Spreadsheet: 818281d1676695589-filter-and-sortby-filter-and-sortby
Sheet: Sheet1

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Cusip | Position | Current Face | Des | Px Close | Principal | Mkt Val | Factor | [NAME] | [NAME] | OAD | WAL | Moody's | S&P | Fitch | BB Comp | Issuer | Sector
3133ENVG2 | 80000000 | 80000000 | FFCB Float 10/26/23 | 99.941376 | 79953100.59 | 80182578 | 1 | 4.575 | 4.68 | 0.021905 | 0.69 | Aaa | AA+ | AAA | AA+ | FEDERAL FARM CREDIT BANK | Agency
3137B4WB8 | 63496500 | 63496500 | FHMS K033 A2 | 99.197386 | 62986868.2 | 63078621 | 1 | 3.06 | 5.06 | 0.299878 | 0.31 | Aaa |  |  | AAA | FHLMC Multifamily Structured P | Agency CMBS
91282CGG0 | 61835000 | 61835000 | T 4 ⅛ 01/31/25 | 99.03125 | 61235973.44 | 61362804 | 1 | 4.125 | 4.65 | 1.847287 | 1.95 | Aaa |  |  | AAA | US TREASURY N/B | Treasury
912796X53 | 60000000 | 60000000 | B 0 06/15/23 | 98.469548 | 59081728.79 | 59081729 | 1 | 0 | 4.81 | 0.318311 | 0.32 |  |  | F1+u | AAA | TREASURY BILL | Treasury
3137B5JM6 | 58401000 | 58003159.88 | FHMS K034 A2 | 99.20596 | 57542591.59 | 57639307 | 0.993188 | 3.531 | 5.15 | 0.34752 | 0.36 |  |  | AAA | AAA | FHLMC Multifamily Structured P | Agency CMBS
912796V48 | 53000000 | 53000000 | B 0 04/20/23 | 99.20537 | 52578846.05 | 52578846 | 1 | 0 | 4.72 | 0.16844 | 0.17 |  |  | F1+u | AAA | TREASURY BILL | Treasury
912797FF9 | 53000000 | 53000000 | B 0 05/23/23 | 98.76964 | 52347909.05 | 52347909 | 1 | 0 | 4.79 | 0.256984 | 0.26 |  |  |  | AAA | TREASURY BILL | Treasury
3137B3NX2 | 54238000 | 48115410.47 | FHMS K031 A2 | 99.466639 | 47858781.63 | 47933761 | 0.887116 | 3.3 | 5.39 | 0.147903 | 0.16 | Aaa |  |  | AAA | FHLMC Multifamily Structured P | Agency CMBS
91282CGE5 | 46215000 | 46215000 | T 3 ⅞ 01/15/26 | 98.617188 | 45575933.2 | 45744133 | 1 | 3.875 | 4.39 | 2.698587 | 2.91 | Aaa |  |  | AAA | US TREASURY N/B | Treasury
3137B4GY6 | 44163000 | 43526318.98 | FHMS K032 A2 | 99.288298 | 43216541.29 | 43284575 | 0.985583 | 3.31 | 5.52 | 0.22192 | 0.23 |  |  | AAA | NR | FHLMC Multifamily Structured P | Agency CMBS
3137B3NA2 | 81505540 | 42868465.71 | FHMS K030 A2 | 99.473594 | 42642803.54 | 42708595 | 0.525958 | 3.25 | 5.7 | 0.123707 | 0.13 | Aaa |  |  | NR | FHLMC Multifamily Structured P | Agency CMBS
912796ZE2 | 42000000 | 42000000 | B 0 05/11/23 | 98.922876 | 41547607.88 | 41547608 | 1 | 0 | 4.79 | 0.224859 | 0.23 |  |  |  | AAA | TREASURY BILL | Treasury
912797FD4 | 40000000 | 40000000 | B 0 05/09/23 | 98.955069 | 39582027.55 | 39582028 | 1 | 0 | 4.76 | 0.219512 | 0.22 |  |  |  | AAA | TREASURY BILL | Treasury
912797FM4 | 40000000 | 40000000 | B 0 06/06/23 | 98.575609 | 39430243.44 | 39430243 | 1 | 0 | 4.84 | 0.294257 | 0.3 |  |  |  | AAA | TREASURY BILL | Treasury
912796YB9 | 39125000 | 39125000 | B 0 03/02/23 | 99.839109 | 39062051.57 | 39062052 | 1 | 0 | 4.52 | 0.035558 | 0.04 |  |  | F1+u | AAA | TREASURY BILL | Treasury
