0001752724-21-004723.txt : 20210120
0001752724-21-004723.hdr.sgml : 20210120
20210120140604
ACCESSION NUMBER: 0001752724-21-004723
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201130
FILED AS OF DATE: 20210120
PERIOD START: 20210531
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: 21538391
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
XXXXXXXX
S000035122
C000108059
Fidelity Rutland Square Trust II
811-21991
0001364924
1KZ3JN58GDRI3EZKKG06
245 Summer Street
Boston
02210
1-800-FIDELITY
Strategic Advisers Short Duration Fund
S000035122
EYHV2YUODIOTIT965C53
2021-05-31
2020-11-30
N
5781092575.27
248906377.70
5532186197.57
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2522998.30000000
0.00000000
0.00000000
1331757.11000000
USD
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2050#BS9717
3617MLYN1
110440.82000000
PA
USD
121996.81000000
0.002205218798
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 11/39 #004578
36202FCP9
300265.80110000
PA
USD
346018.47000000
0.006254642516
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
0.05000000
N
N
N
N
N
N
PANASONIC CORP
254900GE1G59KGWPHX32
PANASONIC CORP 2.536% 07/19/2022
69832AAA4
785000.00000000
PA
USD
807741.82000000
0.014600770674
Long
DBT
CORP
JP
N
2
2022-07-19
Fixed
0.02536000
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
783522.13000000
0.014162974672
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 5.00% 4/38 #974532
31414SED1
8753.14040000
PA
USD
10066.72000000
0.000181966398
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
0.05000000
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
542289.99000000
PA
USD
539789.11000000
0.009757247690
Long
ABS-CBDO
CORP
US
N
2
2059-06-25
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 09/01/2034#A26586
31297EJ72
3456.77930000
PA
USD
4045.27000000
0.000073122448
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.06000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
GENERAL MOTORS CO 4.875% 10/02/2023
37045VAE0
730000.00000000
PA
USD
806904.89000000
0.014585642297
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
0.04875000
N
N
N
N
N
N
NEXTERA ENERGY CAP HLDGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAP HLDGS INC 2.403% 09/01/2021
65339KAS9
11475000.00000000
PA
USD
11653195.50000000
0.210643587974
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
0.02403000
N
N
N
N
N
N
VOLKSWAGEN AUTO LEASE TRUST 2020-A
N/A
VOLKSWAGEN AUTO LEASE TRUST 2020-A 0.27% 04/20/2023
92868VAB5
10000000.00000000
PA
USD
9999334.00000000
0.180748327024
Long
ABS-CBDO
CORP
US
N
2
2023-04-20
Fixed
0.00270000
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
501001.88000000
0.009056128302
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
0.03813000
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
159174.17790000
PA
USD
160186.19000000
0.002895531427
Long
ABS-CBDO
CORP
US
N
2
2057-12-25
Variable
0.02976000
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
1014032.87000000
PA
USD
1035501.97000000
0.018717771474
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.02709860
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 09/20/2049#MA6156
36179UZV7
388122.92000000
PA
USD
418980.75000000
0.007573511357
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 4/36 #745418
31403DDX4
17704.90680000
PA
USD
20602.82000000
0.000372417327
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.05500000
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
548255.03000000
0.009910277970
Long
ABS-CBDO
CORP
US
N
2
2023-09-20
Fixed
0.03410000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC 1.7% 05/12/2022
06739GCR8
1790000.00000000
PA
USD
1821736.70000000
0.032929779203
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
0.01700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 7/25 #890216
31410LAR3
6225.69550000
PA
USD
6571.36000000
0.000118784143
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
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
3590000.00000000
PA
USD
3794485.83000000
0.068589264614
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
0.04464000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 9/35 #G01899
3128LXDC1
24955.39400000
PA
USD
29379.05000000
0.000531056782
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.06000000
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
960993.68000000
0.017370956899
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
0.03360000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.625% 05/15/2024
110122DB1
160000.00000000
PA
USD
175532.78000000
0.003172936949
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03625000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 4.125% 02/15/2021
88732JAX6
6234000.00000000
PA
USD
6244647.17000000
0.112878470589
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
0.04125000
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
680000.00000000
PA
USD
678389.76000000
0.012262598108
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Variable
0.01368380
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
138174.16000000
0.002497641168
Long
DBT
CORP
AU
N
2
2022-11-01
Fixed
0.03000000
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
619894.86000000
0.011205242156
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
0.01960000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL A 1ML+85 10/15/2036 144A
056054AA7
5211645.00000000
PA
USD
5211643.96000000
0.094205866792
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01060880
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP 1.3% 05/07/2022
855244AY5
1195000.00000000
PA
USD
1210458.95000000
0.021880300242
Long
DBT
CORP
US
N
2
2022-05-07
Fixed
0.01300000
N
N
N
N
N
N
TESLA 2020-A
N/A
TESLA 2020-A 0.68% 12/20/2023 144A
88167HAC0
2527000.00000000
PA
USD
2540623.31000000
0.045924399853
Long
ABS-CBDO
CORP
US
N
2
2023-12-20
Fixed
0.00680000
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
1573279.65000000
0.028438660482
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.02300000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTL NV 4.25% 09/14/2023
29278GAH1
980000.00000000
PA
USD
1074893.34000000
0.019429811318
Long
DBT
CORP
NL
N
2
2023-09-14
Fixed
0.04250000
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
4547924.55000000
0.082208450467
Long
DBT
CORP
US
N
2
2021-12-29
Variable
0.01417880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 12ML+1.7 5/38 #908482
31411HJ35
7891.97160000
PA
USD
8247.06000000
0.000149074158
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Variable
0.03788000
N
N
N
N
N
N
CONNECTICUT ST
N/A
CT ST 2% 7/1/2023
20772KJV2
115000.00000000
PA
USD
119119.30000000
0.002153204822
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
0.02000000
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
935571.35000000
0.016911421933
Long
ABS-CBDO
CORP
US
N
2
2024-03-20
Fixed
0.02970000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.826% 10/33 #763199
31404A3G7
32413.43090000
PA
USD
33437.60000000
0.000604419280
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.02063000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+143 05/15/2036 144A
12653VAE6
1015000.00000000
PA
USD
1013072.41000000
0.018312333927
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01570880
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
468086.48000000
0.008461148328
Long
ABS-CBDO
CORP
US
N
2
2023-12-20
Fixed
0.03690000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PART 4% 7/01/22
958254AB0
1800000.00000000
PA
USD
1831500.00000000
0.033106260971
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.04000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP FDG SWITZ AG FRN 3ML+178 04/14/2021 144A
90351DAE7
5000000.00000000
PA
USD
5031131.30000000
0.090942913349
Long
DBT
CORP
CH
N
2
2021-04-14
Variable
0.02004130
N
N
N
N
N
N
CNH EQUIP TR 2019-C
N/A
CNH EQUIPMENT TRUST 2019-C 1.99% 03/15/2023
