2052-04-17
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Lt
        N/A
        Benefit Street Partners CLO XVIII Ltd
        08186PAL7
        
          
        
        1950000.00000000
        PA
        USD
        1849239.60000000
        0.069358249748
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          2.49429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO BANK NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        00084DAW0
        
          
          
        
        1147000.00000000
        PA
        USD
        978596.01000000
        0.036703576142
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2029-12-13
          Fixed
          2.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARGILL INC
        QXZYQNMR4JZ5RIRN4T31
        Cargill Inc
        141781BR4
        
          
          
        
        310000.00000000
        PA
        USD
        239150.96000000
        0.008969682463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-05-25
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJQN3
        
          
          
        
        121494.83000000
        PA
        USD
        125518.81000000
        0.004707753917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376TUC4
        
          
        
        642393.56000000
        PA
        USD
        44526.35000000
        0.001670021398
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Life Financial Services Trust
        N/A
        Life 2021-BMR Mortgage Trust
        53218CAL4
        
          
        
        688079.11000000
        PA
        USD
        642859.03000000
        0.024111303454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-03-15
          Floating
          3.67400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RCV9
        
          
          
        
        6452.67000000
        PA
        USD
        6790.54000000
        0.000254688450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B8W86
        
          
        
        5080821.20000000
        PA
        USD
        597174.32000000
        0.022397836186
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          4.82600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - MYR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1473.75000000
        -0.00005527500
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -2960265.27000000
            USD
            13034344.01000000
            MYR
            2022-08-05
            -1473.75000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CE7
        
          
          
        
        1331000.00000000
        PA
        USD
        1270641.45000000
        0.047657138117
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-11-07
          Fixed
          2.63300000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WDZP9
        
          
        
        4291881.17000000
        PA
        USD
        4335598.23000000
        0.162612516434
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402CVY5
        
          
          
        
        48698.28000000
        PA
        USD
        50239.08000000
        0.001884285117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAN4
        
          
          
        
        1265000.00000000
        PA
        USD
        1125986.51000000
        0.042231657581
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-30
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        INTERSTATE POWER & LIGHT
        EF9UQIIO4KY2BWOK3P26
        Interstate Power and Light Co
        461070AL8
        
          
          
        
        3640000.00000000
        PA
        USD
        3598193.87000000
        0.134955161613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QNMS8
        
          
        
        4969358.62000000
        PA
        USD
        4479035.93000000
        0.167992342726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396H5W5
        
          
        
        363103.28000000
        PA
        USD
        128201.96000000
        0.004808389112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-15
          Floating
          19.71200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418UDJ0
        
          
        
        8486.70000000
        PA
        USD
        8589.38000000
        0.000322156395
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8AV6
        
          
          
        
        12885.29000000
        PA
        USD
        13860.46000000
        0.000519855429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31400TYM3
        
          
          
        
        16500.87000000
        PA
        USD
        17178.06000000
        0.000644286535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M0LF5
        
          
        
        314312.35000000
        PA
        USD
        312905.51000000
        0.011735947310
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2018-2
        33851HBA0
        
          
        
        1640193.03000000
        PA
        USD
        1517535.62000000
        0.056917240218
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-04-25
          Variable
          4.00550000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - CLP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1836.74000000
        -0.00006888943
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1679802.68000000
            USD
            1551286349.00000000
            CLP
            2022-08-05
            -1836.74000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QPHT4
        
          
        
        358127.53000000
        PA
        USD
        350598.29000000
        0.013149666359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAB5
        
          
        
        630320.22000000
        PA
        USD
        617409.62000000
        0.023156788672
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          3.67357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403DDX4
        
          
          
        
        8172.71000000
        PA
        USD
        8769.80000000
        0.000328923292
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410XHV1
        
          
        
        12466.90000000
        PA
        USD
        13302.85000000
        0.000498941506
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMBC AVIATION CAPITAL FI
        549300OD7VKRVNWB2J98
        SMBC Aviation Capital Finance DAC
        78448TAG7
        
          
          
        
        1322000.00000000
        PA
        USD
        1124399.84000000
        0.042172147362
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280DA4
        
          
          
        
        1037000.00000000
        PA
        USD
        988313.41000000
        0.037068040464
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-10
          Fixed
          2.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31404BM66
        
          
        
        70915.16000000
        PA
        USD
        75943.16000000
        0.002848351645
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        225773.57000000
        0.008467945232
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -63520811.15000000
            ZAR
            4119864.68000000
            USD
            2022-07-29
            225773.57000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDR4
        
          
          
        
        1027000.00000000
        PA
        USD
        905432.34000000
        0.033959473054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-26
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        ROYAL BANK OF CANADA (NEW YORK)
        ES7IP3U3RHIGC71XBU11
        ROYAL BANK OF CANADA (NEW YORK)
        78012U2Z7
        
          
        
        600000.00000000
        PA
        USD
        600009.52000000
        0.022504174223
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-11
          Floating
          0.87000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        N/A
        COMMONWEALTH BANK AUST
        000000000
        
          
        
        625000.00000000
        PA
        USD
        624846.12000000
        0.023435704732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-01
          Floating
          0.23000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397H6V5
        
          
        
        2332083.46000000
        PA
        USD
        325059.32000000
        0.012191792507
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-15
          Floating
          5.08600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213CYP9
        
          
          
        
        5080.30000000
        PA
        USD
        5371.38000000
        0.000201460922
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132XCRW7
        
          
          
        
        5295042.44000000
        PA
        USD
        5041219.82000000
        0.189077815180
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTN NORTH SANTA FE
        N/A
        Burlington Northern Santa Fe LLC
        12189LBJ9
        
          
          
        
        1435000.00000000
        PA
        USD
        1390651.30000000
        0.052158270988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-01-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDEX CORP
        549300E707U7WNPZN687
        FedEx Corp
        31428XBN5
        
          
          
        
        1125000.00000000
        PA
        USD
        987471.03000000
        0.037036445854
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-01-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NA5
        
          
          
        
        806000.00000000
        PA
        USD
        713989.70000000
        0.026779156108
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-09
          Fixed
          1.46200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDR2
        
          
          
        
        2750000.00000000
        PA
        USD
        2703936.59000000
        0.101414824403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-03-15
          Fixed
          4.81200000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BARCLAYS BANK PLC (NEW YORK)
        000000000
        
          
        
        2400000.00000000
        PA
        USD
        2400000.00000000
        0.090015268652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          1.59000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
          
        
        2005000.00000000
        PA
        USD
        1924082.29000000
        0.072165326768
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398WQQ0
        
          
        
        4066511.34000000
        PA
        USD
        4334992.99000000
        0.162589816083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371FW65
        
          
        
        2237.11000000
        PA
        USD
        2347.59000000
        0.000088049560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-04-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AS5
        
          
          
        
        906000.00000000
        PA
        USD
        910038.11000000
        0.034132218731
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBQ7
        
          
          
        
        1677000.00000000
        PA
        USD
        1246718.31000000
        0.046759868170
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31393T7H3
        
          
          
        
        26054.23000000
        PA
        USD
        25959.30000000
        0.000973638901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-25
          Floating
          1.74357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trinitas CLO Ltd
        549300F3XEPDOX3FOP69
        Trinitas Clo VII Ltd
        89641CAK7
        
          
        
        7000000.00000000
        PA
        USD
        6707351.00000000
        0.251568334254
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-25
          Floating
          2.38400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNION ELECTRIC CO
        QMPJLLDULY5C1M8PNY21
        Union Electric Co
        906548CJ9
        
          
          
        
        998000.00000000
        PA
        USD
        885184.18000000
        0.033200038237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416QGX7
        
          
        
        59278.20000000
        PA
        USD
        60728.78000000
        0.002277715602
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJQL5
        
          
        
        79826.82000000
        PA
        USD
        78318.21000000
        0.002937431130
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A94S4
        
          
        
        3385384.12000000
        PA
        USD
        566332.45000000
        0.021241069847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-25
          Floating
          4.52643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBL6
        
          
          
        
        690000.00000000
        PA
        USD
        520357.28000000
        0.019516708481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-04
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BL71
        
          
          
        
        11858.04000000
        PA
        USD
        13008.42000000
        0.000487898508
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KW67
        
          
        
        824.35000000
        PA
        USD
        885.77000000
        0.000033222010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419A4K0
        
          
          
        
        13009.32000000
        PA
        USD
        14269.41000000
        0.000535193656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEA8
        
          
          
        
        169000.00000000
        PA
        USD
        164999.29000000
        0.006188523090
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-08-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406RFE0
        
          
        
        31039.96000000
        PA
        USD
        30724.78000000
        0.001152374719
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          1.70400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIATRIS INC
        254900ZZTSW7NL773X71
        Viatris Inc
        92556VAF3
        