91282CGH8 | 36820000 | 36820000 | T 3 ½ 01/31/28 | 97.460938 | 35885117.19 | 35949196 | 1 | 3.5 | 4.07 | 4.459203 | 4.95 |  |  |  | AAA | US TREASURY N/B | Treasury
912796CV9 | 32000000 | 32000000 | B 0 04/25/23 | 99.142745 | 31725678.54 | 31725679 | 1 | 0 | 4.71 | 0.181897 | 0.18 |  |  |  | AAA | TREASURY BILL | Treasury
3133ENDP2 | 25620000 | 25620000 | FFCB Float 11/09/23 | 99.961395 | 25610109.47 | 25639572 | 1 | 4.6 | 4.68 | 0.024044 | 0.73 | Aaa | AA+ | AAA | AA+ | FEDERAL FARM CREDIT BANK | Agency
3138LD5G4 | 26631000 | 24837492.87 | FN AN1746 | 99.435633 | 24697318.25 | 24721052 | 0.932653 | 2.15 | 2.89 | 0.581288 | 0.6 |  |  |  |  | Fannie Mae | Agency CMBS
912796Z85 | 24750000 | 24750000 | B 0 03/28/23 | 99.511313 | 24629049.88 | 24629050 | 1 | 0 | 4.6 | 0.106241 | 0.11 |  |  |  | AAA | TREASURY BILL | Treasury
3137FBTA4 | 24780394 | 24117739.35 | FHMS K728 A2 | 97.827776 | 23593848.02 | 23628744 | 0.973259 | 3.064 | 4.61 | 1.326278 | 1.35 |  |  | AAA | NR | FHLMC Multifamily Structured P | Agency CMBS
17322AAD4 | 23082000 | 23082000 | CGCMT 2014-GC19 A4 | 98.427647 | 22719069.48 | 22762920 | 1 | 4.023 | 5.79 | 0.836531 | 0.89 | Aaa |  | AAA | AAA | Citigroup Commercial Mortgage | Non Agency CMBS
3136B0YM2 | 25000000 | 23797376.48 | FNA 2018-M2 A2 | 93.736537 | 22306836.61 | 22339482 | 0.951895 | 2.905 | 4.46 | 4.161244 | 4.59 |  |  |  | NR | Fanniemae-Aces | Agency CMBS
46643TBJ0 | 21914455 | 21914455 | JPMBB 2014-C26 A4 | 96.245516 | 21091680.29 | 21127841 | 1 | 3.494 | 5.77 | 1.660779 | 1.73 | Aaa |  |  | AAA | JPMBB Commercial Mortgage Secu | Non Agency CMBS
31422XBB7 | 20000000 | 20000000 | FAMCA Float 03/01/23 | 99.985535 | 19997106.93 | 20186979 | 1 | 4.62 | 5.04 | 0.010765 | 0.03 |  |  |  |  | FARMER MAC | Agency
05609VAA3 | 20482000 | 20482000 | BX 2021-VOLT A | 97.805826 | 20032589.28 | 20041615 | 1 | 5.288 | 9.35 | 0.060692 | 0.58 |  | AAA |  | AAA | BX Trust | Non Agency CMBS
61691ABL6 | 19661000 | 19661000 | MSC 2015-UBS8 A4 | 95.411275 | 18758810.78 | 18794175 | 1 | 3.809 | 5.62 | 2.530151 | 2.74 | Aaa |  | AAA | AAA | Morgan Stanley Capital I Trust | Non Agency CMBS
3138LHML5 | 19000000 | 19000000 | FN AN4862 | 97.316544 | 18490143.36 | 18513619 | 1 | 2.78 | 5.19 | 1.085164 | 1.11 |  |  |  |  | Fannie Mae | Agency CMBS
193051AA7 | 18676000 | 18358331 | COLD 2020-ICE5 A | 98.959152 | 18167248.68 | 18175644 | 0.982991 | 5.488 | 7.02 | 0.060487 | 0.74 | Aaa |  |  | AAA | Cold Storage Trust | Non Agency CMBS
12592FAA3 | 18420000 | 18420000 | COMM 2014-277P A | 95.764286 | 17639781.48 | 17671194 | 1 | 3.611 | 6.71 | 1.446549 | 1.48 |  |  | AAA | NR | COMM Mortgage Trust | Non Agency CMBS
17324DAU8 | 17850000 | 17850000 | CGCMT 2015-P1 A5 | 95.668264 | 17076785.12 | 17108116 | 1 | 3.717 | 5.64 | 2.232295 | 2.41 | Aaa |  | AAA | AAA | Citigroup Commercial Mortgage | Non Agency CMBS