12597CAB3
668740.43000000
PA
USD
672903.81000000
0.012163433875
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.01990000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY FRN SOFR+83 06/10/2022
6174468H5
5000000.00000000
PA
USD
5011735.30000000
0.090592310544
Long
DBT
CORP
US
N
2
2022-06-10
Variable
0.00915790
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
5040978.65000000
0.091120914408
Long
DBT
CORP
FR
N
2
2021-04-13
Fixed
0.02500000
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
898917.85430000
PA
USD
901223.49000000
0.016290548759
Long
ABS-CBDO
CORP
US
N
2
2022-02-15
Fixed
0.02280000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES 2020-A OWNER TR
N/A
NISSAN AUTO RECEIVABLES 2020-A OWNER TR 1.38% 12/16/2024
65479MAC0
425000.00000000
PA
USD
432382.29000000
0.007815758084
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
0.01380000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 10/33 #254903
31371LDG1
385208.18780000
PA
USD
438001.55000000
0.007917332033
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.05000000
N
N
N
N
N
N
HPEFS EQUIP TR 2020-1
N/A
HPEFS EQUIP TR 2020-1 1.73% 02/20/2030 144A
40438FAB0
3564225.17000000
PA
USD
3588611.24000000
0.064867867997
Long
ABS-CBDO
CORP
US
N
2
2030-02-20
Fixed
0.01730000
N
N
N
N
N
N
MOLSON COORS BEVERAGE CO
54930073LBBH6ZCBE225
MOLSON COORS BRW CO 3.5% 5/22
60871RAC4
3209000.00000000
PA
USD
3340027.77000000
0.060374464103
Long
DBT
CORP
US
N
2
2022-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/39#AL7319
3138EQDZ2
172822.90850000
PA
USD
197295.20000000
0.003566315249
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
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
10554.11100000
PA
USD
10529.96000000
0.000190339942
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
0.02813000
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
5012105.25000000
0.090598997774
Long
DBT
CORP
US
N
2
2021-09-10
Variable
0.00509500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/37 #906064
31411ETV9
5057.75440000
PA
USD
6052.49000000
0.000109405030
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.06000000
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
847561.56000000
0.015320553750
Long
ABS-CBDO
CORP
US
N
2
2023-11-20
Fixed
0.02390000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AIG INTL 6.4% 12/15/20
026874BW6
2010000.00000000
PA
USD
2014442.10000000
0.036413129060
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.06400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.77% 8/37 #949782
31413MUF2
1635.02260000
PA
USD
1715.72000000
0.000031013417
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Variable
0.02620000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.5% 04/01/2025
38141GXJ8
1005000.00000000
PA
USD
1113390.36000000
0.020125684860
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.03500000
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
555402.22420000
PA
USD
558473.15000000
0.010094981080
Long
ABS-CBDO
CORP
US
N
2
2049-06-25
Fixed
0.03299000
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
7523580.38000000
0.135996514059
Long
DBT
CORP
US
N
2
2021-11-01
Variable
0.00644380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/37 #888608
31410GGR8
10313.85380000
PA
USD
12274.58000000
0.000221875756
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2049#MA5711
36179UKY7
164362.31000000
PA
USD
177789.53000000
0.003213730045
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
0.04500000
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
3220639.14000000
0.058216390862
Long
DBT
CORP
US
N
2
2021-03-19
Variable
0.00977380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2047#AL9717
3138ERYP9
444071.88000000
PA
USD
481542.44000000
0.008704378753
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY .56/VAR 11/10/2023
6174468T9
6170000.00000000
PA
USD
6174277.78000000
0.111606470923
Long
DBT
CORP
US
N
2
2023-11-10
Variable
0.00560000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2045#FM2792
3140X6C66
104087.86000000
PA
USD
120341.82000000
0.002175303138
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.05000000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
549300P6OXWKM20QS303
SILVERSTONE MASTER ISSUER PLC STEP 01/21/2070 144A
82846GAV2
3610800.02900000
PA
USD
3618433.26000000
0.065406931921
Long
ABS-CBDO
CORP
GB
N
2
2070-01-21
Variable
0.00778630
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
1456228.28000000
PA
USD
1445194.44000000
0.026123387543
Long
ABS-CBDO
CORP
KY
N
2
2028-01-16
Variable
0.01030130
N
N
N
N
N
N
FORD CR AUTO OWNER TR 2020-REV2
N/A
FORD CR AUTO OWNER TR 2020-REV2 1.74% 04/15/2033 144A
34532JAC8
570000.00000000
PA
USD
572203.56000000
0.010343172474
Long
ABS-CBDO
CORP
US
N
2
2033-04-15
Fixed
0.01740000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 2.625% 11/17/2021
61746BED4
17214000.00000000
PA
USD
17584144.21000000
0.317851633730
Long
DBT
CORP
US
N
2
2021-11-17
Fixed
0.02625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 3/36 #745354
31403DBX6
9792.44660000
PA
USD
11390.27000000
0.000205890937
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.05500000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2020-INV1
N/A
VERUS SECURITIZATION TR 2020-INV1 1.977% 03/25/2060 144A
92537TAA3
219898.02900000
PA
USD
220834.44000000
0.003991811412
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Fixed
0.01977000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 5/22 #896883
31410TM85
1026.52440000
PA
USD
1054.63000000
0.000019063530
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
0.05500000
N
N
N
N
N
N
CNH EQUIPMENT TRUST 2020
N/A
CNH EQUIPMENT TRUST 2020-A A4 1.51% 04/15/2027
12597PAD0
590000.00000000
PA
USD
609344.68000000
0.011014536717
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
0.01510000
N
N
N
N
N
N
PNC BANK NA PITTSBURGH PA
AD6GFRVSDT01YPT1CS68
PNC BANK NA PITTSBURGH PA 1.743/VAR 02/24/2023
69353RFT0
4078000.00000000
PA
USD
4151341.24000000
0.075039796054
Long
DBT
CORP
US
N
2
2023-02-24
Variable
0.01743000
N
N
N
N
N
N
STACR TRUST 2018-HRP2
N/A
STACR TRUST 2018-HRP2 M2 1ML+125 02/25/2047 144A
35564AAK7
466140.73000000
PA
USD
462162.69000000
0.008354069684
Long
ABS-CBDO
CORP
US
N
2
2047-02-25
Variable
0.01400130
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH INC 3.5% 11/15/2024
14149YBA5
1180000.00000000
PA
USD
1294062.59000000
0.023391522696
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.03500000
N
N
N
N
N
N
DLL SECURITIZATION TRUST 2019
N/A
DLL SECURITIZATION TRUST 2019 2.13% 01/20/2022 144A
23291RAB6
2262718.95000000
PA
USD
2272114.66000000
0.041070827677
Long
ABS-CBDO
CORP
US
N
2
2022-01-20
Fixed
0.02130000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.75% 02/15/2023
110122CY2
605000.00000000
PA
USD
634600.32000000
0.011471058589
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.02750000
N
N
N
N
N
N
HOMEWARD OPPORTUNITIES FD TR 2020-2
N/A
HOMEWARD OPPORTUNITIES FD TR 2020-2 A1 VAR 05/25/2065 144A
43789XAA2
676866.54000000
PA
USD
681193.54000000
0.012313279337
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Variable
0.01657000
N
N
N
N
N
N
PALMER SQUARE CLO 2020-2 LTD / PALMER SQUARE CLO 2020-2 LLC
N/A
PALMER SQUARE CLO 2020-2 LTD / PALMER SQUARE CLO 2020-2 LLC 3ML+170 07/15/2031 144A
69701BAA0
860000.00000000
PA
USD
861588.42000000
0.015574103785
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Variable
0.01903980
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE ENERGY CO 0.55% 11/01/2022
233331BH9
5000000.00000000
PA
USD
5010664.55000000
0.090572955628
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.00550000
N
N
N
N
N
N
MERIT 2020
N/A
MERIT 2020-D 1ML+235 08/15/2037 144A
590027AL2
550000.00000000
PA
USD
551377.64000000
0.009966722382
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.02490880
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
FHLM STRCTRD ACR DBT NTS 1ML+465 10/25/2028