          
          
        
        673000.00000000
        PA
        USD
        451780.90000000
        0.016944657952
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-22
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GXH53
        
          
        
        16334.09000000
        PA
        USD
        16495.35000000
        0.000618680567
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OGLETHORPE POWER CORP
        3EERXCUSWMS9GV5D9M98
        Oglethorpe Power Corp
        677050AQ9
        
          
          
        
        758000.00000000
        PA
        USD
        604664.20000000
        0.022678754336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417XAK5
        
          
        
        36584.30170000
        PA
        USD
        38493.33000000
        0.001443744767
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAN9
        
          
          
        
        582000.00000000
        PA
        USD
        582417.74000000
        0.021844370555
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YXX0
        
          
        
        30364.95000000
        PA
        USD
        31360.29000000
        0.001176210387
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MVQ7
        
          
          
        
        3366.13000000
        PA
        USD
        3498.99000000
        0.000131234385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406RN68
        
          
        
        4480.60000000
        PA
        USD
        4754.46000000
        0.000178322497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409D6Q1
        
          
        
        14311.12000000
        PA
        USD
        15680.18000000
        0.000588106506
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AC2
        
          
          
        
        750000.00000000
        PA
        USD
        665980.88000000
        0.024978519929
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-01-30
          Fixed
          1.36400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cedar Funding Ltd
        549300PPJP6KEORGHQ85
        Cedar Funding IV CLO Ltd
        150323BE2
        
          
        
        3250000.00000000
        PA
        USD
        2985170.50000000
        0.111962885221
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-23
          Floating
          3.18400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296QL23
        
          
        
        52907.48000000
        PA
        USD
        55932.95000000
        0.002097841466
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBJ0
        
          
          
        
        1779000.00000000
        PA
        USD
        1763495.89000000
        0.066142315127
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412GWD9
        
          
        
        13245.71000000
        PA
        USD
        13957.24000000
        0.000523485295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust
        939336X40
        
          
          
        
        19719.89000000
        PA
        USD
        18740.63000000
        0.000702892851
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-01-25
          Floating
          2.26357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCHE HOLDINGS INC
        PVJRP0EQNV6OGDPZGY95
        Roche Holdings Inc
        771196BY7
        
          
          
        
        480000.00000000
        PA
        USD
        349213.08000000
        0.013097712172
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2051-12-13
          Fixed
          2.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403C6L0
        
          
          
        
        121255.17000000
        PA
        USD
        127735.44000000
        0.004790891645
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BTB4
        
          
        
        53755.61000000
        PA
        USD
        56608.57000000
        0.002123181515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417Y4F1
        
          
        
        14215.93000000
        PA
        USD
        14680.94000000
        0.000550628649
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A7FZ6
        
          
          
        
        18077.66000000
        PA
        USD
        18620.82000000
        0.000698399214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31408B2M9
        
          
        
        331.32000000
        PA
        USD
        346.20000000
        0.000012984702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMD2 Re-REMIC Trust
        N/A
        BMD2 Re-Remic Trust 2019-FRR1
        055631HH1
        
          
        
        1348000.00000000
        PA
        USD
        1089725.69000000
        0.040871646142
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.51948600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FMKC5
        
          
        
        18824786.71000000
        PA
        USD
        2208155.01000000
        0.082819861021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-25
          Floating
          4.47643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280DF3
        
          
          
        
        1804000.00000000
        PA
        USD
        1755379.55000000
        0.065837900741
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-06-09
          Fixed
          4.75500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Five Guys Funding, LLC
        549300LV8X8T05G1H175
        Five Guys Funding LLC
        33830JAA3
        
          
          
        
        3662325.00000000
        PA
        USD
        3558073.62000000
        0.133450396995
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-07-25
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITRIX SYSTEMS INC
        HCTKJGUQOPZ5NBK7NP58
        Citrix Systems Inc
        177376AF7
        
          
          
        
        265000.00000000
        PA
        USD
        258734.37000000
        0.009704184927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJK6
        
          
          
        
        1955000.00000000
        PA
        USD
        1752185.86000000
        0.065718117048
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-24
          Fixed
          1.19700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBEMARLE CORP
        HDBLS2Q6GV1LSKQPBS54
        Albemarle Corp
        012653AF8
        
          
          
        
        281000.00000000
        PA
        USD
        281664.14000000
        0.010564197179
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-06-01
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A3ZG9
        
          
        
        331370.32000000
        PA
        USD
        45132.97000000
        0.001692773508
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          4.82643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403DA41
        
          
          
        
        23715.45800000
        PA
        USD
        25534.48000000
        0.000957705448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EQB84
        
          
        
        2375467.68000000
        PA
        USD
        2368387.22000000
        0.088829588283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AJ9
        
          
          
        
        3900000.00000000
        PA
        USD
        3800320.41000000
        0.142536192779
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-08-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410F4T9
        
          
        
        20029.12000000
        PA
        USD
        21792.44000000
        0.000817355142
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BP5
        
          
          
        
        336000.00000000
        PA
        USD
        305712.17000000
        0.011466151297
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-05-22
          Fixed
          3.07300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEMPRA ENERGY
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BM0
        
          
          
        
        1556000.00000000
        PA
        USD
        1250970.35000000
        0.046919346721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410F5Y7
        
          
        
        12316.67000000
        PA
        USD
        13508.86000000
        0.000506668192
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AGPR3
        
          
        
        150543.34000000
        PA
        USD
        154613.96000000
        0.005799007144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIATRIS INC
        254900ZZTSW7NL773X71
        Viatris Inc
        92556VAD8
        
          
          
        
        806000.00000000
        PA
        USD
        647588.60000000
        0.024288692418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-22
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL BANK OF CANADA
        N/A
        NATIONAL BANK OF CANADA
        000000000
        
          
        
        725000.00000000
        PA
        USD
        724951.49000000
        0.027190292971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-09
          Floating
          0.21000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Cedar Funding Ltd
        549300PTCF9P2JDL1E69
        Cedar Funding VIII Clo Ltd
        15032EAN9
        
          
        
        3000000.00000000
        PA
        USD
        2848008.00000000
        0.106818418851
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-17
          Floating
          2.49429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUCOR CORP
        549300GGJCRSI2TIEJ46
        Nucor Corp
        670346AW5
        
          
          
        
        480000.00000000
        PA
        USD
        391115.31000000
        0.014669312376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2006-6
        073868BE0
        
          
          
        
        907146.32000000
        PA
        USD
        512368.85000000
        0.019217091534
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Variable
          2.95376100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200JZ5
        
          
          
        
        2578000.00000000
        PA
        USD
        2518795.25000000
        0.094470846295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398VSY3
        
          
          
        
        1373448.43970000
        PA
        USD
        1467611.24000000
        0.055044758352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup Commercial Mortgage Trust 2016-C2
        17291CAG0
        
          
        
        1865000.00000000
        PA
        USD
        1362253.82000000
        0.051093184825
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Variable
          4.57780800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419EC56
        
          
        
        762553.45000000
        PA
        USD
        787500.23000000
        0.029536268653
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389G4V9
        
          
        
        240.53000000
        PA
        USD
        253.03000000
        0.000009490234
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416YVG0
        
          
          
        
        3318.03000000
        PA
        USD
        3426.52000000
        0.000128516299
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31395GJR4
        
          
        
        204388.72000000
        PA
        USD
        215876.06000000
        0.008096725640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335BTY2
        
          
        
        218338.61000000
        PA
        USD
        219077.91000000
        0.008216815385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36193BMR4
        
          
        
        778679.39000000
        PA
        USD
        788308.73000000
        0.029566592546
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BAPB2
        
          
        
        12560996.38000000
        PA
        USD
        12579182.19000000
        0.471799360108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup Commercial Mortgage Trust 2018-C5
        17291DAU7
        
          
        
        51421279.39000000
        PA
        USD
        1605554.89000000
        0.060218522816
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-06-10
          Variable
          0.68990000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398KAH3
        
          
        
        3949485.38000000
        PA
        USD
        493643.02000000
        0.018514753776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-15
          Floating
          4.87600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RBH4
        
          
          
        
        628000.00000000
        PA
        USD
        561298.19000000
        0.021052253069
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-01-19
          Fixed
          2.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2018-A
        63940PAD7
        
          
        
        2000000.00000000
        PA
        USD
        1997649.20000000
        0.074924553921
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-02-18
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31392PPQ2
        
          
        
        73218.55000000
        PA
        USD
        77222.67000000
        0.002896341410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402QSK8
        
          
        
