0001752724-20-005744.txt : 20200116
0001752724-20-005744.hdr.sgml : 20200116
20200116161410
ACCESSION NUMBER: 0001752724-20-005744
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191130
FILED AS OF DATE: 20200116
PERIOD START: 20200531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Fidelity Rutland Square Trust II
CENTRAL INDEX KEY: 0001364924
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0228
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21991
FILM NUMBER: 20531099
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
0001364924
S000035122
Strategic Advisers Short Duration Fund
C000108059
Strategic Advisers Short Duration Fund
FAUDX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001364924
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FIDELITY RUTLAND SQUARE TRUST II
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2020-05-31
2019-11-30
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9973255.98
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USD
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Long
DBT
CORP
US
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2021-07-23
Variable
0.03325000
N
N
N
N
N
N
MVW OWNER TR 2017-1
N/A
MVW OWNER TR 2017-1A C 2.99% 12/20/2034 144A
553896AC5
110670.55450000
PA
USD
110451.77000000
0.001508102857
Long
ABS-CBDO
CORP
US
N
2
2034-12-20
Fixed
0.02990000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A
N/A
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63939XAB7
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PA
USD
2020406.02000000
0.027586521179
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ABS-CBDO
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US
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2
2058-12-16
Fixed
0.02880000
N
N
N
N
N
N
EDP FINANCE BV AMSTERDAM
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EDP FINANCE BV AMSTERDAM 4.125% 01/15/2020 144A
26835PAE0
425000.00000000
PA
USD
425170.00000000
0.005805249585
Long
DBT
CORP
NL
N
2
2020-01-15
Fixed
0.04125000
N
N
N
N
N
N
CGDBB COML MTG TR 2017-BIOC
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CGDBB COML MTG TR 2017-BIOC A 1ML+79 07/15/28
125282AA1
3713553.92000000
PA
USD
3711239.63000000
0.050673077412
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Variable
0.02555380
N
N
N
N
N
N
BMW FLOORPLAN MASTER OWNER TR
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05564UAN0
6174000.00000000
PA
USD
6175838.00000000
0.084324578378
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Variable
0.02085380
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N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
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ROYAL CARIBBEAN CRUISES LTD 2.65% 11/28/2020
780153AX0
250000.00000000
PA
USD
251327.48000000
0.003431612646
Long
DBT
CORP
LR
N
2
2020-11-28
Fixed
0.02650000
N
N
N
N
N
N
CAPITAL ONE NATL ASSN MCLEAN VA
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CAPITAL ONE NATL ASN MCLEAN VA 2.35% 01/31/20
14042RFH9
4330000.00000000
PA
USD
4331131.26000000
0.059137046244
Long
DBT
CORP
US
N
2
2020-01-31
Fixed
0.02350000
N
N
N
N
N
N
ISRAEL ELECTRIC CORP LTD
254900JW7GE35YNJGJ55
ISRAEL ELECTRIC CORP LTD 5.0% 11/12/2024 144A REGS
465077AK1
1365000.00000000
PA
USD
1503260.85000000
0.020525447294
Long
DBT
CORP
IL
N
2
2024-11-12
Fixed
0.05000000
N
N
N
N
N
N
COLT 2018-1 MTG LN TR
N/A
COLT 2018-1 A1 MTG LN TR 2.93% 02/25/2048 144A
19687UAA1
108980.97000000
PA
USD
108701.19000000
0.001484200527
Long
ABS-CBDO
CORP
US
N
2
2048-02-25
Fixed
0.02930000
N
N
N
N
N
N
OBX 2019-EXP2 TR
N/A
OBX 2019-EXP2 TR 1ML+120 07/25/2059 144A
67113KAL2
1337037.79000000
PA
USD
1308725.48000000
0.017869271233
Long
ABS-CBDO
CORP
US
N
2
2059-06-25
Variable
0.02908000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2019-4
N/A
VERUS SECURITIZATION TR 2019-4 3% 11/25/2059 144A
92537KAC8
1865000.00000000
PA
USD
1860228.58000000
0.025399466549
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 2/40 #004637
36202FEJ1
26981.09870000
PA
USD
29747.67000000
0.000406173175
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.0% 07/01/2021#G12297
3128M1NN5
2903.49340000
PA
USD
2970.45000000
0.000040558373
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
0.06000000
N
N
N
N
N
N
HIGHWOODS RLTY LTD PARTNERSHIP
JUJNVZX73BIYHLR58F51
HIGHWOODS REALTY LP 3.625% 01/15/2023
431282AM4
515000.00000000
PA
USD
532627.99000000
0.007272475523
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03625000
N
N
N
N
N
N
FREDDIE MAC WHOLE LOAN SEC TR
N/A
STACR 2017-SPI1 M1 9/25/2047 144A
3137G1CE5
60193.41940000
PA
USD
60499.65000000
0.000826059148
Long
ABS-CBDO
USGSE
US
N
2
2047-09-25
Variable
0.03980109
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.375% 03/15/2022
9128286H8
9555000.00000000
PA
USD
9720719.53000000
0.132726210743
Long
DBT
UST
US
N
2
2022-03-15
Fixed
0.02375000
N
N
N
N
N
N
SUMITOMO MITSUI BKG CORP
5U0XI89JRFVHWIBS4F54
SUMITOMO MITSUI BKG CORP FRN 3ML+37 10/16/2020
865622CN2
5000000.00000000
PA
USD
5011450.00000000
0.068426083766
Long
DBT
CORP
JP
N
2
2020-10-16
Variable
0.02370880
N
N
N
N
N
N
VERUS SECURITIZATION TR 2019-INV1
N/A
VERUS SECURITIZATION TR 2019-INV1 M1 4.034% 12/25/2059 144A
92537FAD7
195000.00000000
PA
USD
200622.40000000
0.002739288059
Long
ABS-CBDO
CORP
US
N
2
2059-12-25
Fixed
0.04034000
N
N
N
N
N
N
CAPTIAL ONE MULTI-ASSET EXECUT
R42WS16M9R97TJJKGU15
COMET 16-A2 A2 1ML+63 02/24
14041NFD8
13275000.00000000
PA
USD
13362406.58000000
0.182449620761
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Variable
0.02395380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2047#BM2003
3140J6GM3
2784976.93000000
PA
USD
2921939.31000000
0.039896010932
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORP
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP FRN 3ML+29 12/10/2021
02665WCN9
5000000.00000000
PA
USD
5001598.60000000
0.068291573251
Long
DBT
CORP
US
N
2
2021-12-10
Variable
0.02424130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 11/34 #735061
31402QTS0
16293.83570000
PA
USD
18625.79000000
0.000254315590
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.06000000
N
N
N
N
N
N
AMERICAN EXPRESS CR ACCOUNT SECD NT TR 2019-1
N/A
AMERICAN EXPRESS CR ACCOUNT SECD NT TR 2019-1 A 2.87% 10/15/2024
02588QAB4
1749000.00000000
PA
USD
1791358.68000000
0.024459120432
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
0.02870000
N
N
N
N
N
N
NAVIENT STUDENT LN TR 2017-4
N/A
NAVIENT STUDENT LN TR 2017-4 1ML+30 09/27/2066 144A
63940AAA6
361275.58460000
PA
USD
361146.18000000
0.004931071598
Long
ABS-CBDO
CORP
US
N
2
2066-09-27
Variable
0.01948000
N
N
N
N
N
N
TD AMERITRADE HOLDING CORP
ZI85ER3E6RXD4HPHW309
TD AMERITRADE HOLDING CORP FRN 3ML+43 11/01/2021
87236YAG3
7500000.00000000
PA
USD
7518075.00000000
0.102651414204
Long
DBT
CORP
US
N
2
2021-11-01
Variable
0.02339130
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+ 05/15/2036
12653VAG1
780000.00000000
PA
USD
780976.79000000
0.010663417424
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.03365380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#MA3537
31418C4X9
1742603.97000000
PA
USD
1832357.14000000
0.025018911323
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAPITAL LLC FRN 3ML+41 04/12/2021 144A
05565EAV7
11110000.00000000
PA
USD
11127725.78000000
0.151937402618
Long
DBT
CORP
US
N
2
2021-04-12
Variable
0.02410880
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH FRN 3ML+129 02/04/2021
25160PAD9
860000.00000000
PA
USD
861071.56000000
0.011757027346
Long
DBT
CORP
US
N
2
2021-02-04
Variable
0.03192250
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2018-NQM1
N/A
NEW RESIDENTIAL MTG LN TR 2018-NQM1 3.986% 11/25/2048 144A
64828JAA2
1107184.83000000
PA
USD
1121749.51000000
0.015316310835
Long
ABS-CBDO
CORP
US
N
2
2048-11-25
Fixed
0.03986000
N
N
N
N
N
N
MARTIN MARIETTA MATERIALS INC
5299005MZ4WZECVATV08
MARTIN MARIETTA MATERIALS INC FRN 3ML+50 12/20/2019
573284AS5
600000.00000000
PA
USD
600045.00000000
0.008192983953
Long
DBT
CORP
US
N
2
2019-12-20
Variable
0.02655880
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP INC
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP INC FRN 3ML+70 03/07/2022
606822BF0
10000000.00000000
PA
USD
10037405.30000000
0.137050222162
Long
DBT
CORP
JP
N
2
2022-03-07
Variable
0.02802130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2048#CA2483
3140Q9XM0
1946463.41000000
PA
USD
2076521.62000000
0.028352720732
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
MERCEDES BENZ AUTO RECEIVABLES TR 2019-1
N/A
MERCEDES BENZ AUTO RECEIVABLES TR 2019-1 2.04% 06/15/2022
58769TAB1
10000000.00000000
PA
USD
10014776.00000000
0.136741242849
Long
ABS-CBDO
CORP
US
N
2
2022-06-15
Fixed
0.02040000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY 2.875% 10/01/22
816851AT6
535000.00000000
PA
USD
543586.96000000
0.007422108742
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
0.02875000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 2.894% 06/06/2022
075887BT5
675000.00000000
PA
USD
685319.10000000
0.009357312183
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
0.02894000
N
N
N
N
N
N
ZIMMER BIOMET HLDGS INC
2P2YLDVPES3BXQ1FRB91
ZIMMER BIOMET HLDGS INC 3ML+75 03/19/2021
98956PAP7
3220000.00000000
PA
USD
3220602.04000000
0.043973936678
Long
DBT
CORP
US
N
2
2021-03-19
Variable
0.02914130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% #AE0801
31419A3K1
135980.61130000
PA
USD
156901.96000000
0.002142331392
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.06000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 1ML+115 09/25/2029
30711XGK4
246227.16930000
PA
USD
246499.69000000
0.003365694247
Long
ABS-CBDO
USGSE
US
N
2
2029-09-25
Variable
0.02858000
N
N
N
N
N
N
GREATAMERICA LEASING RECEIV- ABLES FDG LLC
N/A
GREATAMERICA LSNG REC FDS LLC 2.6% 06/15/2021 144A
39154TAQ1
363748.54000000
PA
USD
364622.23000000
0.004978533409
Long
ABS-CBDO
CORP
US
N
2
2021-06-15
Fixed
0.02600000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JP MORGAN CHASE 3MEUL+955 01/23/20
46625HKB5
7111000.00000000
PA
USD
7120874.19000000
0.097228054518
Long
DBT
CORP
US
N
2
2020-01-23
Variable
0.02889000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.75% 02/15/2023 144A
110122BJ6
605000.00000000
PA
USD
616839.74000000
0.008422298480
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.02750000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 3.15% 12/01/22
444859BA9
315000.00000000
PA
USD
322568.43000000
0.004404332959
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
0.03150000
N
N
N
N
N
N
WESTINGHOUSE AIR BR CO
N/A
WESTINGHOUSE AIR BRAKE TECH CORP FRN 3ML+105 09/15/2021
960386AP5
5428000.00000000
PA
USD
5428967.54000000
0.074126847051
Long
DBT
CORP
US
N
2
2021-09-15
Variable
0.03418500
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 4.2% 11/06/2021
37045XCP9
370000.00000000
PA
USD
382241.85000000
0.005219110805
Long
DBT
CORP
US
N
2
2021-11-06
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 7/35 #735676
31402RJV2
158091.82540000
PA
USD
173687.13000000
0.002371515251
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12ML+2 2/38 #1J0889
3128LU7A8
22712.14860000
PA
USD
23787.34000000
0.000324791132
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Variable
0.05207000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN 4.125 9/27/22 144A
034863AG5
624000.00000000
PA
USD
650523.14000000
0.008882209913
Long
DBT
CORP
GB
N
2
2022-09-27
Fixed
0.04125000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 3ML+81.5 01/22/2021
251526BQ1
10000000.00000000
PA
USD
9961273.50000000
0.136010722432
Long
DBT
CORP
US
N
2
2021-01-22
Variable
0.02768250
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TRUST
N/A
WORLD OMNI SELECT AUTO TRUST 2.06% 08/15/2023
98163BAB8
5250000.00000000
PA
USD
5249882.93000000
0.071681634882
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
0.02060000
N
N
N
N
N
N
SWEDBANK AB MEDIUM TERM NTS BOOK ENTRY 144A
N/A
SWEDBANK AB MTN BE 2.65% 03/10/2021 144A
87020PAG2
1720000.00000000
PA
USD
1727984.39000000
0.023593811096
Long
DBT
CORP
SE
N
2
2021-03-10
Fixed
0.02650000
N
N
N
N
N
N
COLT 2018-4 MORTGAGE LOAN TRUST
N/A
COLT 2018-4 MORTGAGE LOAN TRUST 4.006% 12/28/2048 144A
19688AAA4
682279.13610000
PA
USD
687128.44000000
0.009382016820
Long
ABS-CBDO
CORP
US
N
2
2048-12-28
Fixed
0.04006000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NT TR
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NT TR 1ML+27 12/15/2023
254683CL7
10000000.00000000
PA
USD
10007904.00000000
0.136647412910
Long
ABS-CBDO
CORP
US
N
2
2023-12-15
Variable
0.02035380
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 4.464% 07/23/2022
161175BB9
2595000.00000000
PA
USD
2722604.25000000
0.037174300147
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
0.04464000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW FRN 3ML+33 10/01/2020
20030NCV1
7282000.00000000
PA
USD
7297453.79000000
0.099639063408
Long
DBT
CORP
US
N
2
2020-10-01
Variable
0.02428630
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
ZOETIS INC 3ML+44 08/20/2021
98978VAR4
10000000.00000000
PA
USD
10010072.30000000
0.136677018768
Long
DBT
CORP
US
N
2
2021-08-20
Variable
0.02338500
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP INC
353800CI5L6DDAN5XZ33
MIZUHO FINL GROUP INC FRN 3ML+ 02/28/2022
60687YAJ8
5000000.00000000
PA
USD
5045369.00000000
0.068889212069
Long
DBT
CORP
JP
N
2
2022-02-28
Variable
0.02853750
N
N
N
N
N
N
DEEPHAVE RESIDENTIAL MORTGAGE TRUST 2019-2
N/A
DEEPHAVE RESIDENTIAL MORTGAGE TRUST 2019-2A A3 3.763% 04/25/2059 144A
24381PAC7
592742.65000000
PA
USD
601035.06000000
0.008206502182
Long
ABS-CBDO
CORP
US
N
2
2059-04-25
Fixed
0.03763000
N
N
N
N
N
N
IBM CORPORATION
VGRQXHF3J8VDLUA7XE92
IBM CORPORATION 2.8% 05/13/2021
459200JW2
10000000.00000000
PA
USD
10122988.10000000
0.138218765366
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
0.02800000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MTG TR 2017-3
N/A
DEEPHAVEN RESIDENTIAL MTG TR 2017-3 VAR 10/25/2047 144A
24381FAB1
28372.87240000
PA
USD
28303.49000000
0.000386454414
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
0.02711000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.0% 10/01/2022#G12814
3128MBK30
17098.54750000
PA
USD
17570.09000000
0.000239901116
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
0.05000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST 2018-D
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2018-D A2B 1ML+14 04/15/2022
98162WAC1
2756906.40000000
PA
USD
2756796.40000000
0.037641158026
Long
ABS-CBDO
CORP
US
N
2
2022-04-15
Variable
0.01905380
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP
RDKVCX5HITZ2GPIR7153
AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP 3.35% 10/01/2020
024836AC2
1105000.00000000
PA
USD
1115254.38000000
0.015227626660
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
0.03350000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.625% 04/19/2021
06051GFW4
715000.00000000
PA
USD
721482.95000000
0.009851091554
Long
DBT
CORP
US
N
2
2021-04-19
Fixed
0.02625000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.2% 01/30/2023
14040HBU8
765000.00000000
PA
USD
786572.46000000
0.010739820418
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
0.03200000
N
N
N
N
N
N
SLM STUDENT LN TR 2008 5
549300SRMXHPGI3BJ386
SLMA 2008-5 A4 3ML+170 7/23
78444YAD7
195440.60840000
PA
USD
197042.56000000
0.002690409106
Long
ABS-CBDO
CORP
US
N
2
2023-07-25
Variable
0.03639630
N
N
N
N
N
N
AUSTRALIA and NEW ZEALAND BANKING GROUP LIMITED
JHE42UYNWWTJB8YTTU19
AUS and NZ BKG 3ML+50 8/19/20 144A
05252ACU3
7000000.00000000
PA
USD
7022616.58000000
0.095886450101
Long
DBT
CORP
AU
N
2
2020-08-19
Variable
0.02402630
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC
213800MVYG7MLQM2LF25
PERMANENT MASTER ISSUER PLC 3ML+38 07/15/2058 144A
71419GAX8
6992000.00000000
PA
USD
6992279.68000000
0.095472231610
Long
ABS-CBDO
CORP
GB
N
2
2058-07-15
Variable
0.02366130
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2017-3
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2017-3 2.52% 03/16/2023 144A
36254MAG3
245000.00000000
PA
USD
245972.11000000
0.003358490696
Long
ABS-CBDO
CORP
US
N
2
2023-03-16
Fixed
0.02520000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP FRN 3ML+72 03/09/2021
126650DD9
6025000.00000000
PA
USD
6053434.87000000
0.082653292258
Long
DBT
CORP
US
N
2
2021-03-09
Variable
0.02822130
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.00% 10/23 #G13276
3128MB2H9
14050.60010000
PA
USD
14587.78000000
0.000199180807
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
0.05000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 3.666% 01/25/2022 144A
35137LAA3
260000.00000000
PA
USD
268413.48000000
0.003664904023
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
0.03666000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 6/39 #AD0527
31418MSR4
43343.07050000
PA
USD
48848.46000000
0.000666974391
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/15/2022
9128285V8
16550000.00000000
PA
USD
16849968.75000000
0.230068617496
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.02500000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD FRN 3ML+52 09/20/2021 144A
00131LAG0
6046000.00000000
PA
USD
6049808.98000000
0.082603784540
Long
DBT
CORP
HK
N
2
2021-09-20
Variable
0.02675880
N
N
N
N
N
N
BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
BANK NEW YORK MELLON CORP MTN FRN 3ML+28 06/04/2021
06405LAB7
5000000.00000000
PA
USD
5005483.65000000
0.068344619526
Long
DBT
CORP
US
N
2
2021-06-04
Variable
0.02412750
N
N
N
N
N
N
AON CORP2
LTS3U8DGK38SETRUWX71
AON CORP 2.2% 11/15/2022
037389BD4
1182000.00000000
PA
USD
1182871.15000000
0.016150862603
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.02200000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 3% 8/15/22
15135UAG4
1100000.00000000
PA
USD
1112369.76000000
0.015188240205
Long
DBT
CORP
CA
N
2
2022-08-15
Fixed
0.03000000
N
N
N
N
N
N
HILTON GRAND VACATIONS TR 2017-A
N/A
HILTON GRAND VACATIONS TR 2017-A VAR 12/26/2028 144A
43283AAB1
76444.24840000
PA
USD
76553.55000000
0.001045258283
Long
ABS-CBDO
CORP
US
N
2
2028-12-26
Variable
0.02960000
N
N
N
N
N
N
FIDELITY REVERE STREET TRUST
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
20596956.38700000
NS
USD
20599016.08000000
0.281257919324
Long
STIV
RF
US
N
1
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 3.45% 01/14/2022
37045XBS4
405000.00000000
PA
USD
412886.25000000
0.005637527886
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
0.03450000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 2.85% 04/15/2021
29379VBK8
3000000.00000000
PA
USD
3030665.82000000
0.041380557177
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
0.02850000
N
N
N
N
N
N
CGDB COML MTG TR 2017-BIO
N/A
CGDB COML MTG TR 2017-BIO 1ML+165 11/15/2036 144A
125284AG4
1545000.00000000
PA
USD
1544998.15000000
0.021095326269
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.03500000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2018-1
N/A
VERUS SECURITIZATION TR 2018-1 A1 VAR 02/25/2048 144A
92536FAA4
154048.26260000
PA
USD
154156.54000000
0.002104845567
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
0.02929000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 12ML+1.8 4/38 #956679
31413VJY4
18462.06000000
PA
USD
19220.16000000
0.000262431088
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Variable
0.04719000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2016-4
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2016-4 2.74% 12/08/2022
03065TAG7
2320000.00000000
PA
USD
2333854.34000000
0.031866328620
Long
ABS-CBDO
CORP
US
N
2
2022-12-08
Fixed
0.02740000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY FRN 3ML+55 2/10/21
61744YAM0
27000000.00000000
PA
USD
27020488.41000000
0.368936376369
Long
DBT
CORP
US
N
2
2021-02-10
Variable
0.02450630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2048#MA3522
31418C4G6
476376.39000000
PA
USD
501805.46000000
0.006851626263
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2018-A
N/A
WORLD OMNI AUTO RECEIVABLES TR 2018-A A2 2.19% 05/17/2021
98161VAB6
361928.40000000
PA
USD
361948.67000000
0.004942028756
Long
ABS-CBDO
CORP
US
N
2
2021-05-17
Fixed
0.02190000
N
N
N
N
N
N
CAPITAL AUTO RECEIVABLES ASSET TR 2018-2
N/A
CAPITAL AUTO RECEIVABLES ASSET TRUST / ALLY 3.69% 12/20/2023 144A
13976CAE6
460000.00000000
PA
USD
466908.10000000
0.006375139482
Long
ABS-CBDO
CORP
US
N
2
2023-12-20
Fixed
0.03690000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 2018-A
N/A
HYUNDAI AUTO RECEIVABLES TR 2018-A A2B 1ML+12 04/15/2021
44891KAC9
1666069.31000000
PA
USD
1665720.44000000
0.022743662285
Long
ABS-CBDO
CORP
US
N
2
2021-04-15
Variable
0.01885380
N
N
N
N
N
N
DEERE JOHN CAPITAL CORP
E0KSF7PFQ210NWI8Z391
DEERE JOHN CAPITAL CORP FRN 3ML+16 01/08/2021
24422ETY5
8720000.00000000
PA
USD
8723378.74000000
0.119108570252
Long
DBT
CORP
US
N
2
2021-01-08
Variable
0.02187000
N
N
N
N
N
N
PACCAR FINANCIAL CORP
PH3S12DWZBHHQKVYZ297
PACCAR FINL CORP MTN SR NOTES 3.1% 05/10/2021
69371RP26
1260000.00000000
PA
USD
1280947.46000000
0.017489991559
Long
DBT
CORP
US
N
2
2021-05-10
Fixed
0.03100000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS INC 2.3% 11/03/2020
00440EAT4
970000.00000000
PA
USD
972600.35000000
0.013279835780
Long
DBT
CORP
US
N
2
2020-11-03
Fixed
0.02300000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST 2018-B
549300JMLWTKGTW3CW74
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST 2018-B A2B 1ML+18 06/15/2021
98162CAC5
3126433.39000000
PA
USD
3125660.85000000
0.042677614492
Long
ABS-CBDO
CORP
US
N
2
2021-06-15
Variable
0.01945380
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3.65% 05/24/2021
87166FAC7
3082000.00000000
PA
USD
3137785.49000000
0.042843163711
Long
DBT
CORP
US
N
2
2021-05-24
Fixed
0.03650000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2019
N/A
VERUS SECURITIZATION TR 2019-1 A1 3.836% 02/25/2059 144A
92537DAA8
1057300.86000000
PA
USD
1064980.14000000
0.014541184740
Long
ABS-CBDO
CORP
US
N
2
2059-02-25
Fixed
0.03836000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2038#847962
3128JRZ33
9801.13170000
PA
USD
10210.48000000
0.000139413375
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Variable
0.04611000
N
N
N
N
N
N
TESLA AUTO LEASE TR 2019-A
N/A
TESLA AUTO LEASE TR 2019-A 2.13% 04/20/2022 144A
88165GAB6
7000000.00000000
PA
USD
6999301.40000000
0.095568105818
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.02130000
N
N
N
N
N
N
THE HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
HUNTINGTON NATL BK OHIO CD BE 2.375% 03/10/2020
446438RU9
1465000.00000000
PA
USD
1466104.27000000
0.020018113238
Long
DBT
CORP
US
N
2
2020-03-10
Fixed
0.02375000
N
N
N
N
N
N
SYNGENTA FIN NV
54930042S3BYCEGOCN86
SYNGENTA FIN NV 3.933% 04/23/2021 144A
87164KAE4
735000.00000000
PA
USD
747933.66000000
0.010212248205
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
0.03933000
N
N
N
N
N
N
AMERISOURCEBERGEN CORP
AI8GXW8LG5WK7E9UD086
AMERISOURCEBERG 3.5% 11/15/21
03073EAJ4
610000.00000000
PA
USD
624395.72000000
0.008525467447
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
0.03500000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING LLC 2017-2 A2 1.97% 01/20/2023 144A
29372JAB3
111877.83680000
PA
USD
111825.78000000
0.001526863520
Long
ABS-CBDO
CORP
US
N
2
2023-01-20
Fixed
0.01970000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC FRN 3ML+115 01/20/2023
853254BL3
910000.00000000
PA
USD
914977.70000000
0.012493059043
Long
DBT
CORP
GB
N
2
2023-01-20
Variable
0.03115880
N
N
N
N
N
N
PANASONIC CORP
254900GE1G59KGWPHX32
PANASONIC CORP 2.536% 07/19/2022
69832AAA4
785000.00000000
PA
USD
789708.89000000
0.010782645074
Long
DBT
CORP
JP
N
2
2022-07-19
Fixed
0.02536000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.3% 1/11/23
06051GEU9
1445000.00000000
PA
USD
1494357.53000000
0.020403881815
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
0.03300000
N
N
N
N
N
N
CAPITAL AUTO RECEIVABLES ASSET TR 2018-2
N/A
CAPITAL AUTO RECEIVABLES ASSET TR 2018-2 3.48% 10/20/2023 144A
13976CAD8
370000.00000000
PA
USD
374702.40000000
0.005116167538
Long
ABS-CBDO
CORP
US
N
2
2023-10-20
Fixed
0.03480000
N
N
N
N
N
N
HOMEWARD OPPORTUNITIES FD I TR 2019-1
N/A
HOMEWARD OPPORTUNITIES FD I TR 2019-1 3.454% 01/25/2059 144A
43789EAA4
1130663.48000000
PA
USD
1143182.86000000
0.015608960707
Long
ABS-CBDO
CORP
US
N
2
2059-01-25
Fixed
0.03454000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 11/39 #004578
36202FCP9
404842.94110000
PA
USD
446131.42000000
0.006091455749
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.05000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY FRN 3ML+50 01/15/21
816851BD0
17575000.00000000
PA
USD
17571551.08000000
0.239921065980
Long
DBT
CORP
US
N
2
2021-01-15
Variable
0.02500880
N
N
N
N
N
N
BMW VEHICLE LEASE TRUST TR 2019-1
N/A
BMW VEHICLE LEASE TRUST 19-1 A2 2.79% 03/22/2021
05586VAB8
4576683.65000000
PA
USD
4590451.69000000
0.062677794224
Long
ABS-CBDO
CORP
US
N
2
2021-03-22
Fixed
0.02790000
N
N
N
N
N
N
MOLSON COORS BREWING CO
54930073LBBH6ZCBE225
MOLSON COORS BREWING CO 2.25% 03/15/2020
60871RAP5
910000.00000000
PA
USD
910324.56000000
0.012429525306
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
0.02250000
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
FHLM STRCTRD ACR 17-DNA3 M1 1ML+75 03/25/2030
3137G0QP7
519211.89780000
PA
USD
519424.93000000
0.007092201612
Long
ABS-CBDO
USGSE
US
N
2
2030-03-25
Variable
0.02458000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX CAPITAL INC 3.5% 03/16/2023
74949LAB8
575000.00000000
PA
USD
595870.47000000
0.008135985132
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
0.03500000
N
N
N
N
N
N
OBX 2019-EXP3 TR
N/A
OBX 2019-EXP3 TR 2A1 2.7775% 10/25/2059 144A
67113ABB5
1521502.71000000
PA
USD
1516812.83000000
0.020710485341
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Variable
0.02608000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 12/35 #003795
36202EGC7
17536.51360000
PA
USD
19166.83000000
0.000261702923
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
0.05000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV FRN 3ML+41 01/19/2021 144A
00084DAR1
10000000.00000000
PA
USD
10015040.00000000
0.136744847492
Long
DBT
CORP
NL
N
2
2021-01-19
Variable
0.02375880
N
N
N
N
N
N
DAIMLER FIN NORTH AMER LLC
549300423Z16BB673J12
DAIMLER FIN NORTH AMER LLC FRN 3ML+53 05/05/2020 144A
233851CX0
9640000.00000000
PA
USD
9649656.29000000
0.131755916873
Long
DBT
CORP
US
N
2
2020-05-05
Variable
0.02420500
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 2.95% 08/20/2020
251526BU2
3940000.00000000
PA
USD
3948142.68000000
0.053907739625
Long
DBT
CORP
US
N
2
2020-08-20
Fixed
0.02950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 11/23 #995428
31416BYZ5
9584.58740000
PA
USD
9746.58000000
0.000133079308
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
0.05500000
N
N
N
N
N
N
KANSAS CITY SOUTHERN
5493008C12PZMWP3WY03
KANSAS CITY SOUTHERN 2.35% 05/15/2020
485170AU8
1930000.00000000
PA
USD
1931173.86000000
0.026368149799
Long
DBT
CORP
US
N
2
2020-05-15
Fixed
0.02350000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK NA 2.125% 10/20/2020
17325FAJ7
1255000.00000000
PA
USD
1256543.46000000
0.017156780582
Long
DBT
CORP
US
N
2
2020-10-20
Fixed
0.02125000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMC CO 4.25% 10/15/20
46625HHU7
390000.00000000
PA
USD
397666.10000000
0.005429712731
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
0.04250000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST 2019-B
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2019-B A 2.63% 06/15/2022
98162VAB5
7000000.00000000
PA
USD
7026474.70000000
0.095939128676
Long
ABS-CBDO
CORP
US
N
2
2022-06-15
Fixed
0.02630000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC FRN 3ML+70 04/16/21
370334CB8
7164000.00000000
PA
USD
7186809.46000000
0.098128331346
Long
DBT
CORP
US
N
2
2021-04-16
Variable
0.02540880
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 3.375% 05/12/2021
251526BW8
125000.00000000
PA
USD
125848.48000000
0.001718328754
Long
DBT
CORP
US
N
2
2021-05-12
Fixed
0.03375000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 2017-C06 1M1 1ML+75 02/25/2030
30711XQS6
161699.11380000
PA
USD
161698.97000000
0.002207829523
Long
ABS-CBDO
USGSE
US
N
2
2030-02-25
Variable
0.02458000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC 3.6% 08/15/2021
294429AM7
570000.00000000
PA
USD
583689.12000000
0.007969661598
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
0.03600000
N
N
N
N
N
N
TOWD PT MTG TR 2018-5
N/A
TOWD PT MTG TR 2018-5 A1A VAR 08/25/2058 144A
89176VAK8
1593796.86970000
PA
USD
1624881.49000000
0.022186049336
Long
ABS-CBDO
CORP
US
N
2
2058-07-25
Variable
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 10/01/2024#890205
31410LAE2
89303.67080000
PA
USD
92444.62000000
0.001262234146
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
0.05500000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MTG TR 2017-1
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2017-1 VAR 12/26/2046 144A
24380TAC0
65699.67000000
PA
USD
65921.34000000
0.000900086628
Long
ABS-CBDO
CORP
US
N
2
2046-12-26
Variable
0.03485000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2016-1
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2016-1 4.02% 04/15/2022
80285EAG2
635000.00000000
PA
USD
640134.42000000
0.008740362858
Long
ABS-CBDO
CORP
US
N
2
2022-04-15
Fixed
0.04020000
N
N
N
N
N
N
COLT 2019-3 MORTGAGE LOAN TRUST
N/A
COLT 2019-3 A1 MORTGAGE LOAN TRUST 2.764% 08/25/2049 144A
19688CAA0
2286835.15000000
PA
USD
2295680.63000000
0.031345106723
Long
ABS-CBDO
CORP
US
N
2
2049-08-25
Fixed
0.02764000
N
N
N
N
N
N
ACTAVIS INC
2549006TBOV0H6GV7T12
WATSON PHARMACEUTICALS INC 3.25% 10/01/2022
942683AF0
185000.00000000
PA
USD
189069.40000000
0.002581543984
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
0.03250000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC FRN 3ML+93 06/30/2020
00206RCK6
7845000.00000000
PA
USD
7881229.62000000
0.107609908940
Long
DBT
CORP
US
N
2
2020-06-30
Variable
0.03034380
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.5% 01/15/2022
00912XBE3
5560000.00000000
PA
USD
5701251.80000000
0.077844602508
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
0.03500000
N
N
N
N
N
N
HILTON GRAND VACATIONS TR 2017-A
N/A
HGVT 17-AA A 2.66% 12/28
43283AAA3
111390.23530000
PA
USD
111698.62000000
0.001525127284
Long
ABS-CBDO
CORP
US
N
2
2028-12-26
Fixed
0.02660000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC FRN 3ML+100 01/09/2020
345397YF4
8835000.00000000
PA
USD
8841726.62000000
0.120724486194
Long
DBT
CORP
US
N
2
2020-01-09
Variable