3137G0JU4
751846.75790000
PA
USD
779723.36000000
0.014094307967
Long
ABS-CBDO
USGSE
US
N
2
2028-10-25
Variable
0.04799250
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HANDELSBANKEN AB VCP 3ML+9 07/20/2021
86960LBH2
8000000.00000000
PA
USD
8003557.60000000
0.144672599839
Long
DBT
CORP
SE
N
2
2021-07-20
Variable
0.00308380
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1 1.59% 10/20/2025
03067DAF2
705000.00000000
PA
USD
716158.60000000
0.012945309041
Long
ABS-CBDO
CORP
US
N
2
2025-10-20
Fixed
0.01590000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3% 06/15/2022
87166FAA1
10395000.00000000
PA
USD
10742468.26000000
0.194181249082
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+112 12/15/2029 144A
05607QAN8
794273.03000000
PA
USD
789338.45000000
0.014268110685
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01260880
N
N
N
N
N
N
TOWD PT MTG TR 2016-1
N/A
TPMT 2016-1 A3B 3% 02/25/2055 144A
89172EBJ2
150530.15790000
PA
USD
154106.68000000
0.002785637982
Long
ABS-CBDO
CORP
US
N
2
2055-02-25
Fixed
0.03000000
N
N
N
N
N
N
RELIANCE HLDG USA INC
LW0V2CUWFIITRBI06W51
RELIANCE HLDG 5.4 2/14/22 REGS
N/A
1700000.00000000
PA
USD
1784468.75000000
0.032256122376
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.05400000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2020-A
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 20 A 1.95% 07/17/2023 144A
44935SAC0
2698000.00000000
PA
USD
2744836.47000000
0.049615764400
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
0.01950000
N
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
DIAGEO CAPITAL PLC 1.375% 09/29/2025
25243YBC2
680000.00000000
PA
USD
698706.75000000
0.012629848762
Long
DBT
CORP
GB
N
2
2025-09-29
Fixed
0.01375000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES INC 2.95% 04/01/2025
032654AS4
295000.00000000
PA
USD
321826.99000000
0.005817356439
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.02950000
N
N
N
N
N
N
OBX 2020-EXP2 TR
N/A
OBX 2020-EXP2 TR 3% 05/25/2060 144A
67448VAG5
327140.60000000
PA
USD
333710.73000000
0.006032167358
Long
ABS-CBDO
CORP
US
N
2
2060-05-25
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 2.625% 08/15/2024
126650DE7
335000.00000000
PA
USD
358489.74000000
0.006480073648
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/49#RA1906
3133KHDK9
279113.86000000
PA
USD
303101.46000000
0.005478873074
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.08% 9/35 #1G0873
3128NC6J8
3513.11270000
PA
USD
3670.43000000
0.000066346826
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
0.02216000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.262/VAR 03/13/2023
404280BJ7
3300000.00000000
PA
USD
3414829.47000000
0.061726582368
Long
DBT
CORP
GB
N
2
2023-03-13
Variable
0.03262000
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
355208.09000000
PA
USD
359855.67000000
0.006504764249
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Fixed
0.03468000
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
4083699.01000000
0.073817092631
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Variable
0.00890880
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
6250000.00000000
PA
USD
6301129.69000000
0.113899450686
Long
DBT
CORP
GG
N
2
2021-04-16
Variable
0.02507750
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.2% 11/06/2022
00287YAP4
170000.00000000
PA
USD
178065.59000000
0.003218720116
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
0.03200000
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
1546899.90000000
0.027961819157
Long
DBT
CORP
IL
N
2
2024-11-12
Fixed
0.05000000
N
N
N
N
N
N
GM FINL AUTOMOBILE LEASING TR 2020-1
N/A
GM FINL AUTOMOBILE LEASING TR 2020-1 1.67% 04/20/2022
36259KAB3
9214767.21000000
PA
USD
9260696.37000000
0.167396686215
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.01670000
N
N
N
N
N
N
FORD CR AUTO LEASE TR 2020-A
N/A
FORD CR AUTO LEASE TR 2020-A 1.8% 07/15/2022
34531MAB4
5866824.83000000
PA
USD
5897802.84000000
0.106608899797
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
0.01800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2050#MA4210
31418DVC3
730000.00000000
PA
USD
765311.85000000
0.013833804985
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
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
614473.74000000
0.011107249793
Long
ABS-CBDO
CORP
US
N
2
2022-06-20
Fixed
0.02990000
N
N
N
N
N
N
ELLINGTON FINL MTG TR 2020-1
N/A
ELLINGTON FINL MTG TR 2020-1 2.006% 05/25/2065 144A
31574PAA3
340814.79120000
PA
USD
342956.34000000
0.006199291342
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Fixed
0.02006000
N
N
N
N
N
N
JD.COM INC
549300HVTWB0GJZ16V92
JD.COM 3.125% 04/29/2021
47215PAB2
2645000.00000000
PA
USD
2662357.81000000
0.048124877126
Long
DBT
CORP
KY
N
2
2021-04-29
Fixed
0.03125000
N
N
N
N
N
N
J P MORGAN EXCHANGE-TRADED FD TR
549300IQ1GP3T78IEG61
JPMorgan Ultra-Short Income ETF
46641Q837
3518801.00000000
NS
USD
178719902.79000000
3.230547497994
Long
EC
RF
US
N
1
N
N
N
DLL 2019-2 LLC
N/A
DLL 2019-2 LLC 2.27% 05/20/2022 144A
23342NAB4
912082.42000000
PA
USD
915019.60000000
0.016539927748
Long
ABS-CBDO
CORP
US
N
2
2022-05-20
Fixed
0.02270000
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
15005907.90000000
0.271247339914
Long
DBT
CORP
US
N
2
2022-01-23
Variable
0.00589130
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
255130.76000000
PA
USD
257568.15000000
0.004655811297
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
0.03350000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2020
N/A
CARMAX AUTO OWNER TRUST 1.87% 04/17/2023
14315XAB4
2701764.12000000
PA
USD
2721772.30000000
0.049198855620
Long
ABS-CBDO
CORP
US
N
2
2023-04-17
Fixed
0.01870000
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
554974.77000000
PA
USD
561454.88000000
0.010148878941
Long
ABS-CBDO
CORP
US
N
2
2059-01-25
Fixed
0.03606000
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
233857.94000000
PA
USD
233790.92000000
0.004226013218
Long
ABS-CBDO
CORP
US
N
2
2068-02-27
Variable
0.00420130
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
VALERO ENERGY CORP 1.2% 03/15/2024
91913YBA7
715000.00000000
PA
USD
714866.27000000
0.012921948836
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.01200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/46#AL9107
3138ERDM9
745255.71300000
PA
USD
824911.55000000
0.014911131341
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 3.168% 04/09/2047 144A
78403DAL4
1255000.00000000
PA
USD
1268746.77000000
0.022933913008
Long
ABS-CBDO
CORP
US
N
2
2047-04-09
Fixed
0.03168000
N
N
N
N
N
N
GENERAL ELECTRIC CAPITAL CORP
P0H32NFVTA51I1N8SJ31
GENERAL ELECTRIC CAPITAL CORP 3.15% 09/07/2022
36962G6F6
555000.00000000
PA
USD
580144.66000000
0.010486716088
Long
DBT
CORP
US
N
2
2022-09-07
Fixed
0.03150000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.5% 03/01/2021
00912XAZ7
275000.00000000
PA
USD
276193.50000000
0.004992483805
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.02500000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 3.922% 06/01/2021
595017AN4
2185000.00000000
PA
USD
2220707.97000000
0.040141598469
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.03922000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 02/01/2049#FM1095
3140X4GD2
1264760.72000000
PA
USD
1503873.85000000
0.027184078704
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.06000000
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
200186.02000000
0.003618569817
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
0.02930000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 2/40 #004637
36202FEJ1
19949.18870000
PA
USD
22988.92000000
0.000415548558
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
0.05000000
N
N
N
N
N
N
HPHT FINANCE 17 LTD
549300TYU0354ZWXG128
HPHT FINANCE 17 LTD 2.75% 09/11/2022 REGS
N/A
1235000.00000000
PA
USD
1265155.35000000
0.022868994368
Long
DBT
CORP
KY
N
2
2022-09-11
Fixed
0.02750000
N
N
N