        687.64000000
        PA
        USD
        737.53000000
        0.000027662067
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE HOLDINGS FINA
        549300D2L6J4NC1QVZ22
        Blackstone Holdings Finance Co LLC
        09261BAH3
        
          
          
        
        1232000.00000000
        PA
        USD
        899294.08000000
        0.033729249253
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-01-30
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419BCW3
        
          
          
        
        58997.94000000
        PA
        USD
        60924.41000000
        0.002285052972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRR Re-Remic Trust
        N/A
        FRR Re-REMIC Trust 2018-C1
        30307WBE5
        
          
          
        
        3000000.00000000
        PA
        USD
        2705827.20000000
        0.101485734306
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MR90
        
          
        
        25861.18000000
        PA
        USD
        26444.91000000
        0.000991852365
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138APTB4
        
          
        
        5662.85000000
        PA
        USD
        5761.78000000
        0.000216103406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDM8
        
          
          
        
        2095000.00000000
        PA
        USD
        1733612.50000000
        0.065021497886
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDELSBANKEN AB
        NHBDILHZTYCNBV5UYZ31
        Svenska Handelsbanken AB
        86959LAH6
        
          
          
        
        1137000.00000000
        PA
        USD
        1013992.94000000
        0.038031186210
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2027-06-11
          Fixed
          1.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F57L7
        
          
        
        881881.11000000
        PA
        USD
        871324.11000000
        0.032680197435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411WXZ5
        
          
        
        39830.50000000
        PA
        USD
        43668.61000000
        0.001637850692
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAP6
        
          
          
        
        25000.00000000
        PA
        USD
        24110.35000000
        0.000904291513
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-10-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAV3
        
          
          
        
        589000.00000000
        PA
        USD
        510411.05000000
        0.019143661578
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B12 Mortgage Trust
        08162FAK9
        
          
        
        27278861.27000000
        PA
        USD
        1337743.08000000
        0.050173876139
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-08-15
          Variable
          1.17887600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2017-3
        64828MBB2
        
          
        
        1387887.88000000
        PA
        USD
        1346552.83000000
        0.050504297811
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-04-25
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410CF98
        
          
        
        1222.68000000
        PA
        USD
        1291.65000000
        0.000048445092
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132HLMN0
        
          
        
        803468.45000000
        PA
        USD
        790565.90000000
        0.029651250781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31368HMQ3
        
          
          
        
        54607.17000000
        PA
        USD
        58644.87000000
        0.002199555720
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KDB2
        
          
        
        2000000.00000000
        PA
        USD
        1894447.20000000
        0.071053822356
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          3.22566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEP2
        
          
          
        
        58088300.00000000
        PA
        USD
        57443882.92000000
        2.154511063949
        Long
        DBT
        UST
        US
        N
        
        2
        
          2032-05-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        COMM Mortgage Trust
        549300YJIXJB9DCDOI21
        COMM 2013-CCRE10 Mortgage Trust
        12626BAY0
        
          
        
        1910000.00000000
        PA
        USD
        1792099.71000000
        0.067215140353
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-10
          Variable
          5.06282000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H0TR9
        
          
        
        19926466.58000000
        PA
        USD
        2586622.74000000
        0.097014808684
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sonic Capital LLC
        N/A
        Sonic Capital LLC
        83546DAG3
        
          
        
        1522875.14000000
        PA
        USD
        1445246.88000000
        0.054205952571
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2018-1
        46648RBA8
        
          
        
        1892128.50000000
        PA
        USD
        1627637.89000000
        0.061046775807
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-06-25
          Variable
          3.63291200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KLU1
        
          
        
        2000000.00000000
        PA
        USD
        1719960.20000000
        0.064509449780
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-10-25
          Floating
          4.32566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DBW0
        
          
        
        1755000.00000000
        PA
        USD
        1454564.01000000
        0.054555404221
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TBY1
        
          
        
        2845000.00000000
        PA
        USD
        2278370.17000000
        0.085453376225
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          2.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137ATRY0
        
          
        
        8073093.53000000
        PA
        USD
        12.11000000
        0.000000454202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-25
          Variable
          3.72726300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QSYY8
        
          
        
        105195.02000000
        PA
        USD
        106103.84000000
        0.003979569026
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397YZE4
        
          
          
        
        5238436.93000000
        PA
        USD
        682476.66000000
        0.025597216624
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-15
          Floating
          4.75600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACK HILLS CORP
        3MGELCRSTNSAMJ962671
        Black Hills Corp
        092113AQ2
        
          
          
        
        397000.00000000
        PA
        USD
        371015.32000000
        0.013915434876
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-05-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWOP IRS USD
        000000000
        
          
        
        12484500.00000000
        NC
        USD
        -99337.11000000
        -0.00372577360
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    GB
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2062-06-07
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            1.00000000
            USD
            0.00000000
            USD
            2027-06-03
            XXXX
            -99337.12000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0BK4
        
          
          
        
        209212.32000000
        PA
        USD
        210906.42000000
        0.007910332523
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-08-25
          Floating
          5.62357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B1EY6
        
          
        
        4192274.58000000
        PA
        USD
        4241374.08000000
        0.159078511361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415Y4Y2
        
          
        
        19538.39000000
        PA
        USD
        21330.32000000
        0.000800022702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415TFV7
        
          
        
        824.19000000
        PA
        USD
        893.32000000
        0.000033505183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300Y3KZXU3NUCX480
        Marlette Funding Trust 2019-2
        57109HAC6
        
          
        
        1247457.42000000
        PA
        USD
        1241317.93000000
        0.046557319563
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-07-16
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AP2V9
        
          
        
        124535.69000000
        PA
        USD
        125235.18000000
        0.004697115988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCW4
        
          
          
        
        1058000.00000000
        PA
        USD
        981061.69000000
        0.036796054829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-24
          Fixed
          2.94700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2016-K60 Mortgage Trust
        302947AJ5
        
          
        
        7870999.99000000
        PA
        USD
        5614261.11000000
        0.210570509208
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAG6
        
          
          
        
        613000.00000000
        PA
        USD
        586708.95000000
        0.022005318231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413Y7J4
        
          
        
        25500.03000000
        PA
        USD
        27833.39000000
        0.001043929199
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61772BAB9
        
          
          
        
        1340000.00000000
        PA
        USD
        1191788.05000000
        0.044699633957
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-04
          Fixed
          1.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJG5
        
          
          
        
        3375000.00000000
        PA
        USD
        3126022.84000000
        0.117245744065
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-25
          Fixed
          0.98100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QSMA3
        
          
        
        564351.50000000
        PA
        USD
        555291.83000000
        0.020826976357
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DB Master Finance LLC
        549300F17UZJL70BPB08
        DB Master Finance LLC
        233046AK7
        
          
        
        486250.00000000
        PA
        USD
        470886.83000000
        0.017661251878
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.02100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI TRUST NY
        5493006GGLR4BTEL8O61
        Sumitomo Mitsui Trust Bank Ltd/ New York
        86564MBL1
        
          
        
        250000.00000000
        PA
        USD
        249996.09000000
        0.009376443834
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-28
          Floating
          1.68000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DB8
        
          
          
        
        1213000.00000000
        PA
        USD
        1085124.86000000
        0.040699085747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31400JYB9
        
          
        
        39472.69000000
        PA
        USD
        39831.25000000
        0.001493925278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Floating
          1.96600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASSURANT INC
        H3F39CAXWQRVWURFXL38
        Assurant Inc
        04621XAM0
        
          
          
        
        1367000.00000000
        PA
        USD
        1217037.91000000
        0.045646664345
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-22
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135CA2
        
          
          
        
        2340000.00000000
        PA
        USD
        1875919.92000000
        0.070358931487
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-05-12
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AA3F6
        
          
        
        20330.39000000
        PA
        USD
        20994.70000000
        0.000787434816
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDELSBANKEN NY
        NHBDILHZTYCNBV5UYZ31
        Svenska Handelsbanken/New York NY
        86959RWD8
        
          
        
        725000.00000000
        PA
        USD
        725009.74000000
        0.027192477717
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-11
          Floating
          1.32136400
          N
          N
          N
        
        
          
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C4
        90270RAL8
        
          
        
        2060000.00000000
        PA
        USD
        1942596.07000000
        0.072859711301
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Variable
          4.60642500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXAT7
        
          
        
        69182.19000000
        PA
        USD
        72838.21000000
        0.002731896267
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya High Yield Bond Fund
        OTPD0VW0B2EUAT57PE57
        Voya High Yield Bond Fund
        92913L593
        
          
          
        
        20862123.85100000
        NS
        USD
        138733123.61000000
        5.203374746973
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GFYY7
        
          
        