0.03012000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 2.9% 12/15/2022
444859BJ0
160000.00000000
PA
USD
162957.31000000
0.002225010834
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
0.02900000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP FRN 3ML+17 09/18/2020
89236TFM2
10000000.00000000
PA
USD
10008921.30000000
0.136661303073
Long
DBT
CORP
US
N
2
2020-09-18
Variable
0.02315130
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 19-B
N/A
HYUNDAI AUTO RECEIVABLES TR 19-B 1.94% 02/15/2024
44891JAC2
3090000.00000000
PA
USD
3094776.83000000
0.042255925651
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
0.01940000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 1ML+65 08/25/2030
30711XC28
23939.75040000
PA
USD
23940.19000000
0.000326878138
Long
ABS-CBDO
USGSE
US
N
2
2030-08-25
Variable
0.02358000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BK NA GBL SRBK 3ML+28 02/01/2021
48125LRK0
595000.00000000
PA
USD
595500.16000000
0.008130928938
Long
DBT
CORP
US
N
2
2021-02-01
Variable
0.02604000
N
N
N
N
N
N
WPP FIN 2010
549300OJB3S151W7KN44
WPP FINANCE 2010 3.625 9/7/22
92936MAC1
310000.00000000
PA
USD
320772.85000000
0.004379816201
Long
DBT
CORP
GB
N
2
2022-09-07
Fixed
0.03625000
N
N
N
N
N
N
EMD FIN LLC
529900C8KS5G529A0B76
EMD FINANCE LLC 2.95% 03/19/2022 144A
26867LAG5
430000.00000000
PA
USD
436279.97000000
0.005956944551
Long
DBT
CORP
US
N
2
2022-03-19
Fixed
0.02950000
N
N
N
N
N
N
PERRIGO FINANCE PLC
549300E86RB6YCTMRM83
PERRIGO FINANCE PLC 3.5% 12/15/2021
714295AB8
631000.00000000
PA
USD
635814.23000000
0.008681375203
Long
DBT
CORP
IE
N
2
2021-12-15
Fixed
0.03500000
N
N
N
N
N
N
DAIMLER FIN NORTH AMER LLC
549300423Z16BB673J12
DAIMLER FIN NORTH AMER LLC 2.3% 02/12/2021 144A
233851CZ5
1745000.00000000
PA
USD
1747145.84000000
0.023855440561
Long
DBT
CORP
US
N
2
2021-02-12
Fixed
0.02300000
N
N
N
N
N
N
COMPASS BANK
C90VT034M03BN29IRA40
COMPASS BK BIRMINGHAM ALA MTN BE FRN 3ML+73 06/11/2021
20453KAD7
10450000.00000000
PA
USD
10466981.25000000
0.142915630365
Long
DBT
CORP
US
N
2
2021-06-11
Variable
0.02868380
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAPITAL LLC FRN 3ML+38 04/06/2020 144A
05565EAQ8
7796000.00000000
PA
USD
7806209.80000000
0.106585592128
Long
DBT
CORP
US
N
2
2020-04-06
Variable
0.02423130
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 3.875% 11/13/2020 144A
928668AN2
980000.00000000
PA
USD
995168.47000000
0.013587979744
Long
DBT
CORP
US
N
2
2020-11-13
Fixed
0.03875000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 2.876%/VAR 10/31/2022
38148YAC2
520000.00000000
PA
USD
525959.92000000
0.007181430033
Long
DBT
CORP
US
N
2
2022-10-31
Variable
0.02876000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2019-BROOK
N/A
J P MORGAN CHASE COML MTG SECS TR 2019-BROOK B 1ML+135 09/15/2029 144A
46591JAG1
1830000.00000000
PA
USD
1830000.18000000
0.024986729511
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Variable
0.03115380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.00% 3/23 #889390
31410KC36
32332.49670000
PA
USD
33491.16000000
0.000457286597
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
0.06000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.35% 03/09/2021
126650DC1
1556000.00000000
PA
USD
1580943.43000000
0.021586121296
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
0.03350000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 01/20/2048#MA4965
36179TQS7
244383.28000000
PA
USD
261499.25000000
0.003570497477
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.05000000
N
N
N
N
N
N
AIG GLOBAL FDG
54930057MDZ7KOVOTV71
AIG GLOBAL FDG SR MTN 3.35% 06/25/2021 144A
00138CAG3
770000.00000000
PA
USD
785035.51000000
0.010718834981
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
0.03350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/49#CA4571
3140QCCH7
327215.10000000
PA
USD
342105.71000000
0.004671093988
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 9/24 #AC3255
31417MTM5
6728.06180000
PA
USD
7007.27000000
0.000095676908
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
0.04500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMC CO 4.5% 1/24/22
46625HJD3
1530000.00000000
PA
USD
1605391.16000000
0.021919929360
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
0.04500000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GFORT 2017-1 C 2.97% 01/22 144A
361886AU8
575000.00000000
PA
USD
575482.83000000
0.007857613331
Long
ABS-CBDO
CORP
US
N
2
2022-01-18
Fixed
0.02970000
N
N
N
N
N
N
SCHWAB CHARLES CORP
549300VSGCJ7E698NM85
SCHWAB CHARLES CORP NEW FRN 3ML+32 05/21/2021
808513AV7
990000.00000000
PA
USD
991248.72000000
0.013534459676
Long
DBT
CORP
US
N
2
2021-05-21
Variable
0.02214630
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 2.85% 07/15/2022
337932AG2
885000.00000000
PA
USD
898882.53000000
0.012273296410
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.02850000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
ENI SPA 4% 09/12/2023 144A
26874RAG3
390000.00000000
PA
USD
410862.04000000
0.005609889426
Long
DBT
CORP
IT
N
2
2023-09-12
Fixed
0.04000000
N
N
N
N
N
N
OBX 2019-EXP2 TR
N/A
OBX 2019-EXP2 TR 1ML+100 07/25/2059 144A
67113KAJ7
814521.02000000
PA
USD
804500.70000000
0.010984611696
Long
ABS-CBDO
CORP
US
N
2
2059-06-25
Variable
0.02608000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 2/23 #889327
31410KA46
13648.36260000
PA
USD
14023.93000000
0.000191482027
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
0.05500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP FRN 3ML+76 05/12/2020
14040HBQ7
10000000.00000000
PA
USD
10022172.60000000
0.136842235650
Long
DBT
CORP
US
N
2
2020-05-12
Variable
0.02660630
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO FRN 3ML+60 06/15/2020
929160AU3
790000.00000000
PA
USD
791105.59000000
0.010801715545
Long
DBT
CORP
US
N
2
2020-06-15
Variable
0.02718500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/20/2049#MA6155
36179UZU9
69600.84000000
PA
USD
72780.84000000
0.000993745892
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
0.04000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2019-BROOK
N/A
J P MORGAN CHASE COML MTG SECS TR 2019-BROOK 1ML+90 09/15/2029 144A
46591JAA4
1911000.00000000
PA
USD
1910996.75000000
0.026092652564
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Variable
0.02765380
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 05/15/2022
9128286U9
14690000.00000000
PA
USD
14867312.85000000
0.202997534537
Long
DBT
UST
US
N
2
2022-05-15
Fixed
0.02125000
N
N
N
N
N
N
COLT 2018-2 MTG LN TR
N/A
COLT 2018-2 MTG LN TR A2 3.542% 07/27/2048 144A
19687VAB7
347861.56640000
PA
USD
348113.63000000
0.004753125823
Long
ABS-CBDO
CORP
US
N
2
2048-07-27
Fixed
0.03542000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) FRN 3ML+120 09/15/2020
38141GVQ4
4670000.00000000
PA
USD
4706364.36000000
0.064260459933
Long
DBT
CORP
US
N
2
2020-09-15
Variable
0.03318500
N
N
N
N
N
N
JPMCC 2015-JP1 A2
N/A
JPMCC 2015 JP1 A2 1.949% 01/15/2049
46590KAA2
65487.15850000
PA
USD
65395.37000000
0.000892905060
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Fixed
0.01949000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2047#MA3121
31418CPF5
270931.39000000
PA
USD
283832.19000000
0.003875430306
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.875% 01/15/2024
29278NAM5
2375000.00000000
PA
USD
2616041.15000000
0.035719292992
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.05875000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV FRN 3ML+57 08/27/2021 144A
00084DAS9
12413000.00000000
PA
USD
12458608.09000000
0.170109202083
Long
DBT
CORP
NL
N
2
2021-08-27
Variable
0.02488630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.92% 8/38 #983349
31415LL62
10026.81250000
PA
USD
10489.90000000
0.000143228561
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Variable
0.04521000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL CO LTD
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL CO LTD 4% 11/26/2021 144A
874060AN6
1550000.00000000
PA
USD
1601882.34000000
0.021872020110
Long
DBT
CORP
JP
N
2
2021-11-26
Fixed
0.04000000
N
N
N
N
N
N
UBS GROUP FUNDING JERSEY LTD
N/A
UBS GROUP FUNDING 3% 04/15/2021 144A
90351DAD9
1495000.00000000
PA
USD
1514640.55000000
0.020680825140
Long
DBT
CORP
JE
N
2
2021-04-15
Fixed
0.03000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL PARIS
VBHFXSYT7OG62HNT8T76
BANQUE FED CRED MUTUEL PARIS 2.125% 11/21/2022 144A
06675FAS6
1415000.00000000
PA
USD
1412687.89000000
0.019288768699
Long
DBT
CORP
FR
N
2
2022-11-21
Fixed
0.02125000
N
N
N
N
N
N
SIERRA TIMESHARE 2019-3 RECEIVABLES FDG LLC
N/A
SIERRA TIMESHARE 2019-3 RECEIVABLES FDG LLC 2.34% 08/15/2036 144A
82652NAA6
655000.00000000
PA
USD
655232.00000000
0.008946504448
Long
ABS-CBDO
CORP
US
N
2
2036-08-15
Fixed
0.02340000
N
N
N
N
N
N
CENTERPOINT ENERGY RES CORP
2JADVB0458J06WCD4N56
CENTERPOINT ENERG 4.5% 1/15/21
15189WAG5
590000.00000000
PA
USD
602117.67000000
0.008221284084
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
0.04500000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN CORP 2.55% 10/15/2022
666807BQ4
785000.00000000
PA
USD
796041.53000000
0.010869110619
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.02550000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A A3 2.94% 05/16/2022
98162XAC9
2284000.00000000
PA
USD
2314609.48000000
0.031603560280
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.02940000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/37 #906064
31411ETV9
5868.78440000
PA
USD
6757.05000000
0.000092260417
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.06000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL INC
ISRPG12PN4EIEOEMW547
HONEYWELL INTL INC FRN 3ML+37 08/08/2022
438516BV7
9078000.00000000
PA
USD
9114538.31000000
0.124449443153
Long
DBT
CORP
US
N
2
2022-08-08
Variable
0.02274250
N
N
N
N
N
N
DAIMLER FIN NORTH AMER LLC
549300423Z16BB673J12
DAIMLER FIN NORTH AMER LLC FRN 3ML+63 01/06/2020 144A
233851CQ5
10000000.00000000
PA
USD
10006216.10000000
0.136624366409
Long
DBT
CORP
US
N
2
2020-01-06
Variable
0.02673130
N
N
N
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 3.55% 04/15/2024 144A
78448TAE2
325000.00000000
PA
USD
336752.39000000
0.004598000029
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
0.03550000
N
N
N
N
N
N
MVW OWNER TR 2015-1
549300Y5CF8WQOLGBR17
MVW OWNER TR 15-1A A 2.52% 12/20/2032 144A
55388PAA8
267653.82530000
PA
USD
267665.82000000
0.003654695511
Long
ABS-CBDO
CORP
US
N
2
2032-12-20
Fixed
0.02520000
N
N
N
N
N
N
NAVIENT PRIVATE ED REFI LN TR 2019-E
N/A
NAVIENT PRIVATE ED REFI LN TR 2019-E 2.39% 05/15/2068 144A
63941MAA9
1668229.53000000
PA
USD
1673957.90000000
0.022856136145
Long
ABS-CBDO
CORP
US
N
2
2068-05-15
Fixed
0.02390000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2016-2
N/A
TPMT 16-2 A1A 2.75% 08/55 144A
89172PAJ8
221433.89450000
PA
USD
222666.24000000
0.003040273531
Long
ABS-CBDO
CORP
US
N
2
2055-08-25
Fixed
0.02750000
N
N
N
N
N
N
US BANCORP DEL
N1GZ7BBF3NP8GI976H15
US BANCORP MTN 3% 3/15/22
91159HHC7
1530000.00000000
PA
USD
1566406.58000000
0.021387635884
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BK CDA GLB MTN SR NTS BE FRN 3ML+40 01/25/2021
78013XX29
5000000.00000000
PA
USD
5012397.00000000
0.068439014056
Long
DBT
CORP
CA
N
2
2021-01-25
Variable
0.02339630
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 2.681% 01/09/2020
345397YE7
1730000.00000000
PA
USD
1730459.80000000
0.023627610218
Long
DBT
CORP
US
N
2
2020-01-09
Fixed
0.02681000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32
549300VOKB4Z9J8DIM89
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 1.577% 01/15/2059
94989YAW3
131370.20190000
PA
USD
130934.49000000
0.001787772876
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Fixed
0.01577000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST 2018-1
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2018-1 C 3.11% 12/20/2021
38014BAG4
435000.00000000
PA
USD
437409.86000000
0.005972372012
Long
ABS-CBDO
CORP
US
N
2
2021-12-20
Fixed
0.03110000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MTG TR 2018-1
N/A
DEEPHAVEN RESIDENTIAL MTG TR 2018-1A A1 VAR 01/25/2058 144A
24380PAA2
311713.04790000
PA
USD
310767.31000000
0.004243201066
Long
ABS-CBDO
CORP
US
N
2
2057-12-25
Variable
0.02976000
N
N
N
N
N
N
STARVEST EMERGING MARKETS CBO I
N/A
STARVEST EMERGING MARKETS CBO I 3.468% 02/25/2049 144A
85572TAA3
559052.91000000
PA
USD
563317.31000000
0.007691505939
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Fixed
0.03468000
N
N
N
N
N
N
ARI FLEET LEASE TRUST 2018-A
N/A
ARI FLEET LEASE TRUST 2018-A A2 2.55% 10/15/2026 144A
00217EAB4
441323.44000000
PA
USD
442138.21000000
0.006036932662
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
0.02550000
N
N
N
N
N
N
SUMITOMO MITSUI BKG CORP
5U0XI89JRFVHWIBS4F54
SUMITOMO MITSUI BKG CORP FRN 3ML+35 01/17/2020
865622CK8
17048000.00000000
PA
USD
17058433.38000000
0.232914982966
Long
DBT
CORP
JP
N
2
2020-01-17
Variable
0.02352130
N
N
N
N
N
N
WELLS FARGO BK NA SAN FRANCISC O CALIF MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
WELLS FARGO BK NATL ASSN FRN 3ML+50 07/23/2021
94988J5Q6
5000000.00000000
PA
USD
5008517.70000000
0.068386046291
Long
DBT
CORP
US
N
2
2021-07-23
Variable
0.02434000
N
N
N
N
N
N
UBS GROUP FUNDING (SWITZERLAND) AG
506700Q800G1L95S7805
UBS GROUP FDG SWITZ AG FRN 3ML+1.22% 5/23/23 144A
90352JAB9
880000.00000000
PA
USD
891615.56000000
0.012174073570
Long
DBT
CORP
CH
N
2
2023-05-23
Variable
0.03129500
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2019-BROOK
N/A
J P MORGAN CHASE COML MTG SECS TR 2019-BROOK C 1ML+160 09/15/2029 144A
46591JAJ5
575000.00000000
PA
USD
574999.77000000
0.007851017655
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Variable
0.03365380
N
N
N
N
N
N
CNH EQUIPMENT TR 2019-B
N/A
CNH EQUIPMENT TRUST 2019-B 2.55% 09/15/2022
12596TAB7
7000000.00000000
PA
USD
7026196.10000000
0.095935324686
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Fixed
0.02550000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3ML+35 03/17/2020
125523AA8
10000000.00000000
PA
USD
10005432.30000000
0.136613664444
Long
DBT
CORP
US
N
2
2020-03-17
Variable
0.02489380
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2019-2
N/A
NAVIENT STUDENT LOAN TRUST 2019-2 1ML+27 02/27/2068 144A
63941RAA8
643664.52000000
PA
USD
643193.16000000
0.008782126738
Long
ABS-CBDO
CORP
US
N
2
2068-02-27
Variable
0.01978000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 3.1% 06/04/2020
25466AAG6
965000.00000000
PA
USD
969103.63000000
0.013232091742
Long
DBT
CORP
US
N
2
2020-06-04
Fixed
0.03100000
N
N
N
N
N
N
FLORIDA PWR and LT CO
A89MY1K3YLIGJMYWVX50
FLORIDA PWR and LT CO FRN 3ML+40 05/06/2022
341081FW2
4252000.00000000
PA
USD
4252088.06000000
0.058057794406
Long
DBT
CORP
US
N
2
2022-05-06
Variable
0.02308250
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
STACR 2017-HQA2 M1 1ML+80 12/29
3137G0PT0
105462.64360000
PA
USD
105462.55000000
0.001439980301
Long
ABS-CBDO
USGSE
US
N
2
2029-12-25
Variable
0.02508000
N
N
N
N
N
N
GENERAL ELECTRIC CAPITAL CORP
P0H32NFVTA51I1N8SJ31
GENERAL ELEC CAP CORP MTN BE 3.45% 05/15/2024
36962G7K4
530000.00000000
PA
USD
548736.66000000
0.007492422485
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03450000
N
N
N
N
N
N
J P MORGAN EXCHANGE-TRADED FD TR
549300IQ1GP3T78IEG61
JPMorgan Ultra-Short Income ETF
46641Q837
3282685.00000000
NS
USD
165480150.85000000
2.259457574905
Long
EC
RF
US
N
1
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 2.404% 06/05/2020
075887BR9
1195000.00000000
PA
USD
1197122.51000000
0.016345449949
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
0.02404000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
AVNET INC 3.75% 12/01/2021
053807AT0
530000.00000000
PA
USD
540888.66000000
0.007385266291
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.03750000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AMER PIPE 5% 2/1/21
72650RAY8
455000.00000000
PA
USD
466019.44000000
0.006363005764
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
0.05000000
N
N
N
N
N
N
HOMEWARD OPPORTUNITIES FD I TR 2019-3
N/A
HOMEWARD OPPORTUNITIES FD I TR 2019-3 2.675% 11/25/2059 144A
43800KAA5
1145000.00000000
PA
USD
1142399.59000000
0.015598265978
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.02675000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 2.5% 05/12/2020
14040HBP9
360000.00000000
PA
USD
360654.69000000
0.004924360819
Long
DBT
CORP
US
N
2
2020-05-12
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.826% 10/33 #763199
31404A3G7
38150.42090000
PA
USD
39289.58000000
0.000536457929
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.03569000
N
N
N
N
N
N
MISSISSIPPI PWR CO
LNZ0J6YZ5SC6ILIRU850
MISSISSIPPI PWR CO FRN 3ML+65 03/27/2020
605417CA0
1770000.00000000
PA
USD
1770631.84000000
0.024176117212
Long
DBT
CORP
US
N
2
2020-03-27
Variable
0.02749630
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.25% 03/15/2023
29278NAL7
615000.00000000
PA
USD
639312.53000000
0.008729140813
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) FRN 3ML+ 04/23/2021
38141GVW1
10000000.00000000
PA
USD
10143200.10000000
0.138494738988
Long
DBT
CORP
US
N
2
2021-04-23
Variable
0.03299630
N
N
N
N
N
N
UNITED AIR 2019-2 B PTT
N/A
UNITED AIR 2019-2 B PTT 3.5% 05/01/2028
90932KAA7
410000.00000000
PA
USD
413075.00000000
0.005640105069
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
0.03500000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP 2.7% 06/15/2022
855244AG4
435000.00000000
PA
USD
443465.93000000
0.006055061284
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.02700000
N
N
N
N
N
N
BARCLAYS DRYROCK ISSUANCE TR
N/A
BARCLAYS DRYROCK ISSUANCE TR 2019-1 A 1.96% 05/15/2025
06742LAR4
3210000.00000000
PA
USD
3211568.09000000
0.043850587584
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
0.01960000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3ML+229 04/16/2021
225433AP6
4250000.00000000
PA
USD
4361603.68000000
0.059553115119
Long
DBT
CORP
GG
N
2
2021-04-16
Variable
0.04293250
N
N
N
N
N
N
MCKESSON CORP
549300WZWOM80UCFSF54
MCKESSON CORP NEW 3.65% 11/30/2020
581557BM6
1380000.00000000
PA
USD
1401942.11000000
0.019142046364
Long
DBT
CORP
US
N
2
2020-11-30
Fixed
0.03650000
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-DNA3
549300KB1O80CETXGJ21
FREDDIE MAC STACR TRUST 2019-DNA3 1ML+73 07/25/2049
35564TAA8
665124.95000000
PA
USD
665124.42000000
0.009081575048
Long
ABS-CBDO
CORP
US
N
2
2049-07-25
Variable
0.02438000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TR 2017-1
N/A
SANTANDER DRIVE AUTO RECEIVABLES TR 2017-1 2.58% 05/16/2022
80284TAK1
75553.59000000
PA
USD
75629.10000000
0.001032635890
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.02580000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY 2.85% 11/15/20
816851AX7
1830000.00000000
PA
USD
1841775.04000000
0.025147502851
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
0.02850000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 2.85% 06/15/2020
30161NAH4
5000000.00000000
PA
USD
5018231.30000000
0.068518675292
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
0.02850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2049#MA3594
31418C7G3
566609.09000000
PA
USD
604639.38000000
0.008255715384
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.05000000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2019-INV2
N/A
VERUS SECURITIZATION TR 2019-INV2 A1 2.913% 07/25/2059 144A
92537HAA9
1626780.19330000
PA
USD
1640026.58000000
0.022392839625
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Fixed
0.02913000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.2% 11/06/2022
00287YAP4
170000.00000000
PA
USD
174077.41000000
0.002376844114
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
0.03200000
N
N
N
N
N
N
MVW OWNER TR 2017-1
N/A
MVW OWNER TR 2017-1A B 2.75% 12/20/2034 144A
553896AB7
46112.71270000
PA
USD
46202.47000000
0.000630846178
Long
ABS-CBDO
CORP
US
N
2
2034-12-20
Fixed
0.02750000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 2.5% 04/21/2021
61746BEA0
400000.00000000
PA
USD
402467.32000000
0.005495268345
Long
DBT
CORP
US
N
2
2021-04-21
Fixed
0.02500000
N
N
N
N
N
N
MANUFACTURERS and TRADERS TRUST COMPANY
WWB2V0FCW3A0EE3ZJN75
MFRS and TRADERS TR CO BK NT PROGRAM FRN 3ML+27 01/25/2021
55279HAS9
10000000.00000000
PA
USD
10006400.00000000
0.136626877371
Long
DBT
CORP
US
N
2
2021-01-25
Variable
0.02209630
N
N
N
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034
162665AA1
3743000.00000000
PA
USD
3749480.26000000
0.051195213032
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.02885380
N
N
N
N
N
N
FORD CR AUTO LEASE TR 2018-B
N/A
FORD CR AUTO LEASE TR 2018-B A2B 1ML+20 04/15/2021
34531LAC4
3606767.44000000
PA
USD
3606313.35000000
0.049240419314
Long
ABS-CBDO
CORP
US
N
2
2021-04-15
Variable
0.01925380
N
N
N
N
N
N
NXP BV/NXP FDG LLC
N/A
NXP BV/NXP FDG LLC 4.625% 06/01/2023 144A
62947QAV0
1175000.00000000
PA
USD
1252748.29000000
0.017104961524
Long
DBT
CORP
NL
N
2
2023-06-01
Fixed
0.04625000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES 2018-C OWNER TR
N/A
TOYOTA AUTO RECEIVABLES OWNER TRUST 2018-C A2B 1ML+120 08/16/2021
89231AAC5
3476833.01000000
PA
USD
3475881.40000000
0.047459508094
Long
ABS-CBDO
CORP
US
N
2
2021-08-16
Variable
0.01885380
N
N
N
N
N
N
ISHARES U S ETF TR
549300BV2WH8444C2Y33
iShares Short Maturity Bond ETF
46431W507
2864715.00000000
NS
USD
144181105.95000000
1.968641497627
Long
EC
RF
US
N
1
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP FRN 3ML+95 02/08/2021
674599CT0
6819000.00000000
PA
USD
6863941.57000000
0.093719909574
Long
DBT
CORP
US
N
2
2021-02-08
Variable
0.02854250
N
N
N
N
N
N
SIERRA TIMESHARE 2015-2 RECEIVABLES FDG LLC
N/A
SRFC 2015-2A A 2.43% 06/20/32 144A
82652HAA9
121656.08330000
PA
USD
121587.43000000
0.001660148593
Long
ABS-CBDO
CORP
US
N
2
2032-06-20
Fixed
0.02430000
N
N
N
N
N
N
PACKAGING CORP OF AMERICA
549300XZP8MFZFY8TJ84
PACKAGING CORP OF AMERICA 2.45% 12/15/2020
695156AS8
555000.00000000
PA
USD
558402.81000000
0.007624403606
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.02450000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NT TR
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NT TR 2018-A5 A5 3.32% 03/15/2024
254683CH6
5000000.00000000
PA
USD
5129770.50000000
0.070041625863
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
0.03320000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 04/01/2026#AL2665
3138EJ6B9
39860.51240000
PA
USD
41693.23000000
0.000569277244
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.04500000
N
N
N
N
N
N
WELLS FARGO BK NA SAN FRANCISC O CALIF MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
WELLS FARGO BK NA SF CA MTN BE 3ML+65 09/09/2022
94988J6A0
1105000.00000000
PA
USD
1103829.53000000
0.015071632338
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.02082000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 04/15/2022
9128286M7
23070000.00000000
PA
USD
23407939.51000000
0.319610817171
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.02250000
N
N
N
N
N
N
DLL SECURITIZATION TRUST 2019
N/A
DLL SECURITIZATION TRUST 2019 2.13% 01/20/2022 144A
23291RAB6
4210000.00000000
PA
USD
4209583.63000000
0.057477441077
Long
ABS-CBDO
CORP
US
N
2
2022-01-20
Fixed
0.02130000
N
N
N
N
N
N
HYUNDAI CAP AMER
549300RIPPWJB5Z0FK07
HYUNDAI CAP AMER 2.85% 11/01/2022 144A
44891ABC0
511000.00000000
PA
USD
515035.62000000
0.007032270196
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.02850000
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC 2019
N/A
VOLVO FINANCIAL EQUIPMENT LLC 2.04% 11/15/2023 144A
92888BAC3
2435000.00000000
PA
USD
2434706.34000000
0.033243356706
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
0.02040000
N
N
N
N
N
N
SEQUOIA MTG TR 2018-CH3
N/A
SEQUOIA MTG TR 2018-CH3 4.5% 08/25/2048 144A
81746WAU2
282606.63000000
PA
USD
296552.28000000
0.004049109769
Long
ABS-CBDO
CORP
US
N
2
2048-08-25
Fixed
0.04500000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2019-NQM3
N/A
NEW RESIDENTIAL MTG LN TR 2019-NQM3 3.08636% 07/25/2049 144A
64829PAC3
482287.05000000
PA
USD
483034.59000000
0.006595329758
Long
ABS-CBDO
CORP
US
N
2
2049-07-25
Fixed
0.03086360
N
N
N
N
N
N
NEXTERA ENERGY CAP HLDGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAP HLDGS INC FRN 3ML+55 08/28/2021
65339KBA7
1285000.00000000
PA
USD
1285364.17000000
0.017550297093
Long
DBT
CORP
US
N
2
2021-08-28
Variable
0.02463750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 7/34 #725594
31402DC73
84067.52530000
PA
USD
94099.21000000
0.001284825834
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.05500000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC 3.551% 05/25/2021
49271VAE0
940000.00000000
PA
USD
959396.80000000
0.013099555179
Long
DBT
CORP
US
N
2
2021-05-25
Fixed
0.03551000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 3.5% 09/15/2023 144A
361886BU7
2850000.00000000
PA
USD
2922395.70000000
0.039902242458
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.03500000
N
N
N
N
N
N
CSMC 2017-CHOP A
N/A
CSMC 2017-CHOP A 1ML+75 07/15/2032
12651QAA7
4189000.00000000
PA
USD
4179832.37000000
0.057071218884
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Variable
0.02515380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/36 #190370
31368HMT7
3938.08970000
PA
USD
4533.72000000
0.000061903182
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 1/37 #888688
31410GJ95
3237.20770000
PA
USD
3652.06000000
0.000049865041
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 11/01/2020#745181
31403C2N0
2943.44800000
PA
USD
2952.40000000
0.000040311919
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 12ML+1.6 5/38 #979931
31414YEC0
36957.56930000
PA
USD
38463.00000000
0.000525171848
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Variable
0.04565000
N
N
N
N
N
N
OZLM VIII LTD / OZLM VIII LLC
N/A
OZLM VIII LTD / OZLM VIII LLC 2014-8A A1RR 3ML+117 10/17/2029 144A
67107FBC0
1015000.00000000
PA
USD
1013471.41000000
0.013837887157
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Variable
0.03172130
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 2.625% 11/17/2021
61746BED4
6225000.00000000
PA
USD
6292461.57000000
0.085916950680
Long
DBT
CORP
US
N
2
2021-11-17
Fixed
0.02625000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 3.156% 10/15/2045 144A
78403DAJ9
265000.00000000
PA
USD
266803.33000000
0.003642919116
Long
DBT
CORP
US
N
2
2045-10-10
Fixed
0.03156000
N
N
N
N
N
N
NEUBERGER BERMAN CLO XIX LTD / NEUBERGER BERMAN CLO XIX LLC
549300O0S47F5VVOH518
NEUBERGER BERMAN CLO XIX LTD / NEUBERGER BERMAN CLO XIX LLC 2015-19A A1R2 3ML+80 04/15/2027 144A
64130CAN2
1590000.00000000
PA
USD
1587244.53000000
0.021672156195
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Variable
0.02800880
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 2019-A
N/A
HYUNDAI AUTO RECEIVABLES TR 2019-A 2.94% 05/15/2025
44932NAF7
635000.00000000
PA
USD
646428.54000000
0.008826302452
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
0.02940000
N
N
N
N
N
N
CONSOLIDATED EDISON CO OF NY
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NY FRN 3ML+40 06/25/2021
209111FR9
11500000.00000000
PA
USD
11538141.59000000
0.157541199243
Long
DBT
CORP
US
N
2
2021-06-25
Variable
0.02506250
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2019-2
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2019-2 2.79% 01/16/2024
80286GAE1
535000.00000000
PA
USD
539474.85000000
0.007365962201
Long
ABS-CBDO
CORP
US
N
2
2024-01-16
Fixed
0.02790000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST 2019-A
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2019-A 3.01% 05/22/2023 144A
80285JAL0
700000.00000000
PA
USD
709067.45000000
0.009681570948
Long
ABS-CBDO
CORP
US
N
2
2023-05-22
Fixed
0.03010000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 1ML+0.95 10/25/2029
30711XJS4
510465.67530000
PA
USD
511164.09000000
0.006979408522
Long
ABS-CBDO
USGSE
US
N
2
2029-10-25
Variable
0.02658000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST 2018-2
N/A
CANADIAN PACER AUTO RECEIVABLES TRUST 2018-2A 2B 1ML+18 06/21/2021 144A
13646AAC4
2491563.95000000
PA
USD
2490651.54000000
0.034007229626
Long
ABS-CBDO
CORP
CA
N
2
2021-06-21
Variable
0.01913250
N
N
N
N
N
N
DAIMLER FIN NORTH AMER LLC
549300423Z16BB673J12
DAIMLER FIN NORTH AMER LLC FRN 3ML+90 02/15/2022 144A
233851DV3
5000000.00000000
PA
USD
5033844.65000000
0.068731859180
Long
DBT
CORP
US
N
2
2022-02-15
Variable
0.02809880
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 0% 05/49#MA5931
36179USU7
116974.86000000
PA
USD
121560.82000000
0.001659785262
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3ML+ 80 12/13/2019
38145GAK6
15000000.00000000
PA
USD
15003635.85000000
0.204858881855
Long
DBT
CORP
US
N
2
2019-12-13
Variable
0.02927250
N
N
N
N
N
N
VODAFONE GRP PLC
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC 3.75% 01/16/2024
92857WBH2
650000.00000000
PA
USD
685387.64000000
0.009358248025
Long
DBT
CORP
GB
N
2
2024-01-16
Fixed
0.03750000
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL FDG MEDIUM TERM NTS BOOK ENTRY 144A
635400EVYITCJYWL2I50
PROTECTIVE LIFE GLOBAL FDG MEDIUM TERM NTS BOOK ENTRY 144A FRN 3ML+52 06/28/2021 144A
74368CAL8
2000000.00000000
PA
USD
2008252.70000000
0.027420580365
Long
DBT
CORP
US
N
2
2021-06-28
Variable
0.02624380
N
N
N
N
N
N
MCDONALDS CORP
UE2136O97NLB5BYP9H04
MCDONALDS CORP 3.35% 04/01/2023
58013MFE9
645000.00000000
PA
USD
671287.63000000
0.009165727205
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
0.03350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.0% 01/01/2022#880999
31409WX48
6952.29130000
PA
USD
7165.00000000
0.000097830546
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
0.06000000
N
N
N
N
N
N
DELL EQUIP FIN TR 2019-2
N/A
DELL EQUIP FIN TR 2019-2 1.95% 12/22/2021 144A
24703KAB1
4210000.00000000
PA
USD
4206784.82000000
0.057439226268
Long
ABS-CBDO
CORP
US
N
2
2021-12-22
Fixed
0.01950000
N
N
N
N
N
N
METROPOLITAN LIFE GLBL FDG I
635400MMSOCXNNNZDZ82
MET LIFE GLB FDG I MTN BE 144A 2.5% 12/03/20 144A
59217GBR9
3000000.00000000
PA
USD
3018117.27000000
0.041209219913
Long
DBT
CORP
US
N
2
2020-12-03
Fixed
0.02500000
N
N
N
N
N
N
NAVIENT STUDENT LN TR 2017-3
N/A
NAVIENT STUDENT LN TR 2017-3A A1 1ML+30 7/26/66 144A
63940JAA7
420433.61690000
PA
USD
420433.74000000
0.005740580931
Long
ABS-CBDO
CORP
US
N
2
2066-07-26
Variable
0.02008000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-NXS2
N/A
WFCM TR 2015-NXS2 3.02% 7/58
94989MAB5
512736.99000000
PA
USD
512497.23000000
0.006997611148
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Fixed
0.03020000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 3.125% 11/15/2022
281020AP2
650000.00000000