N
N
N
LYB INTERNATIONAL FINANCE III LLC
N/A
LYB INTERNATIONAL FINANCE III LLC 1.25% 10/01/2025
50249AAF0
705000.00000000
PA
USD
711292.77000000
0.012857354120
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.01250000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 3.2% 07/06/2021
37045XBM7
510000.00000000
PA
USD
516333.73000000
0.009333267384
Long
DBT
CORP
US
N
2
2021-07-06
Fixed
0.03200000
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
745649.49000000
0.013478387447
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Fixed
0.02460000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 10/01/2035#735912
31402RR92
35360.50160000
PA
USD
41359.19000000
0.000747610230
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.05500000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2020-1
N/A
VERUS SECURITIZATION TR 2020-1 2.724% 01/25/2060 144A
92536PAE4
669609.42900000
PA
USD
679094.25000000
0.012275332495
Long
ABS-CBDO
CORP
US
N
2
2060-01-25
Fixed
0.02724000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 12/39 #AE0392
31419ANJ2
34984.61240000
PA
USD
41030.52000000
0.000741669179
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.05500000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 2020-C
N/A
HYUNDAI AUTO RECEIVABLES TR 2020-C 0.26% 09/15/2023
44891RAB6
8398000.00000000
PA
USD
8398420.74000000
0.151810160397
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.00260000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3ML+65 09/17/2021
125523AB6
4130000.00000000
PA
USD
4131043.90000000
0.074672900594
Long
DBT
CORP
US
N
2
2021-09-17
Variable
0.00896130
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT MAR21 FVH1
N/A
-211.00000000
NC
USD
-26035.96000000
-0.00047062696
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-03-31
-26566557.79000000
USD
-26035.96000000
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 2.744%/VAR 09/10/2022 144A
853254BQ2
1495000.00000000
PA
USD
1517084.15000000
0.027422868569
Long
DBT
CORP
GB
N
2
2022-09-10
Variable
0.02744000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
OTIS WORLDWIDE CORP FRN 3ML+45 04/05/2023
68902VAG2
3299000.00000000
PA
USD
3299828.41000000
0.059647819002
Long
DBT
CORP
US
N
2
2023-04-05
Variable
0.00684000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONN 2017-C04 2ED2 1ML+110 11/25/2029
30711XMZ4
1373341.35000000
PA
USD
1341450.85000000
0.024248114616
Long
ABS-CBDO
USGSE
US
N
2
2029-11-25
Variable
0.01250130
N
N
N
N
N
N
REESE PK CLO LTD / REESE PK CLO LLC
N/A
REESE PK CLO LTD / REESE PK CLO LLC 3ML+132 10/15/2032 144A
758465AC2
830000.00000000
PA
USD
830000.00000000
0.015003110350
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.00000000
N
N
N
N
N
N
BAIRD FDS INC
5493001CJOVRFMYFIJ62
Baird Short-Term Bond Inst
057071409
14943439.65000000
NS
USD
149135527.71000000
2.695779252251
Long
EC
RF
US
N
1
N
N
N
FWD SECURITIZATION TR 2020-INV1
N/A
FWD SECURITIZATION TR 2020-INV1 A1 2.24% 01/25/2050 144A
302985AA4
1465409.37830000
PA
USD
1495803.58000000
0.027038200208
Long
ABS-CBDO
CORP
US
N
2
2050-01-25
Fixed
0.02240000
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
5087977.63000000
0.091970469689
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Variable
0.00660880
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP FRN 3ML+20 11/12/2021
14913Q3D9
5000000.00000000
PA
USD
5005800.00000000
0.090485023844
Long
DBT
CORP
US
N
2
2021-11-12
Variable
0.00413630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 12/23 #970859
31414NB45
6088.46480000
PA
USD
6365.69000000
0.000115066445
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.05000000
N
N
N
N
N
N
SLM STUDENT LN TR 2007-7
549300IZGFDRVV7YTH38
SLMA 2007-7 A4 3ML+33 1/22
78444EAD1
564958.34750000
PA
USD
541773.30000000
0.009793113981
Long
ABS-CBDO
CORP
US
N
2
2022-01-25
Variable
0.00544750
N
N
N
N
N
N
OBX 2020-EXP1 TR
N/A
OBX 2020-EXP1 TR 1ML+95 02/25/2060 144A
67448TBF1
795858.86400000
PA
USD
797104.14000000
0.014408483581
Long
ABS-CBDO
CORP
US
N
2
2060-02-25
Variable
0.01100130
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP INC FRN 3ML+1.14 10/19/2021
86562MAJ9
6500000.00000000
PA
USD
6558360.32000000
0.118549160960
Long
DBT
CORP
JP
N
2
2021-10-19
Variable
0.01357750
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
1877457.75000000
0.033936994941
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Variable
0.01140880
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
5046705.00000000
0.091224424120
Long
DBT
CORP
JP
N
2
2022-02-28
Variable
0.01164380
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
11522770.00000000
0.208286011867
Long
DBT
CORP
US
N
2
2021-06-25
Variable
0.00625000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.9% 12/08/2021
172967LC3
1495000.00000000
PA
USD
1530327.91000000
0.027662263259
Long
DBT
CORP
US
N
2
2021-12-08
Fixed
0.02900000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY 2.875% 10/01/22
816851AT6
535000.00000000
PA
USD
553562.95000000
0.010006224126
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
0.02875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.976% 07/01/2035#1G0809
3128NC3S1
8050.20160000
PA
USD
8407.57000000
0.000151975542
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.02720000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING 2020-1 LLC
N/A
ENTERPRISE FLEET FINANCING 2020-1 LLC 1.78% 12/22/2025 144A
29373KAB9
7284711.34000000
PA
USD
7397817.41000000
0.133723218015
Long
ABS-CBDO
CORP
US
N
2
2025-12-22
Fixed
0.01780000
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
961526.40000000
0.017380586366
Long
DBT
CORP
CA
N
2
2021-04-13
Variable
0.00684130
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.3% 05/14/21
00287YAU3
850000.00000000
PA
USD
856891.14000000
0.015489195580
Long
DBT
CORP
US
N
2
2021-05-14
Fixed
0.02300000
N
N
N
N
N
N
BMW VEH OWNER TR 2020-A
N/A
BMW VEH OWNER TR 2020-A 0.39% 02/27/2023
09661RAB7
5908000.00000000
PA
USD
5912819.16000000
0.106880335347
Long
ABS-CBDO
CORP
US
N
2
2023-02-27
Fixed
0.00390000
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
791679.35000000
PA
USD
787631.49000000
0.014237255614
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Variable
0.01086880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 12/24 #AC8540
31417VP23
49856.40000000
PA
USD
52382.89000000
0.000946875035
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.04500000
N
N
N
N
N
N
AMERICOLD REALTY TRUST 2020
N/A
AMERICOLD REALTY TRUST 2020 1.28854% 11/15/2025 144A
193051AJ8
1735000.00000000
PA
USD
1734999.31000000
0.031361910970
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Variable
0.01440880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.0% 01/01/2022#880999
31409WX48
1643.04130000
PA
USD
1684.08000000
0.000030441491
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
0.06000000
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
56820.22170000
PA
USD
56865.85000000
0.001027909183
Long
ABS-MBS
CORP
US
N
2
2049-09-15
Fixed
0.01389000
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
1859240.63000000
0.033607701613
Long
DBT
CORP
SA
N
2
2022-04-16
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 8/37 #995024
31416BLD8
84243.38200000
PA
USD
98251.41000000
0.001775996079
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2048#CA2483
3140Q9XM0
1227079.74000000
PA
USD
1349798.64000000
0.024399009574
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO FRN 3ML+60 11/05/2021
025816BZ1
6750000.00000000
PA
USD
6779092.50000000
0.122539123917
Long
DBT
CORP
US
N
2
2021-11-05
Variable
0.00824750
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 03/31/2022
912828ZG8
35500000.00000000
PA
USD
35610937.50000000
0.643704608417
Long
DBT
UST
US
N
2
2022-03-31
Fixed
0.00375000
N
N
N
N
N
N
FIRST NIAGARA FINL GRP INC NEW
W4U8KD36H4XNDYC19F59
FIRST NIAGARA F 7.25% 12/15/21
33582VAC2
515000.00000000
PA
USD
550593.81000000
0.009952553842