46361TAC6 | 17000000 | 17000000 | ICOT 2013-IRV A2 | 99.225594 | 16868350.98 | 16880338 | 1 | 3.173 | 6.31 | 0.234945 | 0.24 |  | AAA | AAA | AAA | Irvine Core Office Trust | Non Agency CMBS
05608RAA3 | 16990000 | 16990000 | BX 2021-ARIA A | 97.569552 | 16577066.88 | 16584836 | 1 | 5.487 | 9.45 | 0.059876 | 0.66 |  | AAA |  | AAA | BX Trust | Non Agency CMBS
3138L4N58 | 16135000 | 16135000 | FN AM4011 | 99.550661 | 16062499.15 | 16088817 | 1 | 3.67 | 4.17 | 0.423955 | 0.44 |  |  |  | N.A. | Fannie Mae | Agency CMBS
23306GAA5 | 17500000 | 15990847.08 | DBGS 2018-BIOD A | 99.475618 | 15906993.96 | 15914178 | 0.913763 | 5.391 | 7.72 | 0.068935 | 0.24 |  |  | AAA | AAA | DBGS Mortgage Trust | Non Agency CMBS
61690AAE4 | 16415000 | 16415000 | MSBAM 2015-C27 A4 | 95.566886 | 15687304.34 | 15716396 | 1 | 3.753 | 5.59 | 2.409135 | 2.6 | Aaa |  |  | AAA | Morgan Stanley BAML Trust | Non Agency CMBS
3133ENKL3 | 15000000 | 15000000 | FFCB Float 01/10/24 | 99.980499 | 14997074.89 | 15069439 | 1 | 4.605 | 4.65 | 0.032303 | 0.9 | Aaa | AA+ | AAA | AA+ | FEDERAL FARM CREDIT BANK | Agency
34532RAA4 | 15575000 | 15575000 | FORDR 2018-1 A | 96.197807 | 14982808.44 | 14986949 | 1 | 3.19 | 4.55 | 2.875275 | 3.12 | Aaa | AAA |  | AAA | Ford Credit Auto Owner Trust/F | ABS
23102VQL7 | 15000000 | 15000000 | CMMINS CP 0 03/20/23 | 99.594 | 14939100 | 14939100 | 1 | 0 | 4.73 | 0.084459 | 0.08 | P-1 | A-1 | NR |  | CUMMINS INC | Industrial
05609JAA0 | 15400000 | 15400000 | BXHPP 2021-FILM A | 95.287757 | 14674314.58 | 14681037 | 1 | 5.238 | 15.63 | 0.059829 | 0.49 |  |  | AAA | AAA | BXHPP Trust | Non Agency CMBS
17328RAZ2 | 17095000 | 17095000 | CGCMT 2020-GC46 A5 | 85.415327 | 14601750.15 | 14623684 | 1 | 2.717 | 5.29 | 6.041255 | 6.87 |  | AAA | AAA | AAA | Citigroup Commercial Mortgage | Non Agency CMBS
3137FTZZ3 | 20000000 | 14606074.27 | FHMS KF79 AL | 98.766 | 14425835.31 | 14473174 | 0.730304 | 4.862 | 5.34 | -0.010559 | 6.96 |  |  |  | NR | FHLMC Multifamily Structured P | Agency CMBS
34532JAA2 | 15598000 | 15598000 | FORDR 2020-2 A | 89.86657 | 14017387.59 | 14018765 | 1 | 1.06 | 5.2 | 2.545579 | 2.66 |  | AAA | AAA | AAA | Ford Credit Auto Owner Trust/F | ABS
36254CAU4 | 15000000 | 15000000 | GSMS 2017-GS7 A3 | 91.924654 | 13788698.1 | 13811131 | 1 | 3.167 | 5.36 | 3.796866 | 4.18 | Aaa |  | AAA | AAA | GS Mortgage Securities Trust | Non Agency CMBS
61691GAS9 | 14306000 | 14306000 | MSBAM 2016-C32 A4 | 94.460116 | 13513464.19 | 13538595 | 1 | 3.72 | 5.37 | 3.406693 | 3.75 | Aaa |  | AAA | AAA | Morgan Stanley BAML Trust | Non Agency CMBS
36255NAT2 | 13910380 | 13910380 | GSMS 2018-GS9 A4 | 94.619196 | 13161889.72 | 13188112 | 1 | 3.992 | 5.27 | 4.33889 | 4.92 | Aaa |  | AAA | AAA | GS Mortgage Securities Trust | Non Agency CMBS