PA
USD
653045.04000000
0.008916643807
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.03125000
N
N
N
N
N
N
GS MTG SECS TR 2016-GS3
N/A
GS MTG SECS TR 2016-GS3 1.429% 10/10/2049
36251PAA2
73755.29970000
PA
USD
73490.11000000
0.001003430229
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
0.01429000
N
N
N
N
N
N
ALLEGRO CLO III LTD / ALLEGRO CLO III LLC
N/A
ALLEG 2015-1A AR 3ML+84 07/25/2027 144A
01749PAQ1
1118673.37000000
PA
USD
1117320.89000000
0.015255842682
Long
ABS-CBDO
CORP
KY
N
2
2027-07-25
Variable
0.02779630
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST I LLC 2019-2
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-2 4.065% 03/25/2049 144A
03463WAD5
545000.00000000
PA
USD
560060.09000000
0.007647032023
Long
ABS-CBDO
CORP
US
N
2
2049-03-25
Fixed
0.04065000
N
N
N
N
N
N
FORD CR AUTO LEASE TR 2017-B
N/A
FORD CR AUTO LEASE TR 2017-B 2.17% 02/15/2021
34531DAE8
545000.00000000
PA
USD
545093.36000000
0.007442677051
Long
ABS-CBDO
CORP
US
N
2
2021-02-15
Fixed
0.02170000
N
N
N
N
N
N
CNAC HK FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE COMPANY LIMITED 3% 07/19/2020 REGS
N/A
825000.00000000
PA
USD
827062.50000000
0.011292669368
Long
DBT
CORP
HK
N
2
2020-07-19
Fixed
0.03000000
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 2017-2A A 2.97% 03/20/2024 144A
05377RCU6
905000.00000000
PA
USD
923232.67000000
0.012605771984
Long
ABS-CBDO
CORP
US
N
2
2024-03-20
Fixed
0.02970000
N
N
N
N
N
N
IBM CORPORATION
VGRQXHF3J8VDLUA7XE92
IBM CORPORATION 2.5% 01/27/2022
459200JQ5
460000.00000000
PA
USD
465033.05000000
0.006349537645
Long
DBT
CORP
US
N
2
2022-01-27
Fixed
0.02500000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
NEW YORK LIFE GLB FD MTN 2.95% 01/28/2021 144A
64952WDF7
3775000.00000000
PA
USD
3820329.26000000
0.052162581680
Long
DBT
CORP
US
N
2
2021-01-28
Fixed
0.02950000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 2.8% 02/15/2021
29379VBP7
1020000.00000000
PA
USD
1029344.78000000
0.014054621345
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
0.02800000
N
N
N
N
N
N
VOLKSWAGEN AUTO LEASE TR 2019-A
N/A
VOLKSWAGEN AUTO LEASE TR 2019-A 2% 03/21/2022
92867XAB2
8140000.00000000
PA
USD
8145251.11000000
0.111214844955
Long
ABS-CBDO
CORP
US
N
2
2022-03-21
Fixed
0.02000000
N
N
N
N
N
N
GREAT WOLF TR 2017-WOLF
N/A
GREAT WOLF TR 2017-WOLF 1ML+132 09/15/2034 144A
39153AAJ9
965000.00000000
PA
USD
964979.16000000
0.013175776438
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Variable
0.03085380
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 2/37 #1Q0196
3128S4GD3
12794.12790000
PA
USD
13380.18000000
0.000182692298
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.05219000
N
N
N
N
N
N
TOWD PT MTG TR 2018-1
N/A
TOWD PT MTG TR 2018-1 A1 3% 01/28/2058 144A
89176EAA8
347162.77560000
PA
USD
350838.29000000
0.004790328192
Long
ABS-CBDO
CORP
US
N
2
2058-01-25
Fixed
0.03000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK NA 2.844%/VAR 05/20/2022
17325FAY4
1485000.00000000
PA
USD
1500720.80000000
0.020490765581
Long
DBT
CORP
US
N
2
2022-05-20
Variable
0.02844000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3ML+68 06/01/2021
46647PAG1
10024000.00000000
PA
USD
10043041.49000000
0.137127178414
Long
DBT
CORP
US
N
2
2021-06-01
Variable
0.02817630
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3% 02/22/2021
025816CB3
6095000.00000000
PA
USD
6171586.91000000
0.084266534211
Long
DBT
CORP
US
N
2
2021-02-22
Fixed
0.03000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2017-4
5493003IB59OF448TR74
CARMAX AUTO OWNER TRUST 2017-4 2.7% 10/16/2023
14314RAF9
205000.00000000
PA
USD
206156.67000000
0.002814852701
Long
ABS-CBDO
CORP
US
N
2
2023-10-16
Fixed
0.02700000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNR 5.25% 3/15/20
96950FAD6
2630000.00000000
PA
USD
2652738.59000000
0.036220357974
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
0.05250000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC FRN 3ML+79 01/10/2020
172967LE9
5000000.00000000
PA
USD
5000561.45000000
0.068277412057
Long
DBT
CORP
US
N
2
2020-01-10
Variable
0.02799500
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2015-5
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2015-5 D 3.65% 12/21
80284QAG6
446375.41000000
PA
USD
447835.37000000
0.006114721396
Long
ABS-CBDO
CORP
US
N
2
2021-12-15
Fixed
0.03650000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 3.5% 12/29/2020
571748BE1
3582000.00000000
PA
USD
3641729.03000000
0.049723983210
Long
DBT
CORP
US
N
2
2020-12-29
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLE MTN 5.5% 1/26/20
61747YCM5
300000.00000000
PA
USD
301523.32000000
0.004116984096
Long
DBT
CORP
US
N
2
2020-01-26
Fixed
0.05500000
N
N
N
N
N
N
TOWD PT MTG TR 2015-5
N/A
TPMT 2015-5 A1B AFC 05/55
89171VAK3
294866.43370000
PA
USD
295645.85000000
0.004036733419
Long
ABS-CBDO
CORP
US
N
2
2055-05-25
Fixed
0.02750000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2015-4
N/A
CARMAX AUTO OWNER TRUST 2015-4 3% 05/16/2022
14313XAG5
235000.00000000
PA
USD
235078.98000000
0.003209756453
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.03000000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTR FIN FRN 3ML+85 04/09/21
37045XCH7
5628000.00000000
PA
USD
5631178.24000000
0.076887821679
Long
DBT
CORP
US
N
2
2021-04-09
Variable
0.02862000
N
N
N
N
N
N
COLT 2018-1 MTG LN TR
N/A
COLT 2018-1 A3 MTG LN TR 3.084% 02/25/2048 144A
19687UAC7
38752.43000000
PA
USD
38650.85000000
0.000527736742
Long
ABS-CBDO
CORP
US
N
2
2048-02-25
Fixed
0.03084000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH INC 3.079% 06/15/2024
14149YBH0
695000.00000000
PA
USD
710607.54000000
0.009702599259
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.03079000
N
N
N
N
N
N
STARWOOD MTG RESIDENTIAL TR 2019-1
N/A
STARWOOD MTG RESIDENTIAL TR 2019-1 3.299% 06/25/2049 144A
85571KAC9
707499.78420000
PA
USD
705567.96000000
0.009633789089
Long
ABS-CBDO
CORP
US
N
2
2049-06-25
Fixed
0.03299000
N
N
N
N
N
N
MAGNETITE XVI LTD / MAGNETITE XVI LLC
549300Z3WHVYABE20I45
MAGNETITE XVI LTD / MAGNETITE XVI LLC 3ML+80 01/18/2028 144A
55953RAL5
2045000.00000000
PA
USD
2039975.44000000
0.027853721046
Long
ABS-CBDO
CORP
KY
N
2
2028-01-18
Variable
0.02803250
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TR 2017-A
N/A
SANTANDER RETAIL AUTO LEASE TR 2017-A 2.96% 11/21/2022 144A
80285AAN5
325000.00000000
PA
USD
326527.44000000
0.004458389081
Long
ABS-CBDO
CORP
US
N
2
2022-11-21
Fixed
0.02960000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC 2.579% 07/01/2020
25746UCT4
2335000.00000000
PA
USD
2340598.44000000
0.031958412219
Long
DBT
CORP
US
N
2
2020-07-01
Variable
0.02579000
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP FRN 3ML+28 09/07/2021
14913Q2P3
6790000.00000000
PA
USD
6793404.98000000
0.092756806557
Long
DBT
CORP
US
N
2
2021-09-07
Variable
0.02382130
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO FRN 3ML+ 06/07/2021
46625HRU6
11083000.00000000
PA
USD
11209789.52000000
0.153057896756
Long
DBT
CORP
US
N
2
2021-06-07
Variable
0.03202130
N
N
N
N
N
N
NISSAN MASTER OWNER TR RECEIVABLES
N/A
NMOTR 2017-C A 1ML+32 10/17/2022
65474VAP6
5000000.00000000
PA
USD
5001930.00000000
0.068296098170
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Variable
0.02085380
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC FRN 3ML+46 01/11/2021
06739FJK8
11000000.00000000
PA
USD
10996462.62000000
0.150145142098
Long
DBT
CORP
GB
N
2
2021-01-11
Variable
0.02444250
N
N
N
N
N
N
FREDDIE MAC STACR TR 2018-DNA3
549300BL200YC56BUV20
FREDDIE MAC STACR TR 2018-DNA3 1ML+75 09/25/2048
35563WAA2
470910.91000000
PA
USD
471225.95000000
0.006434095187
Long
ABS-CBDO
USGSE
US
N
2
2048-09-25
Variable
0.02458000
N
N
N
N
N
N
GM FINL AUTOMOBILE LEASING TR 2017-3
N/A
GM FINL AUTOMOBILE LEASING TR 2017-3 2.73% 09/20/2021
38013BAG5
300000.00000000
PA
USD
300443.91000000
0.004102245887
Long
ABS-CBDO
CORP
US
N
2
2021-09-20
Fixed
0.02730000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.875% 07/01/2038#1B4142
3128JPP46
24024.60000000
PA
USD
24987.57000000
0.000341179011
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Variable
0.04315000
N
N
N
N
N
N
WGL HOLDINGS INC
549300FMXG4FL88R7K50
WGL HOLDINGS INC FRN 3ML+55 03/12/2020
92924FAD8
7520000.00000000
PA
USD
7514664.11000000
0.102604842085
Long
DBT
CORP
US
N
2
2020-03-12
Variable
0.02681630
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH CP .0235 12/11/2019
14918HZB3
4000000.00000000
PA
USD
3997912.00000000
0.054587287392
Long
DBT
CORP
US
N
2
2019-12-11
Fixed
0.02350000
N
N
N
N
N
N
NXP BV/NXP FDG LLC
N/A
NXP BV/NXP FDG LLC 3.875% 09/01/2022 144A
62947QAW8
690000.00000000
PA
USD
714056.02000000
0.009749684629
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
0.03875000
N
N
N
N
N
N
CNH EQUIP TR 2018-A
N/A
CNH EQUIP TR 2018-A 3.47% 10/15/2025
12652VAE7
380000.00000000
PA
USD
390337.94000000
0.005329654407
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.03470000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TR 2019-1
N/A
SANTANDER DRIVE AUTO RECEIVABLES TR 2019-1 3.42% 04/15/2025
80285HAF7
2620000.00000000
PA
USD
2667433.53000000
0.036421001938
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
0.03420000
N
N
N
N
N
N
GALTON FDG MTG TR 2019-1
N/A
GALTON FUNDING MORTGAGE TRUST 2019-1 A32 4% 02/25/2059 144A
36418WAQ2
467939.65000000
PA
USD
478986.72000000
0.006540060346
Long
ABS-CBDO
CORP
US
N
2
2059-02-25
Fixed
0.04000000
N
N
N
N
N
N
NXP BV/NXP FDG LLC
N/A
NXP BV/NXP FDG LLC 4.125% 06/01/2021 144A
62947QAU2
795000.00000000
PA
USD
814840.49000000
0.011125790664
Long
DBT
CORP
NL
N
2
2021-06-01
Fixed
0.04125000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER 2017-A LLC
N/A
ELARA HGV TIMESHARE ISSUER 2017-A LLC 2.69% 03/25/2030 144A
28416DAA8
215729.86400000
PA
USD
217588.64000000
0.002970944239
Long
ABS-CBDO
CORP
US
N
2
2030-03-25
Fixed
0.02690000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.9% 01/29/2024
14040HCA1
505000.00000000
PA
USD
533289.13000000
0.007281502695
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
0.03900000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2019-3
N/A
VERUS SECURITIZATION TRUST 2019-3 3.04% 07/25/2059 144A
92537JAC1
1442517.08000000
PA
USD
1443512.56000000
0.019709647177
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Fixed
0.03040000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
549300P6OXWKM20QS303
SILVERSTONE MASTER ISSUER PLC STEP 01/21/2070 144A
82846GAV2
4588725.00400000
PA
USD
4582479.75000000
0.062568945760
Long
ABS-CBDO
CORP
GB
N
2
2070-01-21
Variable
0.02535880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 2/36 #745275
31403C6L0
28792.70180000
PA
USD
31732.31000000
0.000433271349
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.05000000
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TR 2019-1
N/A
SECURITIZED TERM AUTO RECEIVABLES TR 2019-1 2.862% 05/25/2021 144A
81377DAA4
2510899.17000000
PA
USD
2517538.74000000
0.034374346089
Long
ABS-CBDO
CORP
US
N
2
2021-05-25
Fixed
0.02862000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 06/15/2022
9128286Y1
9360000.00000000
PA
USD
9396928.10000000
0.128305179003
Long
DBT
UST
US
N
2
2022-06-15
Fixed
0.01750000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.9% 02/15/2022 144A
125523BQ2
585000.00000000
PA
USD
605238.85000000
0.008263900517
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
0.03900000
N
N
N
N
N
N
HARDEES FDG LLC / CARLS JR FDG LLC
N/A
HARDEES FDG LLC / CARLS JR FDG LLC 2018-1A AI 4.25% 06/21/2048 144A
411707AB8
933709.60000000
PA
USD
942925.31000000
0.012874654291
Long
ABS-CBDO
CORP
US
N
2
2048-06-20
Fixed
0.04250000
N
N
N
N
N
N
WELLS FARGO BK NA SAN FRANCISC O CALIF MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
WELLS FARGO BK NATL ASSN FRN 3ML+23 01/15/2020
94988J5K9
10000000.00000000
PA
USD
10005428.40000000
0.136613611194
Long
DBT
CORP
US
N
2
2020-01-15
Variable
0.02230880
N
N
N
N
N
N
TOWD PT MTG TR 2016-1
N/A
TPMT 2016-1 A3B 3% 02/25/2055 144A
89172EBJ2
236620.40790000
PA
USD
237628.51000000
0.003244567606
Long
ABS-CBDO
CORP
US
N
2
2055-02-25
Fixed
0.03000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP FRN 3ML+ 10/01/2020
26884LAD1
2000000.00000000
PA
USD
1994939.54000000
0.027238803155
Long
DBT
CORP
US
N
2
2020-10-01
Variable
0.02868630
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC NEW
549300K2RLMQL149Q332
O'REILLY AUTOMOTIVE INC NEW 3.8% 09/01/2022
67103HAC1
385000.00000000
PA
USD
400539.59000000
0.005468947218
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
0.03800000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TR 2017-2
N/A
ALLY AUTO RECEIVABLES TR 2017-2 D 2.93% 11/15/2023
02007HAG6
200000.00000000
PA
USD
201258.38000000
0.002747971698
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
0.02930000
N
N
N
N
N
N
GM FINL AUTOMOBILE LEASING TR 2019-1
N/A
GM FINANCIAL AUTOMOBILE LEASIN 2019-1 A2A 2.91% 04/20/2021
36256UAB4
4106870.87000000
PA
USD
4120573.03000000
0.056262094866
Long
ABS-CBDO
CORP
US
N
2
2021-04-20
Fixed
0.02910000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FDG II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FDG II 2.25% 07/01/2022 144A
57629WCK4
1150000.00000000
PA
USD
1160621.32000000
0.015847064554
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.02250000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.875% 02/19/2021 144A
110122BE7
1110000.00000000
PA
USD
1121847.16000000
0.015317644143
Long
DBT
CORP
US
N
2
2021-02-19
Fixed
0.02875000
N
N
N
N
N
N
FORD CR AUTO LEASE TR 2019-B
5493006E18I81G847N31
FORD CR AUTO LEASE TR 2019-B 2.28% 02/15/2022
34528DAB9
3372000.00000000
PA
USD
3378191.67000000
0.046125657482
Long
ABS-CBDO
CORP
US
N
2
2022-02-15
Fixed
0.02280000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BK MTN BE 3.25% 02/14/2022
17401QAS0
1015000.00000000
PA
USD
1038946.34000000
0.014185720557
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.03250000
N
N
N
N
N
N
UBS AG LONDN BRANCH
BFM8T61CT2L1QCEMIK50
UBS AG LON 3ML+58 6/8/20 144A
902674XE5
23790000.00000000
PA
USD
23839847.42000000
0.325508065837
Long
DBT
CORP
GB
N
2
2020-06-08
Variable
0.02682130
N
N
N
N
N
N
DELL EQUIP FIN TR 2019-2
N/A
DELL EQUIP FIN TR 2019-2 1.91% 10/22/2024 144A
24703KAC9
1714000.00000000
PA
USD
1710051.63000000
0.023348958101
Long
ABS-CBDO
CORP
US
N
2
2024-10-22
Fixed
0.01910000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TR 2019-A
N/A
MERCEDES-BENZ AUTO LEASE TR 2019-A A3 3.1% 11/15/2021
58772TAC4
2592000.00000000
PA
USD
2617184.91000000
0.035734909833
Long
ABS-CBDO
CORP
US
N
2
2021-11-15
Fixed
0.03100000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 6.0% 7/15/36 #783564
36241L5Z5
255922.43690000
PA
USD
288825.54000000
0.003943609253
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.06000000
N
N
N
N
N
N
RABOBANK NEDERLAND NEW YORK BRH
DG3RU1DBUFHT4ZF9WN62
RABOBANK NEDERLAND NY BRH FRN 3ML+43 04/26/2021
21688AAP7
12500000.00000000
PA
USD
12539750.38000000
0.171217114789
Long
DBT
CORP
US
N
2
2021-04-26
Variable
0.02365630
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC CP 0% 07/27/2020
3454G0GT9
810000.00000000
PA
USD
794253.03000000
0.010844690531
Long
DBT
CORP
US
N
2
2020-07-27
Fixed
0.00000000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 2.95% 07/21/2020 144A
453140AD7
15940000.00000000
PA
USD
15995109.68000000
0.218396415172
Long
DBT
CORP
GB
N
2
2020-07-21
Fixed
0.02950000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST 2017-2
N/A
MCMLT 17-2 2.75% 08/25/2056 144A
59980AAA5
572952.00780000
PA
USD
575986.53000000
0.007864490826
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Fixed
0.02750000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AIG INTL GRP 4.875% 6/01/22
026874CU9
675000.00000000
PA
USD
722401.56000000
0.009863634209
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.04875000
N
N
N
N
N
N
OCP CLO 2014-7 LTD
254900NUK1R46EK6YF62
OCP CLO 2014-7 LTD/CORP 3ML+112 07/20/2029 144A
67107KAZ9
2530000.00000000
PA
USD
2522422.65000000
0.034441030748
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Variable
0.03085880
N
N
N
N
N
N
SLM STDENT LN TR 2010-1
549300WLW67V4O2Z6P70
SLMA 2010-1 A 1ML+40 3/25
78445XAA4
911788.37870000
PA
USD
881042.33000000
0.012029707225
Long
ABS-CBDO
CORP
US
N
2
2025-03-25
Variable
0.02108000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.25% 02/20/2023 144A
110122BK3
185000.00000000
PA
USD
191604.11000000
0.002616152786
Long
DBT
CORP
US
N
2
2023-02-20
Fixed
0.03250000
N
N
N
N
N
N
INTERPUBLIC GROUP OF COS INC
5493008IUOJ5VWTRC333
INTERPUBLIC GROUP OF COS INC 3.5% 10/01/2020
460690BM1
295000.00000000
PA
USD
298561.56000000
0.004076544376
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2037#1G1921
3128QSD29
11068.55900000
PA
USD
11566.73000000
0.000157931543
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.04650000
N
N
N
N
N
N
NISSAN MASTER OWNER TR RECEIVABLES
N/A
NISSAN MASTER OWNER TR RECEIVA 1ML+ 11/15/2023
65474VAS0
1835000.00000000
PA
USD
1835078.91000000
0.025056074232
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Variable
0.02190000
N
N
N
N
N
N
DAIMLER FIN NORTH AMER LLC
549300423Z16BB673J12
DAIMLER FIN NORTH AMER LLC 3.1% 05/04/2020 144A
233851DG6
765000.00000000
PA
USD
768131.33000000
0.010488026166
Long
DBT
CORP
US
N
2
2020-05-04
Fixed
0.03100000
N
N
N
N
N
N
STARWOOD MTG RESIDENTIAL TR 2019-1
N/A
STARWOOD MTG RESIDENTIAL TR 2019-1 A1 2.941% 06/25/2049 144A
85571KAA3
1031958.30000000
PA
USD
1028980.38000000
0.014049645846
Long
ABS-CBDO
CORP
US
N
2
2049-06-25
Fixed
0.02941000
N
N
N
N
N
N
UNITED TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
UNITED TECHNOLOGIES CORP FRN 3ML+65 08/16/2021
913017CZ0
10750000.00000000
PA
USD
10751440.07000000
0.146799616645
Long
DBT
CORP
US
N
2
2021-08-16
Variable
0.02554130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 4/36 #745418
31403DDX4
22109.86680000
PA
USD
24921.93000000
0.000340282766
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.05500000
N
N
N
N
N
N
DT AUTO OWNER TR 2019-3
N/A
DT AUTO OWNER TR 2019-3 2.55% 08/15/2022 144A
26253KAA2
2732932.62000000
PA
USD
2739576.38000000
0.037406036748
Long
ABS-CBDO
CORP
US
N
2
2022-08-15
Fixed
0.02550000
N
N
N
N
N
N
COLT 2019-2 MORTGAGE LOAN TRUST
N/A
COLT 2019-2 MORTGAGE LOAN TRUST 3.337% 05/25/2049 144A
19685TAA6
525204.56000000
PA
USD
527879.53000000
0.007207640291
Long
ABS-CBDO
CORP
US
N
2
2049-05-25
Fixed
0.03337000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% #AL2664
3138EJ6A1
166045.16130000
PA
USD
173217.66000000
0.002365105131
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.04500000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS AA PIP/MTN 5.75 1/15/20
72650RAW2
440000.00000000
PA
USD
441697.17000000
0.006030910725
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
0.05750000
N
N
N
N
N
N
STATE GRID OVERSEAS INVESTMENT 2016 LTD
3003006V8BHG5158QO96
STATE GRID OVERSEAS INVESTMENT 2016 LTD 2.25% 05/04/2020 144A
857006AD2
2235000.00000000
PA
USD
2233448.02000000
0.030495385827
Long
DBT
CORP
VG
N
2
2020-05-04
Fixed
0.02250000
N
N
N
N
N
N
SEQUOIA MTG TR 2018-CH1
549300ZUG1L9OO3W6B29
SEQUOIA MTG TR 2018-CH1 A11 3.5% 02/48 144A
81747DAL3
796081.68740000
PA
USD
805385.49000000
0.010996692574
Long
ABS-CBDO
CORP
US
N
2
2048-02-25
Fixed
0.03500000
N
N
N
N
N
N
INTOWN HOTEL PORTFOLIO TR 2018-STAY
N/A
INTOWN HOTEL PORTFOLIO TR 2018-STAY C 1ML+125 01/15/2033 144A
46117MAL8
205000.00000000
PA
USD
204482.46000000
0.002791993123
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Variable
0.03015380
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 2017-A
549300K13TUMZQMZ9684
HART 2017-A B 2.38% 04/23
44931PAF3
340000.00000000
PA
USD
341133.87000000
0.004657824534
Long
ABS-CBDO
CORP
US
N
2
2023-04-17
Fixed
0.02380000
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
STACR 17-DNA2 M1 1ML+120 10/29
3137G0NW5
838325.96380000
PA
USD
840238.35000000
0.011472571754
Long
ABS-CBDO
USGSE
US
N
2
2029-10-25
Variable
0.02908000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3ML+55 05/22/2020
92343VDZ4
25000000.00000000
PA
USD
25048400.00000000
0.342009581382
Long
DBT
CORP
US
N
2
2020-05-22
Variable
0.02448750
N
N
N
N
N
N
REINSURANCE GROUP OF AMERICA INC
LORM1GNEU1DKEW527V90
REINSURANCE GROUP 5% 6/01/21
759351AJ8
125000.00000000
PA
USD
130336.42000000
0.001779606858
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.05000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 19
N/A
WORLD OMNI AUTO RECEIVABLES TR 19 2.4% 06/15/2026
98162RAG3
895000.00000000
PA
USD
897090.72000000
0.012248831127
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.02400000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC 2.75% 07/01/2024
337738AS7
1820000.00000000
PA
USD
1848703.17000000
0.025242099186
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
0.02750000
N
N
N
N
N
N
TOWD PT MTG TR 2017-6
N/A
TOWD POINT MORTGAGE TRUST 2015-1 2.75% 10/25/2057 144A
89175JAA8
1712288.52100000
PA
USD
1726142.99000000
0.023568668713
Long
ABS-CBDO
CORP
US
N
2
2057-10-25
Fixed
0.02750000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A
12653VAA4
5000000.00000000
PA
USD
5007015.00000000
0.068365528501
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.02745380
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2019-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2019-3 2.13% 07/18/2025
03066NAE4
985000.00000000
PA
USD
984870.77000000
0.013447375471
Long
ABS-CBDO
CORP
US
N
2
2025-07-18
Fixed
0.02130000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
CAS 2017-C05 1M1 1ML+55 01/25/2030
30711XNS9
113711.24390000
PA
USD
113688.84000000
0.001552301647
Long
ABS-CBDO
USGSE
US
N
2
2030-01-25
Variable
0.02258000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY FRN 3ML+93 07/22/2022
61744YAJ7
4040000.00000000
PA
USD
4076780.16000000
0.055664149243
Long
DBT
CORP
US
N
2
2022-07-22
Variable
0.02883250
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 3.55% 07/08/2022
37045XCU8
380000.00000000
PA
USD
390112.39000000
0.005326574759
Long
DBT
CORP
US
N
2
2022-07-08
Fixed
0.03550000
N
N
N
N
N
N
ALLY MASTER OWNER TR
N/A
AMOT 2018-1 A1 1ML+ 01/15/2023
02005AGN2
8383000.00000000
PA
USD
8395123.49000000
0.114626589740
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Variable
0.02045380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.00% 2/23 #889634
31410KLP7
84457.78990000
PA
USD
87485.04000000
0.001194516292
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
0.06000000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2019-1
N/A
CARMAX AUTO OWNER TR 2019-1 A2A 3.02% 07/15/2022
14315NAH3
3779310.17000000
PA
USD
3797906.27000000
0.051856419313
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
0.03020000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.0% 05/01/2023#AD0364
31418MMN9
9635.22000000
PA
USD
9895.18000000
0.000135108285
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
0.05000000
N
N
N
N
N
N
VOLVO FINL EQUIP MASTER OWNER TR
N/A
VOLVO FINL EQUIP MASTER OWNER TR 2017-A A 1ML+50 11/15/2022 144A
92887MAA4
7547000.00000000
PA
USD
7558783.13000000
0.103207240943
Long
ABS-CBDO
CORP
US
N
2
2022-11-15
Variable
0.02265380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #826362
31407CB71
5808.54900000
PA
USD
6074.94000000
0.000082946922
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04342000
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2019-HRP1
549300RWLR7W4OBRM426
FREDDIE MAC STACR TRUST 2019-HRP1 1ML+140 02/25/2049 144A
35564RAK0
630000.00000000
PA
USD
631769.36000000
0.008626146753
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Variable
0.03108000
N
N
N
N
N
N
ENTERPRISE FLEET FING 2019-1 LLC
N/A
ENTERPRISE FLEET FING 2019-1 LLC 2019-1 A2 2.98% 10/22/2024 144A
29374AAB0
3312000.00000000
PA
USD
3346178.85000000
0.045688556064
Long
ABS-CBDO
CORP
US
N
2
2024-10-22
Fixed
0.02980000
N
N
N
N
N
N
TRANSCANADA PIPELINES LTD
5BV01I6231JPDAPMGH09
TRANSCANADA PIPELINES LTD CP .0205 02/24/2020
89355PBQ0
7000000.00000000
PA
USD
6966318.80000000
0.095117763073
Long
DBT
CORP
CA
N
2
2020-02-24
Fixed
0.02050000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-3 2.24% 06/19/2023
03065HAE8
395000.00000000
PA
USD
395528.91000000
0.005400531648
Long
ABS-CBDO
CORP
US
N
2
2023-06-19
Fixed
0.02240000
N
N
N
N
N
N
ENTERPRISE FLEET FING 2018-1 LLC
N/A
ENTERPRISE FLEET FING 2018-1 LLC 2.87% 10/20/2023 144A
29373LAB7
342157.29000000
PA
USD
343736.17000000
0.004693356206
Long
ABS-CBDO
CORP
US
N
2
2023-10-20
Fixed
0.02870000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP INC
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP INC FRN 3ML+86 07/26/2023
606822AZ7
665000.00000000
PA
USD
668097.39000000
0.009122167830
Long
DBT
CORP
JP
N
2
2023-07-26
Variable
0.02795630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545759
31385JJC3
49760.27800000
PA
USD
57066.54000000
0.000779183638
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.503% 10/21/2022
06051GFZ7
1475000.00000000
PA
USD
1487658.33000000
0.020312411279
Long
DBT
CORP
US
N
2
2022-10-21
Fixed
0.02503000
N
N
N
N
N
N
SMB PRIVATE ED LN TR 2015-A
549300GMVSOGAWY1JE39
SMB PRIVATE ED LN TR 15-A 1ML+ 06/15/2027 144A
78448PAC4
276146.88420000
PA
USD
276745.13000000
0.003778663949
Long
ABS-CBDO
CORP
US
N
2
2027-06-15
Variable
0.02765380
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.75% 5/05/21
02209SAL7
4386000.00000000
PA
USD
4552481.95000000
0.062159357322
Long
DBT
CORP
US
N
2
2021-05-05
Fixed
0.04750000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PTNRS 3.35% 8/15/22
96950FAJ3
200000.00000000
PA
USD
204933.80000000
0.002798155696
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.03350000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
REPUBLIC SERVICES INC 2.5% 08/15/2024
760759AU4
880000.00000000
PA
USD
888322.11000000
0.012129104971
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 02/20/2049#MA5766
36179UMP4
2134061.75000000
PA
USD
2266049.41000000
0.030940523550
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
0.05500000
N
N
N
N
N
N
WHEELS SPV LLC
54930087O4PHK5ODMW30
WHEELS SPV LLC 1.88% 04/20/2026 144A
96328DAZ7
82084.39000000
PA
USD
82063.89000000
0.001120496186
Long
ABS-CBDO
CORP
US
N
2
2026-04-20
Fixed
0.01880000
N
N
N
N
N
N
SYNCHRONY CARD ISSUANCE TRUST
N/A
SYNCHRONY CARD ISSUANCE TRUST 2.34% 06/15/2025
87166PAF8
1890000.00000000
PA
USD
1905328.28000000
0.026015255562
Long
ABS-CBDO
CORP
US
N
2
2025-06-15
Fixed
0.02340000
N
N
N
N
N
N
VOLVO FINL EQUIP MASTER OWNER TR
N/A
VOLVO FINL EQUIP MASTER OWNER TR 18-A A 1ML+50 07/17/2023 144A
92887MAB2
5080000.00000000
PA
USD
5098535.40000000
0.069615143395
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Variable
0.02285380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 1/35 #735141
31402QWA5
505574.11510000
PA
USD
566847.83000000
0.007739711480
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05500000
N
N
N
N
N
N
MARATHON OIL CORP
1FRVQX2CRLGC1XLP5727
MARATHON OIL CP 2.8% 11/01/22
565849AK2
1925000.00000000
PA
USD
1954237.25000000
0.026683056155
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.02800000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 1ML+135 09/25/2029
30711XHT4
1485000.00000000
PA
USD
1486874.66000000
0.020301711088
Long
ABS-CBDO
USGSE
US
N
2
2029-09-25
Variable
0.03058000
N
N
N
N
N
N
TELEFONICA EMISIONES SAU
549300Y5MFC4SW5Z3K71
TELEFONICA EMIS 5.134% 4/27/20
87938WAM5
565000.00000000
PA
USD
571958.31000000
0.007809489714
Long
DBT
CORP
ES
N
2
2020-04-27
Fixed
0.05134000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO FRN 3ML+ 55 03/09/2021
46647PAC0
1485000.00000000
PA
USD
1486585.98000000
0.020297769466
Long
DBT
CORP
US
N
2
2021-03-09
Variable
0.02652130
N
N
N
N
N
N
BAXALTA INC
5493000JW8DCO3T45R55
BAXALTA INC 3.6% 06/23/2022
07177MAL7
265000.00000000
PA
USD
271868.33000000
0.003712076369
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
0.03600000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2018-2
N/A
VERUS SECURITIZATION TRUST 2018-2 3.83% 06/01/2058 144A
92535TAC1
130935.75880000
PA
USD
131398.05000000
0.001794102300
Long
ABS-CBDO
CORP
US
N
2
2058-06-01
Fixed
0.03830000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2018-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2018-3 A3 3.38% 07/18/2023
03066MAD8
3532000.00000000
PA
USD
3589070.06000000
0.049004980308
Long
ABS-CBDO
CORP
US
N
2
2023-07-18
Fixed
0.03380000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3% 04/26/2022
38141GWC4
1505000.00000000
PA
USD
1522381.31000000
0.020786517084
Long
DBT
CORP
US
N
2
2022-04-26
Fixed
0.03000000
N
N
N
N
N
N
DEEPHAVE RESIDENTIAL MORTGAGE TRUST 2019-2
N/A
DEEPHAVE RESIDENTIAL MORTGAGE TRUST 2019-2A M1 3.921% 04/25/2059 144A
24381PAD5
380000.00000000
PA
USD
388468.98000000
0.005304135722
Long
ABS-CBDO
CORP
US
N
2
2059-04-25
Fixed
0.03921000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 3.25% 06/12/2020
761713BE5
310000.00000000
PA
USD
311769.19000000
0.004256880685
Long
DBT
CORP
US
N
2
2020-06-12
Fixed
0.03250000
N
N
N
N
N
N
IBM CORPORATION
VGRQXHF3J8VDLUA7XE92
IBM CORPORATION 2.85% 05/13/2022
459200JX0
725000.00000000
PA
USD
738866.86000000
0.010088450579
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
0.02850000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC FRN 3ML+70 11/15/2021
21036PBA5
5000000.00000000
PA
USD
5000110.60000000
0.068271256174
Long
DBT
CORP
US
N
2
2021-11-15
Variable
0.02609880
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
TYSON FOODS INC 2.25% 8/23/21
902494BF9
600000.00000000
PA
USD
602521.84000000
0.008226802601
Long
DBT
CORP
US
N
2
2021-08-23
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 09/01/2024#AC1850
31417LBU8
80230.48290000
PA
USD
83405.21000000
0.001138810501
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
0.04500000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL QUE FRN 3ML+46 04/13/2021
06367T4X5
960000.00000000
PA
USD
963676.18000000
0.013157985616
Long
DBT
CORP
CA
N
2
2021-04-13
Variable
0.02460880
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.5% 03/01/2021
00912XAZ7
275000.00000000
PA
USD
276057.35000000
0.003769273035
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.02500000
N
N
N
N
N
N
WFRBS COML MTG TR 2012-C6
N/A
WFRBS 2012-C6 B 4.697 4/45
92936QAJ7
760000.00000000
PA
USD
794797.51000000
0.010852124833
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
0.04697000
N
N
N
N
N
N
SOFI CONSUMER LN PROGRAM 2019-4 TR
N/A
SOFI CONSUMER LN PROGRAM 2019-4 TR 2.45% 08/25/2028 144A
83405BAA0
3728430.51000000
PA
USD
3737152.43000000
0.051026889467
Long
ABS-CBDO
CORP
US
N
2
2028-08-25
Fixed
0.02450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/35 #735591
31402RF87
21497.25580000
PA
USD
23616.58000000
0.000322459583
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2019-INV2
N/A