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
0.07250000
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
4722846.04000000
0.085370337717
Long
DBT
CORP
US
N
2
2022-03-03
Variable
0.00731130
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.0% 08/01/2021#J03203
3128PERY6
468.97310000
PA
USD
475.49000000
0.000008594974
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 01/01/2024#995766
31416CFF8
31358.78890000
PA
USD
32063.66000000
0.000579583890
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 15YR 5.0% 05/01/2023#AD0364
31418MMN9
4314.87000000
PA
USD
4430.02000000
0.000080077203
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
0.05000000
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
64050.64920000
PA
USD
64846.13000000
0.001172161017
Long
ABS-CBDO
CORP
US
N
2
2057-04-25
Fixed
0.02500000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 3.5% 09/01/25
828807CV7
280000.00000000
PA
USD
308448.36000000
0.005575523834
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.03500000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FEDEX CORP 3.8% 05/15/2025
31428XBY1
570000.00000000
PA
USD
643613.62000000
0.011633983329
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.03800000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
CAS 2017-C05 1ED3 1ML+120 01/30
30711XQA5
583910.35000000
PA
USD
574606.44000000
0.010386607020
Long
ABS-CBDO
USGSE
US
N
2
2030-01-25
Variable
0.01350130
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.776% 04/25/2023
46647PAE6
5200000.00000000
PA
USD
5370576.22000000
0.097078732135
Long
DBT
CORP
US
N
2
2023-04-25
Variable
0.02776000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY FRN 3ML+93 07/22/2022
61744YAJ7
4040000.00000000
PA
USD
4059302.03000000
0.073376091928
Long
DBT
CORP
US
N
2
2022-07-22
Variable
0.01145750
N
N
N
N
N
N
BAIRD FDS INC
5493001CJOVRFMYFIJ62
Baird Ultra Short Bond Institutional
057071722
33588312.36200000
NS
USD
338906071.73000000
6.126078545202
Long
EC
RF
US
N
1
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK AS (UNGTD) 1.226% 06/22/2024 144A
23636AAW1
1610000.00000000
PA
USD
1631836.93000000
0.029497144017
Long
DBT
CORP
DK
N
2
2024-06-22
Fixed
0.01226000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/36 #190370
31368HMT7
3279.62970000
PA
USD
3899.05000000
0.000070479370
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06000000
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
STACR 17-DNA2 M1 1ML+120 10/29
3137G0NW5
242482.61380000
PA
USD
242604.39000000
0.004385325824
Long
ABS-CBDO
USGSE
US
N
2
2029-10-25
Variable
0.01349250
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST 2017-1
N/A
METLIFE SECURITIZATION TR 2017-1 3% 04/25/2055 144A
59166BAA9
349553.27000000
PA
USD
364652.54000000
0.006591472647
Long
ABS-CBDO
CORP
US
N
2
2055-04-25
Fixed
0.03000000
N
N
N
N
N
N
WELLS FARGO BANK NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BK NA SF CA MTN BE 3ML+65 09/09/2022
94988J6A0
1105000.00000000
PA
USD
1119341.65000000
0.020233260595
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.02082000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 FRN 3ML+60 02/26/2021
718546AS3
5033000.00000000
PA
USD
5033457.75000000
0.090984966344
Long
DBT
CORP
US
N
2
2021-02-26
Variable
0.00833000
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
64206.68000000
PA
USD
64115.20000000
0.001158948699
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Variable
0.00900130
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
850422.37000000
0.015372265857
Long
ABS-CBDO
CORP
US
N
2
2022-12-20
Fixed
0.03560000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 2.625% 10/16/2024 144A
83368RAU6
365000.00000000
PA
USD
383327.66000000
0.006929044799
Long
DBT
CORP
FR
N
2
2024-10-16
Fixed
0.02625000
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
247872.55000000
0.004480553277
Long
ABS-CBDO
CORP
US
N
2
2023-03-16
Fixed
0.02520000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP INC
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP INC 2.998% 02/22/2022
606822AL8
5000000.00000000
PA
USD
5160194.35000000
0.093275861760
Long
DBT
CORP
JP
N
2
2022-02-22
Fixed
0.02998000
N
N
N
N
N
N
PIMCO ETF TR
3JA8FFHDP0WD6S8AJT23
PIMCO ETF Trust: PIMCO Enhanced Low Duration Active Exchange-Traded Fund
72201R718
502985.00000000
NS
USD
51309499.85000000
0.927472395497
Long
EC
RF
US
N
1
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P CSTR 05/10/2035 144A
17320QAJ8
560000.00000000
PA
USD
565286.06000000
0.010218131491
Long
ABS-MBS
CORP
US
N
2
2035-05-10
Variable
0.03634830
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP INC
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP INC FRN 3ML+65 07/26/2021
606822AX2
6519000.00000000
PA
USD
6540389.23000000
0.118224314880
Long
DBT
CORP
JP
N
2
2021-07-26
Variable
0.00864750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.50% 10/38 #G05979
3128M76Q4
3040.71490000
PA
USD
3570.84000000
0.000064546634
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
0.05500000
N
N
N
N
N
N
CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV
N/A
CHICAGO ILL TR 1.708% 12/1/2022
16772PCH7
40000.00000000
PA
USD
40293.20000000
0.000728341356
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
0.01708000
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
706301.40000000
PA
USD
727265.20000000
0.013146072348
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.03100000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 06/15/2022
9128286Y1
810000.00000000
PA
USD
829996.88000000
0.015003053952
Long
DBT
UST
US
N
2
2022-06-15
Fixed
0.01750000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TR 2020-A
N/A
HYUNDAI AUTO RECEIVABLES TR 2020-A 1.41% 11/15/2024
44891LAC7
735000.00000000
PA
USD
749421.80000000
0.013546575860
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.01410000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 12/34 #735115
31402QVG3
3114.00000000
PA
USD
3660.32000000
0.000066164078
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.06000000
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
468204.74000000
PA
USD
469375.21000000
0.008484443459
Long
ABS-CBDO
CORP
US
N
2
2021-08-23
Fixed
0.02780000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 10/01/2024#AD0355
31418MMD1
19798.18840000
PA
USD
20762.29000000
0.000375299913
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
0.04500000
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
1572583.03590000
PA
USD
1625001.32000000
0.029373583280
Long
ABS-CBDO
CORP
US
N
2
2036-05-20
Fixed
0.02590000
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
2310343.66000000
0.041761856479
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.02940000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC FRN 3ML+70 04/16/21
370334CB8
6229000.00000000
PA
USD
6239782.40000000
0.112790534829
Long
DBT
CORP
US
N
2
2021-04-16
Variable
0.00770130
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
357874.45000000
PA
USD
362210.81000000
0.006547335846
Long
ABS-CBDO
CORP
US
N
2
2058-04-25
Fixed
0.03479000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.25% 01/15/2023
00914AAD4
810000.00000000
PA
USD
829900.80000000
0.015001317207
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.02250000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.15% 11/19/2021
00287YBH1
11244000.00000000
PA
USD
11434414.67000000
0.206688897691
Long
DBT
CORP
US
N
2
2021-11-19
Fixed
0.02150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 11/23 #995428
31416BYZ5
1686.30740000
PA
USD
1700.99000000
0.000030747157
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/40 #AD6438
31418UEL4
160373.98000000
PA
USD
185267.02000000
0.003348893428
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2020-609M
N/A
J P MORGAN CHASE COML MTG SECS TR 2020-609M 1ML+177 10/15/2033 144A
46652RAG9
995000.00000000
PA
USD
993796.55000000
0.017963902777
Long
ABS-MBS
CORP
US
N
2
2033-10-15