        323909.66000000
        PA
        USD
        333958.86000000
        0.012525581875
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHW65
        
          
        
        10279.99000000
        PA
        USD
        10615.84000000
        0.000398161537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31376KT22
        
          
        
        80927.08000000
        PA
        USD
        85225.33000000
        0.003196492073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2019-2 A PTT
        N/A
        United Airlines 2019-2 Class A Pass Through Trust
        90932MAA3
        
          
        
        665699.78000000
        PA
        USD
        586195.19000000
        0.021986048962
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BX7
        
          
          
        
        813000.00000000
        PA
        USD
        595928.15000000
        0.022351096883
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2061-08-12
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KJJ4
        
          
          
        
        10354.54000000
        PA
        USD
        11110.59000000
        0.000416717809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO BANK LTD/NY
        RB0PEZSDGCO3JS6CEU02
        Mizuho Bank Ltd/New York NY
        60710RRF4
        
          
        
        600000.00000000
        PA
        USD
        599991.53000000
        0.022503499484
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-25
          Floating
          1.67000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        AMERICAN TRANSMISSION SY
        N/A
        American Transmission Systems Inc
        030288AB0
        
          
          
        
        1377000.00000000
        PA
        USD
        1329678.72000000
        0.049871411334
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133B4H32
        
          
        
        4903617.44000000
        PA
        USD
        4600371.22000000
        0.172543188028
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WRV6
        
          
        
        5517823.70000000
        PA
        USD
        429281.17000000
        0.016100774935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        Renaissance Home Equity Loan Trust 2005-3
        75970NBE6
        
          
          
        
        1011995.71000000
        PA
        USD
        1007969.89000000
        0.037805283517
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Variable
          5.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411GSQ6
        
          
          
        
        688.02000000
        PA
        USD
        723.80000000
        0.000027147104
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        5493005PJR3MYTKJFJ48
        Commonbond Student Loan Trust 2018-A-GS
        20269DAA3
        
          
        
        348185.87000000
        PA
        USD
        340306.01000000
        0.012763640380
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-02-25
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VBG8
        
          
          
        
        2000000.00000000
        PA
        USD
        1709089.18000000
        0.064101717370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96949LAB1
        
          
          
        
        3804000.00000000
        PA
        USD
        3749037.91000000
        0.140612772773
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCH6
        
          
          
        
        1100000.00000000
        PA
        USD
        965679.85000000
        0.036219137970
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-02
          Fixed
          1.87800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31307M2M7
        
          
        
        406726.19000000
        PA
        USD
        398941.65000000
        0.014962849917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AABP9
        
          
        
        765285.13000000
        PA
        USD
        665244.65000000
        0.024950906620
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-25
          Floating
          4.12594800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371PCM0
        
          
        
        5788.17000000
        PA
        USD
        6031.27000000
        0.000226210995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CL2
        
          
          
        
        1075000.00000000
        PA
        USD
        1069813.35000000
        0.040124806711
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CB9
        
          
          
        
        199000.00000000
        PA
        USD
        141310.14000000
        0.005300029256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EW9
        
          
          
        
        472000.00000000
        PA
        USD
        412277.85000000
        0.015463042261
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2028-11-20
          Fixed
          1.95300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414HTG2
        
          
        
        46396.85000000
        PA
        USD
        50462.18000000
        0.001892652787
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AFGS5
        
          
        
        529753.92000000
        PA
        USD
        24619.78000000
        0.000923398379
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-15
          Floating
          4.72600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A5CU4
        
          
        
        185118.64000000
        PA
        USD
        191013.18000000
        0.007164209464
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414RGY5
        
          
        
        446.73000000
        PA
        USD
        476.46000000
        0.000017870281
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BBVA SECURITIES INC.
        549300RJFN0Z663VE860
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        40591.13000000
        0.001522425613
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BBVA SECURITIES INC.
              549300RJFN0Z663VE860
            
            -36684320.28000000
            CNY
            5519147.26000000
            USD
            2022-08-05
            40591.13000000
          
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust
        93362FAD5
        
          
          
        
        1508651.79000000
        PA
        USD
        1412210.77000000
        0.052966888273
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-25
          Variable
          2.85292600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411LXX4
        
          
        
        14434.83000000
        PA
        USD
        15531.55000000
        0.000582531935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394EKV9
        
          
        
        2344906.12470000
        PA
        USD
        327009.35000000
        0.012264931038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-25
          Floating
          5.07643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BY9
        
          
          
        
        739000.00000000
        PA
        USD
        487427.88000000
        0.018281646486
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2061-04-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AGZ4
        
          
        
        4127235.28000000
        PA
        USD
        4176571.55000000
        0.156648004216
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MSILF Government Portfolio
        549300BI6Y5SI6BYPB26
        MSILF Government Portfolio
        61747C707
        
          
          
        
        29497000.00000000
        NS
        USD
        29497000.00000000
        1.106325158099
        Long
        STIV
        RF
        US
        N
        
        1
        
          
          N
          N
        
      
      
        AVANGRID INC
        549300OX0Q38NLSKPB49
        Avangrid Inc
        05351WAC7
        
          
          
        
        323000.00000000
        PA
        USD
        314398.49000000
        0.011791943558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417DKX0
        
          
        
        547835.93000000
        PA
        USD
        538521.85000000
        0.020197995417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GE90
        
          
        
        40636.85000000
        PA
        USD
        44167.59000000
        0.001656565616
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        549300ZUG1L9OO3W6B29
        Sequoia Mortgage Trust 2018-CH1
        81747DAU3
        
          
        
        154913.86000000
        PA
        USD
        151057.20000000
        0.005665606016
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        863579PM4
        
          
        
        623503.42000000
        PA
        USD
        595254.66000000
        0.022325836723
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Variable
          2.87987100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378TQB9
        
          
        
        192631.85000000
        PA
        USD
        177125.43000000
        0.006643330486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-08-20
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBE2
        
          
          
        
        730000.00000000
        PA
        USD
        664503.11000000
        0.024923094152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-02-14
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409AVN6
        
          
        
        420.23000000
        PA
        USD
        437.17000000
        0.000016396656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MISSISSIPPI POWER CO
        LNZ0J6YZ5SC6ILIRU850
        Mississippi Power Co
        605417BZ6
        
          
          
        
        2745000.00000000
        PA
        USD
        2398828.05000000
        0.089971313071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WRT1
        
          
        
        5983814.28000000
        PA
        USD
        536566.83000000
        0.020124669730
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUNDIN ENERGY FI
        549300JSNI1KL271GM17
        Lundin Energy Finance BV
        55037AAA6
        
          
          
        
        647000.00000000
        PA
        USD
        578753.83000000
        0.021706950621
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2017-4
        46648UAZ7
        
          
        
        1534069.17000000
        PA
        USD
        1435564.44000000
        0.053842799472
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-11-25
          Variable
          3.88283100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CG3
        
          
          
        
        667000.00000000
        PA
        USD
        596240.90000000
        0.022362826997
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-01-12
          Fixed
          2.60800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya Emerging Markets Corporate Debt Fund
        5493007WQXO53JSF1B65
        Voya Emerging Markets Corporate Debt Fund
        92913M302
        
          
          
        
        10246382.70700000
        NS
        USD
        82790772.27000000
        3.105180669925
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEU1
        
          
          
        
        10177000.00000000
        PA
        USD
        10137246.09000000
        0.380211220911
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-06-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        N/A
        Sound Point CLO XXIX Ltd
        83614VAG0
        
          
        
        2600000.00000000
        PA
        USD
        2440380.80000000
        0.091529805552
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-25
          Floating
          3.48400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414U3H9
        
          
        
        74539.19000000
        PA
        USD
        78430.18000000
        0.002941630717
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312946T30
        
          
        
        39073.27000000
        PA
        USD
        40376.71000000
        0.001514383499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L75E5
        
          
        
        4087486.27000000
        PA
        USD
        3873794.78000000
        0.145291949094
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEN7
        
          
          
        
        97800.00000000
        PA
        USD
        96489.63000000
        0.003618974986
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-04-30
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417WKH3
        
          
        
        145836.33000000
        PA
        USD
        153658.33000000
        0.005763164939
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31409WAE1
        
          
        
        31109.01000000
        PA
        USD
        34083.53000000
        0.001278349212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALASKA AIRLINES 2020 TR
        N/A
        Alaska Airlines 2020-1 Class A Pass Through Trust
        01166VAA7
        
          
          
        
        124420.86000000
        PA
        USD
        123013.93000000
        0.004613804982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBM3
        
          
          
        
        1124000.00000000
        PA
        USD
        991426.90000000
        0.037184816146
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308GZ4
        
          
          