VERUS SECURITIZATION TR 2019-INV2 A2 3.117% 07/25/2059 144A
92537HAB7
976068.11710000
PA
USD
982655.50000000
0.013417128287
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Fixed
0.03117000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 7% 4/15/20
25466AAB7
2025000.00000000
PA
USD
2060451.78000000
0.028133303952
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 06/38#G62031
31335CHG2
206670.08000000
PA
USD
239489.27000000
0.003269974328
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 8/37 #AE0188
31419AF69
35262.48680000
PA
USD
39626.77000000
0.000541061904
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH INDUSTRIAL CAPITAL LLC 4.375% 11/03/2020
12592BAE4
1725000.00000000
PA
USD
1758930.75000000
0.024016351123
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
0.04375000
N
N
N
N
N
N
AMERICA MOVIL SAB DE CV
5493000FNR3UCEAONM59
AMERICA MOVIL 5% 3/30/20
02364WAV7
448000.00000000
PA
USD
451360.00000000
0.006162846515
Long
DBT
CORP
MX
N
2
2020-03-30
Fixed
0.05000000
N
N
N
N
N
N
VERIZON OWNER TR 2017-1
N/A
VERIZON OWNER TR 2017-1 2.06% 09/20/2021 144A
92348NAA5
1518124.80000000
PA
USD
1517991.21000000
0.020726574881
Long
ABS-CBDO
CORP
US
N
2
2021-09-20
Fixed
0.02060000
N
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
DIAGEO CAPITAL PLC FRN 3ML+24 05/18/2020
25243YAW9
12795000.00000000
PA
USD
12804044.53000000
0.174825773690
Long
DBT
CORP
GB
N
2
2020-05-18
Variable
0.02144130
N
N
N
N
N
N
VALE OVERSEAS LTD
254900BA3U6G5DNV5V04
VALE OVERSEAS LTD 4.375% 1/22
91911TAM5
1520000.00000000
PA
USD
1584600.00000000
0.021636047917
Long
DBT
CORP
KY
N
2
2022-01-11
Fixed
0.04375000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC FRN 3ML+125 12/29/2021
571748BK7
4546000.00000000
PA
USD
4548639.86000000
0.062106897621
Long
DBT
CORP
US
N
2
2021-12-29
Variable
0.03304380
N
N
N
N
N
N
SLM STUDENT LN TR 2008
549300MTK92VF84VT259
SLMA 2008-9 A 3ML+150 4/23
78445JAA5
141668.58000000
PA
USD
142376.19000000
0.001943997266
Long
ABS-CBDO
CORP
US
N
2
2023-04-25
Variable
0.03439630
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.6% 11/21/2024 144A
00287YBQ1
2745000.00000000
PA
USD
2759518.11000000
0.037678320116
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
0.02600000
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH INDUSTRIAL CAPITAL LLC 3.875% 10/15/2021
12592BAG9
1325000.00000000
PA
USD
1357038.50000000
0.018528934754
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 12/39 #AE0392
31419ANJ2
43669.51240000
PA
USD
49242.54000000
0.000672355140
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.05500000
N
N
N
N
N
N
ASCENTIUM EQUIPMENT REC 2017-1 TR
N/A
ACER 2017-1A A3 2.29% 06/10/2021 144A
04365JAC3
163975.96000000
PA
USD
164107.09000000
0.002240709871
Long
ABS-CBDO
CORP
US
N
2
2021-06-10
Fixed
0.02290000
N
N
N
N
N
N
MOLSON COORS BREWING CO
54930073LBBH6ZCBE225
MOLSON COORS BRW CO 3.5% 5/22
60871RAC4
3209000.00000000
PA
USD
3293283.52000000
0.044966325914
Long
DBT
CORP
US
N
2
2022-05-01
Fixed
0.03500000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2018-A
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2018-A A1 2.53% 02/18/2042 144A
63940PAA3
298310.77000000
PA
USD
298560.96000000
0.004076536183
Long
ABS-CBDO
CORP
US
N
2
2042-02-18
Fixed
0.02530000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST 2018-2
N/A
DELL EQUIPMENT FINANCE TRUST 2018-2 3.16% 02/22/2021 144A
24704DAC4
2855669.16000000
PA
USD
2869064.25000000
0.039174057548
Long
ABS-CBDO
CORP
US
N
2
2021-02-22
Fixed
0.03160000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.25% 01/15/2023
00914AAD4
810000.00000000
PA
USD
806934.30000000
0.011017839947
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.02250000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-H7
N/A
MORGAN STANLEY CAP I TR 2019-H7 2.327% 07/15/2052
61771MAS9
1709862.51000000
PA
USD
1718098.75000000
0.023458833069
Long
ABS-MBS
CORP
US
N
2
2052-07-15
Fixed
0.02327000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BK CDA GLB MTN SR NTS BE FRN 3ML+ 04/30/2021
78013XKH0
10000000.00000000
PA
USD
10032912.80000000
0.136988881795
Long
DBT
CORP
CA
N
2
2021-04-30
Variable
0.02325500
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO NEW MTN SR NTS 2.55% 12/07/2020
94974BGR5
95000.00000000
PA
USD
95547.79000000
0.001304604671
Long
DBT
CORP
US
N
2
2020-12-07
Fixed
0.02550000
N
N
N
N
N
N
REGIONS BANK OF ALABAMA
EQTWLK1G7ODGC2MGLV11
REGIONS BANK OF ALABAMA FRN 3ML+38 4/1/21
759187CC9
14385000.00000000
PA
USD
14394917.02000000
0.196547465867
Long
DBT
CORP
US
N
2
2021-04-01
Variable
0.02478630
N
N
N
N
N
N
TOWD PT MTG TR 2018-2
N/A
TOWD PT MTG TR 2018-2 A1 3.25% 03/25/2058 144A
89175VAA1
1691061.98000000
PA
USD
1717487.19000000
0.023450482860
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
0.03250000
N
N
N
N
N
N
MMAF EQUIP FIN LLC 2019-B
N/A
MMAF EQUIP FIN LLC 2019-B 2.07% 10/12/2022 144A
55316EAB8
2712000.00000000
PA
USD
2713895.15000000
0.037055386538
Long
ABS-CBDO
CORP
US
N
2
2022-10-12
Fixed
0.02070000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINACIAL GRP INC FRN 03/09/2021
86562MAD2
3000000.00000000
PA
USD
3050493.63000000
0.041651285088
Long
DBT
CORP
JP
N
2
2021-03-09
Variable
0.03782130
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TR 2019-3
N/A
ALLY AUTO RECEIVABLES TR 2019-3 1.96% 12/16/2024
02007RAD1
600000.00000000
PA
USD
599862.54000000
0.008190492653
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
0.01960000
N
N
N
N
N
N
PNC BK N A PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
PNC BANK NA PITTSBURGH PA FRN 3ML+36 05/19/2020
69353RFD5
10000000.00000000
PA
USD
10013416.20000000
0.136722676209
Long
DBT
CORP
US
N
2
2020-05-19
Variable
0.02262630
N
N
N
N
N
N
GS MTG SECS TR 2015-GC32
54930066YOFVQE068N73
GS MTG SECS TR 2015-GC32 A1 1.593% 07/10/48
36250PAA3
12729.60680000
PA
USD
12720.77000000
0.000173688747
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
0.01593000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 08/01/2026#AL2852
3138EKE27
24975.30660000
PA
USD
26089.13000000
0.000356219655
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.04500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)MAR20 TYH0
N/A
-127.00000000
NC
USD
63319.66000000
0.000864563421
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREASURY 10 YR NOTEGENERIC IV FOR FUTURES TRADING
2020-03-20
-16491960.29
USD
63319.66
N
N
N
BAYVIEW OPPORTUNITY MASTER FD IVB TR 2017-SPL4
N/A
BAYVIEW OPPORTUNITY MASTER FUND IVB TRUST 2017-SPL4 A 3.5% 01/25/2055 144A
07331YAA8
368136.36900000
PA
USD
373966.21000000
0.005106115637
Long
ABS-CBDO
CORP
US
N
2
2055-01-28
Fixed
0.03500000
N
N
N
N
N
N
SAN DIEGO GAS and ELECTRIC CO
KNIRVXKVNJJ4P8OTMS63
SAN DIEGO GAS and ELECTRIC CO 1.914% 02/01/2022
797440BT0
171431.31500000
PA
USD
168557.73000000
0.002301478684
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.01914000
N
N
N
N
N
N
BUNGE LTD FIN CORP
549300QHC068L40NNM71
BUNGE LTD FIN CORP 4.35% 03/15/2024
120568BA7
130000.00000000
PA
USD
137068.68000000
0.001871528794
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.04350000
N
N
N
N
N
N
US BANK NA CINCINNATI OHIO
6BYL5QZYBDK8S7L73M02
US BANK NA CINCI OH MED TRM BE FRN 3ML+25 07/24/2020
90331HNW9
5000000.00000000
PA
USD
5005547.45000000
0.068345490648
Long
DBT
CORP
US
N
2
2020-07-24
Variable
0.02186000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PROD 5.2% 9/1/20
29379VAP8
4000000.00000000
PA
USD
4092577.56000000
0.055879846140
Long
DBT
CORP
US
N
2
2020-09-01
Fixed
0.05200000
N
N
N
N
N
N
GS MTG-BACKED SECS TR 2014-EB1
N/A
GS MTG-BACKED SECS TR 2014-EB1A 2A1 CSTR 07/25/2044 144A
36250BAE6
73007.71810000
PA
USD
72735.51000000
0.000993126959
Long
ABS-CBDO
CORP
US
N
2
2044-07-25
Variable
0.02452899
N
N
N
N
N
N
STACR TRUST 2018-DNA2
N/A
STACR TRUST 2018-DNA2 1ML+0 12/25/2030 144A
35563TAA9
1281683.14000000
PA
USD
1282794.10000000
0.017515205487
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Variable
0.02508000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA 2.25% 10/30/2020
17401QAN1
250000.00000000
PA
USD
250743.00000000
0.003423632186
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
0.02250000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 2.6% 11/19/2022
418056AW7
885000.00000000
PA
USD
887919.60000000
0.012123609120
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
0.02600000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2015-4
549300GZMOJI10UAGZ40
SANTANDER DRIVE AUTO REC TR 2015-4 3.53% 08/16/2021
80284MAG5
352259.28000000
PA
USD
352937.20000000
0.004818986602
Long
ABS-CBDO
CORP
US
N
2
2021-08-16
Fixed
0.03530000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-3 3.18% 07/18/2023
03065HAG3
1355000.00000000
PA
USD
1377844.22000000
0.018813014998
Long
ABS-CBDO
CORP
US
N
2
2023-07-18
Fixed
0.03180000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.0% 01/01/2041#AL1793
3138EH7F3
31366.20210000
PA
USD
36155.76000000
0.000493668910
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.06000000
N
N
N
N
N
N
METROPOLITAN LIFE GLBL FDG I
635400MMSOCXNNNZDZ82
MET LIFE GLOB FUNDING I FRN 3ML+40 06/12/2020 144A
59217GCF4
10000000.00000000
PA
USD
10017469.80000000
0.136778023858
Long
DBT
CORP
US
N
2
2020-06-12
Variable
0.02531630
N
N
N
N
N
N
DXC TECHNOLOGY CO
549300DOVZ3EDJB7O259
DXC TECHNOLOGY CO FRN 3ML+95 03/01/2021
23355LAE6
1431000.00000000
PA
USD
1431070.73000000
0.019539767062
Long
DBT
CORP
US
N
2
2021-03-01
Variable
0.03081750
N
N
N
N
N
N
HOMEWARD OPPORTUNITIES FUND I TRUST 2018-1
N/A
HOMEWARD OPPORTUNITIES FUND I TRUST 2018-1 3.766% 06/25/2048 144A
43789AAA2
641639.69310000
PA
USD
649841.71000000
0.008872905702
Long
ABS-CBDO
CORP
US
N
2
2048-06-25
Fixed
0.03766000
N
N
N
N
N
N
CSAIL 2019-C16 COML MTG TR
N/A
CSAIL 2019-C16 COML MTG TR 2.3595% 06/15/2052
12596WAA2
632347.98000000
PA
USD
636784.15000000
0.008694618441
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
0.02359500
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP FRN 3ML+59 08/14/2020
05526DAT2
6600000.00000000
PA
USD
6613519.51000000
0.090300659486
Long
DBT
CORP
US
N
2
2020-08-14
Variable
0.02499250
N
N
N
N
N
N
SLIDE 2018-FUN
N/A
SLIDE 2018-FUN 1ML+185 06/15/2031 144A
831350AL7
799161.09000000
PA
USD
800653.52000000
0.010932082496
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Variable
0.03615380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/35 #735580
31402RFV6
58570.40160000
PA
USD
64344.19000000
0.000878552302
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 12/20 #AD0305
31418MKT8
2601.42620000
PA
USD
2616.40000000
0.000035724192
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
0.05000000
N
N
N
N
N
N
FIRST NIAGARA FINL GRP INC NEW
N/A
FIRST NIAGARA F 7.25% 12/15/21
33582VAC2
515000.00000000
PA
USD
564908.84000000
0.007713236609
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
0.07250000
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 2.34% 09/15/2022
34528QFR0
1345000.00000000
PA
USD
1347138.55000000
0.018393761340
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Fixed
0.02340000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 01/01/2038#A71803
3128L5AC5
2898.76540000
PA
USD
3344.15000000
0.000045660854
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 2.2% 10/30/2020
025816BP3
3000000.00000000
PA
USD
3006323.49000000
0.041048188240
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
0.02200000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2016-1
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2016-1 2.89% 01/10/2022
03065VAF4
1166292.32000000
PA
USD
1167914.05000000
0.015946639119
Long
ABS-CBDO
CORP
US
N
2
2022-01-10
Fixed
0.02890000
N
N
N
N
N
N
GENERAL ELECTRIC CAPITAL CORP
P0H32NFVTA51I1N8SJ31
GENERAL ELEC CAP4.65% 10/17/21
36962G5J9
975000.00000000
PA
USD
1018820.66000000
0.013910925545
Long
DBT
CORP
US
N
2
2021-10-17
Fixed
0.04650000
N
N
N
N
N
N
GATX CORP
549300IHYHCQP2PIR591
GATX CORP 2.6% 03/30/2020
361448AV5
1445000.00000000
PA
USD
1446630.49000000
0.019752219235
Long
DBT
CORP
US
N
2
2020-03-30
Fixed
0.02600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 12ML+1.84 5/38#963117
31414DPA8
22079.65490000
PA
USD
23068.53000000
0.000314976536
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Variable
0.04785000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 1/24 #970997
31414NGE8
31151.22890000
PA
USD
32472.72000000
0.000443380869
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.05000000
N
N
N
N
N
N
SEQUOIA MTG TR 2018-CH4
N/A
SEQUOIA MTG TR 2018-CH4 A2 4% 10/25/2048 144A
81747LAB7
462411.93000000
PA
USD
482568.37000000
0.006588964014
Long
ABS-CBDO
CORP
US
N
2
2048-10-25
Fixed
0.04000000
N
N
N
N
N
N
CHINA SHENHUA OVERSEAS CAPITAL CO LTD
N/A
CHINA SHENHUA OVERSEAS CAP CO LTD 3.125% 01/20/2020 REGS
N/A
1740000.00000000
PA
USD
1740730.80000000
0.023767849930
Long
DBT
CORP
VG
N
2
2020-01-20
Fixed
0.03125000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2018-B
549300INMCHM7L5O6M41
SMB PRIVATE EDUCATION LOAN TRUST 2018-B 1ML+72 01/15/2037 144A
78449LAC2
1900000.00000000
PA
USD
1891199.20000000
0.025822337822
Long
ABS-CBDO
CORP
US
N
2
2037-01-15
Variable
0.02485380
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL A 1ML+85 10/15/2036 144A
056054AA7
5490000.00000000
PA
USD
5495150.17000000
0.075030501320
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.02685380
N
N
N
N
N
N
GALTON FDG MTG TR 2019-2
N/A
GALTON FDG MTG TR 2019-2 A42 3.5% 06/25/2059 144A
36418AAW7
1349427.76000000
PA
USD
1349989.66000000
0.018432690251
Long
ABS-CBDO
CORP
US
N
2
2059-06-25
Fixed
0.03500000
N
N
N
N
N
N
PENSKE TRUCK LEASING CO L P / PTL FIN CORP
N/A
PENSKE TRUCK LEASING CO LP /CORP 3.2% 07/15/2020 144A
709599AU8
1710000.00000000
PA
USD
1718743.16000000
0.023467631811
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
0.03200000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.625% 10/30/2020
00772BAQ4
635000.00000000
PA
USD
649088.12000000
0.008862616223
Long
DBT
CORP
IE
N
2
2020-10-30
Fixed
0.04625000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2017-SPL5
N/A
BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2017-SPL5 A 3.5% 06/28/2057 144A
07331UAA6
1045729.03900000
PA
USD
1063240.19000000
0.014517427551
Long
ABS-CBDO
CORP
US
N
2
2057-06-28
Fixed
0.03500000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 3.875% 03/15/2024
571748BF8
725000.00000000
PA
USD
770782.18000000
0.010524220737
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.03875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.93% 12/36 #1G1353
3128QJQE9
6340.85200000
PA
USD
6634.82000000
0.000090591495
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
0.04914000
N
N
N
N
N
N
HARLEY DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SVCS INC FRN 3ML+94 03/02/2021 144A
41283LAT2
995000.00000000
PA
USD
1000969.52000000
0.013667186986
Long
DBT
CORP
US
N
2
2021-03-02
Variable
0.03077630
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC FRN 3ML+65 08/07/2020
06744CFV8
15000000.00000000
PA
USD
15030441.15000000
0.205224880060
Long
DBT
CORP
GB
N
2
2020-08-07
Variable
0.02543500
N
N
N
N
N
N
GE CAPITAL INTL FUNDING CO
549300G6UZOB126GBY72
GE CAP INTL FDG CO 2.342% 11/15/2020
36164QMS4
14564000.00000000
PA
USD
14548758.77000000
0.198648013308
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
0.02342000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT MAR20 FVH0
N/A
-73.00000000
NC
USD
3473.27000000
0.000047423852
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING
2020-03-31
-8688192.02
USD
3473.27
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+143 05/15/2036 144A
12653VAE6
1015000.00000000
PA
USD
1016271.90000000
0.013876124905
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.03195380
N
N
N
N
N
N
DAIMLER FIN NORTH AMER LLC
549300423Z16BB673J12
DAIMLER FIN NORTH AMER LLC 2.2% 05/05/2020 144A
233851CY8
1420000.00000000
PA
USD
1420692.56000000
0.019398064056
Long
DBT
CORP
US
N
2
2020-05-05
Fixed
0.02200000
N
N
N
N
N
N
PNC BK N A PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
PNC BANK NA PITTSBURGH PA 2.15% 04/29/2021
69353REW4
3042000.00000000
PA
USD
3051218.17000000
0.041661177920
Long
DBT
CORP
US
N
2
2021-04-29
Fixed
0.02150000
N
N
N
N
N
N
CONNECTICUT AVE SECS TR 2019-R04
N/A
CONNECTICUT AVE SECS TR 2019-R04 2M1 1ML+75 06/25/2039 144A
20753TAA1
600678.61000000
PA
USD
601160.65000000
0.008208216981
Long
ABS-CBDO
CORP
US
N
2
2039-06-25
Variable
0.02458000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD D 3.17709% 11/10/2036 144A
61771LAJ1
1150000.00000000
PA
USD
1132958.15000000
0.015469353036
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03177090
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.0% 01/01/2022#907670
31411GMT6
4425.07190000
PA
USD
4554.62000000
0.000062188550
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
0.06000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2018-5
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2018-5 3.52% 12/15/2022
80286AAE4
790000.00000000
PA
USD
795237.38000000
0.010858130796
Long
ABS-CBDO
CORP
US
N
2
2022-12-15
Fixed
0.03520000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORP
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE CORP 2.15% 09/28/2020 144A
654740BB4
1535000.00000000
PA
USD
1535422.49000000
0.020964580693
Long
DBT
CORP
US
N
2
2020-09-28
Fixed
0.02150000
N
N
N
N
N
N
VERIZON OWNER TRUST 2017-3
5493002I20BBOB4UPY82
VERIZON OWNER TRUST 2017-3A C 2.53% 04/20/2022 144A
92348RAD0
700000.00000000
PA
USD
701667.05000000
0.009580526262
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.02530000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 2.75% 05/19/22
61744YAH1
1095000.00000000
PA
USD
1110335.62000000
0.015160466161
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
0.02750000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST 2019-C
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2019-C 1.89% 09/20/2022 144A
80284NAB4
5000000.00000000
PA
USD
4992028.50000000
0.068160903591
Long
ABS-CBDO
CORP
US
N
2
2022-09-20
Fixed
0.01890000
N
N
N
N
N
N
ARI FLEET LEASE TR 2017-A
N/A
ARIFL 17-A A2 1.91% 04/26
00192MAB5
54156.47930000
PA
USD
54096.91000000
0.000738636461
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
0.01910000
N
N
N
N
N
N
GALTON FDG MTG TR 2019-H1
N/A
GALTON FUNDING MORTGAGE TRUST 2019-H1 3.455% 10/25/2059 144A
36418XAD9
600000.00000000
PA
USD
600006.60000000
0.008192459641
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Fixed
0.03339000
N
N
N
N
N
N
NAVIENT PRIVATE ED REFI LN TR 2019-C
N/A
NAVIENT PRIVATE ED REFI LN TR 2019-C 2.82% 02/15/2068
63940YAA4
1124762.56000000
PA
USD
1128903.26000000
0.015413987774
Long
ABS-CBDO
CORP
US
N
2
2068-02-15
Fixed
0.02820000
N
N
N
N
N
N
BROADCOM CORP / BROADCOM CAYMAN FIN LTD
N/A
BROADCOM CORP / BROADCOM CAYMAN FIN LTD 3% 01/15/2022
11134LAD1
1815000.00000000
PA
USD
1835648.40000000
0.025063850020
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
0.03000000
N
N
N
N
N
N
NEW ORLEANS HOTEL TR 2019-HNLA
N/A
NEW ORLEANS HOTEL TR 2019-HNLA 1ML+128.871 04/15/2032 144A
647622AC3
1585000.00000000
PA
USD
1581044.79000000
0.021587505260
Long
ABS-MBS
CORP
US
N
2
2032-04-15
Variable
0.03054090
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.55% 10/36 #1G2603
3128QS3L8
26226.20280000
PA
USD
27406.32000000
0.000374204501
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
0.04518000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2048#BK7616
3140HMPA6
540276.68000000
PA
USD
577383.75000000
0.007883568396
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.92% 12/36 #905196
31411DUV9
6748.60340000
PA
USD
7067.43000000
0.000096498330
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
0.04809000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP INC
353800CI5L6DDAN5XZ33
MIZUHO FINL GROUP INC FRN 3ML+1.14 09/13/2021
60687YAF6
17000000.00000000
PA
USD
17205143.59000000
0.234918156721
Long
DBT
CORP
JP
N
2
2021-09-13
Variable
0.03267250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 12/01/2032#995629
31416CA63
51568.24040000
PA
USD
58847.83000000
0.000803505281
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06500000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO FRN 3ML+87.5 12/29/2020
075887CF4
8326000.00000000
PA
USD
8331162.12000000
0.113753264443
Long
DBT
CORP
US
N
2
2020-12-29
Variable
0.02979380
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAPITAL LLC FRN 3ML+50 08/13/2021 144A
05565EBD6
830000.00000000
PA
USD
832088.89000000
0.011361299441
Long
DBT
CORP
US
N
2
2021-08-13
Variable
0.02400630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 5/22 #896883
31410TM85
2208.71440000
PA
USD
2279.28000000
0.000031121173
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
0.05500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 2.764% 08/15/2022
05526DAV7
3525000.00000000
PA
USD
3563426.62000000
0.048654846081
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.02764000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/15/2022
9128286C9
17605000.00000000
PA
USD
17935781.40000000
0.244894248270
Long
DBT
UST
US
N
2
2022-02-15
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.50% 10/38 #G05979
3128M76Q4
3853.43490000
PA
USD
4348.97000000
0.000059380615
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
0.05500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.35% 08/02/2021
172967KV2
5000000.00000000
PA
USD
5022262.30000000
0.068573714361
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
0.02350000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH INC 3.5% 11/15/2024
14149YBA5
1180000.00000000
PA
USD
1229061.92000000
0.016781549031
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.03500000
N
N
N
N
N
N
PENSKE TRUCK LEASING CO L P / PTL FIN CORP
N/A
PENSKE TRUCK LEASING CO LP /CORP 3.65% 07/29/2021 144A
709599BD5
385000.00000000
PA
USD
393591.19000000
0.005374074117
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
0.03650000
N
N
N
N
N
N
NAVISTAR FINL DEALER NT MASTER OWNER TR II
N/A
NAVISTAR FINL DEALER NT MASTER OWNER TR II 2018-1 A 1ML+63 09/25/2023 144A
63938PBD0
4181000.00000000
PA
USD
4185877.97000000
0.057153765200
Long
ABS-CBDO
CORP
US
N
2
2023-09-25
Variable
0.02338000
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC 2019-1A 1A1 3ML+77 12/22/2069 144A
513770BB2
1293933.38000000
PA
USD
1295914.39000000
0.017694349261
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02687250
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.7% 03/30/2021
172967KK6
880000.00000000
PA
USD
887440.03000000
0.012117061096
Long
DBT
CORP
US
N
2
2021-03-30
Fixed
0.02700000
N
N
N
N
N
N
ISHARES TRUST
549300G3FWQPUM47D181
iShares Short Treasury Bond ETF
464288679
4706290.00000000
NS
USD
520562736.90000000
7.107737170050
Long
EC
RF
US
N
1
N
N
SANTANDER RETAIL AUTO LEASE TRUST 2019-A
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2019-A 2.72% 01/20/2022 144A
80285JAC0
2925667.67000000
PA
USD
2942385.81000000
0.040175186404
Long
ABS-CBDO
CORP
US
N
2
2022-01-20
Fixed
0.02720000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NATL MTG AS GTD RE PTT 2017-90 KA 3% 11/25/2047
3136AYQK2
950880.38690000
PA
USD
979318.56000000
0.013371565878
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.03000000
N
N
N
N
N
N
WFRBS COML MTG TR 2013-C14
549300GADFYEKC4OLM57
WFRBS COML MTG TR 2013-C14 A3FL 1ML+72 06/15/2046 144A
92890PBS2
3296637.37160000
PA
USD
3299044.25000000
0.045044982629
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.02482500
N
N
N
N
N
N
DAIMLER FIN NORTH AMER LLC
549300423Z16BB673J12
DAIMLER FIN NORTH AMER LLC 3.75% 11/05/2021 144A
233851DN1
325000.00000000
PA
USD
334510.57000000
0.004567390332
Long
DBT
CORP
US
N
2
2021-11-05
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 4/35 #735502
31402RDF3
25433.95080000
PA
USD
29098.44000000
0.000397308621
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.06000000
N
N
N
N
N
N
DELTA AIRLINES INC
Q2CCMS6R0AS67HJMBN42
DELTA AIRLINES INC 2.875% 03/13/2020
247361ZK7
1955000.00000000
PA
USD
1958979.09000000
0.026747800997
Long
DBT
CORP
US
N
2
2020-03-13
Fixed
0.02875000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK AS (UNGTD) 2.2% 03/02/2020 144A
23636AAK7
1545000.00000000
PA
USD
1544885.86000000
0.021093793067
Long
DBT
CORP
DK
N
2
2020-03-02
Fixed
0.02200000
N
N
N
N
N
N
VERIZON OWNER TR 2018-A
N/A
VERIZON OWNER TRUST 2018-A A1A 3.23% 04/20/2023
92348XAA3
5132000.00000000
PA
USD
5221009.41000000
0.071287397307
Long
ABS-CBDO
CORP
US
N
2
2023-04-20
Fixed
0.03230000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2018-4
N/A
CARMAX AUTO OWNER TR 2018-4 1ML+20 02/15/2022
14315EAH3
3000126.40000000
PA
USD
3000126.70000000
0.040963577584
Long
ABS-CBDO
CORP
US
N
2
2022-02-15
Variable
0.01965380
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+110 03/15/2036 144A
74952PAA5
1506583.13000000
PA
USD
1507518.27000000
0.020583577891
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02915380
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3.1% 01/15/2023
92277GAK3
180000.00000000
PA
USD
184446.46000000
0.002518422596
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03100000
N
N
N
N
N
N
VERIZON OWNER TR 2018-1
N/A
VERIZON OWNER TRUST 2018-1 3.2% 09/20/2022 144A
92349FAD5
970000.00000000
PA
USD
983794.66000000
0.013432682320
Long
ABS-CBDO
CORP
US
N
2
2022-09-20
Fixed
0.03200000
N
N
N
N
N
N
NBCUNIVERSAL ENTERPRISE INC
N/A
NBCUNIVERSAL ENTERPRISE INC FRN 3ML+40 04/01/2021 144A
63946CAG3
23029000.00000000
PA
USD
23110247.00000000
0.315546138759
Long
DBT
CORP
US
N
2
2021-04-01
Variable
0.02498630
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 2.875% 02/25/2021
38143U8F1
375000.00000000
PA
USD
378537.05000000
0.005168525654
Long
DBT
CORP
US
N
2
2021-02-25
Fixed
0.02875000
N
N
N
N
N
N
HARLEY DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SVCS INC 2.55% 06/09/2022 144A
41283LAQ8
375000.00000000
PA
USD
375295.31000000
0.005124263101
Long
DBT
CORP
US
N
2
2022-06-09
Fixed
0.02550000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PART 4% 7/01/22
958254AB0
1800000.00000000
PA
USD
1828400.47000000
0.024964887152
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.04000000
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP FRN 3ML+25 08/26/2020
14913Q2U2
5000000.00000000
PA
USD
5006007.35000000
0.068351770099
Long
DBT
CORP
US
N
2
2020-08-26
Variable
0.02167250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2048#BH9277
3140GYJX8
294956.60000000
PA
USD
305260.94000000
0.004168017370
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
INTERNATIONAL FLAVS and FRAG INC
BZLRL03D3GPGMOGFO832
INTERNATIONAL FLAVS and FRAG INC 3.4% 09/25/2020
459506AJ0
6415000.00000000
PA
USD
6483592.71000000
0.088526645558
Long
DBT
CORP
US
N
2
2020-09-25
Fixed
0.03400000
N
N
N
N
N
N
REGIONS BANK OF ALABAMA
EQTWLK1G7ODGC2MGLV11
REGIONS BANK OF ALABAMA FRN 3ML+50 08/13/2021
759187CE5
8350000.00000000
PA
USD
8351445.39000000
0.114030211181
Long
DBT
CORP
US
N
2
2021-08-13
Variable
0.02404630
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS 5.625% 2/1/21
785592AE6
3040000.00000000
PA
USD
3127629.58000000
0.042704495431
Long
DBT
CORP
US
N
2
2021-02-01
Variable
0.05625000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP 2.25% 09/01/2021
22822VAD3
1195000.00000000
PA
USD
1196596.39000000
0.016338266333
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 02/01/2049#FM1095
3140X4GD2
1558064.90000000
PA
USD
1793367.91000000
0.024486554357
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.06000000
N
N
N
N
N
N
VERIZON OWNER TR 2018-A
N/A
VERIZON OWNER TR 2018-A A1B 1ML+24 04/23
92348XAB1
4000000.00000000
PA
USD
3998026.80000000
0.054588854865
Long
ABS-CBDO
CORP
US
N
2
2023-04-20
Variable
0.01963630
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2015-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2015-3 3.34% 08/08/2021
03065NAG0
680000.00000000
PA
USD
681368.91000000
0.009303376490
Long
ABS-CBDO
CORP
US
N
2
2021-08-08
Fixed
0.03340000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/39#AL7319
3138EQDZ2
217442.84850000
PA
USD
238755.05000000
0.003259949326
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 08/01/2037#889633
31410KLN2
81128.33840000
PA
USD
91309.05000000
0.001246729131
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
N
N
N
N
N
N
COLT 2018-2 MTG LN TR
N/A
COLT 2018-2 MTG LN TR A1 3.47% 07/27/2048 144A
19687VAA9
718165.81510000
PA
USD
718479.37000000
0.009810080826
Long
ABS-CBDO
CORP
US
N
2
2048-07-27
Fixed
0.03470000
N
N
N
N
N
N
GOLUB CAPITAL PARTNERS CLO 39B LTD / GOLUB CAP PARTNERS CLO 39B LLC
N/A
GOLUB CAPITAL PARTNERS CLO 39B LTD / GOLUB CAP PARTNERS CLO 39B LLC 3ML+115 10/20/2028 144A
38176LAA9
930000.00000000
PA
USD
929583.36000000
0.012692483983
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Variable
0.03115880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/34 #725229
31402CVW9
154948.94160000
PA
USD
175939.84000000
0.002402273639
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
0.06000000
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
BORAL FINANCE PTY LTD 3% 11/01/2022 144A
09952AAA4
135000.00000000
PA
USD
135607.72000000
0.001851580921
Long
DBT
CORP
AU
N
2
2022-11-01
Fixed
0.03000000
N
N
N
N
N
N
SIERRA TIMESHARE 2019-1 RECEIVABLES FDG LLC
N/A
SIERRA TIMESHARE 2019-1 RECEIVABLES FDG LLC 3.2% 01/20/2036 144A
82653EAA5
387656.80000000
PA
USD
392341.13000000
0.005357005861
Long
ABS-CBDO
CORP
US
N
2
2036-01-20
Fixed
0.03200000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.95% 02/01/2022
00772BAR2
1070000.00000000
PA
USD
1105939.22000000
0.015100437938
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
0.03950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 12/34 #003651
36202EBU2
26838.57660000
PA
USD
29251.27000000
0.000399395354
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
0.05000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
CREDIT AGRICOLE SA FRN 3ML+97 06/10/2020 144A
225313AH8
13280000.00000000
PA
USD
13337316.48000000
0.182107041810
Long
DBT
CORP
FR
N
2
2020-06-10
Variable
0.03104130
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.9% 12/08/2021
172967LC3
1495000.00000000
PA
USD
1517471.94000000
0.020719484795
Long
DBT
CORP
US
N
2
2021-12-08
Fixed
0.02900000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 3.448% 03/15/2048 144A
78403DAM2
880000.00000000
PA
USD
905453.38000000
0.012363014462
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
0.03448000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2047#AL9717
3138ERYP9
680075.73000000
PA
USD
715646.41000000
0.009771399734
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE 3.5% 6/23 WI
14040HBD6
555000.00000000
PA
USD
576161.35000000
0.007866877809
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03500000
N
N
N
N
N
N