Variable
0.01910880
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1 1.8% 12/18/2025
03067DAG0
690000.00000000
PA
USD
699239.17000000
0.012639472805
Long
ABS-CBDO
CORP
US
N
2
2025-12-18
Fixed
0.01800000
N
N
N
N
N
N
JP MORGAN CHASE COML MTG SEC CORP
N/A
JP MORGAN CHASE CML MTG SEC CO VAR 05/15/2035 144A
12433UAA3
2440000.00000000
PA
USD
2369700.92000000
0.042834800481
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Variable
0.00940880
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
73251.49030000
PA
USD
72849.61000000
0.001316832214
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Variable
0.03823104
N
N
N
N
N
N
CREDIT SUISSE AG NY BRNCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG NY BRNCH 1% 05/05/2023
22550L2D2
6590000.00000000
PA
USD
6678578.23000000
0.120722224297
Long
DBT
CORP
US
N
2
2023-05-05
Fixed
0.01000000
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
231394.01590000
PA
USD
236164.32000000
0.004268914884
Long
ABS-CBDO
CORP
US
N
2
2048-10-25
Fixed
0.04000000
N
N
N
N
N
N
HYUNDAI CAP AMER
549300RIPPWJB5Z0FK07
HYUNDAI CAP AMER 2.85% 11/01/2022 144A
44891ABC0
511000.00000000
PA
USD
529380.67000000
0.009569104348
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.02850000
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
9999117.30000000
0.180744409947
Long
DBT
CORP
US
N
2
2021-01-22
Variable
0.01030750
N
N
N
N
N
N
HILTON GRAND VACATIONS TR 2017-A
N/A
HGVT 17-AA A 2.66% 12/28
43283AAA3
216900.86300000
PA
USD
221833.23000000
0.004009865577
Long
ABS-CBDO
CORP
US
N
2
2028-12-26
Fixed
0.02660000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.0% 01/01/2022#907670
31411GMT6
624.04190000
PA
USD
639.64000000
0.000011562156
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 6/24 #995957
31416CME3
61170.34500000
PA
USD
63667.48000000
0.001150855696
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
0.05000000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC 3.95% 06/15/2023
294429AN5
1090000.00000000
PA
USD
1177568.54000000
0.021285771988
Long
DBT
CORP
US
N
2
2023-06-15
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
20992.21660000
PA
USD
23683.71000000
0.000428107607
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2028#AU6682
3138X6M85
805054.12000000
PA
USD
846333.59000000
0.015298356920
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.03000000
N
N
N
N
N
N
SLM STUDENT LN TR
GX18J72G8XB30P3MQA62
SLM STUDENT LN TR 2003-11 A6 3ML+55 12/25
78442GJS6
1261200.05900000
PA
USD
1260433.88000000
0.022783648904
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Variable
0.00800380
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 1/36 #003805
36202EGN3
10261.11500000
PA
USD
11637.13000000
0.000210353187
Long
ABS-MBS
USGA
US
N
2
2036-01-20
Fixed
0.05000000
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
995779.36000000
0.017999744123
Long
DBT
CORP
US
N
2
2021-03-02
Variable
0.01180880
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
669424.11000000
PA
USD
687629.23000000
0.012429611105
Long
ABS-CBDO
CORP
US
N
2
2057-07-25
Variable
0.02750000
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
296884.60000000
0.005366496885
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
0.05875000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 3% 11/19/2024
418056AX5
1190000.00000000
PA
USD
1281566.79000000
0.023165648158
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
0.03000000
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
404237.08000000
0.007307004239
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
0.03800000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.125% 12/10/2020
225433AK7
5000000.00000000
PA
USD
5003100.00000000
0.090436218545
Long
DBT
CORP
GG
N
2
2020-12-10
Fixed
0.03125000
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
1774961.29000000
0.032084265182
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Variable
0.01490880
N
N
N
N
N
N
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA
LKE37K2B8CFZUR7F9816
CAPITAL ONE BK (USA) NA 2.014%/VAR 01/27/2023
14042TCS4
7000000.00000000
PA
USD
7120567.44000000
0.128711637419
Long
DBT
CORP
US
N
2
2023-01-27
Variable
0.02014000
N
N
N
N
N
N
TOWD PT MTG TR 2019-1
N/A
TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A
89177BAA3
903712.33000000
PA
USD
969613.47000000
0.017526768539
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Variable
0.03723551
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2050#BT2983
3617MRJ47
47398.05000000
PA
USD
52357.55000000
0.000946416988
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
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
1507187.87000000
0.027243983050
Long
DBT
CORP
US
N
2
2021-04-11
Fixed
0.02000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 2.85% 07/25/2022
87165BAQ6
3473000.00000000
PA
USD
3587395.65000000
0.064845894947
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
0.02850000
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
531178.09930000
PA
USD
544022.46000000
0.009833769879
Long
ABS-CBDO
CORP
US
N
2
2034-12-20
Fixed
0.02420000
N
N
N
N
N
N
CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV
N/A
CHICAGO ILL TR 2.064% 12/1/2024
16772PCK0
105000.00000000
PA
USD
106743.00000000
0.001929490371
Long
DBT
MUN
US
N
2
2024-12-01
Fixed
0.02064000
N
N
N
N
N
N
NUTRITION and BIOSCIENCES
N/A
NUTRITION and BIOSCIENCES 0.697% 09/15/2022 144A
67079BAA8
582000.00000000
PA
USD
584091.44000000
0.010558058227
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
0.00697000
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
329352.85000000
PA
USD
329716.65000000
0.005959970221
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.02660000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 3.25% 09/15/2023
11120VAD5
1355000.00000000
PA
USD
1419643.38000000
0.025661525648
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03250000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
GENERAL MOTORS CO 5.4% 10/02/2023
37045VAW0
1130000.00000000
PA
USD
1266133.27000000
0.022886671286
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
0.05400000
N
N
N
N
N
N
GALTON FDG MTG TR 2020-H1
N/A
GALTON FDG MTG TR 2020-H1 3.092% 01/25/2060 144A
36418HAD4
625000.00000000
PA
USD
598139.56000000
0.010811992558
Long
ABS-CBDO
CORP
US
N
2
2060-01-25
Fixed
0.02832000
N
N
N
N
N
N
CHENIERE CORPUS CHRISTI HLD
549300I7CIEWU1BBLQ53
CHENIERE CORPUS CHRISTI HLD 7% 06/30/2024
16412XAD7
1625000.00000000
PA
USD
1873799.70000000
0.033870871895
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
0.07000000
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
732074.18000000
0.013232999647
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
0.02700000
N
N
N
N
N
N
THE TORONTO DOMINION BANK
PT3QB789TSUIDF371261
TORONTO DOMINION BANK 0.75% 06/12/2023
89114QCG1
5000000.00000000
PA
USD
5041292.65000000
0.091126590283
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.00750000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 2.905/VAR 07/24/2023
38141GWM2
10000000.00000000
PA
USD
10398358.30000000
0.187961104862
Long
DBT
CORP
US
N
2
2023-07-24
Variable
0.02905000
N
N
N
N
N
N
VOLKSWAGEN AUTO LEASE TR 2019-A
N/A
VOLKSWAGEN AUTO LEASE TR 2019-A 1.99% 11/21/2022
92867XAD8
2795000.00000000
PA
USD
2838736.44000000
0.051313103692
Long
ABS-CBDO
CORP
US
N
2
2022-11-21
Fixed
0.01990000
N
N
N
N
N
N
NATIONAL BANK OF CANADA
BSGEFEIOM18Y80CKCV46
NATIONAL BANK OF CANADA 0.9%/VAR 08/15/2023
63307A2L8
7000000.00000000
PA
USD
7048863.99000000
0.127415523235
Long
DBT
CORP
CA
N
2
2023-08-15
Variable
0.00900000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-4
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-4 0.26% 11/16/2023
36260KAB0
9590000.00000000
PA
USD
9589630.79000000
0.173342516819
Long
ABS-CBDO
CORP
US
N
2
2023-11-16
Fixed
0.00260000
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
296604.21820000
PA
USD
295052.38000000
0.005333377609