        
        583000.00000000
        PA
        USD
        438765.26000000
        0.016456488647
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-04-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XEC4
        
          
        
        183912.72000000
        PA
        USD
        190322.74000000
        0.007138313571
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-05-25
          Floating
          5.97357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659BE0
        
          
          
        
        740000.00000000
        PA
        USD
        710820.16000000
        0.026660278194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-05-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Social Professional Loan Progr
        N/A
        SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
        83401BAC0
        
          
        
        2100000.00000000
        PA
        USD
        2022714.54000000
        0.075864663635
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-01-25
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4XA6
        
          
          
        
        73995.86000000
        PA
        USD
        79635.46000000
        0.002986836385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NZ32
        
          
        
        1422.86000000
        PA
        USD
        1429.89000000
        0.000053629971
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407KHM4
        
          
        
        19189.98000000
        PA
        USD
        19691.79000000
        0.000738567402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABH4
        
          
          
        
        751000.00000000
        PA
        USD
        760798.22000000
        0.028534773401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QPMQ4
        
          
        
        125895.71000000
        PA
        USD
        123300.42000000
        0.004624550179
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCE9
        
          
          
        
        900000.00000000
        PA
        USD
        786831.31000000
        0.029511179897
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2Q5
        
          
          
        
        752000.00000000
        PA
        USD
        583486.73000000
        0.021884464481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-04-30
          Fixed
          3.06800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413LZ93
        
          
        
        62667.03000000
        PA
        USD
        67874.96000000
        0.002545742816
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAD8
        
          
          
        
        1000000.00000000
        PA
        USD
        1039797.27000000
        0.038999012751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROSOFT CORP
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918CE2
        
          
          
        
        3600000.00000000
        PA
        USD
        2845508.98000000
        0.106724689703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-17
          Fixed
          2.92100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKD0
        
          
          
        
        806000.00000000
        PA
        USD
        665634.65000000
        0.024965534101
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-10-20
          Fixed
          2.57200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YDA2
        
          
          
        
        4456.53000000
        PA
        USD
        4503.05000000
        0.000168893023
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMM1
        
          
          
        
        1348000.00000000
        PA
        USD
        1095099.75000000
        0.041073207582
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACK HILLS CORP
        3MGELCRSTNSAMJ962671
        Black Hills Corp
        092113AH2
        
          
          
        
        1800000.00000000
        PA
        USD
        1806172.20000000
        0.067742948256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-30
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CORP
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        26441CBG9
        
          
          
        
        734000.00000000
        PA
        USD
        669775.00000000
        0.025120823567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128L1WN6
        
          
          
        
        21407.80000000
        PA
        USD
        22959.08000000
        0.000861111564
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAM6
        
          
          
        
        36000.00000000
        PA
        USD
        33250.14000000
        0.001247091785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416RZB2
        
          
        
        61329.62000000
        PA
        USD
        63330.42000000
        0.002375293654
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUCOR CORP
        549300GGJCRSI2TIEJ46
        Nucor Corp
        670346AY1
        
          
          
        
        580000.00000000
        PA
        USD
        578366.29000000
        0.021692415405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-23
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJHC7
        
          
        
        8258.06000000
        PA
        USD
        8885.12000000
        0.000333248526
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YAD1
        
          
          
        
        315000.00000000
        PA
        USD
        303145.90000000
        0.011369899845
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2026-04-12
          Fixed
          3.47700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES 2012-1 A
        N/A
        United Airlines 2012-1 Class A Pass Through Trust
        210795PZ7
        
          
          
        
        379895.51000000
        PA
        USD
        373179.64000000
        0.013996610645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-11
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418XE38
        
          
        
        1663.86000000
        PA
        USD
        1718.16000000
        0.000064441930
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4M67
        
          
        
        7095.94000000
        PA
        USD
        7584.25000000
        0.000284457625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406NCF9
        
          
        
        52870.16000000
        PA
        USD
        52608.94000000
        0.001973169944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Floating
          2.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFD1
        
          
          
        
        217000.00000000
        PA
        USD
        188022.35000000
        0.007052034311
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-22
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABBY4
        
          
          
        
        336483.04000000
        PA
        USD
        349617.60000000
        0.013112884245
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSL FINANCE PLC
        2549007CCNBNAF4HBC02
        CSL Finance PLC
        12661PAE9
        
          
          
        
        668000.00000000
        PA
        USD
        646522.53000000
        0.024248708011
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2052-04-27
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416VGS7
        
          
        
        32670.63000000
        PA
        USD
        35096.22000000
        0.001316331529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        NiSource Inc
        65473QAX1
        
          
          
        
        764000.00000000
        PA
        USD
        792003.24000000
        0.029705160175
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-15
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHM4
        
          
          
        
        814000.00000000
        PA
        USD
        783026.19000000
        0.029368463689
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.27100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MG48
        
          
        
        20067.26000000
        PA
        USD
        21891.76000000
        0.000821080274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411FRE6
        
          
        
        20424.16000000
        PA
        USD
        21513.00000000
        0.000806874364
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GU4Z7
        
          
        
        285912.51000000
        PA
        USD
        291227.89000000
        0.010922898648
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31388JK53
        
          
        
        1553.00000000
        PA
        USD
        1546.50000000
        0.000058003588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Floating
          2.50600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HL4
        
          
          
        
        629000.00000000
        PA
        USD
        458342.50000000
        0.017190759696
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-03-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBN5
        
          
          
        
        255000.00000000
        PA
        USD
        187398.00000000
        0.007028617214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-22
          Fixed
          3.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBW5
        
          
          
        
        1184000.00000000
        PA
        USD
        1049074.33000000
        0.039346961521
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-04
          Fixed
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJE0
        
          
          
        
        782000.00000000
        PA
        USD
        563794.51000000
        0.021145880950
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-19
          Fixed
          2.67600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADVANCED MICRO DEVICES
        R2I72C950HOYXII45366
        Advanced Micro Devices Inc
        007903BF3
        
          
          
        
        920000.00000000
        PA
        USD
        906399.64000000
        0.033995752958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-06-01
          Fixed
          3.92400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RHT9
        
          
        
        27227.36000000
        PA
        USD
        27692.93000000
        0.001038661055
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Floating
          1.52400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VODAFONE GROUP PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBT6
        
          
          
        
        792000.00000000
        PA
        USD
        730456.35000000
        0.027396760243
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2059-06-19
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419LC92
        
          
        
        30655.34000000
        PA
        USD
        31657.25000000
        0.001187348276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - COP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -14607.98000000
        -0.00054789218
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -2572426.54000000
            USD
            10683261692.88000000
            COP
            2022-08-05
            -14607.98000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QRUP3
        
          
        
        424351.87000000
        PA
        USD
        415451.32000000
        0.015582067575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419FMT0
        
          
        
        21771.78000000
        PA
        USD
        22425.28000000
        0.000841090668
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Money Management Corp
        549300I1YCI83LUUYL82
        AMMC CLO 16 Ltd
        00176JAX4
        
          
        
        650000.00000000
        PA
        USD
        626923.05000000
        0.023513602820
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-14
          Floating
          2.98843000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BDZ6
        
          
          
        
        538000.00000000
        PA
        USD
        530708.54000000
        0.019904946585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-27
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO GAS CAPITAL
        E8CD46SWUD2TSN8PA636
        Southern Co Gas Capital Corp
        8426EPAC2
        
          
          
        
        1574000.00000000
        PA
        USD
        1376566.79000000
        0.051630012258
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-30
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        CURRENCY CONTRACT - PLN
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -33960.97000000
        -0.00127375243
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -4365383.03000000
            USD
            19482975.10000000
            PLN
            2022-07-29
            -33960.97000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31375DCW1
        
          
        
        105.04000000
        PA
        USD
        105.08000000
        0.000003941168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GFVW4
        
          
        
        221264.75000000
        PA
        USD
        224281.61000000
        0.008411987240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419ATE7
        
          
        
        41255.63000000
        PA
        USD
        42607.69000000
        0.001598059442
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385WX38
        
          
        
        131.69000000
        PA
        USD
        138.02000000
        0.000005176628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-01-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAT1
        
          
          
        
        1186000.00000000
        PA
        USD
        1006854.65000000
        0.037763454922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA, NATIONAL ASSOCIATION
        1IE8VN30JCEQV1H4R804
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        201090.54000000
        0.007542174575
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            -81522390850.23000000
            IDR
            5649068.88000000
            USD
            2022-08-05
            201090.54000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A83P3
        
          
        
        4803560.25000000
        PA
        USD
        678304.50000000
        0.025440734081
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Floating
          4.47643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REYNOLDS AMERICAN INC
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713BB1
        
          
          