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2014-1
N/A
SYNCT 2015-4 B 2.62% 09/23
87165LBN0
435000.00000000
PA
USD
435729.19000000
0.005949424229
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.02620000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT MAR20 TUH0
N/A
937.00000000
NC
USD
-169172.90000000
-0.00230987818
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING
2020-03-31
202173196.34
USD
-169172.9
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3% 07/15/2023 144A
125523BU3
715000.00000000
PA
USD
726824.47000000
0.009924024397
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.03000000
N
N
N
N
N
N
PIMCO FDS PAC INVT MGMT SER
549300F3V4IM7FBY9U59
PIMCO Short-Term Admin
693390734
156833117.57500000
NS
USD
1533827889.88000000
20.94280810471
Long
EC
RF
US
N
1
N
N
N
MERCEDES-BENZ AUTO LEASE TR 2019-A
N/A
MERCEDES-BENZ AUTO LEASE TRUST 2019-A A2 3.01% 02/16/2021
58772TAB6
3945919.36000000
PA
USD
3956638.45000000
0.054023740437
Long
ABS-CBDO
CORP
US
N
2
2021-02-16
Fixed
0.03010000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.9% 11/06/2022
00287YAL3
1740000.00000000
PA
USD
1772133.95000000
0.024196626945
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
0.02900000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3% 06/15/2022
87166FAA1
7395000.00000000
PA
USD
7497366.69000000
0.102368663991
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TR 2018-1
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2018-1 2.96% 03/15/2024
80285TAF1
250000.00000000
PA
USD
251506.05000000
0.003434050832
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
0.02960000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+90 09/09/2021
55336VBG4
275000.00000000
PA
USD
275932.62000000
0.003767569978
Long
DBT
CORP
US
N
2
2021-09-09
Variable
0.03002130
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC/CROWN CASTLE SOUTH LLC/CROWN COMMUNICATIONS INC ETC
N/A
CROWN C TWRS LLC/S LLC/COM INC 3.72% 07/15/2043 144A
22822RBF6
370000.00000000
PA
USD
382678.01000000
0.005225066112
Long
DBT
CORP
US
N
2
2043-07-15
Fixed
0.03720000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC FRN 3ML+95 06/01/2021 144A
05369AAG6
4307000.00000000
PA
USD
4319874.79000000
0.058983350974
Long
DBT
CORP
US
N
2
2021-06-01
Variable
0.03081750
N
N
N
N
N
N
GALTON FDG MTG TR 2018-1
N/A
GALTON FUNDING MORTGAGE TRUST 2017-1 3.5% 11/25/2057 144A
36417JAS8
544698.30480000
PA
USD
548529.55000000
0.007489594615
Long
ABS-CBDO
CORP
US
N
2
2057-11-25
Fixed
0.03500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS FRN 3ML+ 08/07/2021 144A
05581KAE1
5000000.00000000
PA
USD
5009257.40000000
0.068396146117
Long
DBT
CORP
FR
N
2
2021-08-07
Variable
0.02283500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 9/35 #G01899
3128LXDC1
29577.17400000
PA
USD
33817.83000000
0.000461746933
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.06000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BK AS MTN 3.001%/VAR 09/20/2022 144A
23636AAU5
1475000.00000000
PA
USD
1485221.12000000
0.020279133737
Long
DBT
CORP
DK
N
2
2022-09-20
Variable
0.03001000
N
N
N
N
N
N
SLM STUDENT LN TR
GX18J72G8XB30P3MQA62
SLM STUDENT LN TR 2003-11 A6 3ML+55 12/25
78442GJS6
1813388.85900000
PA
USD
1811712.38000000
0.024737028818
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Variable
0.02668500
N
N
N
N
N
N
FIDELITY COLCHESTER STREET TRUST
549300SHPEJB1OPRCV46
FIMM MM Government Portfolio - Instl Cl
31607A703
3040584.08000000
NS
USD
3040584.08000000
0.041515980595
Long
EC
RF
US
N
1
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 3.579% 07/23/2020
161175AX2
5662000.00000000
PA
USD
5702706.50000000
0.077864464908
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
0.03579000
N
N
N
N
N
N
STACR TRUST 2018-HRP2
N/A
STACR TRUST 2018-HRP2 M1 1ML+85 02/25/2047 144A
35564AAA9
88471.14000000
PA
USD
88471.06000000
0.001207979359
Long
ABS-CBDO
CORP
US
N
2
2047-02-25
Variable
0.02558000
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 2017-2 A2 1ML+62 09/15/2022
34528QFQ2
10000000.00000000
PA
USD
10005949.00000000
0.136620719439
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Variable
0.02115380
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C24
N/A
MSBAM 2015-C24 A1 1.706% 08/15/2047
61765LAQ3
133714.45400000
PA
USD
133385.86000000
0.001821243757
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
0.01706000
N
N
N
N
N
N
SANTANDER HLDGS USA INC
549300SMVCQN2P0O6I58
SANTANDER HLDGS USA INC 4.45% 12/03/2021
80282KAU0
7000000.00000000
PA
USD
7266321.86000000
0.099213989617
Long
DBT
CORP
US
N
2
2021-12-03
Fixed
0.04450000
N
N
N
N
N
N
WELLS FARGO BK NA SAN FRANCISC O CALIF MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
WELLS FARGO BK NATL ASSN FRN SOFR+48 03/25/2020
94988J5S2
5000000.00000000
PA
USD
5002599.40000000
0.068305238123
Long
DBT
CORP
US
N
2
2020-03-25
Variable
0.02030000
N
N
N
N
N
N
INTOWN HOTEL PORTFOLIO TR 2018-STAY
N/A
INTOWN HOTEL PORTFOLIO TR 2018-STAY A 1ML+70 01/15/2033 144A
46117MAA2
245000.00000000
PA
USD
244506.59000000
0.003338480561
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Variable
0.02465380
N
N
N
N
N
N
BANQUE FED CRED MUTUEL PARIS
VBHFXSYT7OG62HNT8T76
BANQUE FED DU CR MUT MTN SR BE 144A 2.5% 04/13/2021 144A
06675FAH0
5000000.00000000
PA
USD
5033550.85000000
0.068727847649
Long
DBT
CORP
FR
N
2
2021-04-13
Fixed
0.02500000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL PARIS
VBHFXSYT7OG62HNT8T76
BANQUE FED CRED MUTUEL PARIS 3ML+49 07/20/2020 144A
06675FAL1
15000000.00000000
PA
USD
15032784.30000000
0.205256873311
Long
DBT
CORP
FR
N
2
2020-07-20
Variable
0.02455880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/38 #889579
31410KJY1
6917.26800000
PA
USD
7970.36000000
0.000108826890
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.06000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTL NV 4.25% 09/14/2023
29278GAH1
780000.00000000
PA
USD
825180.54000000
0.011266973181
Long
DBT
CORP
NL
N
2
2023-09-14
Fixed
0.04250000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC 3.912% 08/27/2021
28414HAF0
1170000.00000000
PA
USD
1199755.21000000
0.016381396701
Long
DBT
CORP
US
N
2
2021-08-27
Fixed
0.03912000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO 3.5% 3/8/22
94974BFC9
550000.00000000
PA
USD
567021.99000000
0.007742089452
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
0.03500000
N
N
N
N
N
N
DT AUTO OWNER TR 2019-4
N/A
DT AUTO OWNER TR 2019-4 2.17% 05/15/2023 144A
23343JAA4
3914182.91000000
PA
USD
3916061.72000000
0.053469707826
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Fixed
0.02170000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 3.2% 07/13/2020
37045XAY2
1570000.00000000
PA
USD
1578220.00000000
0.021548935721
Long
DBT
CORP
US
N
2
2020-07-13
Fixed
0.03200000
N
N
N
N
N
N
PENSKE TRUCK LEASING CO L P / PTL FIN CORP
N/A
PENSKE TRUCK LEASING CO LP /CORP 3.3% 04/01/2021 144A
709599AV6
1160000.00000000
PA
USD
1174909.86000000
0.016042159554
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.03300000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2019-A
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2019-A 2.92% 07/15/2021 144A
448969AB1
6088885.04000000
PA
USD
6118217.63000000
0.083537832773
Long
ABS-CBDO
CORP
US
N
2
2021-07-15
Fixed
0.02920000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEAL INC 3.2% 3/23
14149YAY4
875000.00000000
PA
USD
897003.84000000
0.012247644872
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.03200000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 05/20/2049#MA5932
36179USV5
2951927.34000000
PA
USD
3084237.45000000
0.042112021492
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04500000
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP 2.95% 02/26/2022
14913Q2T5
1040000.00000000
PA
USD
1063023.66000000
0.014514471062
Long
DBT
CORP
US
N
2
2022-02-26
Fixed
0.02950000
N
N
N
N
N
N
ASCENTIUM EQUIP RECEIVABLES 2018-1 TR
N/A
ASCENTIUM EQUIP RECEIVABLES 2018-1A A2 2.92% 12/10/2020 144A
04365AAB4
99839.14000000
PA
USD
99961.90000000
0.001364874705
Long
ABS-CBDO
CORP
US
N
2
2020-12-10
Fixed
0.02920000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 2.625% 08/15/2024
126650DE7
335000.00000000
PA
USD
337693.99000000
0.004610856587
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02625000
N
N
N
N
N
N
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2015 LC23
N/A
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 3.221% 10/10/53
12636FBF9
1400000.00000000
PA
USD
1408149.82000000
0.019226806121
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
0.03221000
N
N
N
N
N
N
XEROX CORP
4KF48RN45X1OO8UBLY20
XEROX CORP 5.625% 12/15/19
984121CA9
1125000.00000000
PA
USD
1123593.75000000
0.015341491994
Long
DBT
CORP
US
N
2
2019-12-15
Fixed
0.05625000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2018-2
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2018-2 C 3.35% 07/17/2023
80285FAF1
400000.00000000
PA
USD
403952.28000000
0.005515543914
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
0.03350000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 05/01/2048#MA5194
36179TXX8
112019.07000000
PA
USD
119024.45000000
0.001625153795
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.05000000
N
N
N
N
N
N
MVW OWNER TR 2014-1
N/A
MVWOT 2014-1A A 2.25% 9/31
553891AA0
111656.71820000
PA
USD
111546.39000000
0.001523048743
Long
ABS-CBDO
CORP
US
N
2
2031-09-22
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/37 #888608
31410GGR8
12201.94380000
PA
USD
14062.40000000
0.000192007295
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.06000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2018-1
5493003R0K8V08JVGR27
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2018-1 3.82% 03/18/2024
03066HAG2
1645000.00000000
PA
USD
1707982.77000000
0.023320709992
Long
ABS-CBDO
CORP
US
N
2
2024-03-18
Fixed
0.03820000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 4.75% 11/01/2024
25278XAE9
1790000.00000000
PA
USD
1855156.00000000
0.025330205799
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04750000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL PARIS
VBHFXSYT7OG62HNT8T76
BANQUE FED DU CR MUT MTN SR BE 144A 2.2% 07/20/2020 144A
06675FAK3
940000.00000000
PA
USD
941484.80000000
0.012854985640
Long
DBT
CORP
FR
N
2
2020-07-20
Fixed
0.02200000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY FRN SOFR+83 06/10/2022
6174468H5
5000000.00000000
PA
USD
5012990.10000000
0.068447112213
Long
DBT
CORP
US
N
2
2022-06-10
Variable
0.02647040
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 1ML+ 09/15/2034 144A
78449KAC4
1142308.51000000
PA
USD
1147798.67000000
0.015671984743
Long
ABS-CBDO
CORP
US
N
2
2034-09-15
Variable
0.02865380
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2019-2
N/A
CARMAX AUTO OWNER TRUST 2019-2 2.69% 07/15/2022
14316LAB9
3000000.00000000
PA
USD
3011997.60000000
0.041125662249
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
0.02690000
N
N
N
N
N
N
MVW OWNER TR 2013-1
N/A
MVW OWNER TRUST 2.15% 04/22/2030 144A
553893AA6
30369.87530000
PA
USD
30354.78000000
0.000414462624
Long
ABS-CBDO
CORP
US
N
2
2030-04-22
Fixed
0.02150000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MTG TR 2017-3
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2017-3 VAR 10/25/2047 144A
24381FAA3
340474.61440000
PA
USD
339743.96000000
0.004638846774
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
0.02577000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 2.877% 07/15/2046 144A
78403DAK6
370000.00000000
PA
USD
371196.32000000
0.005068295700
Long
ABS-CBDO
CORP
US
N
2
2046-07-15
Fixed
0.02877000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC 2.65% 01/11/2021
06739FJJ1
905000.00000000
PA
USD
910325.54000000
0.012429538687
Long
DBT
CORP
GB
N
2
2021-01-11
Fixed
0.02650000
N
N
N
N
N
N
NORDEA BK AG MEDIUM TERM JR SUB NTS BOOK ENTRY 144A
N/A
NORDEA BK 4.875% 5/13/21 144A
65557FAA4
710000.00000000
PA
USD
735582.70000000
0.010043608825
Long
DBT
CORP
SE
N
2
2021-05-13
Fixed
0.04875000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE 2018-3A
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE 2018-3A A3 3.963% 08/25/2058 144A
24381KAC8
62772.26000000
PA
USD
63134.27000000
0.000862032115
Long
ABS-CBDO
CORP
US
N
2
2058-08-25
Fixed
0.03963000
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 3.7% 03/20/2023 144A
05377RDH4
245000.00000000
PA
USD
250300.70000000
0.003417593044
Long
ABS-CBDO
CORP
US
N
2
2023-03-20
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 12/23 #970859
31414NB45
10068.72480000
PA
USD
10487.69000000
0.000143198386
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.05000000
N
N
N
N
N
N
BANK OF THE WEST AUTO TRUST 2019-1
549300VWQMQWM78WF314
BANK OF THE WEST AUTO TRUST 2019-1 2.4% 10/17/2022 144A
065606AB1
1361000.00000000
PA
USD
1363846.26000000
0.018621887563
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
0.02400000
N
N
N
N
N
N
ENTERPRISE FLEET FING LLC
RKWYUSIDZTWNAX1D9U96
ENTERPRISE FLEET FING LLC 2017-1 A2 2.13% 07/20/2022 144A
29372EBV9
44964.81130000
PA
USD
44969.35000000
0.000614009220
Long
ABS-CBDO
CORP
US
N
2
2022-07-20
Fixed
0.02130000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
SHIRE ACQ INV IRELAND DA 2.4% 09/23/2021
82481LAB5
1000000.00000000
PA
USD
1004519.31000000
0.013715655638
Long
DBT
CORP
IE
N
2
2021-09-23
Fixed
0.02400000
N
N
N
N
N
N
SMB PRIVATE ED LN TR 2014-A
549300XC4C7GRVLU6076
SMB PRIVATE ED LN TR 2014-A 1ML+ 04/15/2032 144A
784456AD7
1400000.00000000
PA
USD
1412348.84000000
0.019284139327
Long
ABS-CBDO
CORP
US
N
2
2032-04-15
Variable
0.03265380
N
N
N
N
N
N
HYUNDAI CAP AMER
549300RIPPWJB5Z0FK07
HYUNDAI CAP AMER MTN BE 3% 06/20/2022 144A
44891ABA4
1060000.00000000
PA
USD
1069944.78000000
0.014608971683
Long
DBT
CORP
US
N
2
2022-06-20
Fixed
0.03000000
N
N
N
N
N
N
ARCELORMITTAL SA LUXEMBOURG
2EULGUTUI56JI9SAL165
ARCELORMITTAL VAR 3/11/21
03938LAU8
1698000.00000000
PA
USD
1762408.49000000
0.024063836009
Long
DBT
CORP
LU
N
2
2021-03-01
Variable
0.05500000
N
N
N
N
N
N
DR HORTON INC
529900ZIUEYVSB8QDD25
DR HORTON INC 2.55% 12/01/20
23331ABL2
495000.00000000
PA
USD
496500.55000000
0.006779193292
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
0.02550000
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
CONAGRA BRANDS INC FRN 3ML+75 10/22/2020
205887BX9
5641000.00000000
PA
USD
5641585.93000000
0.077029927749
Long
DBT
CORP
US
N
2
2020-10-22
Variable
0.02703250
N
N
N
N
N
N
SOUTHERN COMPANY
549300FC3G3YU2FBZD92
SOUTHERN COMPANY 2.35% 07/01/2021
842587CS4
280000.00000000
PA
USD
281112.64000000
0.003838297708
Long
DBT
CORP
US
N
2
2021-07-01
Fixed
0.02350000
N
N
N
N
N
N
SIERRA TIMESHARE 2015-3 RECEIVABLES FDG LLC
N/A
SIERRA TIMESHARE 2015-3A A 2.58% 09/20/2032 144A
82652JAA5
124605.97790000
PA
USD
124599.67000000
0.001701277565
Long
ABS-CBDO
CORP
US
N
2
2032-09-20
Fixed
0.02580000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2018-4
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2018-4 3.27% 01/17/2023
80285MAF6
665000.00000000
PA
USD
668109.01000000
0.009122326489
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
0.03270000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.55% 10/29/2020
46625HNX4
10000000.00000000
PA
USD
10046779.00000000
0.137178210186
Long
DBT
CORP
US
N
2
2020-10-29
Fixed
0.02550000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA FRN 3ML+112 04/12/2023
05964HAH8
800000.00000000
PA
USD
803501.51000000
0.010970968807
Long
DBT
CORP
ES
N
2
2023-04-12
Variable
0.03120880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 03/01/2033#MA3313
31418CVF8
1780242.95640000
PA
USD
1848765.75000000
0.025242953650
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03500000
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 2.5% 02/20/2021 144A
05377RBV5
1342500.00000000
PA
USD
1342952.15000000
0.018336600447
Long
ABS-CBDO
CORP
US
N
2
2021-02-20
Fixed
0.02500000
N
N
N
N
N
N
DEERE JOHN CAPITAL CORP
E0KSF7PFQ210NWI8Z391
DEERE JOHN CAPITAL CORP MTN FRN 3ML+26 09/10/2021
24422EUJ6
5000000.00000000
PA
USD
5000599.85000000
0.068277936369
Long
DBT
CORP
US
N
2
2021-09-10
Variable
0.02394130
N
N
N
N
N
N
DEUTSCHE TELEKOM INTL FIN BV
529900ERDFHS6C1M4U58
DEUTSCHE TELEKOM INTL FIN BV FRN 3ML+ 01/17/2020 144A
25156PAX1
10000000.00000000
PA
USD
10006006.00000000
0.136621497715
Long
DBT
CORP
NL
N
2
2020-01-17
Variable
0.02582130
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 02/20/2048#MA5022
36179TSK2
1926406.92000000
PA
USD
2061327.45000000
0.028145260306
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
0.05000000
N
N
N
N
N
N
UBS AG LONDN BRANCH
BFM8T61CT2L1QCEMIK50
UBS AG LON BRANCH VCP 1ML+37 08/06/2020
90276JHY5
5000000.00000000
PA
USD
4999999.50000000
0.068269739221
Long
DBT
CORP
GB
N
2
2020-08-06
Variable
0.02111000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 07/15/2022
9128287C8
11060000.00000000
PA
USD
11099314.87000000
0.151549481496
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.01750000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 3.813% 10/12/2021
345397ZH9
495000.00000000
PA
USD
502269.34000000
0.006857960057
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
0.03813000
N
N
N
N
N
N
AIG GLOBAL FDG
54930057MDZ7KOVOTV71
AIG GLOBAL FDG SR MTN 2.3% 07/01/2022 144A
00138CAK4
1528000.00000000
PA
USD
1534280.89000000
0.020948993345
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.02300000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.6% 05/16/2022 144A
110122BY3
635000.00000000
PA
USD
645861.56000000
0.008818560936
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
0.02600000
N
N
N
N
N
N
FREDDIE MAC WHOLE LOAN SEC TR
N/A
FREDDIE MAC WHOLE LOAN SEC TR CSTR 10/25/2046
3137G1BE6
1362800.90740000
PA
USD
1376618.89000000
0.018796284405
Long
ABS-CBDO
USGSE
US
N
2
2046-10-25
Variable
0.03605220
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TR 2015-3
N/A
SANTANDER DRIVE AUTO RECEIVABLES TR 2015-3 3.49% 05/17/2021
80284LAG7
534132.78000000
PA
USD
534447.22000000
0.007297315197
Long
ABS-CBDO
CORP
US
N
2
2021-05-17
Fixed
0.03490000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.625% 05/15/2024 144A
110122BM9
160000.00000000
PA
USD
169411.33000000
0.002313133695
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03625000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MTG TR 2019-1
N/A
DEEPHAVEN RESIDENTIAL MTG TR 2019-1 3.743% 01/25/2059 144A
24380RAA8
951096.79000000
PA
USD
959668.64000000
0.013103266868
Long
ABS-CBDO
CORP
US
N
2
2059-01-25
Fixed
0.03743000
N
N
N
N
N
N
AXIATA SPV2 BHD
254900P49KQFQ10AF282
AXIATA SPV2 BHD 3.466% 11/19/2020 REGS
N/A
660000.00000000
PA
USD
665286.60000000
0.009083789446
Long
DBT
CORP
MY
N
2
2020-11-19
Fixed
0.03466000
N
N
N
N
N
N
PERRIGO FINANCE PLC
549300E86RB6YCTMRM83
PERRIGO FINANCE PLC 3.9% 12/15/2024
714295AC6
1780000.00000000
PA
USD
1826070.64000000
0.024933075771
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
0.03900000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2017-1500
N/A
CGCMT 2017-1500 A 1ML+85 07/15/2019 144A
17326TAA5
2938000.00000000
PA
USD
2936164.34000000
0.040090238769
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Variable
0.02615380
N
N
N
N
N
N
BAYVIEW MTG FD IVC TR 2017-RT3
549300ZGMKIELA840327
BAYVIEW MORTGAGE FUND IVC TRUST 2017-RT3 A 3.5% 01/28/2058 144A
07326TAA6
1225770.84000000
PA
USD
1247261.91000000
0.017030050770
Long
ABS-CBDO
CORP
US
N
2
2058-01-28
Variable
0.03500000
N
N
N
N
N
N
CONNECTICUT AVE SECS TR 2019-R06
N/A
CONNECTICUT AVE SECS TR 2019-R06 1ML+75 09/25/2039
20754JAA2
723704.95000000
PA
USD
723803.74000000
0.009882779503
Long
ABS-CBDO
CORP
US
N
2
2039-09-25
Variable
0.02458000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP 3.4% 02/15/2021
22822VAA9
860000.00000000
PA
USD
871605.19000000
0.011900852995
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
0.03400000
N
N
N
N
N
N
THE HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
HUNTINGTON NATL BK OHIO CD BE FRN 3ML+51 03/10/2020
446438RV7
9027000.00000000
PA
USD
9037768.31000000
0.123401229472
Long
DBT
CORP
US
N
2
2020-03-10
Variable
0.02644130
N
N
N
N
N
N
VERUS SECURITIZATION TR 2019-INV3
N/A
VERUS SECURITIZATION TR 2019-INV3 3.1% 11/25/2059 144A
92537MAE0
745000.00000000
PA
USD
744247.92000000
0.010161923299
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.03100000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.95% 07/01/2024 144A
05401AAF8
265000.00000000
PA
USD
274778.50000000
0.003751811682
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
0.03950000
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30
N/A
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 A1 1.389% 09/15/2049
61766NAW5
155429.63170000
PA
USD
154438.94000000
0.002108701442
Long
ABS-MBS
CORP
US
N
2
2049-09-15
Fixed
0.01389000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 2019-1 A 2.7% 04/15/2024 144A
361886BZ6
710000.00000000
PA
USD
719594.87000000
0.009825311806
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
0.02700000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 2017-2A A2 1ML+80 07/15/2029 144A
165183AQ7
3667741.10000000
PA
USD
3670619.91000000
0.050118457818
Long
ABS-CBDO
CORP
US
N
2
2029-05-15
Variable
0.02215380
N
N
N
N
N
N
HOMEWARD OPPORTUNITIES FD I TR 2019-1
N/A
HOMEWARD OPPORTUNITIES FD I TR 2019-1 3.606% 01/25/2059 144A
43789EAC0
711471.92000000
PA
USD
720175.64000000
0.009833241610
Long
ABS-CBDO
CORP
US
N
2
2059-01-25
Fixed
0.03606000
N
N
N
N
N
N
LINCOLN NATIONAL CORP IND
EFQMQROEDSNBRIP7LE47
LINCOLN NATIONAL CORP IND 4.0% 09/01/2023
534187BD0
270000.00000000
PA
USD
287509.65000000
0.003925642158
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.04000000
N
N
N
N
N
N
SIERRA TIMESHARE 2019-2 RECEIVABLES FDG LLC
N/A
SIERRA TIMESHARE 2019-2 RECEIVABLES FDG LLC 2.59% 05/20/2036 144A
82652MAA8
2543950.87000000
PA
USD
2553708.19000000
0.034868201922
Long
ABS-CBDO
CORP
US
N
2
2036-05-20
Fixed
0.02590000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/48#CA2378
3140Q9UC5
345176.27000000
PA
USD
359347.14000000
0.004906507598
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 3.35% 11/01/2022
345397ZU0
1155000.00000000
PA
USD
1161264.49000000
0.015855846365
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.03350000
N
N
N
N
N
N
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2014-1
N/A
SYNCHRONY CR CARD MASTER NT TR 2.64% 03/15/2023
87165LBG5
550000.00000000
PA
USD
550277.92000000
0.007513466770
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.02640000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL QUE FRN 3ML+40 09/10/2021
06367WQD8
5000000.00000000
PA
USD
5011547.35000000
0.068427412978
Long
DBT
CORP
CA
N
2
2021-09-10
Variable
0.02534130
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C18
N/A
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C18 4.11% 10/15/2047
61763XAH9
370000.00000000
PA
USD
396015.59000000
0.005407176752
Long
ABS-MBS
CORP
US
N
2
2047-10-15
Fixed
0.04110000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
139776.15860000
PA
USD
152560.39000000
0.002083051816
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
SG RESIDENTIAL MTG TR 2019-3
N/A
SG RESIDENTIAL MTG TR 2019-3 2.877% 09/25/2059 144A
78432BAB5
1230580.69000000
PA
USD
1230039.11000000
0.016794891533
Long
ABS-CBDO
CORP
US
N
2
2059-09-25
Fixed
0.02877000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 3.65% 09/15/2023
776743AE6
270000.00000000
PA
USD
283814.76000000
0.003875192317
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7% 03/39#G62030
31335CHF4
195107.80000000
PA
USD
225575.25000000
0.003079993006
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.07000000
N
N
N
N
N
N
ALLY MASTER OWNER TR
N/A
ALLY MASTER OWNER TR 2018-3 A 1ML+0.45 07/15/2022
02005AGZ5
5000000.00000000
PA
USD
5001170.00000000
0.068285721168
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Variable
0.02085380
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC A 1ML+105 04/15/34 144A
05608BAA8
2135000.00000000
PA
USD
2136786.78000000
0.029175578165
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.02765380
N
N
N
N
N
N
PIMCO ETF TR
3JA8FFHDP0WD6S8AJT23
PIMCO Enhanced Low Duration Active ETF
72201R718
502985.00000000
NS
USD
50308559.70000000
0.686910518952
Long
EC
RF
US
N
1
N
N
N
MORGAN STANLEY CAP I TR 2015-MS1
N/A
MORGAN STANLEY CAP I TR 2015-MS1 1.638% 05/15/2048
61765DAQ1
130824.58800000
PA
USD
130520.05000000
0.001782114133
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
0.01638000
N
N
N
N
N
N
RABOBANK NEDERLAND NEW YORK BRH
DG3RU1DBUFHT4ZF9WN62
RABOBANK NEDERLAND NY BRH FRN 3ML+ 01/10/2022
21688AAK8
5000000.00000000
PA
USD
5049328.20000000
0.068943270785
Long
DBT
CORP
US
N
2
2022-01-10
Variable
0.02839500
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 3.75% 06/15/2024 144A
629377CK6
535000.00000000
PA
USD
551532.95000000
0.007530602886
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 5/36 #745516
31403DGZ6
15085.27510000
PA
USD
17003.98000000
0.000232171479
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.05500000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 1ML+75 07/25/2039 144A
20754HCK2
874851.29000000
PA
USD
874850.50000000
0.011945164293
Long
ABS-CBDO
USGSE
US
N
2
2039-07-25
Variable
0.02458000
N
N
N
N
N
N
ARCELORMITTAL SA LUXEMBOURG
2EULGUTUI56JI9SAL165
ARCELORMITTAL MTN VAR 2/25/22
03938LAX2
1280000.00000000
PA
USD
1377280.00000000
0.018805311167
Long
DBT
CORP
LU
N
2
2022-02-25
Variable
0.06250000
N
N
N
N
N
N
TOWD PT MTG TR 2017-3
N/A
TOWD PT MTG TR 2017-3 VAR 07/25/2057 144A
89169DAA9
907807.58280000
PA
USD
913156.66000000
0.012468194656
Long
ABS-CBDO
CORP
US
N
2
2057-07-25
Variable
0.02750000
N
N
N
N
N
N
NEUBERGER BERMAN CLO XVI-S LTD
N/A
NEUBERGER BERMAN CLO XVI-S LTD 3ML+85 01/15/2028 144A
64131TAC8
915000.00000000
PA
USD
913353.92000000
0.012470888034
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Variable
0.02850880
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.8% 02/14/2024
02209SBB8
1300000.00000000
PA
USD
1366223.09000000
0.018654340679
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
0.03800000
N
N
N
N
N
N
FREDDIE MAC STACR TR 2018-HQA2
N/A
FREDDIE MAC STACR TR 2018-HQA2 M1 1ML+75 10/25/2048
35563XAA0
644188.25000000
PA
USD
644735.42000000
0.008803184678
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Variable
0.02458000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 9/25 #AL1373
3138EHQ39
6227.55960000
PA
USD
6384.17000000
0.000087169132
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 5/39 #995838
31416CHP4
42921.07700000
PA
USD
48331.38000000
0.000659914207
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.05500000
N
N
N
N
N
N
TOWD PT MTG TR 2017-4
N/A
TOWD PT MTG TR 2017-4 2.75% 06/25/2057
89173UAA5
318271.18950000
PA
USD
321242.47000000
0.004386228369
Long
ABS-CBDO
CORP
US
N
2
2057-06-25
Fixed
0.02750000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.7% 08/15/2022
674599CP8
955000.00000000
PA
USD
962912.61000000
0.013147559870
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.02700000
N
N
N
N
N
N
ATRIUM HOTEL PORTFOLIO TR 2017-ATRM
N/A
ATRIUM HOTEL PORTFOLIO TR 2017-ATRM 1ML+93 11/15/2019 144A
04965JAA1
1395000.00000000
PA
USD
1392367.50000000
0.019011315126
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.02695380
N
N
N
N
N
N
US BANK NA CINCINNATI OHIO
6BYL5QZYBDK8S7L73M02
US BANK NA CINCI OH MED TRM BE 3% 02/04/2021
90331HPA5
5000000.00000000
PA
USD
5059315.80000000
0.069079640968
Long
DBT
CORP
US
N
2
2021-02-04
Fixed
0.03000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC STEP 08/15/2021
25746UDA4
3153000.00000000
PA
USD
3173284.57000000
0.043327866346
Long
DBT
CORP
US
N
2
2021-08-15
Variable
0.02715000
N
N
N
N
N
N
CAMPBELL SOUP CO
5493007JDSMX8Z5Z1902
CAMPBELL SOUP CO FRN 3ML+50 03/16/2020
134429BB4
1005000.00000000
PA
USD
1005426.56000000
0.013728043184
Long
DBT
CORP
US
N
2
2020-03-16
Variable
0.02618500
N
N
N
N
N
N
WEA FINANCE LLC / WESTFIELD UK and EUROPE FINANCE PLC
N/A
WEA FIN LLC/WESTFIELD UK and EUR FIN PLC 3.25% 10/5/20 144A
92890HAE2
235000.00000000
PA
USD
236958.13000000
0.003235414271
Long
DBT
CORP
US
N
2
2020-10-05
Fixed
0.03250000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO FRN 3ML+65 03/01/2021
929160AX7
1620000.00000000
PA
USD
1624417.61000000
0.022179715542
Long
DBT
CORP
US
N
2
2021-03-01
Variable
0.02781750
N
N
N
N
N
N
DLL 2019-2 LLC
N/A
DLL 2019-2 LLC 2.27% 05/20/2022 144A
23342NAB4
3921000.00000000
PA
USD
3924908.45000000
0.053590500628
Long
ABS-CBDO
CORP
US
N
2
2022-05-20
Fixed
0.02270000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 3.168% 04/09/2047 144A
78403DAL4
915000.00000000
PA
USD
925251.84000000
0.012633341629
Long
ABS-CBDO
CORP
US
N
2
2047-04-09
Fixed
0.03168000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP FRN 3ML+38 1/23/22
06051GGX1
15000000.00000000
PA
USD
15023280.15000000
0.205127104129
Long
DBT
CORP
US
N
2
2022-01-23
Variable
0.02314000
N
N
N
N
N
N
TYCO ELECTRONICS GROUP SA
C33G1C5SYE2YM95EE712
TYCO ELECTRONICS GROUP SA FRN 3ML+45 06/05/2020
902133AV9
5261000.00000000
PA
USD
5267474.24000000
0.071921825735
Long
DBT
CORP
LU
N
2
2020-06-05
Variable
0.02576630
N
N
N
N
N
N
TENCENT HLDGS LTD
254900N4SLUMW4XUYY11
TENCENT HLDGS LTD 2.875% 02/11/2020 144A
88032WAC0
1555000.00000000
PA
USD
1557021.50000000
0.021259492479
Long
DBT
CORP
KY
N
2
2020-02-11
Fixed
0.02875000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.5% 07/24/2020
6174467P8
670000.00000000
PA
USD
685132.15000000
0.009354759577
Long
DBT
CORP
US
N
2
2020-07-24
Fixed
0.05500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24
5493007OD9MH69ES1S63
WELLS FARGO CM TR 2016-LC24 A1 1.441% 10/15/2049
95000HBC5
4351.83020000
PA
USD
4347.84000000
0.000059365186
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Fixed
0.01441000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2011-C3
N/A
MORGAN STANLEY CAP I TR 11-C3 AJ VAR 07/15/2049 144A
61760RAE2
2264000.00000000
PA
USD
2356032.28000000
0.032169145087
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Variable
0.05419330
N
N
N
N
N
N
GFORT 2017-1 A1
N/A
GFORT 2017-1 A2 1ML+120 1/22 144A
361886AS3
10000000.00000000
PA
USD
10004270.00000000
0.136597794459
Long
ABS-CBDO
CORP
US
N
2
2022-01-18
Variable
0.02335380
N
N
N
N
N
N
METROPOLITAN WEST FDS
549300APUP7QV16M4J34
Metropolitan West Low Duration Bd M
592905202
27674456.08700000
NS
USD
242428235.32000000
3.310102812035
Long
EC
RF
US
N
1
N
N
N
APPLEBEE'S/IHOP FUNDING LLC
N/A
APPLEBEE'S/IHOP FUNDING LLC 2019-1A A2I 4.194% 06/07/49
03789XAD0
1360000.00000000
PA
USD
1376428.80000000
0.018793688925
Long
ABS-CBDO
CORP
US
N
2
2049-06-07
Fixed
0.04194000
N
N
N
N
N
N
MVW OWNER TR 2017-1
N/A
MVW OWNER TR 2017-1A A 2.42% 12/20/2034 144A
553896AA9
783916.42930000
PA
USD
787380.32000000
0.010750850897
Long