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Variable
0.01036880
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
33138.01630000
PA
USD
33212.33000000
0.000600347291
Long
ABS-CBDO
CORP
US
N
2
2027-02-25
Fixed
0.02530000
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
28097.00000000
PA
USD
28125.98000000
0.000508406242
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.02060000
N
N
N
N
N
N
DR HORTON INC
529900ZIUEYVSB8QDD25
DR HORTON INC 2.55% 12/01/20
23331ABL2
495000.00000000
PA
USD
495000.00000000
0.008947638100
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
0.02550000
N
N
N
N
N
N
SUNOCO LOGISTICS PRTNR OPER LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS PRTNR OPER LP 4.4% 04/01/2021
86765BAR0
765000.00000000
PA
USD
772041.89000000
0.013955457434
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.04400000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.55% 08/15/2022
110122CX4
600000.00000000
PA
USD
632583.83000000
0.011434608442
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.03550000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 3% 8/15/22
15135UAG4
1515000.00000000
PA
USD
1519075.94000000
0.027458872238
Long
DBT
CORP
CA
N
2
2022-08-15
Fixed
0.03000000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 3.75% 07/21/2022 144A
453140AE5
1800000.00000000
PA
USD
1872995.69000000
0.033856338581
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 05/01/2040#AL0474
3138EGQ49
833195.44760000
PA
USD
977913.66000000
0.017676803077
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.05500000
N
N
N
N
N
N
US BANCORP DEL
N1GZ7BBF3NP8GI976H15
US BANCORP MTN 3% 3/15/22
91159HHC7
1530000.00000000
PA
USD
1579750.23000000
0.028555622923
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03000000
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
STACR 15-DNA3 M3 1ML+470 04/28
3137G0GW3
1315161.69000000
PA
USD
1369069.51000000
0.024747350524
Long
ABS-CBDO
USGSE
US
N
2
2028-04-25
Variable
0.04849250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 2/23 #889327
31410KA46
5378.31260000
PA
USD
5516.87000000
0.000099723143
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
0.05500000
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
330812.77670000
PA
USD
334590.43000000
0.006048068847
Long
ABS-CBDO
CORP
US
N
2
2028-12-26
Variable
0.02960000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 2.75% 05/20/2022
025816CD9
5000000.00000000
PA
USD
5165005.55000000
0.093362829188
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
0.02750000
N
N
N
N
N
N
WPP FIN 2010
549300OJB3S151W7KN44
WPP FINANCE 2010 3.625 9/7/22
92936MAC1
310000.00000000
PA
USD
324478.93000000
0.005865293003
Long
DBT
CORP
GB
N
2
2022-09-07
Fixed
0.03625000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC 2.65% 01/11/2021
06739FJJ1
10905000.00000000
PA
USD
10911295.02000000
0.197232967769
Long
DBT
CORP
GB
N
2
2021-01-11
Fixed
0.02650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2048#MA3468
31418C2A1
160202.22000000
PA
USD
173450.37000000
0.003135295230
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04500000
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
1286912.11000000
0.023262270358
Long
DBT
CORP
NL
N
2
2023-06-01
Fixed
0.04625000
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TR 2020-A
N/A
WORLD OMNI SELECT AUTO TR 2020-A 0.84% 06/15/2026
98163DAE8
510000.00000000
PA
USD
511196.72000000
0.009240410603
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.00840000
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
382753.19000000
0.006918660658
Long
DBT
CORP
US
N
2
2022-06-09
Fixed
0.02550000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BK MTN BE 3.25% 02/14/2022
17401QAS0
1015000.00000000
PA
USD
1047661.90000000
0.018937574813
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.03250000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.5% 7/28/21
61747WAL3
10000000.00000000
PA
USD
10333320.40000000
0.186785477403
Long
DBT
CORP
US
N
2
2021-07-28
Fixed
0.05500000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP 2.7% 06/15/2022
855244AG4
435000.00000000
PA
USD
448822.96000000
0.008112940236
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.02700000
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
1161284.82000000
0.020991426870
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Variable
0.01398630
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 05/15/2022
9128286U9
14690000.00000000
PA
USD
15112911.29000000
0.273181537104
Long
DBT
UST
US
N
2
2022-05-15
Fixed
0.02125000
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
1362961.92000000
0.024636949504
Long
ABS-CBDO
CORP
US
N
2
2023-01-18
Fixed
0.03130000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 2.9% 05/15/2025
29278NAP8
255000.00000000
PA
USD
264564.78000000
0.004782282637
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.02900000
N
N
N
N
N
N
THE TORONTO DOMINION BANK
PT3QB789TSUIDF371261
TORONTO DOMINION BANK FRN 3ML+ 12/01/2022
89114QCE6
5000000.00000000
PA
USD
5038463.85000000
0.091075456791
Long
DBT
CORP
CA
N
2
2022-12-01
Variable
0.00776000
N
N
N
N
N
N
SLM STUDENT LN TR
GX18J72G8XB30P3MQA62
SLM STUDENT LN TR 3ML+47 12/27
78442GJG2
2182821.41620000
PA
USD
2182403.84000000
0.039449211614
Long
ABS-CBDO
CORP
US
N
2
2027-12-15
Variable
0.00720380
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
5634830.53000000
0.101855402706
Long
DBT
CORP
US
N
2
2021-04-09
Variable
0.01079500
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 0.35% 07/17/2023
362590AB7
5000000.00000000
PA
USD
5002640.50000000
0.090427912607
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
0.00350000
N
N
N
N
N
N
CITIGROUP MTG LN TR 2020-EXP2
N/A
CITIGROUP MORTGAGE LOAN TRUST INC 2.5% 08/25/2050 144A
17328PAQ6
603057.34000000
PA
USD
621031.28000000
0.011225784126
Long
ABS-CBDO
CORP
US
N
2
2050-08-25
Fixed
0.02500000
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
351922.94170000
PA
USD
358628.13000000
0.006482575191
Long
ABS-CBDO
CORP
US
N
2
2034-03-20
Fixed
0.02910000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 3.625% 04/15/2025
053332AY8
485000.00000000
PA
USD
540220.13000000
0.009765038823
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.03625000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 01/20/2048#MA4965
36179TQS7
155644.33000000
PA
USD
172453.75000000
0.003117280291
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.05000000
N
N
N
N
N
N
TJX COMPANIES INC
V167QI9I69W364E2DY52
TJX COMPANIES INC NEW 3.5% 04/15/2025
872540AR0
770000.00000000
PA
USD
855887.89000000
0.015471060796
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.03500000
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
2519184.25000000
0.045536866620
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Variable
0.01338380
N
N
N
N
N
N
SEQUOIA MTG TR 2018-CH2
N/A
SEQUOIA MTG TR 2018-CH2 A3 4% 06/25/2048 144A
81747EAC1
718976.39000000
PA
USD
739220.25000000
0.013362172269
Long
ABS-CBDO
CORP
US
N
2
2048-06-25
Fixed
0.04000000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2019-INV1
N/A
VERUS SECURITIZATION TR 2019-INV1 A1 VAR 12/25/2059
92537FAA3
413976.66000000
PA
USD
432970.74000000
0.007826394928
Long
ABS-CBDO
CORP
US
N
2
2059-12-25
Variable
0.03402000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2020-5
N/A
VERUS SECURITIZATION TR 2020-5 1.733% 05/25/2065 144A
92538CAC5
438405.28000000
PA
USD
438540.48000000
0.007927073752
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Fixed
0.01733000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 3.125% 11/15/2022
281020AP2
650000.00000000
PA
USD
672238.70000000
0.012151411322
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.03125000
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
541269.77000000
0.009784012154
Long
ABS-CBDO
CORP
US
N
2
2024-01-16
Fixed
0.02790000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.49% 02/14/2022
02209SBA0
1657000.00000000