        
        560000.00000000
        PA
        USD
        470852.13000000
        0.017659950407
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2045-08-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        Morgan Stanley Mortgage Loan Trust 2007-13
        61756HBN9
        
          
        
        1330859.72000000
        PA
        USD
        874818.81000000
        0.032811270918
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDT6
        
          
          
        
        1111000.00000000
        PA
        USD
        970489.20000000
        0.036399519192
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414CFW3
        
          
          
        
        4632.26000000
        PA
        USD
        4871.79000000
        0.000182723119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGH1
        
          
          
        
        861000.00000000
        PA
        USD
        765463.48000000
        0.028709750331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-22
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US AIRWAYS 2012-1A PTT
        N/A
        US Airways 2012-1 Class A Pass Through Trust
        90345WAA2
        
          
          
        
        1792478.43000000
        PA
        USD
        1788763.16000000
        0.067089998501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403YXV0
        
          
        
        65954.52000000
        PA
        USD
        69307.38000000
        0.002599467679
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citicorp Mortgage Securities,
        N/A
        Citicorp Mortgage Securities Trust Series 2007-1
        173105AA5
        
          
        
        511158.25000000
        PA
        USD
        461796.46000000
        0.017320305170
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJWR7
        
          
        
        165086.37000000
        PA
        USD
        166492.08000000
        0.006244512212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374UJR3
        
          
        
        9536587.99000000
        PA
        USD
        9709523.52000000
        0.364168903391
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-05-20
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410XHX7
        
          
        
        8802.79000000
        PA
        USD
        9318.12000000
        0.000349488781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31307M4H6
        
          
        
        726157.59000000
        PA
        USD
        713146.86000000
        0.026747544246
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WC75
        
          
        
        356906.03000000
        PA
        USD
        71641.78000000
        0.002687022530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-15
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ABQD8
        
          
        
        12472455.27000000
        PA
        USD
        1103993.14000000
        0.041406766286
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          4.52643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YGJ0
        
          
        
        1349.74000000
        PA
        USD
        1367.12000000
        0.000051275697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY CORP
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364GAL7
        
          
          
        
        608000.00000000
        PA
        USD
        522103.83000000
        0.019582215217
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM Re-REMIC Trust 2021-FRR1
        364614AQ0
        
          
        
        8097000.00000000
        PA
        USD
        5775509.53000000
        0.216618350811
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418UEE0
        
          
          
        
        47721.30000000
        PA
        USD
        49153.32000000
        0.001843562210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QN6Q0
        
          
        
        9876327.22000000
        PA
        USD
        9229264.24000000
        0.346156125011
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TAQ9
        
          
        
        2140000.00000000
        PA
        USD
        1821187.29000000
        0.068306109656
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31414F4V0
        
          
        
        355.17000000
        PA
        USD
        373.66000000
        0.000014014627
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIATRIS INC
        254900ZZTSW7NL773X71
        Viatris Inc
        92556VAE6
        
          
          
        
        1500000.00000000
        PA
        USD
        1064675.36000000
        0.039932099399
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-06-22
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        N/A
        Eagle RE 2021-2 Ltd
        26982AAC8
        
          
        
        1500000.00000000
        PA
        USD
        1414912.20000000
        0.053068209084
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-04-25
          Floating
          4.37566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403TT46
        
          
        
        415.77000000
        PA
        USD
        434.05000000
        0.000016279636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGB4
        
          
          
        
        1233000.00000000
        PA
        USD
        990667.27000000
        0.037156325189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-22
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBR5
        
          
          
        
        2362000.00000000
        PA
        USD
        1981005.67000000
        0.074300315661
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818FZ6
        
          
          
        
        1190000.00000000
        PA
        USD
        972187.41000000
        0.036463212871
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-02-14
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITRIX SYSTEMS INC
        HCTKJGUQOPZ5NBK7NP58
        Citrix Systems Inc
        177376AG5
        
          
          
        
        1137000.00000000
        PA
        USD
        1101466.69000000
        0.041312008338
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAG6
        
          
          
        
        1201000.00000000
        PA
        USD
        1138307.87000000
        0.042693786969
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31376KR32
        
          
        
        554445.33000000
        PA
        USD
        587420.52000000
        0.022032006633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEMPRA ENERGY
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BK4
        
          
          
        
        1315000.00000000
        PA
        USD
        1213062.32000000
        0.045497554427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK PARTNERS LP
        T4DHW82NMF6BXJT50795
        ONEOK Partners LP
        68268NAM5
        
          
          
        
        908000.00000000
        PA
        USD
        856541.14000000
        0.032125742012
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-09-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        06417XAD3
        
          
          
        
        452000.00000000
        PA
        USD
        408103.94000000
        0.015306494082
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-02-02
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSL FINANCE PLC
        2549007CCNBNAF4HBC02
        CSL Finance PLC
        12661PAD1
        
          
          
        
        404000.00000000
        PA
        USD
        389051.25000000
        0.014591896995
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2042-04-27
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BD2
        
          
          
        
        3858000.00000000
        PA
        USD
        3847759.63000000
        0.144315465335
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        COREBRIDGE FINANCIAL INC
        549300XY1661QCIA7J65
        Corebridge Financial Inc
        21871XAL3
        
          
          
        
        310000.00000000
        PA
        USD
        259155.35000000
        0.009719974355
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-05
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJT7
        
          
          
        
        1136000.00000000
        PA
        USD
        954704.51000000
        0.035807492896
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.68700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COREBRIDGE FINANCIAL INC
        549300XY1661QCIA7J65
        Corebridge Financial Inc
        21871XAE9
        
          
          
        
        2325000.00000000
        PA
        USD
        2150737.16000000
        0.080666326357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-05
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M74F0
        
          
        
        19028.23000000
        PA
        USD
        20270.66000000
        0.000760278710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GSZZ8
        
          
        
        62559.11000000
        PA
        USD
        63437.64000000
        0.002379315086
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NHV0
        
          
          
        
        33944.53000000
        PA
        USD
        37215.41000000
        0.001395814637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376TZ47
        
          
        
        1543664.70000000
        PA
        USD
        90375.24000000
        0.003389646461
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-01-16
          Floating
          4.99071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        21684AAC0
        
          
          
        
        5500000.00000000
        PA
        USD
        5462123.32000000
        0.204864374192
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-08-04
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128JRGY6
        
          
        
        276748.43000000
        PA
        USD
        285368.68000000
        0.010703140997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-01
          Floating
          3.03600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RLV2
        
          
          
        
        2180000.00000000
        PA
        USD
        1637544.61000000
        0.061418340833
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416T3T4
        
          
        
        12435.97000000
        PA
        USD
        12842.29000000
        0.000481667576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BK7
        
          
          
        
        260000.00000000
        PA
        USD
        235193.55000000
        0.008821254411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BFEM1
        
          
        
        19982548.90000000
        PA
        USD
        3875205.72000000
        0.145344868320
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833EL0
        
          
          
        
        860000.00000000
        PA
        USD
        625357.02000000
        0.023454866732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2061-08-05
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417WUE9
        
          
          
        
        128668.37000000
        PA
        USD
        132872.66000000
        0.004983570077
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QS2P2
        
          
        
        1920296.93000000
        PA
        USD
        1936893.10000000
        0.072645813644
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARGILL INC
        QXZYQNMR4JZ5RIRN4T31
        Cargill Inc
        141781BX1
        
          
          
        
        388000.00000000
        PA
        USD
        373975.34000000
        0.014026454458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-22
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddiemac Strip
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325WRH7
        
          
        
        8711608.94000000
        PA
        USD
        537042.81000000
        0.020142522008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AWQJ7
        
          
        
        36935042.44000000
        PA
        USD
        5747.09000000
        0.000215552437
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-25
          Variable
          1.28500100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVERSOURCE ENERGY
        SJ7XXD41SQU3ZNWUJ746
        Eversource Energy
        30040WAP3
        
          
          
        
        526000.00000000
        PA
        USD
        473575.29000000
        0.017762086231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36296DP28
        
          
        
        662881.06000000
        PA
        USD
        703128.14000000
        0.026371778507
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        48392.34000000
        0.001815020619
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -53820783.06000000
            CZK
            2319558.40000000
            USD
            2022-07-29
            48392.34000000
          
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AZ7
        
          
          
        
        900000.00000000
        PA
        USD
        885410.02000000
        0.033208508674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837BB8
        
          
          
        
        744000.00000000
        PA
        USD
        709208.13000000
        0.026599816813
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-03-28
          Fixed
          4.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTARES HOLDINGS
        5493008EAIGV4283RM42
        Antares Holdings LP
        03666HAD3
        
          
          