ABS-CBDO
CORP
US
N
2
2034-12-20
Fixed
0.02420000
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC
213800MVYG7MLQM2LF25
PERMANENT MASTER ISSUER PLC STEP 07/15/2058
71419GAY6
896000.00000000
PA
USD
896215.94000000
0.012236886925
Long
ABS-CBDO
CORP
GB
N
2
2058-07-15
Variable
0.02536130
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
ACTAVIS FUNDING SCS 3.45% 03/15/22
00507UAR2
615000.00000000
PA
USD
628386.56000000
0.008579958174
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
0.03450000
N
N
N
N
N
N
PNC BK N A PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
PNC BANK NA PITTSBURGH PA 2.45% 11/05/2020
69353REU8
870000.00000000
PA
USD
874150.54000000
0.011935607074
Long
DBT
CORP
US
N
2
2020-11-05
Fixed
0.02450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 12/34 #735115
31402QVG3
3717.28000000
PA
USD
4244.81000000
0.000057958420
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.06000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BAC 3ML+65 10/01/21
06051GGU7
10000000.00000000
PA
USD
10036650.10000000
0.137039910700
Long
DBT
CORP
US
N
2
2021-10-01
Variable
0.02748630
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PART 3.875% 8/15/22
11120VAB9
170000.00000000
PA
USD
177050.47000000
0.002417438124
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.03875000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC 2.3% 06/01/2021
294429AK1
975000.00000000
PA
USD
975238.16000000
0.013315852303
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.02300000
N
N
N
N
N
N
ALLY MASTER OWNER TR
N/A
ALLY MASTER OWNER TR 2.7% 01/17/2023
02005AGP7
1905000.00000000
PA
USD
1919297.41000000
0.026205989354
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
0.02700000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP INC
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP INC FRN 3ML+65 07/26/2021
606822AX2
6926000.00000000
PA
USD
6959520.39000000
0.095024937928
Long
DBT
CORP
JP
N
2
2021-07-26
Variable
0.02585630
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP INC
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP INC FRN 3ML+92 02/22/2022
606822AK0
840000.00000000
PA
USD
847915.83000000
0.011577399676
Long
DBT
CORP
JP
N
2
2022-02-22
Variable
0.02818750
N
N
N
N
N
N
DUKE ENERGY CORP NEW
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP 3.55% 9/15/21
26441CAF2
330000.00000000
PA
USD
337455.79000000
0.004607604217
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
0.03550000
N
N
N
N
N
N
DELTA AIRLINES INC
Q2CCMS6R0AS67HJMBN42
DELTA AIRLINES INC 2.6% 12/04/2020
247361ZL5
290000.00000000
PA
USD
291049.88000000
0.003973980278
Long
DBT
CORP
US
N
2
2020-12-04
Fixed
0.02600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 10/01/2024#AD0355
31418MMD1
30099.38840000
PA
USD
31310.28000000
0.000427508972
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
0.04500000
N
N
N
N
N
N
GENERAL ELECTRIC CAPITAL CORP
P0H32NFVTA51I1N8SJ31
GENERAL ELECTRIC CAPITAL CORP 5.3% 02/11/2021
369622SM8
130000.00000000
PA
USD
134396.70000000
0.001835045715
Long
DBT
CORP
US
N
2
2021-02-11
Fixed
0.05300000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 3.55% 07/15/2024 144A
92840VAD4
3025000.00000000
PA
USD
3052209.72000000
0.041674716493
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.03550000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.01% 11/36 #1G1326
3128QJPK6
4351.98900000
PA
USD
4555.10000000
0.000062195104
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.04608000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FIN II LLC FRN 3ML+63 06/25/2021 144A
07274NAC7
12180000.00000000
PA
USD
12217493.94000000
0.166817041725
Long
DBT
CORP
US
N
2
2021-06-25
Variable
0.02736250
N
N
N
N
N
N
HILTON GRAND VCTNS TR 14-A
N/A
HILTON GRAND VACATIONS TRUST 1.77% 11/25/2026 144A
43284AAA2
98026.53800000
PA
USD
97752.20000000
0.001334703573
Long
ABS-CBDO
CORP
US
N
2
2026-11-25
Fixed
0.01770000
N
N
N
N
N
N
ENTERPRISE FLEET FING LLC 2019-3
N/A
ENTERPRISE FLEET FING LLC 2019-3 2.06% 05/20/2025 144A
29374WAB2
855000.00000000
PA
USD
855376.03000000
0.011679260868
Long
ABS-CBDO
CORP
US
N
2
2025-05-20
Fixed
0.02060000
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
FHLM STRCTRD ACR DBT NTS 17-HQA1 M1 1ML+120 04/29
3137G0MZ9
224625.73000000
PA
USD
224892.77000000
0.003070674459
Long
ABS-CBDO
USGSE
US
N
2
2029-08-25
Variable
0.02908000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/37 #889506
31410KGP3
11279.75020000
PA
USD
12992.07000000
0.000177393063
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.06000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK NA FRN 3ML+30 10/20/2020
17325FAK4
4500000.00000000
PA
USD
4506812.69000000
0.061535791566
Long
DBT
CORP
US
N
2
2020-10-20
Variable
0.02265880
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.875% 08/15/2020 144A
110122BC1
1203000.00000000
PA
USD
1211271.44000000
0.016538638720
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
0.02875000
N
N
N
N
N
N
GOSFORTH FDG 2018-1 PLC
N/A
GOSFORTH FDG PLC 2018-1A A1 3ML+45 08/25/2060 144A
38312RAA1
1686599.13000000
PA
USD
1683634.09000000
0.022988254352
Long
ABS-CBDO
CORP
GB
N
2
2060-08-25
Variable
0.02359500
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 12/16/2021
00774MAH8
1245000.00000000
PA
USD
1296858.33000000
0.017707237769
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
0.04450000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.55% 08/15/2022 144A
110122BH0
600000.00000000
PA
USD
624734.85000000
0.008530097911
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.03550000
N
N
N
N
N
N
CNAC HK FINBRIDGE COMPANY LIMITED
549300US1UQ7R7WABI28
CNAC HK FINBRIDGE COMPANY LIMITED 4.125% 03/14/2021 REGS
N/A
765000.00000000
PA
USD
778626.56000000
0.010631327503
Long
DBT
CORP
HK
N
2
2021-03-14
Fixed
0.04125000
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-3 LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-3 LTD 3ML+100 07/28/2028 144A
14311MAN6
1615000.00000000
PA
USD
1613798.44000000
0.022034721934
Long
ABS-CBDO
CORP
KY
N
2
2028-07-28
Variable
0.02935630
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA 2.25% 03/02/2020
17401QAG6
685000.00000000
PA
USD
685210.51000000
0.009355829501
Long
DBT
CORP
US
N
2
2020-03-02
Fixed
0.02250000
N
N
N
N
N
N
STATE STR INVT TR
549300CCOK7OZZUAS108
State Street Instl US Govt MMkt Premier
857492706
5126689.98000000
NS
USD
5126689.98000000
0.069999564600
Long
EC
RF
US
N
1
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 FRN 3ML+60 02/26/2021
718546AS3
5033000.00000000
PA
USD
5033020.58000000
0.068720607370
Long
DBT
CORP
US
N
2
2021-02-26
Variable
0.02517250
N
N
N
N
N
N
JOHN DEERE OWNER TR 2018-B
N/A
JOHN DEERE OWNER TR 2018-B 2.83% 04/15/2021
47788EAB4
1839307.00000000
PA
USD
1841870.81000000
0.025148810490
Long
ABS-CBDO
CORP
US
N
2
2021-04-15
Fixed
0.02830000
N
N
N
N
N
N
NAVIENT STUDENT LN TR 2017-3
N/A
NAVSL 2017-3A A2 1ML+60 7/66
63940JAB5
6820000.00000000
PA
USD
6824210.67000000
0.093177425883
Long
ABS-CBDO
CORP
US
N
2
2066-07-26
Variable
0.02308000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 2.65% 02/15/2025
37940XAA0
800000.00000000
PA
USD
802469.70000000
0.010956880526
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.02650000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS LTD
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS LTD 5.25% 08/15/2022 144A
70014LAA8
880000.00000000
PA
USD
934648.00000000
0.012761636320
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
0.05250000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC FRN 3ML+93 4/13/20
37045XBU9
11000000.00000000
PA
USD
11021990.54000000
0.150493699022
Long
DBT
CORP
US
N
2
2020-04-13
Variable
0.02916130
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 3.41% 09/20/2023 144A
05377RCR3
540000.00000000
PA
USD
550638.59000000
0.007518391340
Long
ABS-CBDO
CORP
US
N
2
2023-09-20
Fixed
0.03410000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 2.875% 12/01/2024
25278XAL3
3805000.00000000
PA
USD
3802047.32000000
0.051912960999
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.02875000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST 2019-2
N/A
ALLY AUTO RECEIVABLES TRUST 2019-2 2.34% 06/15/2022
02008QAB6
5000000.00000000
PA
USD
5008754.50000000
0.068389279546
Long
ABS-CBDO
CORP
US
N
2
2022-06-15
Fixed
0.02340000
N
N
N
N
N
N
VERIZON OWNER TRUST 2017-3
5493002I20BBOB4UPY82
VERIZON OWNER TR 2017-3A A1A 2.06% 04/20/2022 144A
92348RAA6
3833337.36000000
PA
USD
3835235.25000000
0.052366107310
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.02060000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 05/01/2040#AL0474
3138EGQ49
1020839.64760000
PA
USD
1151409.53000000
0.015721287242
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.05500000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2016-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2016-3 2.71% 09/08/2022
03065DAG2
810000.00000000
PA
USD
815052.05000000
0.011128679293
Long
ABS-CBDO
CORP
US
N
2
2022-09-08
Fixed
0.02710000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
ANTHEM INC 2.5% 11/21/2020
036752AE3
1095000.00000000
PA
USD
1100316.38000000
0.015023663967
Long
DBT
CORP
US
N
2
2020-11-21
Fixed
0.02500000
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AESOP 2016-1A A 2.99% 06/20/22 144A
05377RCD4
610000.00000000
PA
USD
616344.18000000
0.008415532129
Long
ABS-CBDO
CORP
US
N
2
2022-06-20
Fixed
0.02990000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.08% 9/35 #1G0873
3128NC6J8
3687.17270000
PA
USD
3844.47000000
0.000052492198
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
0.03841000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS
N/A
GOVERNMENT NATL MTG ASN MLFY R 1ML+30 09/20/2048
38380YT88
186725.91050000
PA
USD
185594.43000000
0.002534096920
Long
ABS-CBDO
USGA
US
N
2
2048-09-20
Variable
0.02023630
N
N
N
N
N
N
AIG GLOBAL FDG
54930057MDZ7KOVOTV71
AIG GLOBAL FDG SR MTN FRN 3ML+46 06/25/2021 144A
00138CAH1
4293000.00000000
PA
USD
4309419.05000000
0.058840588831
Long
DBT
CORP
US
N
2
2021-06-25
Variable
0.02566250
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST 2018-2
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2018-2 3.5% 04/20/2022
36255KAG6
470000.00000000
PA
USD
474833.29000000
0.006483349624
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.03500000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 2017-C04 2M1 1ML+85 11/25/2029
30711XLS1
285104.34820000
PA
USD
285200.37000000
0.003894111366
Long
ABS-CBDO
USGSE
US
N
2
2029-11-25
Variable
0.02558000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 12ML+1.7 5/38 #908482
31411HJ35
12845.97160000
PA
USD
13392.16000000
0.000182855872
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Variable
0.04743000
N
N
N
N
N
N
CAPITAL AUTO RECEIVABLES ASSET TRUST 2017-1
N/A
CAPITAL AUTO RECEIVABLES ASSET TRUST 2017-1 C 2.7% 09/20/2022 144A
13975WAF0
235000.00000000
PA
USD
237007.02000000
0.003236081813
Long
ABS-CBDO
CORP
US
N
2
2022-09-20
Fixed
0.02700000
N
N
N
N
N
N
CAPITAL ONE NATL ASSN MCLEAN VA
207ALC1P1YM0OVDV0K75
CAPITAL ONE NATL ASN MCLEAN VA 2.15% 09/06/2022
14042RNW7
2575000.00000000
PA
USD
2570085.15000000
0.035091812102
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
0.02150000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE I POOL 30YR 5.5% 09/45#784653
3622AABW3
613720.28000000
PA
USD
684624.37000000
0.009347826375
Long
ABS-MBS
USGA
US
N
2
2045-09-15
Fixed
0.05500000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 3.125% 11/15/2022
776696AE6
1505000.00000000
PA
USD
1543073.04000000
0.021069040914
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.03125000
N
N
N
N
N
N
L3HARRIS TECHNOLOGIES INC
549300UTE50ZMDBG8A20
HARRIS CORPORATION 2.7% 04/27/2020
413875AQ8
1090000.00000000
PA
USD
1092279.59000000
0.014913930044
Long
DBT
CORP
US
N
2
2020-04-27
Fixed
0.02700000
N
N
N
N
N
N
KEYBANK NATL ASSN
HUX2X73FUCYHUVH1BK78
KEYBANK NATL ASSN FRN 3ML+66 02/01/2022
49327M2Y9
8128000.00000000
PA
USD
8184250.80000000
0.111747344741
Long
DBT
CORP
US
N
2
2022-02-01
Variable
0.02569130
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA FRN 3ML+57 05/26/2020
17401QAK7
10000000.00000000
PA
USD
10020258.10000000
0.136816095164
Long
DBT
CORP
US
N
2
2020-05-26
Variable
0.02487250
N
N
N
N
N
N
BANCO SANTANDER MEXICO SA INSTITUCION DE BANCA MULTIPLE GRUPO FINANCIERO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
BANCO SANT MX 4.125 11/22 REGS
N/A
1750000.00000000
PA
USD
1821640.63000000
0.024872588640
Long
DBT
CORP
MX
N
2
2022-11-09
Fixed
0.04125000
N
N
N
N
N
N
NISSAN AUTO LEASE TR 2018-A
N/A
NISSAN AUTO LEASE TR 2018-A A2B 1ML+21 02/16/2021
65478BAC5
2827834.90000000
PA
USD
2827331.26000000
0.038604237422
Long
ABS-CBDO
CORP
US
N
2
2021-02-16
Variable
0.01915380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 5/20 #813971
31406MJQ0
770.70030000
PA
USD
773.39000000
0.000010559827
Long
ABS-MBS
USGSE
US
N
2
2020-05-01
Fixed
0.05000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3ML+60 05/18/2021
404280BQ1
6165000.00000000
PA
USD
6172556.07000000
0.084279767073
Long
DBT
CORP
GB
N
2
2021-05-18
Variable
0.02504130
N
N
N
N
N
N
TRINITY ACQ PLC
549300FJZWZN6MJNGB63
TRINITY ACQUISITION PLC 3.5% 09/15/2021
89641UAD3
650000.00000000
PA
USD
662824.39000000
0.009050170555
Long
DBT
CORP
GB
N
2
2021-09-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 9/22 #AD0285
31418MJ78
1050.13850000
PA
USD
1060.73000000
0.000014483153
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.05000000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA 2.55% 05/13/2021
17401QAE1
1320000.00000000
PA
USD
1329087.95000000
0.018147299364
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
0.02550000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST
N/A
KUBOTA CREDIT OWNER TRUST 2019-1A A3 2.46% 10/16/2023 144A
50117CAC2
2870000.00000000
PA
USD
2898229.03000000
0.039572271973
Long
ABS-CBDO
CORP
US
N
2
2023-10-16
Fixed
0.02460000
N
N
N
N
N
N
BB and T CORP
549300DRQQI75D2JP341
BB and T CORP 2.15% 02/01/2021
05531FAZ6
1160000.00000000
PA
USD
1161419.87000000
0.015857967916
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
0.02150000
N
N
N
N
N
N
CREDIT SUISSE AG NY BRNCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG NY BRNCH 2.1% 11/12/2021
22550L2A8
4591000.00000000
PA
USD
4600859.63000000
0.062819903708
Long
DBT
CORP
US
N
2
2021-11-12
Fixed
0.02100000
N
N
N
N
N
N
DLL SECURITIZATION TRUST 2019
N/A
DLL SECURITIZATION TRUST 2019 2.08% 02/21/2023 144A
23291RAC4
1639000.00000000
PA
USD
1637706.34000000
0.022361159186
Long
ABS-CBDO
CORP
US
N
2
2023-02-21
Fixed
0.02080000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-3 2.69% 06/19/2023
03065HAF5
420000.00000000
PA
USD
423841.91000000
0.005787115912
Long
ABS-CBDO
CORP
US
N
2
2023-06-19
Fixed
0.02690000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2019-NQM3
N/A
NEW RESIDENTIAL MTG LN TR 2019-NQM3 2.80181% 07/25/2049 144A
64829PAA7
1217200.66000000
PA
USD
1220426.12000000
0.016663636256
Long
ABS-CBDO
CORP
US
N
2
2049-07-25
Fixed
0.02801810
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 3.15% 01/22/2021
251526BP3
1435000.00000000
PA
USD
1436925.60000000
0.019619709160
Long
DBT
CORP
US
N
2
2021-01-22
Fixed
0.03150000
N
N
N
N
N
N
VERIZON OWNER TR 2019-B
N/A
VERIZON OWNER TR 2019-B A1A 2.33% 12/20/2023
92349GAA9
955000.00000000
PA
USD
963114.44000000
0.013150315646
Long
ABS-CBDO
CORP
US
N
2
2023-12-20
Fixed
0.02330000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 3.85% 10/01/2024
444859BD3
60000.00000000
PA
USD
63850.09000000
0.000871805885
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.03850000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HANDELSBANKEN AB FRN 3ML+47 05/24/2021
86960BAU6
8500000.00000000
PA
USD
8534085.00000000
0.116523963140
Long
DBT
CORP
SE
N
2
2021-05-24
Variable
0.02379500
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC MED TERM NTS BOOK ENTRY FRN 3ML+93 09/24/2020
34540RAC0
1855000.00000000
PA
USD
1856970.31000000
0.025354978296
Long
DBT
CORP
US
N
2
2020-09-24
Variable
0.03064630
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2018-DSNY
N/A
BAMLL COML MTG SECS TR 2018-DSNY A 1ML+85 09/15/2034 144A
054967AA2
970000.00000000
PA
USD
966967.78000000
0.013202928955
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Variable
0.02615380
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORP
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP FRN 3ML+15 02/21/2020
02665WCL3
5000000.00000000
PA
USD
5001699.95000000
0.068292957079
Long
DBT
CORP
US
N
2
2020-02-21
Variable
0.02044630
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4.0% 11/15/2036
3137BGYN3
104091.46630000
PA
USD
107174.14000000
0.001463350264
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Fixed
0.04000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2019-2
N/A
VERUS SECURITIZATION TRUST 2019-2 3.211% 05/25/2059 144A
92537GAA1
808494.37000000
PA
USD
810693.07000000
0.011069162002
Long
ABS-CBDO
CORP
US
N
2
2059-05-25
Fixed
0.03211000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-P1
N/A
CGCMT 1.648% 09/15/48
17324DAQ7
41092.65830000
PA
USD
41025.16000000
0.000560155450
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
0.01648000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTL NV 2.875% 05/25/2022 144A
29278GAB4
1660000.00000000
PA
USD
1677462.60000000
0.022903989141
Long
DBT
CORP
NL
N
2
2022-05-25
Fixed
0.02875000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.625% 05/01/2022 144A
05401AAE1
1560000.00000000
PA
USD
1594114.14000000
0.021765953501
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
0.03625000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 1ML+45 07/15/2022 144A
361886AX2
10000000.00000000
PA
USD
10008695.00000000
0.136658213184
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Variable
0.02195380
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST I LLC 2019-2
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-2 3.628% 03/25/2049 144A
03463WAA1
837197.83000000
PA
USD
849869.41000000
0.011604073758
Long
ABS-CBDO
CORP
US
N
2
2049-03-25
Fixed
0.03628000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TR 2019-HQA4
N/A
FREDDIE MAC STACR REMIC TR 2019-HQA4 1ML+77 11/25/2049 144A
35565CAA4
610000.00000000
PA
USD
609999.02000000
0.008328895636
Long
ABS-CBDO
CORP
US
N
2
2049-11-25
Variable
0.02535380
N
N
N
N
N
N
GM FINL CONSUMER AUTOCALLABLE RECEIVABLES TR 2018-2
N/A
GM FINL CONSUMER AUTOCALLABLE RECEIVABLES TR 2018-2 A2B 1ML+12 05/17/2021
38013RAC9
1568025.81000000
PA
USD
1567771.95000000
0.021406278577
Long
ABS-CBDO
CORP
US
N
2
2021-05-17
Variable
0.01892500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.50% 4/23 #G18253
3128MMH71
16006.08230000
PA
USD
16696.54000000
0.000227973709
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
0.05500000
N
N
N
N
N
N
CGDB COML MTG TR 2017-BIO
N/A
CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A
125284AA7
1033000.00000000
PA
USD
1032999.17000000
0.014104518200
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.02800000
N
N
N
N
N
N
CSAIL 2015-C3 COML MTG TR
549300ZAGI6FKGY8O078
CSAIL 2015-C3 1.717% 8/48
12635FAQ7
63934.50850000
PA
USD
63829.32000000
0.000871522293
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Fixed
0.01716700
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST 2019-4
N/A
DRIVE AUTO RECEIVABLES TRUST 2019-4 2.32% 06/15/2022
26209AAB7
2710000.00000000
PA
USD
2713705.38000000
0.037052795428
Long
ABS-CBDO
CORP
US
N
2
2022-06-15
Fixed
0.02320000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO FRN 3ML+60 11/05/2021
025816BZ1
6750000.00000000
PA
USD
6789230.06000000
0.092699802411
Long
DBT
CORP
US
N
2
2021-11-05
Variable
0.02490500
N
N
N
N
N
N
FREDDIE MAC WHOLE LOAN SEC TR
N/A
FREDDIE MAC WHOLE LOAN SEC TR 17-SC02 M1 CSTR 05/25/2047 144A
3137G1BY2
154092.48030000
PA
USD
156001.25000000
0.002130033144
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Variable
0.03830859
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TR 2019-1
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2019-1 3.21% 09/15/2023
80285HAE0
375000.00000000
PA
USD
378456.30000000
0.005167423098
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.03210000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC 3.157% 08/04/2020
345397XK4
3910000.00000000
PA
USD
3924512.00000000
0.053585087520
Long
DBT
CORP
US
N
2
2020-08-04
Fixed
0.03157000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2019-INV1
N/A
VERUS SECURITIZATION TR 2019-INV1 A1 VAR 12/25/2059
92537FAA3
640845.32000000
PA
USD
645848.85000000
0.008818387394
Long
ABS-CBDO
CORP
US
N
2
2059-12-25
Variable
0.03402000
N
N
N
N
N
N
COLUMBIA PIPELINE GROUP INC
549300SRP1TQM9JJBG80
COLUMBIA PIPELINE GROUP INC 3.3% 06/01/2020
198280AD1
1135000.00000000
PA
USD
1140603.50000000
0.015573742257
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
0.03300000
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORP
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP FRN 3ML+26 06/16/2020
02665WCG4
5000000.00000000
PA
USD
5005443.80000000
0.068344075416
Long
DBT
CORP
US
N
2
2020-06-16
Variable
0.02378500
N
N
N
N
N
N
STACR TRUST 2018-HRP2
N/A
STACR TRUST 2018-HRP2 M2 1ML+125 02/25/2047 144A
35564AAK7
700000.00000000
PA
USD
701400.00000000
0.009576879975
Long
ABS-CBDO
CORP
US
N
2
2047-02-25
Variable
0.02958000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HOME DEPOT INC FRN 3ML+31 03/01/2022
437076BU5
10000000.00000000
PA
USD
10026705.80000000
0.136904131732
Long
DBT
CORP
US
N
2
2022-03-01
Variable
0.02447630
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC 2.875% 10/16/20
80281LAC9
820000.00000000
PA
USD
823253.76000000
0.011240665025
Long
DBT
CORP
GB
N
2
2020-10-16
Fixed
0.02875000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC 3.75% 4/10/22 144A
034863AQ3
400000.00000000
PA
USD
411209.06000000
0.005614627619
Long
DBT
CORP
GB
N
2
2022-04-10
Fixed
0.03750000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST 2018-3
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2018-3 A2B 1ML+20 09/21/2020
36256GAC3
1664227.10000000
PA
USD
1664333.61000000
0.022724726578
Long
ABS-CBDO
CORP
US
N
2
2020-09-21
Variable
0.01893630
N
N
N
N
N
N
SUNTRUST BANK
IYDOJBGJWY9T8XKCSX06
SUNTRUST BANK ATLNTA GA MTN BE 2.59%/VAR 01/29/2021
86787EAU1
1540000.00000000
PA
USD
1541111.62000000
0.021042259785
Long
DBT
CORP
US
N
2
2021-01-29
Variable
0.02590000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC FRN 3ML+65 09/11/2021
404280BV0
5675000.00000000
PA
USD
5690993.29000000
0.077704533333
Long
DBT
CORP
GB
N
2
2021-09-11
Variable
0.02781630
N
N
N
N
N
N
STARWOOD MTG RESIDENTIAL TR 2019-INV1
N/A
STARWOOD MTG RESIDENTIAL TR 2019-INV1 2.61% 08/25/2049 144A
85572JAA5
189146.04000000
PA
USD
188328.48000000
0.002571427500
Long
ABS-CBDO
CORP
US
N
2
2049-08-25
Fixed
0.02610000
N
N
N
N
N
N
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2019-1
N/A
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2019-1 2.99% 03/16/2022
36256XAB8
2258335.80000000
PA
USD
2264856.52000000
0.030924235891
Long
ABS-CBDO
CORP
US
N
2
2022-03-16
Fixed
0.02990000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 3% 11/19/2024
418056AX5
1190000.00000000
PA
USD
1189397.86000000
0.016239977970
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
0.03000000
N
N
N
N
N
N
PERNOD RICARD SA
52990097YFPX9J0H5D87
PERNOD RICARD 4.45% 1/22 144A
714264AD0
1155000.00000000
PA
USD
1210318.96000000
0.016525633607
Long
DBT
CORP
FR
N
2
2022-01-15
Fixed
0.04450000
N
N
N
N
N
N
SUNTRUST BANK
IYDOJBGJWY9T8XKCSX06
SUNTRUST BANK ATLNTA GA MTN BE FRN 3ML+50 10/26/2021
86787EAZ0
5000000.00000000
PA
USD
5007598.85000000
0.068373500360
Long
DBT
CORP
US
N
2
2021-10-26
Variable
0.02435630
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST 2019-C
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2019-C 2.17% 11/20/2023 144A
80284NAF5
495000.00000000
PA
USD
492707.16000000
0.006727398537
Long
ABS-CBDO
CORP
US
N
2
2023-11-20
Fixed
0.02170000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP INC
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP INC 3.218% 03/07/2022
606822BG8
1090000.00000000
PA
USD
1116281.88000000
0.015241656093
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
0.03218000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC FRN 3ML+40 12/01/2020 144A
25746UCV9
10000000.00000000
PA
USD
10006516.40000000
0.136628466690
Long
DBT
CORP
US
N
2
2020-12-01
Variable
0.02537630
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION FRN 3ML+65 06/25/2022
06051GHJ1
20000000.00000000
PA
USD
20115869.00000000
0.274661053633
Long
DBT
CORP
US
N
2
2022-06-25
Variable
0.02756250
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER 2014-A LLC
N/A
ELARA HGV TIMESHARE ISSUER 2014-A LLC 2.53% 02/25/2027 144A
284157AA2
62844.56630000
PA
USD
62851.93000000
0.000858177059
Long
ABS-CBDO
CORP
US
N
2
2027-02-25
Fixed
0.02530000
N
N
N
N
N
N
BLUEMOUNTAIN CLO 2015-2 LTD / BLUEMOUNTAIN CLO 2015-2 LLC
N/A
BLUEMOUNTAIN CLO 2015-2 LTD / BLUEMOUNTAIN CLO 2015-2 LLC A1R 3ML+93 07/18/2027 144A
09628BAL2
1595000.00000000
PA
USD
1593814.92000000
0.021761867967
Long
ABS-CBDO
CORP
KY
N
2
2027-07-18
Variable
0.02933250
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 2.744%/VAR 09/10/2022 144A
853254BQ2
860000.00000000
PA
USD
863034.73000000
0.011783832369
Long
DBT
CORP
GB
N
2
2022-09-10
Variable
0.02744000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2048#MA4964
36179TQR9
435563.16000000
PA
USD
461278.94000000
0.006298279218
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.04500000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2018-2
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2018-2 3.479% 04/25/2058 144A
24381HAA9
575211.61000000
PA
USD
575696.80000000
0.007860534867
Long
ABS-CBDO
CORP
US
N
2
2058-04-25
Fixed
0.03479000
N
N
N
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
BANCO SANTANDER CHILE MTN 2.5% 12/15/2020 144A
05970FAA9
1745000.00000000
PA
USD
1740689.85000000
0.023767290801
Long
DBT
CORP
CL
N
2
2020-12-15
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2049#SD8031
3132DV4Q5
1670000.00000000
PA
USD
1717904.12000000
0.023456175601
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.21% 2/37 #1J0248
3128LUHZ2
7627.84700000
PA
USD
7953.53000000
0.000108597094
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.04873000
N
N
N
N
N
N
FIFTH THIRD AUTO TR 2019-1
549300EMGYBMVWMPNI56
FIFTH THIRD AUTO TR 2019-1 2.66% 05/16/2022
31680YAB3
4629203.85000000
PA
USD
4642687.79000000
0.063391023280
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.02660000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 4/38 #974532
31414SED1
11369.14040000
PA
USD
12593.73000000
0.000171954149
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.77% 8/37 #949782
31413MUF2
2681.09260000
PA
USD
2801.81000000
0.000038255771
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Variable
0.04279000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 11/30/2020
9128285Q9
63000000.00000000
PA
USD
63652148.28000000
0.869103199697
Long
DBT
UST
US
N
2
2020-11-30
Fixed
0.02750000
N
N
N
N
N
N
SUNTRUST BANK
IYDOJBGJWY9T8XKCSX06
SUNTRUST BANKS INC FRN 3ML+53 01/31/2020
86787EAS6
10000000.00000000
PA
USD
10004121.60000000
0.136595768213
Long
DBT
CORP
US
N
2
2020-01-31
Variable
0.02457130
N
N
N
N
N
N
BROADCOM CORP / BROADCOM CAYMAN FIN LTD
N/A
BROADCOM CORP / BROADCOM CAYMAN FIN LTD 2.375% 01/15/2020
11134LAB5
1640000.00000000
PA
USD
1640231.70000000
0.022395640323
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
0.02375000
N
N
N
N
N
N
BUNGE LTD FIN CORP
549300QHC068L40NNM71
BUNGE LTD FIN CORP 3.5% 11/24/2020
120568AW0
4365000.00000000
PA
USD
4425210.16000000
0.060421594766
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
0.03500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+110 09/09/2022
55336VBH2
1683000.00000000
PA
USD
1688957.82000000
0.023060944291
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.03202130
N
N
N
N
N
N
VERIZON OWNER TR 2017-1
N/A
VERIZON OWNER TR 2017-1 2.65% 09/20/2021 144A
92348NAC1
315000.00000000
PA
USD
315782.65000000
0.004311680264
Long
ABS-CBDO
CORP
US
N
2
2021-09-20
Fixed
0.02650000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 03/20/2048#MA5081
36179TUE3
175100.68000000
PA
USD
188009.64000000
0.002567074075
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
0.05500000
N
N
N
N
N
N
EBAY INC
OML71K8X303XQONU6T67
EBAY INC 2.15% 06/05/2020
278642AR4
805000.00000000
PA
USD
805885.97000000
0.011003526103
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
0.02150000
N
N
N
N
N
N
TOWD PT MTG TR 2015-4
N/A
TOWD PT MTG TR 2015-4 A1B 2.75% 04/26/2055 144A
89171UAU3
279226.45540000
PA
USD
279534.05000000
0.003816743721
Long
ABS-CBDO
CORP
US
N
2
2055-04-25
Fixed
0.02750000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC FRN 3ML+87 08/15/2021
294429AP0
610000.00000000
PA
USD
611784.43000000
0.008353273534
Long
DBT
CORP
US
N
2
2021-08-15
Variable
0.02779880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2048#MA3468
31418C2A1
304969.96000000
PA
USD
321249.32000000
0.004386321898
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04500000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST 2019-1
549300CHGEQ6XHCQGX20
DELL EQUIPMENT FINANCE TRUST 2019-1 2.78% 08/23/2021 144A
24704BAC8
4000000.00000000
PA
USD
4018604.40000000
0.054869820371
Long
ABS-CBDO
CORP
US
N
2
2021-08-23
Fixed
0.02780000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
NEW YORK LIFE GLB FD MTN FRN 3ML+32 08/06/2021 144A
64952WCZ4
6177000.00000000
PA
USD
6194500.55000000
0.084579395888
Long
DBT
CORP
US
N
2
2021-08-06
Variable
0.02228250
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP 5.75% 1/24/22
38141GGS7
780000.00000000
PA
USD
837388.30000000
0.011433657316
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
0.05750000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2018-2
N/A
VERUS SECURITIZATION TRUST 2018-2 3.677% 06/01/2058 144A
92535TAA5
771382.41990000
PA
USD
774134.87000000
0.010569998196
Long
ABS-CBDO
CORP
US
N
2
2058-06-01
Fixed
0.03677000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL QUE FRN 3ML+57 03/26/2022
06367WJN4
5000000.00000000
PA
USD
5025654.30000000
0.068620028557
Long
DBT
CORP
CA
N
2
2022-03-26
Variable
0.02683000
N
N
N
N
N
N
HARLEY DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SVCS INC 4.05% 02/04/2022 144A
41283LAU9
1210000.00000000
PA
USD
1249812.55000000
0.017064877079
Long
DBT
CORP
US
N
2
2022-02-04
Fixed
0.04050000
N
N
N
N
N
N
ENTERPRISE FLEET FING 2017-3 LLC
N/A
ENTERPRISE FLEET FINANCING LLC 2.13% 05/20/2023 144A
29373EAB3
578088.49000000
PA
USD
577949.92000000
0.007891298853
Long
ABS-CBDO
CORP
US
N
2
2023-05-22
Fixed
0.02130000
N
N
N
N
N