        
        842000.00000000
        PA
        USD
        673148.54000000
        0.025247352779
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-01-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        SoFi Consumer Loan Program 2019-2 Trust
        83406CAD1
        
          
        
        1000000.00000000
        PA
        USD
        986708.10000000
        0.037007831126
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-04-25
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-2 AA PTT
        N/A
        American Airlines 2016-2 Class AA Pass Through Trust
        023765AA8
        
          
          
        
        2122862.00000000
        PA
        USD
        1945408.99000000
        0.072965213697
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDL2
        
          
          
        
        1600500.00000000
        PA
        USD
        1453579.09000000
        0.054518463455
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-11-30
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F030678
        
          
        
        17900000.00000000
        PA
        USD
        16676367.28000000
        0.625469867022
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2005-4
        81744FJG3
        
          
          
        
        13312.83000000
        PA
        USD
        13367.13000000
        0.000501352415
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-20
          Variable
          2.60229700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCD5
        
          
          
        
        2015000.00000000
        PA
        USD
        1735600.30000000
        0.065096053032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-25
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412PJ44
        
          
        
        34108.01000000
        PA
        USD
        35218.26000000
        0.001320908806
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AF3C2
        
          
        
        11395.22000000
        PA
        USD
        11544.69000000
        0.000432999321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2012-CCRE5 Mortgage Trust
        12623SAF7
        
          
        
        15194083.00000000
        PA
        USD
        19223.55000000
        0.000721005424
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Variable
          1.64630800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GA86
        
          
        
        4741.35000000
        PA
        USD
        5201.50000000
        0.000195089341
        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
        31410UHR6
        
          
          
        
        19565.60000000
        PA
        USD
        21020.50000000
        0.000788402481
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412TGT4
        
          
        
        79572.23000000
        PA
        USD
        85731.46000000
        0.003215475168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A2K6
        
          
          
        
        273000.00000000
        PA
        USD
        251115.88000000
        0.009418443083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-12
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417BTN7
        
          
        
        27417.97000000
        PA
        USD
        27571.89000000
        0.001034121285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EDEJ6
        
          
        
        4240.08000000
        PA
        USD
        4263.88000000
        0.000159922626
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382AWQ4
        
          
        
        26119859.94000000
        PA
        USD
        418939.05000000
        0.015712879639
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Floating
          1.23486000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MISSISSIPPI POWER CO
        LNZ0J6YZ5SC6ILIRU850
        Mississippi Power Co
        605417BY9
        
          
          
        
        266000.00000000
        PA
        USD
        247337.54000000
        0.009276731296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-10-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EX2M4
        
          
        
        3409004.95000000
        PA
        USD
        3334406.14000000
        0.125061443536
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORFOLK SOUTHERN CORP
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844CJ5
        
          
          
        
        452000.00000000
        PA
        USD
        341047.48000000
        0.012791450223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2121-05-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAE5
        
          
          
        
        2000000.00000000
        PA
        USD
        1992132.54000000
        0.074717644074
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-02-23
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DTQ5
        
          
        
        4132848.46000000
        PA
        USD
        3613689.83000000
        0.135536358697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379BGA0
        
          
        
        6160976.22000000
        PA
        USD
        826979.83000000
        0.031017004819
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-04-16
          Floating
          4.69071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31407UEQ6
        
          
        
        491.83000000
        PA
        USD
        527.10000000
        0.000019769603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TAE6
        
          
        
        2631000.00000000
        PA
        USD
        2172506.55000000
        0.081482816978
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CV9
        
          
          
        
        1875000.00000000
        PA
        USD
        1576698.58000000
        0.059136227609
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-08-17
          Fixed
          2.20600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FV94
        
          
        
        645008.00000000
        PA
        USD
        674699.05000000
        0.025305506768
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NNX9
        
          
        
        3350.32000000
        PA
        USD
        3483.84000000
        0.000130666163
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        N/A
        LCM 26 Ltd
        50200FAL3
        
          
        
        10000000.00000000
        PA
        USD
        9636200.00000000
        0.361418804911
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          2.31271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BF0
        
          
          
        
        575000.00000000
        PA
        USD
        587147.16000000
        0.022021753894
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31408DRS5
        
          
        
        79778.35000000
        PA
        USD
        85571.76000000
        0.003209485402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBP9
        
          
          
        
        747000.00000000
        PA
        USD
        582281.05000000
        0.021839243811
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA (NEW YORK)
        ES7IP3U3RHIGC71XBU11
        ROYAL BANK OF CANADA (NEW YORK)
        78012U3Q6
        
          
        
        650000.00000000
        PA
        USD
        649912.42000000
        0.024375850452
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-16
          Floating
          1.13000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403RXA1
        
          
        
        980.53000000
        PA
        USD
        1051.33000000
        0.000039431563
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOW CHEMICAL CO/THE
        ZQUIP1CSZO8LXRBSOU78
        Dow Chemical Co/The
        260543CL5
        
          
          
        
        500000.00000000
        PA
        USD
        451490.66000000
        0.016933772105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-10-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415TK33
        
          
        
        21725.01000000
        PA
        USD
        23814.55000000
        0.000893197131
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582BQ4
        
          
          
        
        587000.00000000
        PA
        USD
        524129.78000000
        0.019658201231
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2046-05-10
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411KEQ2
        
          
        
        8470.74000000
        PA
        USD
        8931.57000000
        0.000334990697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419DZ38
        
          
        
        59242.38000000
        PA
        USD
        61179.64000000
        0.002294625721
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402Q2V2
        
          
        
        228322.36000000
        PA
        USD
        240277.52000000
        0.009011935630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADVANCED MICRO DEVICES
        R2I72C950HOYXII45366
        Advanced Micro Devices Inc
        007903BG1
        
          
          
        
        827000.00000000
        PA
        USD
        806345.29000000
        0.030243078294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-06-01
          Fixed
          4.39300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAJ1
        
          
          
        
        500000.00000000
        PA
        USD
        396035.61000000
        0.014853854929
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-01-20
          Fixed
          2.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AES CORP/THE
        2NUNNB7D43COUIRE5295
        AES Corp/The
        00130HCE3
        
          
          
        
        1068000.00000000
        PA
        USD
        943162.62000000
        0.035374598592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377FZV6
        
          
        
        1722773.08000000
        PA
        USD
        1766498.78000000
        0.066254942606
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R02
        20754WAB1
        
          
        
        711350.21000000
        PA
        USD
        701144.90000000
        0.026297394390
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          3.62357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PRIVATE CRE
        549300ORP3TTCNXSYO43
        Blackstone Private Credit Fund
        09261HAQ0
        
          
          
        
        433000.00000000
        PA
        USD
        355248.83000000
        0.013324091196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410WF52
        
          
        
        2264.45000000
        PA
        USD
        2396.08000000
        0.000089868243
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DDC2
        
          
        
        1723000.00000000
        PA
        USD
        1513238.96000000
        0.056756088133
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B36L7
        
          
        
        27650000.00000000
        PA
        USD
        347760.96000000
        0.013043248433
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-25
          Variable
          1.64487200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY FIN
        549300RLHFT5RU20WM87
        Berkshire Hathaway Finance Corp
        084664CV1
        
          
          
        
        547000.00000000
        PA
        USD
        394586.81000000
        0.014799515712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AFC24
        
          
        
        21092.41000000
        PA
        USD
        21726.23000000
        0.000814871845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31395GPB2
        
          
        
        652523.91000000
        PA
        USD
        680734.74000000
        0.025531883542
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUBLIC STORAGE
        549300LMZF40TKJ6DM64
        Public Storage
        74460DAH2
        
          
          
        
        365000.00000000
        PA
        USD
        315932.24000000
        0.011849468941
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-09
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCK5
        
          
          
        
        3290000.00000000
        PA
        USD
        2867091.13000000
        0.107534157632
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AMHP3
        
          
        
        2215.86000000
        PA
        USD
        2269.70000000
        0.000085128189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE SA (NEW YORK)
        254900J6B390XMPVLV82
        SOCIETE GENERALE SA (NEW YORK)
        83369XBD9
        
          
        
        725000.00000000
        PA
        USD
        725073.51000000
        0.027194869498
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-08-08
          Floating
          1.39000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        CD Commercial Mortgage Trust
        N/A
        CD 2016-CD1 Mortgage Trust
        12514MBD6
        
          
        
        17019336.79000000
        PA
        USD
        713755.24000000
        0.026770362366
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Variable
          1.50379500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410ET73
        
          
        
        73348.56000000
        PA
        USD
        77173.27000000
        0.002894488596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394VS50
        
          
          
        
        3059436.94000000
        PA
        USD
        315946.52000000
        0.011850004532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-10-25
          Floating
          5.12643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CORNING INC
        549300X2937PB0CJ7I56
        Corning Inc
        219350BQ7
        
          
          
        
        688000.00000000
        PA
        USD
        621535.37000000
        0.023311530544
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2079-11-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CMS ENERGY CORP
        549300IA9XFBAGNIBW29
        CMS Energy Corp
        125896BV1
        
          
          
        
        1216000.00000000
        PA
        USD
        932586.88000000
        0.034977941060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VODAFONE GROUP PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBD1
        
          
          
        
        286000.00000000
        PA
        USD
        249084.14000000
        0.009342239907
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2043-02-19
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9ME7
        
          
        
        2268960.57000000
        PA
        USD
        2288930.15000000
        0.085849442657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YAY3
        
          
        
        302877.88000000
        PA
        USD
        306045.93000000
        0.011478669420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHWESTERN MUTUAL GLBL
        635400LZXFVELZDVP257
        Northwestern Mutual Global Funding
        66815L2D0
        
          
          
        
        1611000.00000000
        PA
        USD
        1423242.06000000
        0.053380631828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413KH79
        
          
        
        23720.02000000
        PA
        USD
        25996.87000000
        0.000975048015
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        5493007CD1Q2V06I4172
        Wells Fargo Commercial Mortgage Trust 2014-LC18
        94989AAX3
        
          
        
        25874104.32000000
        PA
        USD
        483350.26000000
        0.018128709794
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-12-15
          Variable
          1.18201600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NBC8
        
          
          
        
        979000.00000000
        PA
        USD
        897566.78000000
        0.033664464514
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2080-07-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31408FE47
        
          
        
        2227.48000000
        PA
        USD
        2344.14000000
        0.000087920163
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292HSS3
        
          
        
        1795.60000000
        PA
        USD
        1861.30000000
        0.000069810591
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B8W94
        
          
        
        7787033.76000000
        PA
        USD
        968912.58000000
        0.036340385912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          4.82600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TTX CO
        549300I8CNSYS1OGX775
        TTX Co
        87305QCH2
        
          
          
        
        2250000.00000000
        PA
        USD
        2223965.57000000
        0.083412857607
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128L3V78
        
          
        
        1905.00000000
        PA
        USD
        2009.89000000
        0.000075383661
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2019-KG01 Mortgage Trust
        30298CAU5
        
          
        
        5200000.00000000
        PA
        USD
        3038657.96000000
        0.113969005255
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
          
        
        391000.00000000
        PA
        USD
        360129.44000000
        0.013507145121
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2018-1
        46648RAY7
        
          
        
        1530057.62000000
        PA
        USD
        1422676.95000000
        0.053359436608
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-06-25
          Variable
          3.63291200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371NYW9
        
          
        
        4010.79000000
        PA
        USD
        4178.54000000
        0.000156721833
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DAS0
        
          
        
        3030000.00000000
        PA
        USD
        2378827.09000000
        0.089221149826
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAR6
        
          
          
        
        1391000.00000000
        PA
        USD
        1230125.75000000
        0.046137541609
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-01-11
          Fixed
          2.46900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XJ70
        
          
        
        1909473.38000000
        PA
        USD
        1919401.69000000
        0.071989774490
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          3.77357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378G2A5
        
          
        
        142202.61000000
        PA
        USD
        131737.74000000
        0.004941003357
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-11-20
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIBERTY STREET FDG LLC
        N/A
        LIBERTY STREET FDG LLC
        000000000
        
          
        
        1976000.00000000
        PA
        USD
        1975914.97000000
        0.074109382024
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          1.55000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        CON EDISON CO OF NY INC
        VZFZPMWDHTQCFKYOBP05
        Consolidated Edison Co of New York Inc
        209111EH2
        
          
          
        
        400000.00000000
        PA
        USD
        416377.82000000
        0.015616817220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-03-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411XMC6
        
          
        
        21041.44000000
        PA
        USD
        22133.98000000
        0.000830165065
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AUAV3
        
          
        
        16388561.50000000
        PA
        USD
        1990215.44000000
        0.074645740628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-25
          Floating
          4.42643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412WEW2
        
          
          
        
        13150.63000000
        PA
        USD
        13834.47000000
        0.000518880639
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BAPA4
        
          
        
        8129032.76000000
        PA
        USD
        8220919.28000000
        0.308336773982
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M1ZP6
        
          
        
        4140.28000000
        PA
        USD
        4163.52000000
        0.000156158488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WFG8
        
          
        
        1343727.59000000
        PA
        USD
        1235368.79000000
        0.046334188965
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36295PZ70
        
          
        
        94267.56000000
        PA
        USD
        99618.33000000
        0.003736321140
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EGS70
        
          
          
        
        19505.89000000
        PA
        USD
        19984.43000000
        0.000749543264
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132XXMU0
        
          
        
        230300.64000000
        PA
        USD
        231505.16000000
        0.008682916321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2018-1
        33850TAY4
        
          
        
        1350077.25000000
        PA
        USD
        1252802.70000000
        0.046988071503
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-25
          Variable
          3.96105800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36241LA48
        
          
        
        46609.01000000
        PA
        USD
        49425.50000000
        0.001853770691
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust
        93364FAD3
        
          
          
        
        1412621.18000000
        PA
        USD
        1351128.51000000
        0.050675914921
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Variable
          3.10670800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QST99
        
          
        
        263026.85000000
        PA
        USD
        257722.51000000
        0.009666233739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413AH63
        
          
        
        19832.63000000
        PA
        USD
        21054.51000000
        0.000789678072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396LMM9
        
          
        
        532457.21000000
        PA
        USD
        823561.68000000
        0.030888802448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-25
          Floating
          25.33215000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DP2
        
          
          
        
        798000.00000000
        PA
        USD
        577441.65000000
        0.021657735523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-21
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAR2
        
          
          
        
        993000.00000000
        PA
        USD
        940400.26000000
        0.035270992518
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2028-06-12
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KYNDRYL HOLDINGS INC
        549300LQ4LWX2R8ZV130
        Kyndryl Holdings Inc
        50155QAC4
        
          
          
        
        1563000.00000000
        PA
        USD
        1246332.29000000
        0.046745389964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A62R0
        
          
        
        14874.79000000
        PA
        USD
        15220.90000000
        0.000570880584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT INDUSTRIEL ET COMMERCIAL (NEW YORK)
        N4JDFKKH2FTD8RKFXO39
        CREDIT INDUSTRIEL ET COMMERCIAL (NEW YORK)
        22536U2T6
        
          
        
        700000.00000000
        PA
        USD
        700012.07000000
        0.026254906058
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-07-07
          Floating
          1.24000000
          N
          N
          N
        
        
          
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622AAE59
        
          
        
        2959918.67000000
        PA
        USD
        2924842.95000000
        0.109700218295
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7AX4
        
          
        
        23808.32000000
        PA
        USD
        25603.03000000
        0.000960276509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132QQ2Q4
        
          
        
        482525.44000000
        PA
        USD
        471662.37000000
        0.017690339561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AAH81
        
          
        
        5349140.48000000
        PA
        USD
        686430.59000000
        0.025745514154
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-25
          Floating
          4.47643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31393EAA7
        
          
          
        
        555707.87000000
        PA
        USD
        119671.69000000
        0.004488449718
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371MWJ2
        
          
        
        14042.13000000
        PA
        USD
        15391.31000000
        0.000577272043
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2019-KG01 Mortgage Trust
        30298CAQ4
        
          
        
        7380000.00000000
        PA
        USD
        35311.46000000
        0.001324404399
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-05-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M55E6
        
          
        
        5429.63000000
        PA
        USD
        5841.53000000
        0.000219094538
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBN9
        
          
          
        
        321000.00000000
        PA
        USD
        223377.67000000
        0.008378083739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-11-10
          Fixed
          2.77200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBM1
        
          
          
        
        366000.00000000
        PA
        USD
        299918.17000000
        0.011248839435
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-10
          Fixed
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANGLO AMERICAN CAPITAL
        TINT358G1SSHR3L3PW36
        Anglo American Capital PLC
        034863AW0
        
          
          
        
        476000.00000000
        PA
        USD
        479846.90000000
        0.017997311506
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2030-04-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KGA6
        
          
        
        8314.30000000
        PA
        USD
        9121.26000000
        0.000342105278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419B3S2
        
          
        
        33154.76000000
        PA
        USD
        34058.23000000
        0.001277400301
        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
        31419KBW4
        
          
          
        
        19384.31000000
        PA
        USD
        19755.61000000
        0.000740961058
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-08-18
      Voya Intermediate Bond Portfolio
      Tin Bui
      Tin Bui
      Vice President
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