N
FIDELITY ADVISOR SERIES I
C7J4FOV6ELAVE39B7M82
Fidelity Floating Rate High Income Fund
315916783
7773490.53200000
NS
USD
72993076.10000000
0.996643753722
Long
EC
RF
US
N
1
N
N
N
VERUS SECURITIZATION TRUST 2018-2
N/A
VERUS SECURITIZATION TR 2018-2 3.779% 06/01/2058 144A
92535TAB3
207789.37460000
PA
USD
208525.59000000
0.002847197814
Long
ABS-CBDO
CORP
US
N
2
2058-06-01
Fixed
0.03779000
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORDF 2017-1 A2 1ML+68 5/15/22
34528QFK5
10000000.00000000
PA
USD
10007962.00000000
0.136648204839
Long
ABS-CBDO
CORP
US
N
2
2022-05-15
Variable
0.02185380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 07/01/2020#745366
31403DCB3
609.88430000
PA
USD
609.98000000
0.000008328635
Long
ABS-MBS
USGSE
US
N
2
2020-07-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 3/23 #890121
31410K4E1
9177.56400000
PA
USD
9416.89000000
0.000128577737
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
0.05000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2018-4
549300RO0W90UZB1HD05
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2018-4 A2 2.93% 11/16/2021
38013FAB7
1156861.26000000
PA
USD
1159461.77000000
0.015831232118
Long
ABS-CBDO
CORP
US
N
2
2021-11-16
Fixed
0.02930000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2018-3
N/A
VERUS SECURITIZATION TR 2018-3 4.108% 10/25/2058 144A
92537BAA2
1024730.39800000
PA
USD
1032751.17000000
0.014101132021
Long
ABS-CBDO
CORP
US
N
2
2058-10-25
Fixed
0.04108000
N
N
N
N
N
N
SLM STUDENT LN TR 2008 1
5493007HR3ICKG09D287
SLM STUDENT LN TR 2008 1 3ML+ 01/25/2022
784439AD3
1474874.27040000
PA
USD
1446847.53000000
0.019755182688
Long
ABS-CBDO
CORP
US
N
2
2022-01-25
Variable
0.02589630
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.55% 05/14/2021 144A
110122BX5
9104000.00000000
PA
USD
9192867.24000000
0.125518942385
Long
DBT
CORP
US
N
2
2021-05-14
Fixed
0.02550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 2/23 #995431
31416BY44
13243.07880000
PA
USD
13577.23000000
0.000185382808
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 6/24 #995957
31416CME3
102537.73500000
PA
USD
106479.42000000
0.001453864592
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
0.05000000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 2.836% 01/15/2050 144A
78403DAN0
990000.00000000
PA
USD
1001362.63000000
0.013672554490
Long
ABS-CBDO
CORP
US
N
2
2050-01-15
Fixed
0.02836000
N
N
N
N
N
N
MADISON PK FDG XVIII LTD / MADISON PK FDG XVIII LLC
N/A
MADISON PK FDG XVIII LTD / MADISON PK FDG XVIII LLC 3ML+119 10/21/2030 144A
55819BAL4
1165000.00000000
PA
USD
1163512.30000000
0.015886537848
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Variable
0.03155880
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 02/20/2048#MA5020
36179TSH9
528658.84000000
PA
USD
552069.39000000
0.007537927411
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
0.04000000
N
N
N
N
N
N
SYNGENTA FIN NV
54930042S3BYCEGOCN86
SYNGENTA FIN NV 3.698% 04/24/2020 144A
87164KAD6
940000.00000000
PA
USD
942856.39000000
0.012873713261
Long
DBT
CORP
NL
N
2
2020-04-24
Fixed
0.03698000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BK NA GBL SRBK 3.086/VAR 04/26/2021
48125LRN4
5000000.00000000
PA
USD
5019020.75000000
0.068529454402
Long
DBT
CORP
US
N
2
2021-04-26
Variable
0.03086000
N
N
N
N
N
N
CHEVRON CORP NEW
N/A
CHEVRON CORP NEW FRN 3ML+48 03/03/2022
166764BM1
4700000.00000000
PA
USD
4731389.94000000
0.064602157931
Long
DBT
CORP
US
N
2
2022-03-03
Variable
0.02617630
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 2.7% 09/26/2022 144A
928668AZ5
650000.00000000
PA
USD
656058.72000000
0.008957792441
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
0.02700000
N
N
N
N
N
N
FIDELITY REVERE STREET TRUST
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
38876311.27500000
NS
USD
38884086.54000000
0.530921342679
Long
STIV
RF
US
N
1
N
N
N
SEQUOIA MTG TR 2018-CH2
N/A
SEQUOIA MTG TR 2018-CH2 A3 4% 06/25/2048 144A
81747EAC1
1219925.72000000
PA
USD
1243256.07000000
0.016975355234
Long
ABS-CBDO
CORP
US
N
2
2048-06-25
Fixed
0.04000000
N
N
N
N
N
N
BANK NOVA SCOTIA BC
N/A
BANK OF NOVA SCOTIA FRN 3ML+29 01/08/2021
064159KU9
10000000.00000000
PA
USD
10017163.00000000
0.136773834826
Long
DBT
CORP
CA
N
2
2021-01-08
Variable
0.02317000
N
N
N
N
N
N
CAPITAL AUTO RECEIVABLES ASSET TRUST 2017-1
N/A
CAPITAL AUTO RECEIVABLES ASSET TRUST 2017-1 B 2.43% 05/20/2022 144A
13975WAE3
145000.00000000
PA
USD
145489.94000000
0.001986512251
Long
ABS-CBDO
CORP
US
N
2
2022-05-20
Fixed
0.02430000
N
N
N
N
N
N
CREDIT AGRICOLE SA LONDON BRH
969500TJ5KRTCJQWXH05
CREDIT AGRICOLE SA LONDON BR SR MTN FRN 3ML+102 04/24/2023 144A
22535WAF4
675000.00000000
PA
USD
680467.10000000
0.009291063222
Long
DBT
CORP
GB
N
2
2023-04-24
Variable
0.02956000
N
N
N
N
N
N
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK B A STRUCTURED UTRECHT BRH
N/A
RABOBK NEDERLND 3.95% 11/09/22
21685WDF1
1370000.00000000
PA
USD
1429151.97000000
0.019513568411
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
0.03950000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAPITAL LLC 2% 04/11/2021 144A
05565EAF2
1500000.00000000
PA
USD
1500676.11000000
0.020490155386
Long
DBT
CORP
US
N
2
2021-04-11
Fixed
0.02000000
N
N
N
N
N
N
CAPTIAL ONE MULTI-ASSET EXECUT
R42WS16M9R97TJJKGU15
COMET 2019-A2 A2 1.72% 08/15/2024
14041NFU0
1790000.00000000
PA
USD
1783888.94000000
0.024357128982
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
0.01720000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 2.459% 03/27/2020
345397XF5
510000.00000000
PA
USD
510149.12000000
0.006965550173
Long
DBT
CORP
US
N
2
2020-03-27
Fixed
0.02459000
N
N
N
N
N
N
GREATAMERICA LEASING RECEIV- ABLES FDG LLC
N/A
GALC 2017-1 A3 2.06% 06/22/2022
39154TAJ7
3201.20000000
PA
USD
3201.05000000
0.000043706974
Long
ABS-CBDO
CORP
US
N
2
2020-06-22
Fixed
0.02060000
N
N
N
N
N
N
ELLINGTON FINL MTG TR 2019-2
N/A
ELLINGTON FINL MTG TR 2019-2 2.739% 11/25/2059 144A
31573TAA6
685000.00000000
PA
USD
684156.97000000
0.009341444519
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.02739000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 1/36 #003805
36202EGN3
13126.65500000
PA
USD
14352.64000000
0.000195970217
Long
ABS-MBS
USGA
US
N
2
2036-01-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/35 #735578
31402RFT1
398326.17050000
PA
USD
438189.54000000
0.005983017723
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
N
N
N
N
N
N
HOMEWARD OPPORTUNITIES FUND I TRUST 2018-1
N/A
HOMEWARD OPPORTUNITIES FUND I TRUST 2018-1 A2 3.897% 06/25/2048 144A
43789AAB0
513950.21090000
PA
USD
520868.60000000
0.007111913409
Long
ABS-CBDO
CORP
US
N
2
2048-06-25
Fixed
0.03897000
N
N
N
N
N
N
CNH EQUIPMENT TRUST 2019-A
N/A
CNH EQUIPMENT TRUST 2019-A A2 2.96% 05/16/2022
12596JAB9
3429868.44000000
PA
USD
3444690.62000000
0.047033630768
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.02960000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 3.2% 06/08/2021
907818ET1
1205000.00000000
PA
USD
1226873.88000000
0.016751673644
Long
DBT
CORP
US
N
2
2021-06-08
Fixed
0.03200000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 02/01/2037#1G1496
3128QJUV6
4989.34880000
PA
USD
5199.48000000
0.000070993435
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.04858000
N
N
N
N
N
N
SAUDI ARABIAN OIL COMPANY
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL COMPANY 2.75% 04/16/2022
80414L2A2
1815000.00000000
PA
USD
1833150.00000000
0.025029736993
Long
DBT
CORP
SA
N
2
2022-04-16
Fixed
0.02750000
N
N
N
N
N
N
LLOYDS BANK PLC
H7FNTJ4851HG0EXQ1Z70
LLOYDS BANK PLC 3ML+49 05/07/21
53944VAQ2
9000000.00000000
PA
USD
9015251.58000000
0.123093787185
Long
DBT
CORP
GB
N
2
2021-05-07
Variable
0.02383500
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 12/15/2021
9128285R7
12240000.00000000
PA
USD
12485756.19000000
0.170479880861
Long
DBT
UST
US
N
2
2021-12-15
Fixed
0.02625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 4/40 #AE0349
31419AL70
107692.23980000
PA
USD
124204.26000000
0.001695878657
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.06000000
N
N
N
N
N
N
THE TORONTO DOMINION BANK
PT3QB789TSUIDF371261
TORONTO DOMINION BANK FRN 3ML+26 09/17/2020
89114QC63
5000000.00000000
PA
USD
5007995.25000000
0.068378912785
Long
DBT
CORP
CA
N
2
2020-09-17
Variable
0.02399380
N
N
N
N
N
N
NISSAN MASTER OWNER TR RECEIVABLES
N/A
NMOTR 2017-B A 1ML+43 04/15/2022
65474VAN1
10700000.00000000
PA
USD
10707381.93000000
0.146198049040
Long
ABS-CBDO
CORP
US
N
2
2022-04-18
Variable
0.02195380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 09/01/2034#A26586
31297EJ72
4258.72930000
PA
USD
4859.75000000
0.000066354779
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.06000000
N
N
N
N
N
N
ALLY MASTER OWNER TR
N/A
ALLY MASTER OWNER TR 3.3% 07/17/2023
02005AHE1
640000.00000000
PA
USD
652726.02000000
0.008912287924
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
0.03300000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST 2018-A
N/A
FORD CREDIT AUTO LEASE TRUST 2018-A A2B 1ML+35 12/15/2020
34531JAC9
461650.76000000
PA
USD
461653.99000000
0.006303400131
Long
ABS-CBDO
CORP
US
N
2
2020-12-15
Variable
0.01985380
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP FRN 3ML+51 01/10/2020
14912L6Z9
5000000.00000000
PA
USD
5003581.90000000
0.068318653128
Long
DBT
CORP
US
N
2
2020-01-10
Variable
0.02519500
N
N
N
N
N
N
JOHN DEERE OWNER TRUST
N/A
JOHN DEERE OWNER TRUST 2019-A A2 2.85% 12/15/2021
47789JAB2
4299826.90000000
PA
USD
4314132.85000000
0.058904950817
Long
ABS-CBDO
CORP
US
N
2
2021-12-15
Fixed
0.02850000
N
N
N
N
N
N
SIERRA TIMESHARE 2016-2 RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE 2016-2 A 2.33% 07/20/2033 144A
82652WAA6
88634.20640000
PA
USD
88464.89000000
0.001207895114
Long
ABS-CBDO
CORP
US
N
2
2033-07-20
Fixed
0.02330000
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST 2017-1
N/A
METLIFE SECURITIZATION TR 2017-1 3% 04/25/2055 144A
59166BAA9
446543.88000000
PA
USD
451467.74000000
0.006164317591
Long
ABS-CBDO
CORP
US
N
2
2055-04-25
Fixed
0.03000000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2018-A
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST 2018-A 3.06% 05/15/2023
98161YAE4
280000.00000000
PA
USD
281900.47000000
0.003849054699
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Fixed
0.03060000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 2% 02/15/2040
3137A0UA1
642086.76200000
PA
USD
639820.77000000
0.008736080296
Long
ABS-CBDO
USGSE
US
N
2
2040-02-15
Fixed
0.02000000
N
N
N
N
N
N
VERIZON OWNER TR 2018-1
N/A
VERIZON OWNER TR 2018-1A A1B 1ML+26 09/20/2022
92349FAB9
6210000.00000000
PA
USD
6211222.75000000
0.084807719958
Long
ABS-CBDO
CORP
US
N
2
2022-09-20
Variable
0.01983630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 5/25 #AD6392
31418UC69
7881.65860000
PA
USD
8233.08000000
0.000112414056
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 1/38 #961181
31414BJ27
5250.51080000
PA
USD
5915.37000000
0.000080768161
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.0% 02/37#AB0299
31416VKM5
12501.93630000
PA
USD
14383.67000000
0.000196393899
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.06000000
N
N
N
N
N
N
FIDELITY NATL INFORMN SVCS INC
6WQI0GK1PRFVBA061U48
FIDELITY NATL INFORMN SVCS INC 3.625% 10/15/20
31620MAP1
260000.00000000
PA
USD
263163.43000000
0.003593220107
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 8/37 #995024
31416BLD8
105591.89200000
PA
USD
118694.80000000
0.001620652770
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.375% 05/17/2021
025816BU2
1500000.00000000
PA
USD
1528738.67000000
0.020873320154
Long
DBT
CORP
US
N
2
2021-05-17
Fixed
0.03375000
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 2.63% 12/20/2021 144A
05377RCA0
890000.00000000
PA
USD
893459.25000000
0.012199247220
Long
ABS-CBDO
CORP
US
N
2
2021-12-20
Fixed
0.02630000
N
N
N
N
N
N
BUNGE LTD FIN CORP
549300QHC068L40NNM71
BUNGE LTD FIN CORP 3% 09/25/2022
120568AY6
405000.00000000
PA
USD
411430.51000000
0.005617651286
Long
DBT
CORP
US
N
2
2022-09-25
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.976% 07/01/2035#1G0809
3128NC3S1
11052.82160000
PA
USD
11576.66000000
0.000158067127
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04480000
N
N
N
N
N
N
DEERE JOHN CAPITAL CORP
E0KSF7PFQ210NWI8Z391
DEERE JOHN CAPITAL CORP 3ML+24 03/12/2021
24422EUC1
5000000.00000000
PA
USD
5003243.90000000
0.068314038093
Long
DBT
CORP
US
N
2
2021-03-12
Variable
0.02371630
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.5% 02/01/2022
29379VBS1
1050000.00000000
PA
USD
1082333.62000000
0.014778128275
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03500000
N
N
N
N
N
N
EXXON MOBIL CORP
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP FRN 3ML+33 08/16/2022
30231GBA9
7000000.00000000
PA
USD
7033919.69000000
0.096040782191
Long
DBT
CORP
US
N
2
2022-08-16
Variable
0.02234130
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 3.47% 4/5/21
345397YZ0
415000.00000000
PA
USD
417809.73000000
0.005704752832
Long
DBT
CORP
US
N
2
2021-04-05
Fixed
0.03470000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2019-NQM5
N/A
NEW RESIDENTIAL MTG LN TR 2019-NQM5 A1 2.70986% 11/25/2059 144A
64830PAA4
1295000.00000000
PA
USD
1298145.30000000
0.017724809992
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.02709860
N
N
N
N
N
N
CITIGROUP COML MTG TR 2012-GC8
N/A
CGCMT 2012-GC8 AS 3.683% 9/45 144A
17318UAF1
2157000.00000000
PA
USD
2232930.93000000
0.030488325506
Long
ABS-MBS
CORP
US
N
2
2045-09-10
Fixed
0.03683000
N
N
N
N
N
N
COLE PARK CLO LTD 2015-1
N/A
COLE PARK CLO LTD 2015-1 3ML+105 10/20/2028 144A
19329LAN7
1610000.00000000
PA
USD
1609259.40000000
0.021972746112
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Variable
0.03015880
N
N
N
N
N
N
GREAT WOLF TR 2017-WOLF
N/A
GREAT WOLF TR 2017-WOLF 1ML+85 09/15/2034 144A
39153AAA8
292000.00000000
PA
USD
291994.25000000
0.003986874658
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Variable
0.02615380
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.3% 05/14/21
00287YAU3
850000.00000000
PA
USD
854474.78000000
0.011666955247
Long
DBT
CORP
US
N
2
2021-05-14
Fixed
0.02300000
N
N
N
N
N
N
HYUNDAI CAP AMER
549300RIPPWJB5Z0FK07
HYUNDAI CAP AMER MTN BE 144A 3.95% 02/01/2022 144A
44891AAY3
1315000.00000000
PA
USD
1351486.52000000
0.018453128301
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 5/25 #890305
31410LDJ8
110224.96850000
PA
USD
114659.67000000
0.001565557310
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
NAVIENT STUDENT LN TR 2018-4
N/A
NAVIENT STUDENT LOAN TRUST 2018-4A A1 1ML+25 06/27/2067 144A
63941NAA7
3565423.10000000
PA
USD
3559063.10000000
0.048595266801
Long
ABS-CBDO
CORP
US
N
2
2067-06-27
Variable
0.01958000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
BIOGEN INC 2.9% 09/15/2020
09062XAC7
510000.00000000
PA
USD
512909.18000000
0.007003235892
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.02900000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TR 2019-A
N/A
MERCEDES-BENZ AUTO LEASE TRUST 2019-B A3 2.03% 10/17/2022
58769QAC5
2416000.00000000
PA
USD
2423342.71000000
0.033088198279
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
0.02000000
N
N
N
N
N
N
CREDIT SUISSE AG NY BRANCH
N/A
CREDIT SUISSE MTN 5.4% 1/14/20
22546QAD9
315000.00000000
PA
USD
316194.97000000
0.004317310060
Long
DBT
CORP
US
N
2
2020-01-14
Fixed
0.05400000
N
N
N
N
N
N
SLM STUDENT LN TR 2007-7
549300IZGFDRVV7YTH38
SLMA 2007-7 A4 3ML+33 1/22
78444EAD1
641624.82750000
PA
USD
623996.25000000
0.008520013104
Long
ABS-CBDO
CORP
US
N
2
2022-01-25
Variable
0.02269630
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC FRN 3ML+65 11/21/2022 144A
00287YBN8
7100000.00000000
PA
USD
7125844.00000000
0.097295912051
Long
DBT
CORP
US
N
2
2022-11-21
Variable
0.02544630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 1/1/27#AL2645
3138EJ5F1
51801.77350000
PA
USD
54048.29000000
0.000737972606
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 12/24 #AC8540
31417VP23
74234.42000000
PA
USD
77313.95000000
0.001055640746
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.50% 11/21 #G12463
3128M1TU3
101.67050000
PA
USD
103.20000000
0.000001409087
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
0.05500000
N
N
N
N
N
N
HARLEY DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SVCS INC FRN 3ML+ 05/21/2020 144A
41284VAA0
795000.00000000
PA
USD
795399.21000000
0.010860340414
Long
DBT
CORP
US
N
2
2020-05-21
Variable
0.02394630
N
N
N
N
N
N
BRE GRAND ISLANDER TIMESHARE ISSUER 2019-A LLC
N/A
BRE GRAND ISLANDER TIMESHARE ISSUER 2019-A LLC 3.28% 09/26/2033 144A
05588UAA0
332792.39000000
PA
USD
340552.88000000
0.004649891726
Long
ABS-CBDO
CORP
US
N
2
2033-09-26
Fixed
0.03280000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TR 2017-2
N/A
ALLY AUTO RECEIVABLES TR 2017-2 2.46% 09/15/2022
02007HAF8
745000.00000000
PA
USD
747164.52000000
0.010201746407
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Fixed
0.02460000
N
N
N
N
N
N
FEDERAL NATL MTG AS GTD RE PTT
N/A
FEDERAL NATL MTG AS GTD RE PTT 2018-44 PC 4% 06/25/2044
3136B13K8
1459039.37000000
PA
USD
1488210.67000000
0.020319952901
Long
ABS-CBDO
USGSE
US
N
2
2044-06-25
Fixed
0.04000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIALS INC
5299005MZ4WZECVATV08
MARTIN MAR MATR 3ML+65 5/22/20
573284AR7
330000.00000000
PA
USD
330437.63000000
0.004511778616
Long
DBT
CORP
US
N
2
2020-05-22
Variable
0.02548750
N
N
N
N
N
N
THE TORONTO DOMINION BANK
PT3QB789TSUIDF371261
TORONTO DOMINION BANK FRN 3ML+0 03/17/2021
89114QCC0
10000000.00000000
PA
USD
10012006.40000000
0.136703426871
Long
DBT
CORP
CA
N
2
2021-03-17
Variable
0.02409380
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 19-B
N/A
HYUNDAI AUTO RECEIVABLES TR 19-B 1.93% 07/15/2022
44891JAB4
5000000.00000000
PA
USD
4998992.00000000
0.068255982867
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
0.01930000
N
N
N
N
N
N
METROPOLITAN LIFE GLBL FDG I
635400MMSOCXNNNZDZ82
MET LIFE GLOB FUNDING I FRN SOFR+57 09/07/2020 144A
59217GCQ0
5000000.00000000
PA
USD
5011146.35000000
0.068421937744
Long
DBT
CORP
US
N
2
2020-09-07
Variable
0.02120000
N
N
N
N
N
N
HYUNDAI CAP AMER
549300RIPPWJB5Z0FK07
HYUNDAI CAP AMER MTN 2.45% 06/15/21 144A
44891AAH0
755000.00000000
PA
USD
756268.88000000
0.010326056876
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.02450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 10/21 #888564
31410GFD0
2629.81450000
PA
USD
2659.11000000
0.000036307352
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 10/01/2035#735912
31402RR92
44394.47160000
PA
USD
49996.68000000
0.000682652129
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.05500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.125% 01/15/2020
00912XAU8
1285000.00000000
PA
USD
1284924.62000000
0.017544295499
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
0.02125000
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 3.35% 09/22/2025 144A
05377RDL5
650000.00000000
PA
USD
675676.30000000
0.009225649882
Long
ABS-CBDO
CORP
US
N
2
2025-09-22
Fixed
0.03350000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SR MTN 3ML+122 5/22/22 144A
05583JAB8
605000.00000000
PA
USD
612547.98000000
0.008363699007
Long
DBT
CORP
FR
N
2
2022-05-22
Variable
0.03118750
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DOWDUPONT INC 3.766% 11/15/2020
26078JAA8
1105000.00000000
PA
USD
1123202.34000000
0.015336147702
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
0.03766000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV FRN 3ML+115 03/29/2022
456837AJ2
735000.00000000
PA
USD
744138.23000000
0.010160425597
Long
DBT
CORP
NL
N
2
2022-03-29
Variable
0.03254380
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 2.125% 04/15/2020
281020AK3
1140000.00000000
PA
USD
1139126.45000000
0.015553574691
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
0.02125000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO NEW MTN SR NTS FRN 3ML+88 07/22/2020
94974BGN4
14900000.00000000
PA
USD
14972678.92000000
0.204436197505
Long
DBT
CORP
US
N
2
2020-07-22
Variable
0.02833250
N
N
N
N
N
N
TOWD PT MTG TR 2017-1
N/A
TPMT 17-1 A1 2.75% 10/56
89173FAA8
652463.48080000
PA
USD
655167.42000000
0.008945622676
Long
ABS-CBDO
CORP
US
N
2
2056-10-25
Variable
0.02750000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.75% 07/15/2023
125523AF7
1110000.00000000
PA
USD
1160433.89000000
0.015844505395
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 01/01/2025#AL0464
3138EGQS6
8171.06520000
PA
USD
8386.57000000
0.000114509800
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
0.05500000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2019-4
N/A
CARMAX AUTO OWNER TR 2019-4 2.01% 03/15/2023
14315WAB6
1291000.00000000
PA
USD
1291002.84000000
0.017627287206
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.02010000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 3% 12/15/2020
776743AA4
475000.00000000
PA
USD
479435.58000000
0.006546189058
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.03000000
N
N
N
N
N
N
ENTERPRISE FLEET FING 2018-2 LLC
N/A
ENTERPRISE FLEET FING 2018-2 LLC 3.14% 02/20/2024 144A
29373FAB0
675851.42000000
PA
USD
681279.25000000
0.009302152277
Long
ABS-CBDO
CORP
US
N
2
2024-02-20
Fixed
0.03140000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES INC 2.85% 03/12/2020
032654AQ8
3085000.00000000
PA
USD
3091791.57000000
0.042215165063
Long
DBT
CORP
US
N
2
2020-03-12
Fixed
0.02850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 06/01/2032#BE3725
3140FPD71
54349.60000000
PA
USD
56492.51000000
0.000771345862
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.03500000
N
N
N
N
N
N
OMNICOM GROUP INC / OMNICOM CAP INC / OMNICOM FIN INC
N/A
OMNICOM GROUP INC 4.45 8/15/20
682134AC5
441000.00000000
PA
USD
448689.56000000
0.006126384463
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
0.04450000
N
N
N
N
N
N
NATIXIS NY BRH
KX1WK48MPD4Y2NCUIZ63
NATIXIS NY BRH YCD 2.68% 12/27/2019
63873NQ46
4000000.00000000
PA
USD
4002970.00000000
0.054656349067
Long
DBT
CORP
US
N
2
2019-12-27
Fixed
0.02680000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
CAS 2017-C01 1M1 1ML+130 07/29
30711XEK6
150664.01680000
PA
USD
150907.23000000
0.002060479653
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Variable
0.03008000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC INC (OLD) 5.125% 07/02/2022
747262AH6
1330000.00000000
PA
USD
1398700.96000000
0.019097791867
Long
DBT
CORP
US
N
2
2022-07-02
Fixed
0.05125000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2014-C20
N/A
J P MORGAN CHASE COML MTG SECS TR 2014-C20 3.4718% 07/15/2047
46642CBG4
2406572.74000000
PA
USD
2444639.19000000
0.033378979336
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
0.03471800
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.125% 09/15/2020 144A
125523CG3
710000.00000000
PA
USD
720941.40000000
0.009843697258
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.04125000
N
N
N
N
N
N
CITIBANK CR CARD ISSUANCE TR
R8AG6FXVDQAMDKCSJJ64
CITIBANK CR CARD ISSUANCE TR 2017-A4 A4 1ML+22 04/07/2022
17305EGC3
10000000.00000000
PA
USD
10005371.00000000
0.136612827457
Long
ABS-CBDO
CORP
US
N
2
2022-04-07
Variable
0.01989880
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.4% 06/07/21
46625HRT9
2836000.00000000
PA
USD
2851891.13000000
0.038939576640
Long
DBT
CORP
US
N
2
2021-06-07
Fixed
0.02400000
N
N
N
N
N
N
HOLMES MASTER ISSUER PLC
N/A
HOLMES MASTER ISSUER PLC 18-2 A2 STEP 3ML+42 10/15/2054 144A
43641NCA0
2295038.39000000
PA
USD
2293932.18000000
0.031321233476
Long
ABS-CBDO
CORP
GB
N
2
2054-10-15
Variable
0.02420880
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 2/35 #G01777
31283H6N0
92597.36560000
PA
USD
105753.54000000
0.001443953463
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.06000000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC 3.6% 11/01/2021
15189TAT4
455000.00000000
PA
USD
469720.62000000
0.006413541488
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
0.03600000
N
N
N
N
N
N
CSAIL 2015-C4 COML MTG TR
N/A
CSAIL 2015-C4 COML MTG TR 2.01% 11/15/2048
12635RAU2
74834.80530000
PA
USD
74735.03000000
0.001020428303
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
0.02010200
N
N
N
N
N
N
TOWD PT MTG TR 2017-2
N/A
TPMT 2017-2 A1 2.75% 04/57
89173HAA4
410642.62390000
PA
USD
412578.64000000
0.005633327795
Long
ABS-CBDO
CORP
US
N
2
2057-04-25
Variable
0.02750000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.9% 07/26/2024 144A
110122BZ0
840000.00000000
PA
USD
866301.00000000
0.011828429854
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
0.02900000
N
N
N
N
N
N
TRANSCANADA PIPELINES LTD
5BV01I6231JPDAPMGH09
TRANSCANADA PIPELINES LTD CP .0205 02/04/2020
89355PB49
5000000.00000000
PA
USD
4982031.00000000
0.068024398234
Long
DBT
CORP
CA
N
2
2020-02-04
Fixed
0.02050000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.6% 08/13/2021
674599CU7
1005000.00000000
PA
USD
1009959.27000000
0.013789932576
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
0.02600000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORP
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE CORP 3.65% 09/21/2021 144A
654740BJ7
580000.00000000
PA
USD
592607.99000000
0.008091439396
Long
DBT
CORP
US
N
2
2021-09-21
Fixed
0.03650000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONN 2018-CO3 1M1 1ML+68 10/25/2030
30711XJ21
622579.30340000
PA
USD
622781.02000000
0.008503420415
Long
ABS-CBDO
USGSE
US
N
2
2030-10-25
Variable
0.02388000
N
N
N
N
N
N
ISHARES TRUST
549300G3FWQPUM47D181
iShares Ultra Short-Term Bond ETF
46434V878
397375.00000000
NS
USD
20023726.25000000
0.273402941204
Long
EC
RF
US
N
1
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 4.03% 01/25/2024 144A
35137LAB1
305000.00000000
PA
USD
324429.88000000
0.004429749103
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.04030000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.7% 03/09/2023
126650CV0
1940000.00000000
PA
USD
2020171.80000000
0.027583323151
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.03700000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO 2.7% 10/09/2022
369604BD4
1095000.00000000
PA
USD
1104135.68000000
0.015075812495
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 11/01/2026#AL1794
3138EH7G1
163293.12400000
PA
USD
170349.15000000
0.002325938642
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.04500000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
SHIRE ACQ INV IRELAND DA 2.875% 09/23/2023
82481LAC3
115000.00000000
PA
USD
117073.01000000
0.001598508932
Long
DBT
CORP
IE
N
2
2023-09-23
Fixed
0.02875000
N
N
N
N
N
N
AON PLC
VVT2B79I2Z4U3R6BY589
AON PLC 2.8% 03/15/2021
00185AAJ3
1320000.00000000
PA
USD
1331755.70000000
0.018183724687
Long
DBT
CORP
GB
N
2
2021-03-15
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 10/33 #254903
31371LDG1
474200.34780000
PA
USD
519491.37000000
0.007093108780
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.05000000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.7% 04/15/2024
20030NCR0
1075000.00000000
PA
USD
1143255.00000000
0.015609945703
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2049#MA3746
31418DEU2
852399.12000000
PA
USD
885728.69000000
0.012093694546
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04000000
N
N
N
N
N
N
DOLLAR TREE INC
549300PMSTQITB1WHR43
DOLLAR TREE INC FRN 3ML+0 04/17/2020
256746AE8
1250000.00000000
PA
USD
1250145.64000000
0.017069425073
Long
DBT
CORP
US
N
2
2020-04-17
Variable
0.02702130
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TR 2019-B
N/A
SANTANDER RETAIL AUTO LEASE TR 2019-B 2.29% 04/20/2022 144A
80281GAB2
5000000.00000000
PA
USD
5014267.00000000
0.068464546941
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.02290000
N
N
N
N
N
N
BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
BANK NEW YORK MELLON CORP FRN 3ML+30 12/04/2020
06405LAA9
7000000.00000000
PA
USD
7000028.98000000
0.095578040158
Long
DBT
CORP
US
N
2
2020-12-04
Variable
0.02432750
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MTG TR 2017-3
N/A
DEEPHAVEN RESIDENTIAL MTG TR 2017-3 VAR 10/25/2047 144A
24381FAC9
27021.79100000
PA
USD
26954.67000000
0.000368037695
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
0.02813000
N
N
N
N
N
N
TOWD PT MTG TR 2016-1
N/A
TPMT 2016-1 A1B 2.75% 02/25/2055 144A
89172EAU8
162856.16820000
PA
USD
163024.53000000
0.002225928652
Long
ABS-CBDO
CORP
US
N
2
2055-02-25
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 11/01/2024#935767
31412VCC0
30060.57600000
PA
USD
31249.80000000
0.000426683182
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
0.04500000
N
N
N
N
N
N
SOUTHERN COPPER CORP DEL
2549007U6NAP46Q9TU15
SOUTHERN COPPER 5.375% 4/16/20
84265VAD7
510000.00000000
PA
USD
515418.75000000
0.007037501434
Long
DBT
CORP
US
N
2
2020-04-16
Fixed
0.05375000
N
N
N
N
N
N
PNM RESOURCES INC
5493003JOBJGLZSDDQ28
PNM RESOURCES INC 3.25% 03/09/2021
69349HAC1
995000.00000000
PA
USD
1007453.53000000
0.013755719329
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
0.03250000
N
N
N
N
N
N
DISNEY (WALT) CO
549300GZKULIZ0WOW665
DISNEY (WALT) CO FRN 3ML+25 09/01/2021
254687FG6
2211000.00000000
PA
USD
2216761.60000000
0.030267550296
Long
DBT
CORP
US
N
2
2021-09-01
Variable
0.02362380
N
N
N
N
N
N
BROADCOM CORP / BROADCOM CAYMAN FIN LTD
N/A
BROADCOM CORP / BROADCOM CAYMAN FIN LTD 2.2% 01/15/2021
11134LAK5
225000.00000000
PA
USD
224687.56000000
0.003067872532
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
0.02200000
N
N
N
N
N
N
GM FINL AUTOMOBILE LEASING TR 2019-1
N/A
GM FINL AUTOMOBILE LEASING TR 2019-1 3.56% 12/20/2022
36256UAG3
835000.00000000
PA
USD
848107.91000000
0.011580022327
Long
ABS-CBDO
CORP
US
N
2
2022-12-20
Fixed
0.03560000
N
N
N
N
N
N
PRUDENTIAL SHORT TERM CORPORATE BD FD INC
GFJ5W14YU35E0I4FQC77
PGIM Short-Term Corporate Bond A
74441R102
6964555.84500000
NS
USD
77236924.32000000
1.054589041772
Long
EC
RF
US
N
1
N
N
N
FREDDIE MAC WHOLE LOAN SEC TR
N/A
STACR 2018-SPI2 M1 3.82024% 05/25/2048 144A
3137G1CS4
285105.79280000
PA
USD
286949.66000000
0.003917996083
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Variable
0.03814302
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 3/21 #745453
31403DE21
1432.98750000
PA
USD
1448.32000000
0.000019775287
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
0.05500000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 2019-A
N/A
HYUNDAI AUTO RECEIVABLES TRUST 2.67% 12/15/2021
44932NAB6
5000000.00000000
PA
USD
5017012.00000000
0.068502027032
Long
ABS-CBDO
CORP
US
N
2
2021-12-15
Fixed
0.02670000
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
STACR 17-DNA1 M1 1ML+120 7/29
3137G0MC0
287439.92910000
PA
USD
288251.66000000
0.003935773525
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Variable
0.02908000
N
N
N
N
N
N
BANK 2019-BNK19
N/A
BANK 2019-BNK19 2.263% 08/15/2061
06540WBA0
520378.73000000
PA
USD
523507.61000000
0.007147946317
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
0.02263000
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP FRN 3ML+23 03/15/2021
14913Q2H1
5000000.00000000
PA
USD
5000373.65000000
0.068274847846
Long
DBT
CORP
US
N
2
2021-03-15
Variable
0.02348500
N
N
N
N
N
N
BB and T BRH BKG and TR CO GLOBAL BK MEDIUM TERM NT PROGRAM BOOK ENTRY
N/A
BRANCH BANKING and TRUST CO FRN 3ML+45 01/15/20
07330NAP0
5000000.00000000
PA
USD
5002200.00000000
0.068299784736
Long
DBT
CORP
US
N
2
2020-01-15
Variable
0.02450880
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR LLC 5.875% 8/2/21
345397VU4
290000.00000000
PA
USD
303625.45000000
0.004145686473
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
0.05875000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 2.675% 12/15/2019
075887BE8
476000.00000000
PA
USD
476068.13000000
0.006500210067
Long
DBT
CORP
US
N
2
2019-12-15
Fixed
0.02675000
N
N
N
N
N
N
SEMPRA GLOBAL
N/A
SEMPRA GLOBAL CP .0223 01/27/2020
81685LAT2
5000000.00000000
PA
USD
4984365.00000000
0.068056266552
Long
DBT
CORP
US
N
2
2020-01-27
Fixed
0.02230000
N
N
N
N
N
N
SCHLUMBERGER HOLDINGS CORPORATION
529900IKZG65COT1D505
SCHLUMBERGER HOLDINGS CORPORATION 3.75% 05/01/2024 144A
806851AJ0
620000.00000000
PA
USD
652858.72000000
0.008914099803
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
0.03750000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK NA FRN 3ML+60 05/20/2022
17325FAX6
8000000.00000000
PA
USD
8025492.64000000
0.109579668888
Long
DBT
CORP
US
N
2
2022-05-20
Variable
0.02498500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 10/26 #AL2456
3138EJWS3
153755.74330000
PA
USD
159942.54000000
0.002183847317
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.04500000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HANDELSBANKEN AB 3.35% 05/24/2021
86960BAT9
1105000.00000000
PA
USD
1126469.33000000
0.015380755018
Long
DBT
CORP
SE
N
2
2021-05-24
Fixed
0.03350000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.7% 01/15/2023
969457BU3
1665000.00000000
PA
USD
1718919.19000000
0.023470035315
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03700000
N
N
N
N
N
N
EXPEDIA INC DEL
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC 5.95% 8/15/20
30212PAH8
335000.00000000
PA
USD
343865.55000000
0.004695122754
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
0.05950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 5/36 #003850
36202EH36
18851.54680000
PA
USD
20628.95000000
0.000281666635
Long
ABS-MBS
USGA
US
N
2
2036-05-20
Fixed
0.05000000
N
N
N
N
N
N
AMERICAN EXPRESS CR ACC MST TR
N/A
AMERICAN EXPRESS CR ACC MST TR 2.2% 04/15/2025
02582JJN1
740000.00000000
PA
USD
742510.67000000
0.010138202975
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
0.02200000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP FRN 3ML+63 03/09/2020
126650DB3
62000.00000000
PA
USD
62085.23000000
0.000847708577
Long
DBT
CORP
US
N
2
2020-03-09
Variable
0.02732130
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC INC 4.375% 3/15/2023
747262AK9
660000.00000000
PA
USD
683310.73000000
0.009329890001
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04375000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 2.8% 07/20/20
126650CJ7
11000000.00000000
PA
USD
11050626.62000000
0.150884694603
Long
DBT
CORP
US
N
2
2020-07-20
Fixed
0.02800000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC FRN 3ML+25 11/24/2020
05565QDT2
10000000.00000000
PA
USD
10014650.60000000
0.136739530644
Long
DBT
CORP
GB
N
2
2020-11-24
Variable
0.02159500
N
N
N
N
N
N
SHELL INTL FIN B V
213800ITMMKU4Z7I4F78
SHELL INTL FIN B V 2.125% 05/11/2020
822582BG6
5000000.00000000
PA
USD
5006354.85000000
0.068356514847
Long
DBT
CORP
NL
N
2
2020-05-11
Fixed
0.02125000
N
N
N
N
N
N
SUNTRUST BANK
IYDOJBGJWY9T8XKCSX06
SUNTRUST BANK 2.8% 05/17/2022
86787EBE6
965000.00000000
PA
USD
980425.26000000
0.013386676703
Long
DBT
CORP
US
N
2
2022-05-17
Fixed
0.02800000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2018-3
N/A
CARMAX AUTO OWNER TR 2018-3 2.88% 10/15/2021
14313FAB5
1963621.70000000
PA
USD
1968190.65000000
0.026873575169
Long
ABS-CBDO
CORP
US
N
2
2021-10-15
Fixed
0.02880000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 5.5% 09/01/2020
615369AA3
7000000.00000000
PA
USD
7175050.33000000
0.097967772782
Long
DBT
CORP
US
N
2
2020-09-01
Fixed
0.05500000
N
N
N
N
N
N
DELL EQUIP FIN TR 2018-1
N/A
DELL EQUIPMENT FINANCE TRUST 2018-1 A2B 1ML+550 10/22/2020 144A
24704AAC0
2572293.91000000
PA
USD
2575190.06000000
0.035161514284
Long
ABS-CBDO
CORP
US
N
2
2020-10-22
Variable
0.02015630
N
N
N
N
N
N
AMERICAN ELECTRIC POWER CO INC
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER INC 3.65% 12/01/2021
025537AL5
180000.00000000
PA
USD
185686.68000000
0.002535356497
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.03650000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2019-1
N/A
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2019-1 2.58% 04/15/2022
14042WAB6
8775000.00000000
PA
USD
8805516.82000000
0.120230079424
Long
ABS-CBDO
CORP
US
N
2
2022-04-15
Fixed
0.02580000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 3.75% 07/21/2022 144A
453140AE5
1800000.00000000
PA
USD
1853779.10000000
0.025311405677
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
0.03750000
N
N
N
N
N
N
MMAF EQUIP FIN LLC 2017-A
N/A
MMAF EQUIP FIN LLC 2017-A 2.04% 02/16/2022 144A
55315XAC5
192437.24000000
PA
USD
192390.48000000
0.002626889842
Long
ABS-CBDO
CORP
US
N
2
2022-02-16
Fixed
0.02040000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 8/24 #931726
31412QD71
234026.07960000
PA
USD
243287.26000000
0.003321831891
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
0.04500000
N
N
N
N
N
N
SCHLUMBERGER FINANCE CANADA LTD
549300P4EXZFF0LRNF59
SCHLUMBERGER FINANCE CANADA LTD 2.2% 11/20/2020 144A
80685XAA9
5000000.00000000
PA
USD
5011515.10000000
0.068426972638
Long
DBT
CORP
CA
N
2
2020-11-20
Fixed
0.02200000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TR 2019-1
N/A
ALLY AUTO RECEIVABLES TR 2019-1 2.85% 03/15/2022
02004WAB7
5764529.14000000
PA
USD
5783625.30000000
0.078969326093
Long
ABS-CBDO
CORP
US
N
2
2022-03-15
Fixed
0.02850000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTA0L PETROLEUM CORP FRN 3ML+140 08/15/2022
674599CQ6
2050000.00000000
PA
USD
2062227.08000000
0.028157543809
Long
DBT
CORP
US
N
2
2022-08-15
Variable
0.03359880
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 2.94% 04/15/2031 144A
165183BY9
3378599.00000000
PA
USD
3420818.31000000
0.046707679460
Long
ABS-CBDO
CORP
US
N
2
2031-04-15
Fixed
0.02940000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 2.85% 07/25/2022
87165BAQ6
2713000.00000000
PA
USD
2739289.68000000
0.037402122161
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
0.02850000
N
N
N
N
N
N
PLANET FITNESS MASTER ISSUER LLC 18-1A
N/A
PLANET FITNESS MASTER ISSUER LLC 18-1A A2I 4.262% 09/05/2048 144A
72703PAA1
1183050.00000000
PA
USD
1206119.48000000
0.016468294120
Long
ABS-CBDO
CORP
US
N
2
2048-09-05
Fixed
0.04262000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.49% 02/14/2022
02209SBA0
2867000.00000000
PA
USD
2944671.47000000
0.040206394690
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.03490000
N
N
N
N
N
N
EASTERN CREATION II INVESTMENT HOLDINGS LTD
549300POZZMBXFYP2H73
EASTERN CREATN II INV HLDG LTD 2.75% 09/26/2020 REGS
N/A
1380000.00000000
PA
USD
1380607.20000000
0.018850740587
Long
DBT
CORP
VG
N
2
2020-09-26
Fixed
0.02750000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC CP 0% 08/04/2020
3454G0H43
705000.00000000
PA
USD
690751.60000000
0.009431487262
Long
DBT
CORP
US
N
2
2020-08-04
Fixed
0.00000000
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
N/A
NELNET STUDENT LOAN TRUST 3ML+18 03/22/2032
64031QCJ8
795348.43000000
PA
USD
766106.33000000
0.010460376918
Long
ABS-CBDO
CORP
US
N
2
2032-03-22
Variable
0.02338880
N
N
N
N
N
N
THE TORONTO DOMINION BANK
PT3QB789TSUIDF371261
TORONTO DOMINION BANK FRN 3ML+20 01/25/2021
89114QBW7
11565000.00000000
PA
USD
11577622.04000000
0.158080263302
Long
DBT
CORP
CA
N
2
2021-01-25
Variable
0.02179630
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 3.922% 06/01/2021
595017AN4
2185000.00000000
PA
USD
2229962.54000000
0.030447795260
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.03922000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST 2016-1
N/A
MCMLT 2016-1 A1 2.5% 04/57 144A
59980TAA4
114534.60920000
PA
USD
114643.43000000
0.001565335570
Long
ABS-CBDO
CORP
US
N
2
2057-04-25
Fixed
0.02500000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL QUE FRN 3ML+60 12/12/19
06367TPY0
5000000.00000000
PA
USD
5001313.70000000
0.068287683241
Long
DBT
CORP
CA
N
2
2019-12-12
Variable
0.02731630
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FIN II LLC 3.5% 06/25/2021 144A
07274NAA1
855000.00000000
PA
USD
869104.53000000
0.011866709110
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 11/01/2034#1H1218
3128NGAT2
14629.86740000
PA
USD
15338.94000000
0.000209437107
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
0.04691000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 3/36 #745354
31403DBX6
12944.40660000
PA
USD
14586.29000000
0.000199160462
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.05500000
N
N
N
N
N
N
FIDELITY SALEM STREET TRUST
S4W85DGKOEJ24DPRB829
Fidelity Conservative Income Bond Fund - Instl Cl
316146521
16211307.81700000
NS
USD
162923643.56000000
2.224551154213
Long
EC
RF
US
N
1
N
N
N
HONDA AUTO RECEIVABLES 2019-2 OWNER TRUST
N/A
HONDA AUTO RECEIVABLES 2019-2 OWNER TRUST 2.57% 12/21/2021
43815MAB2
5000000.00000000
PA
USD
5018868.00000000
0.068527368761
Long
ABS-CBDO
CORP
US
N
2
2021-12-21
Fixed
0.02570000
N
N
N
N
N
N
SYNCHRONY CREDIT CARD MASTER NOTE TRUST 2014-1
N/A
SYNCHRONY CR CARD MASTER NT TR 2018-1 C 3.36% 03/15/2024
87165LCB5
955000.00000000
PA
USD
961922.41000000
0.013134039729
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
0.03360000
N
N
N
N
N
N
CHEVRON PHIL CHEM LLC /CHEV LP
N/A
CHEVRON PHILLIPS CHEMICAL LLC FRN 3ML+75 05/01/2020 144A
166754AN1
7000000.00000000
PA
USD
7017421.88000000
0.095815521931
Long
DBT
CORP
US
N
2
2020-05-01
Variable
0.02659130
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2016-3
N/A
TPMT 2016-3 2.25% 04/25/2056
89172YAA8
53307.06800000
PA
USD
53149.19000000
0.000725696340
Long
ABS-CBDO
CORP
US
N
2
2056-04-25
Fixed
0.02250000
N
N
N
N
N
N
CITIGROUP FUNDING INC
1T5IE12L1JKQ7SRR0D90
CITIGROUP INC 2.312%/VAR 11/04/2022
17308CC46
6290000.00000000
PA
USD
6302691.02000000
0.086056623070
Long
DBT
CORP
US
N
2
2022-11-04
Variable
0.02312000
N
N
N
N
N
N
COLT 2018-3 MORTGAGE LOAN TRUST
N/A
COLT 2013-3 A2 3.763% 10/26/2048 144A
12596DAB2
252367.31000000
PA
USD
253882.57000000
0.003466499715
Long
ABS-CBDO
CORP
US
N
2
2048-10-26
Fixed
0.03763000
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 1ML+57 01/15/2022
34528QDX9
7054000.00000000
PA
USD
7057005.71000000
0.096355997536
Long
ABS-CBDO
CORP
US
N
2
2022-01-15
Variable
0.02335380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2048#BM5811
3140JAN53
237254.03000000
PA
USD
249218.51000000
0.003402816877
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 3/41 #004979
36202FQ82
13981.38260000
PA
USD
15297.03000000
0.000208864870
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.05000000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW FRN 3ML+44 10/01/2021
20030NCW9
8940000.00000000
PA
USD
8983369.19000000
0.122658466651
Long
DBT
CORP
US
N
2
2021-10-01
Variable
0.02538630
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BK CDA FRN 3ML+30 07/22/2020
78013XRJ9
5000000.00000000
PA
USD
5009175.20000000
0.068395023762
Long
DBT
CORP
CA
N
2
2020-07-22
Variable
0.02253250
N
N
N
N
N
N
LYONDELLBASELL INDS NV
BN6WCCZ8OVP3ITUUVN49
LYONDELLBAS IND 6% 11/15/21 WI
552081AD3
815000.00000000
PA
USD
866144.36000000
0.011826291099
Long
DBT
CORP
NL
N
2
2021-11-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.50% 12/23 #G13617
3128MCG25
12492.55240000
PA
USD
12800.75000000
0.000174780790
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.05500000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH INC 2.616% 06/15/2022
14149YBF4
115000.00000000
PA
USD
116110.44000000
0.001585366050
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.02616000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) FRN 3ML+162.5 01/10/2023
06738EAT2
645000.00000000
PA
USD
652568.00000000
0.008910130327
Long
DBT
CORP
GB
N
2
2023-01-10
Variable
0.03634500
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3ML+120 08/13/2021
674599CV5
2104000.00000000
PA
USD
2116319.59000000
0.028896120193
Long
DBT
CORP
US
N
2
2021-08-13
Variable
0.03154630
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
APPLE INC 2.4% 05/03/2023
037833AK6
735000.00000000
PA
USD
746209.20000000
0.010188702516
Long
DBT
CORP
US
N
2
2023-05-03
Fixed
0.02400000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.4% 09/17/2021
125523AE0
370000.00000000
PA
USD
378141.73000000
0.005163127975
Long
DBT
CORP
US
N
2
2021-09-17
Fixed
0.03400000
N
N
N
N
N
N
IBM CORPORATION
VGRQXHF3J8VDLUA7XE92
IBM CORPORATION 2.875% 11/09/2022
459200JC6
125000.00000000
PA
USD
128108.22000000
0.001749183129
Long
DBT
CORP
US
N
2
2022-11-09
Fixed
0.02875000
N
N
N
N
N
N
UBS BARCLAYS COML MTG TR 2013-C6
549300G1IXWLFE766Q13
UBS BARCLAYS COML MTG TR 2013-C6 A3FL 1ML+79 04/10/2046 144A
90349GAC9
3109985.56000000
PA
USD
3144457.26000000
0.042934259719
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
0.02553250
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC 2.125% 11/03/2020
80283LAP8
570000.00000000
PA
USD
570611.35000000
0.007791098391
Long
DBT
CORP
GB
N
2
2020-11-03
Fixed
0.02125000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
BAIDU INC 3.5% 11/28/22
056752AB4
780000.00000000
PA
USD
799500.00000000
0.010916332393
Long
DBT
CORP
KY
N
2
2022-11-28
Fixed
0.03500000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST 2019-C
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2019-C 2.39% 11/20/2023 144A
80284NAG3
830000.00000000
PA
USD
825934.99000000
0.011277274403
Long
ABS-CBDO
CORP
US
N
2
2023-11-20
Fixed
0.02390000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 08/01/2037#AD0762
31418MZ47
113038.19030000
PA
USD
127044.98000000
0.001734665704
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
N
N
N
N
N
N
GENERAL ELECTRIC CAPITAL CORP
P0H32NFVTA51I1N8SJ31
GENERAL ELEC CAP CORP MTN BE 3.15% 09/07/2022
36962G6F6
555000.00000000
PA
USD
565919.63000000
0.007727037884
Long
DBT
CORP
US
N
2
2022-09-07
Fixed
0.03150000
N
N
N
N
N
N
COMM 2016-CCRE28 MTG TR
N/A
COMM 2016-CR28 A1 MTG TR 1.77% 02/10/2049
12593YBA0
63422.52440000
PA
USD
63256.22000000
0.000863697215
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
0.01770000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 7/25 #890216
31410LAR3
9154.31550000
PA
USD
9562.51000000
0.000130566025
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
STARWOOD MTG RESIDENTIAL TR 2019-INV1
N/A
STARWOOD MTG RESIDENTIAL TR 2019-INV1 2.916% 08/25/2049 144A
85572JAC1
455890.47000000
PA
USD
453926.68000000
0.006197891833
Long
ABS-CBDO
CORP
US
N
2
2049-08-25
Fixed
0.02916000
N
N
N
N
N
N
DEERE JOHN CAPITAL CORP
E0KSF7PFQ210NWI8Z391
DEERE JOHN CAPITAL CORP FRN 3ML+17 10/09/2020
24422EUL1
5000000.00000000
PA
USD
5004490.95000000
0.068331065251
Long
DBT
CORP
US
N
2
2020-10-09
Variable
0.02182000
N
N
N
N
N
N
MERCEDES BENZ MASTER OWNER TR
N/A
MERCEDES BENZ MASTER OWNER TR 1ML+42 05/15/2022 144A
58768UAH6
10000000.00000000
PA
USD
10007929.00000000
0.136647754259
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Variable
0.02185380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 01/01/2024#995766
31416CFF8
78676.32890000
PA
USD
80841.91000000
0.001103811333
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.52% 12/35 #848476
31408DT95
6369.12920000
PA
USD
6629.65000000
0.000090520904
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Variable
0.04303000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK 3ML+54 3/2/20
17401QAH4
15000000.00000000
PA
USD
15010410.00000000
0.204951375755
Long
DBT
CORP
US
N
2
2020-03-02
Variable
0.02677630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 8/24 #931743
31412QEQ8
50387.57730000
PA
USD
52413.81000000
0.000715655499
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.00% 8/22 #G12738
3128MBHP5
4728.98800000
PA
USD
4870.36000000
0.000066499648
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
0.06000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 3.145% 07/31/2020 144A
05578AAL2
5000000.00000000
PA
USD
5038562.60000000
0.068796277829
Long
DBT
CORP
FR
N
2
2020-07-31
Fixed
0.03145000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSO 3.125% 11/21
075887BA6
350000.00000000
PA
USD
356212.07000000
0.004863701511
Long
DBT
CORP
US
N
2
2021-11-08
Fixed
0.03125000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 18-3A A2 1ML+48 01/15/2031 144A
165183BU7
2303157.63000000
PA
USD
2304526.17000000
0.031465883277
Long
ABS-CBDO
CORP
US
N
2
2031-01-15
Variable
0.02245380
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST
N/A
CANADIAN PACER AUTO RECEIVABLES TRUST 2.78% 03/21/2022 144A
13646BAC2
3742839.08000000
PA
USD
3755434.48000000
0.051276511649
Long
ABS-CBDO
CORP
CA
N
2
2022-03-21
Fixed
0.02780000
N
N
N
N
N
N
GS MTG SECS CORP TR 2019
5493005BBCF84ICNQ550
GS MTG SECS CORP TR 2019 2.236% 07/10/2052
36257HBL9
1751841.99000000
PA
USD
1758862.85000000
0.024015424020
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
0.02236000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST 2019-B
N/A
JOHN DEERE OWNER TR 2019-B 2.28% 05/16/2022
477870AB5
4073000.00000000
PA
USD
4082265.26000000
0.055739042520
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.02280000
N
N
N
N
N
N
DUKE ENERGY CORP NEW
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP NEW FRN 3ML+50 05/14/2021 144A
26441CBA2
7000000.00000000
PA
USD
7024719.38000000
0.095915161626
Long
DBT
CORP
US
N
2
2021-05-14
Variable
0.02409250
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-1
N/A
AMCAR 2017-1 C 2.71% 08/22
03065FAF9
240000.00000000
PA
USD
241576.20000000
0.003298469165
Long
ABS-CBDO
CORP
US
N
2
2022-08-18
Fixed
0.02710000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AIG INTL 6.4% 12/15/20
026874BW6
2010000.00000000
PA
USD
2098369.77000000
0.028651034262
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.06400000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.738%/VAR 01/23/2022
06051GGY9
830000.00000000
PA
USD
835817.04000000
0.011412203412
Long
DBT
CORP
US
N
2
2022-01-23
Variable
0.02738000
N
N
N
N
N
N
EXPRESS SCRIPTS HLDG CO
5493003UA6VMND084504
EXPRESS SCRIPTS HLDG CO FRN 3ML+75 11/30/20
30219GAS7
14665000.00000000
PA
USD
14667074.51000000
0.200263490413
Long
DBT
CORP
US
N
2
2020-11-30
Variable
0.02663750
N
N
N
N
N
N
VOLVO FINL EQUIP LLC SER 2019-1
N/A
VOLVO FINL EQUIP LLC SER 2019-1 2.9% 11/15/2021 144A
92888DAB1
3600000.00000000
PA
USD
3614929.92000000
0.049358069523
Long
ABS-CBDO
CORP
US
N
2
2021-11-15
Fixed
0.02900000
N
N
N
N
N
N
NORDEA BANK AG MEDIUM TERM NTS BOOK ENTRY
N/A
NORDEA BANK AB FRN 3ML+47 5/29/20 144A
65557CAW3
12000000.00000000
PA
USD
12023053.56000000
0.164162162652
Long
DBT
CORP
SE
N
2
2020-05-29
Variable
0.02383750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 01/01/2038#A71375
3128L4Q49
2146.26440000
PA
USD
2477.61000000
0.000033829161
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
KKR CLO 13 LTD / KKR CLO 13 LLC
N/A
KKR CLO 13 A1R 3ML+80 01/16/2028 144A
48250VAU1
1620000.00000000
PA
USD
1609573.68000000
0.021977037275
Long
ABS-CBDO
CORP
KY
N
2
2028-01-16
Variable
0.02800880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 4/25 #AD3831
31418RHH7
4644.39200000
PA
USD
4848.62000000
0.000066202811
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
BLACKROCK FDS II
N/A
BlackRock Low Duration Bond Inv A
09260B523
41212588.58900000
NS
USD
396877228.11000000
5.418941515066
Long
EC
RF
US
N
1
N
N
N
BMW VEH LEASE TR 2018-1
N/A
BMW VEH LEASE TR 2018-1 2.97% 12/21/2020
05586CAB0
2594657.75000000
PA
USD
2600480.94000000
0.035506834675
Long
ABS-CBDO
CORP
US
N
2
2020-12-21
Fixed
0.02970000
N
N
N
N
N
N
AMERICAN EXPRESS CREDIT CORP
9ET6B8VCXWW51H8Z3M54
AMERICAN EXPRESS CREDIT CORP FRN 3ML+43 03/03/20
0258M0EF2
15000000.00000000
PA
USD
15010399.50000000
0.204951232389
Long
DBT
CORP
US
N
2
2020-03-03
Variable
0.02567630
N
N
N
N
N
N
SLM STUDENT LN TR
GX18J72G8XB30P3MQA62
SLM STUDENT LN TR 3ML+47 12/27
78442GJG2
3592797.29000000
PA
USD
3592755.97000000
0.049055307536
Long
ABS-CBDO
CORP
US
N
2
2027-12-15
Variable
0.02588500
N
N
N
N
N
N
HALCYON LOAN ADVISORS FUNDING 2014-3 LTD
N/A
HLA 2014-3A B1R MTGE 3ML+170 10/22/25 144A
40538FAS2
745000.00000000
PA
USD
746155.50000000
0.010187969299
Long
ABS-MBS
CORP
KY
N
2
2025-10-22
Variable
0.03653250
N
N
N
N
N
N
VOLKSWAGEN AUTO LN ENHANCED TR 2018-1
N/A
VOLKSWAGEN AUTO LN ENHANCED TR 2018-1 A2B 1ML+0 07/20/2021
92868LAC5
2401268.61000000
PA
USD
2401309.19000000
0.032787353716
Long
ABS-CBDO
CORP
US
N
2
2021-07-20
Variable
0.01903630
N
N
N
N
N
N
JD COM INC
549300HVTWB0GJZ16V92
JD.COM 3.125% 04/29/2021
47215PAB2
2645000.00000000
PA
USD
2661531.25000000
0.036340412507
Long
DBT
CORP
KY
N
2
2021-04-29
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 04/01/2034#BM5721
3140JALB2
383971.71000000
PA
USD
399351.01000000
0.005452718407
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03500000
N
N
N
N
N
N
BAIRD FDS INC
5493001CJOVRFMYFIJ62
Baird Short-Term Bond Inst
057071409
20855913.66900000
NS
USD
203762276.55000000
2.782159774848
Long
EC
RF
US
N
1
N
N
N
PIMCO ETF TR
3JA8FFHDP0WD6S8AJT23
PIMCO Enhanced Short Maturity Active ETF
72201R833
3214025.00000000
NS
USD
327059184.00000000
4.465649486873
Long
EC
RF
US
N
1
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2019-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2019-3 2.17% 01/18/2023
03066NAB0
3340000.00000000
PA
USD
3343359.71000000
0.045650063669
Long
ABS-CBDO
CORP
US
N
2
2023-01-18
Fixed
0.02170000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 05/01/2033#MA3364
31418CW26
638915.55000000
PA
USD
662908.87000000
0.009051324041
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03500000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL QUE FRN 3ML+ 06/15/2020
06367TYM6
11600000.00000000
PA
USD
11624383.20000000
0.158718737805
Long
DBT
CORP
CA
N
2
2020-06-15
Variable
0.02558500
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP FRN 3ML+30 03/08/2021
14913Q2Z1
5000000.00000000
PA
USD
5006075.00000000
0.068352693789
Long
DBT
CORP
US
N
2
2021-03-08
Variable
0.02412380
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK AS (UNGTD) 5% 01/12/2022 144A
23636AAS0
1050000.00000000
PA
USD
1102353.29000000
0.015051475832
Long
DBT
CORP
DK
N
2
2022-01-12
Fixed
0.05000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2019-3
N/A
AMERICAN CR ACCEP RECEIVABLES TR 2019-3 A 2.44% 12/12/2022 144A
02529NAA5
2404179.77000000
PA
USD
2407665.35000000
0.032874140402
Long
ABS-CBDO
CORP
US
N
2
2022-12-12
Fixed
0.02440000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES 2.9% 11/30/2021
002824BD1
1075000.00000000
PA
USD
1094410.64000000
0.014943027293
Long
DBT
CORP
US
N
2
2021-11-30
Fixed
0.02900000
N
N
N
N
N
N
FIDELITY SALEM STREET TRUST
S4W85DGKOEJ24DPRB829
Fidelity Short-Term Bond Fund
316146208
60127164.65000000
NS
USD
523106332.46000000
7.142467294636
Long
EC
RF
US
N
1
N
N
N
AON CORP2
LTS3U8DGK38SETRUWX71
AON CORP 5% 9/30/20
037389AW3
4135000.00000000
PA
USD
4236524.30000000
0.057845287617
Long
DBT
CORP
US
N
2
2020-09-30
Fixed
0.05000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 2017-4A A2 1ML+34 11/15/2029 144A
165183BF0
1774766.03400000
PA
USD
1773429.64000000
0.024214318231
Long
ABS-CBDO
CORP
US
N
2
2029-11-15
Variable
0.02105380
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 2.4% 10/30/2020
14040HBR5
615000.00000000
PA
USD
616991.15000000
0.008424365824
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
0.02400000
N
N
N
N
N
N
DEERE JOHN CAPITAL CORP
E0KSF7PFQ210NWI8Z391
DEERE JOHN CAPITAL CORP MTN FRN 3ML+42 07/10/2020
24422EUN7
5000000.00000000
PA
USD
5011846.60000000
0.068431498922
Long
DBT
CORP
US
N
2
2020-07-10
Variable
0.02429500
N
N
N
N
N
N
BABSON CLO LTD 2013-I
N/A
BABSON CLO LTD 2013-I 3ML+80 01/20/2028 144A
06760EAA4
1525000.00000000
PA
USD
1522097.93000000
0.020782647828
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Variable
0.02765880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 12/01/2024#AC6942
31417TWC8
33901.06300000
PA
USD
35350.75000000
0.000482677345
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.04500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 2.7% 02/03/2020
87165BAE3
3250000.00000000
PA
USD
3251538.19000000
0.044396337299
Long
DBT
CORP
US
N
2
2020-02-03
Fixed
0.02700000
N
N
N
N
N
N
FIDELITY NATL INFORMN SVCS INC
6WQI0GK1PRFVBA061U48
FIDELITY NATL INFORMN SVCS INC 2.25% 08/15/2021
31620MAS5
1380000.00000000
PA
USD
1384535.11000000
0.018904372070
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
0.02250000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3ML+65 09/17/2021
125523AB6
5165000.00000000
PA
USD
5166157.27000000
0.070538448973
Long
DBT
CORP
US
N
2
2021-09-17
Variable
0.02789380
N
N
N
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 4.125% 07/15/2023
78448TAD4
200000.00000000
PA
USD
210599.27000000
0.002875511736
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
0.04125000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 2.35% 09/15/2024
776743AH9
365000.00000000
PA
USD
364759.39000000
0.004980406184
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.02350000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 02/28/2021
912828P87
10000000.00000000
PA
USD
9929296.90000000
0.135574115559
Long
DBT
UST
US
N
2
2021-02-28
Fixed
0.01125000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2019-AGLN
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-AGLN 1ML+95 03/15/2034 144A
61691TAA0
3558000.00000000
PA
USD
3557985.77000000
0.048580556992
Long
ABS-MBS
CORP
US
N
2
2034-03-15
Variable
0.02715380
N
N
N
N
N
N
OCP CLO 2015-10 LTD / OCP CLO 2015-10 CORP
254900FZYL5HDKV64882
OCP CLO 2015-10 LTD / OCP CLO 2015-10 CORP A1R 3ML+82 10/26/2027 144A
67092DAL3
1385000.00000000
PA
USD
1383293.68000000
0.018887421648
Long
ABS-CBDO
CORP
KY
N
2
2027-10-26
Variable
0.02755630
N
N
N
N
N
N
SIERRA TIMESHARE 2017-1 RECEIVABLES FDG LLC
N/A
SRFC 2017-1A A 2.91% 03/34 144A
82652KAA2
84132.95820000
PA
USD
84882.93000000
0.001158987214
Long
ABS-CBDO
CORP
US
N
2
2034-03-20
Fixed
0.02910000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS LTD
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS LTD 4.5% 03/15/2023 144A
70014LAC4
435000.00000000
PA
USD
455532.00000000
0.006219810791
Long
DBT
CORP
KY
N
2
2023-03-15
Fixed
0.04500000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-1
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-1 3.13% 01/18/2023
03065FAG7
1330000.00000000
PA
USD
1348743.16000000
0.018415670603
Long
ABS-CBDO
CORP
US
N
2
2023-01-18
Fixed
0.03130000
N
N
N
N
N
N
JABIL INC
5493000CGCQY2OQU7669
JABIL INC 5.625% 12/15/2020
466313AF0
485000.00000000
PA
USD
500517.57000000
0.006834041479
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.05625000
N
N
N
N
N
N
CNH EQUIP TR 2019-C
N/A
CNH EQUIPMENT TRUST 2019-C 1.99% 03/15/2023
12597CAB3
1322000.00000000
PA
USD
1321779.09000000
0.018047504561
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.01990000
N
N
N
N
N
N
PNC BK N A PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
PNC BK NA PITTSBURGH PA MTN FRN 3ML+35 03/12/2021
69353RFM5
7000000.00000000
PA
USD
7005016.55000000
0.095646140186
Long
DBT
CORP
US
N
2
2021-03-12
Variable
0.02481630
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.60% 6/38 #1G2860
3128QTE91
34359.44280000
PA
USD
35706.44000000
0.000487533918
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Variable
0.04500000
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL FDG MEDIUM TERM NTS BOOK ENTRY 144A
635400EVYITCJYWL2I50
PROTECTIVE LIFE GLOBAL FRN 3ML+37 07/13/2020 144A
74368CAN4
7000000.00000000
PA
USD
7011844.70000000
0.095739371399
Long
DBT
CORP
US
N
2
2020-07-13
Variable
0.02370880
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TR 2019-B
N/A
SANTANDER RETAIL AUTO LEASE TR 2019-B 2.77% 08/21/2023 144A
80281GAG1
690000.00000000
PA
USD
694750.65000000
0.009486090088
Long
ABS-CBDO
CORP
US
N
2
2023-08-21
Fixed
0.02770000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/30#AS4509
3138WEAK5
28100.45810000
PA
USD
28896.31000000
0.000394548749
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/46#AL9107
3138ERDM9
2092551.94300000
PA
USD
2250027.36000000
0.030721759293
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
VERIZON OWNER TR 2016-2
N/A
VZOT 2016-2A C 2.36% 05/21 144A
92348MAC3
600000.00000000
PA
USD
600145.92000000
0.008194361910
Long
ABS-CBDO
CORP
US
N
2
2021-05-20
Fixed
0.02360000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC FRN 3ML+67 07/30/2021 144A
05369AAE1
1427000.00000000
PA
USD
1424211.19000000
0.019446107252
Long
DBT
CORP
US
N
2
2021-07-30
Variable
0.02605500
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP A 1ML+85 06/15/2035 144A
61768FAA8
5790000.00000000
PA
USD
5768290.40000000
0.078759944147
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.02615380
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO MTN 2.6% 07/22/2020
94974BGM6
5000000.00000000
PA
USD
5020499.45000000
0.068549644497
Long
DBT
CORP
US
N
2
2020-07-22
Fixed
0.02600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.0% 08/01/2021#J03203
3128PERY6
1431.40310000
PA
USD
1468.37000000
0.000020049049
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
0.06000000
N
N
N
N
N
N
AMERICAN AIRLINES 2017-2B CLASS B PASS THROUGH TRUST
N/A
AMERICAN AIRLINES 2017-2B CLASS B PASS THROUGH TRUST 3.7% 04/15/2027
02377DAA0
661705.74160000
PA
USD
671906.00000000
0.009174170397
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 11/01/2026#AJ5340
3138AW5A7
285282.53270000
PA
USD
295817.50000000
0.004039077120
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.03500000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 2.5% 09/24/2021 144A
928668AX0
1805000.00000000
PA
USD
1814675.27000000
0.024777483968
Long
DBT
CORP
US
N
2
2021-09-24
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.0% 12/01/2023#G13378
3128MB6P7
133364.18640000
PA
USD
138242.51000000
0.001887556210
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.05000000
N
N
N
N
N
N
2020-01-16
Stacie M. Smith
Stacie M. Smith
Stacie M. Smith
President and Treasurer