PA
USD
1721293.16000000
0.031114158101
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.03490000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS VAR 4/23
785592AD8
1085000.00000000
PA
USD
1188436.60000000
0.021482223438
Long
DBT
CORP
US
N
2
2023-04-15
Variable
0.05625000
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
443062.97000000
PA
USD
450386.62000000
0.008141205012
Long
ABS-CBDO
CORP
US
N
2
2059-01-25
Fixed
0.03743000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 09/30/2022
91282CAN1
12080000.00000000
PA
USD
12076696.84000000
0.218298813682
Long
DBT
UST
US
N
2
2022-09-30
Fixed
0.00125000
N
N
N
N
N
N
STACR TRUST 2018-DNA2
N/A
STACR TRUST 2018-DNA2 1ML+80 12/25/2030 144A
35563TAA9
232178.90000000
PA
USD
232132.98000000
0.004196044234
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Variable
0.00949250
N
N
N
N
N
N
GMCAR 2020-1
N/A
GMCAR 2020-2 A3 1.49% 12/16/2024
36258VAD6
335000.00000000
PA
USD
340760.73000000
0.006159603415
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
0.01490000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 05/01/2048#MA5194
36179TXX8
68023.99000000
PA
USD
74839.07000000
0.001352793765
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.05000000
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
11133055.37000000
0.201241515965
Long
DBT
CORP
US
N
2
2021-06-07
Variable
0.01348000
N
N
N
N
N
N
DAIMLER FIN NORTH AMER LLC
549300423Z16BB673J12
DAIMLER FIN NORTH AMER LLC 1.75% 03/10/2023 144A
233851DY7
1800000.00000000
PA
USD
1843744.43000000
0.033327591735
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
0.01750000
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
1414711.48000000
0.025572376443
Long
ABS-CBDO
CORP
US
N
2
2032-04-15
Variable
0.01640880
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AIG INTL GRP 4.875% 6/01/22
026874CU9
675000.00000000
PA
USD
719511.88000000
0.013005923052
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.04875000
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
386929.03000000
0.006994143294
Long
ABS-CBDO
CORP
US
N
2
2059-04-25
Fixed
0.03921000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST 2019-4
N/A
ALLY AUTO RECEIVABLES TRUST 2019-4 1.93% 10/17/2022
02007TAB1
1464760.41000000
PA
USD
1469381.58000000
0.026560595170
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
0.01930000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 9/22 #AD0285
31418MJ78
18.66850000
PA
USD
18.72000000
0.000000338383
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.05000000
N
N
N
N
N
N
EASTERN CREATION II INVESTMENT HOLDINGS LTD
549300POZZMBXFYP2H73
EASTERN CREATION II INV HLDG LTD 1% 09/10/2023 REGS
N/A
1670000.00000000
PA
USD
1661081.70000000
0.030025773549
Long
DBT
CORP
VG
N
2
2023-09-10
Fixed
0.01000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 08/01/2037#AD0762
31418MZ47
90813.74030000
PA
USD
105885.05000000
0.001913982035
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
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
582842.92160000
PA
USD
402162.78000000
0.007269509116
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.03700000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA FRN SOFR+45 10/26/2023
78015K7K4
15000000.00000000
PA
USD
15019548.15000000
0.271493901571
Long
DBT
CORP
CA
N
2
2023-10-26
Variable
0.00534619
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TR 2020-HQA3
N/A
FREDDIE MAC STACR REMIC TR 2020-HQA3 1ML+155 07/25/2050 144A
35565MAA2
470000.00000000
PA
USD
470181.19000000
0.008499012383
Long
ABS-CBDO
CORP
US
N
2
2050-07-25
Variable
0.01699250
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
5578278.83000000
PA
USD
5413549.47000000
0.097855518174
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.00990880
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.6% 08/13/2021
674599CU7
990000.00000000
PA
USD
980100.00000000
0.017716323438
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
0.02600000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.25% 02/20/2023
110122CZ9
185000.00000000
PA
USD
196362.84000000
0.003549461876
Long
DBT
CORP
US
N
2
2023-02-20
Fixed
0.03250000
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
1662854.50000000
0.030057818746
Long
ABS-CBDO
CORP
US
N
2
2023-02-21
Fixed
0.02080000
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
565238.12800000
PA
USD
585947.83000000
0.010591614401
Long
ABS-CBDO
CORP
US
N
2
2058-10-25
Fixed
0.04108000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.5% 09/15/2023
00774MAP0
1095000.00000000
PA
USD
1172325.86000000
0.021191005113
Long
DBT
CORP
IE
N
2
2023-09-15
Fixed
0.04500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 0.85% 11/20/2025
92343VFS8
710000.00000000
PA
USD
712898.87000000
0.012886386042
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
0.00850000
N
N
N
N
N
N
METROPOLITAN WEST FDS
549300APUP7QV16M4J34
Metropolitan West Low Duration Bd M
592905202
17934589.43800000
NS
USD
159617846.00000000
2.885258020963
Long
EC
RF
US
N
1
N
N
N
LLOYDS TSB BANK
N/A
LLOYDS TSB BANK 4.5% 11/04/2024
53944YAA1
480000.00000000
PA
USD
533778.43000000
0.009648598419
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
0.04500000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
STATE STREET CORP 2.825%/VAR 03/30/2023
857477BL6
603000.00000000
PA
USD
622864.79000000
0.011258926720
Long
DBT
CORP
US
N
2
2023-03-30
Variable
0.02825000
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
1110000.00000000
PA
USD
1108684.65000000
0.020040624274
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Variable
0.01268380
N
N
N
N
N
N
MONDELEZ INTERNATIONAL INC
549300DV9GIB88LZ5P30
MONDELEZ INTL INC 0.625% 07/01/2022
609207AV7
6350000.00000000
PA
USD
6380607.00000000
0.115336085448
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.00625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/50#RA2607
3133KH3Q7
377545.33000000
PA
USD
412471.63000000
0.007455852266
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.04500000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.1% 04/01/2025
20030NDJ7
355000.00000000
PA
USD
390393.64000000
0.007056769711
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.03100000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXP CO 2.65% 12/2/22
025816BD0
9500000.00000000
PA
USD
9937127.68000000
0.179623883309
Long
DBT
CORP
US
N
2
2022-12-02
Fixed
0.02650000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 FRN 3ML+62 02/15/2024
718546AX2
10000000.00000000
PA
USD
10007850.00000000
0.180902262552
Long
DBT
CORP
US
N
2
2024-02-15
Variable
0.00840380
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 2.875% 12/01/2024
25278XAL3
2720000.00000000
PA
USD
2834092.25000000
0.051229155143
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.02875000
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
5008406.45000000
0.090532138130
Long
DBT
CORP
US
N
2
2021-12-10
Variable
0.00539500
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 2.6% 11/19/2022
418056AW7
885000.00000000
PA
USD
916163.83000000
0.016560610891
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
0.02600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 1/1/27#AL2645
3138EJ5F1
34619.06350000
PA
USD
36475.13000000
0.000659325783
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5% 12/01/2041#ZS3941
3132A4LW6
500958.83000000
PA
USD
578717.01000000
0.010460909834
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.05000000
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
373563.17000000
0.006752541520
Long
ABS-CBDO
CORP
US
N
2
2023-10-20
Fixed
0.03480000
N
N
N
N
N
N
RALPH LAUREN CORP
HO1QNWM0IXBZ0QSMMO20
RALPH LAUREN CORP 1.7% 06/15/2022
731572AA1
225000.00000000
PA
USD
229523.64000000
0.004148877709
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.01700000
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
2017652.28000000
PA
USD
2005078.27000000
0.036243868127
Long
ABS-CBDO
CORP
KY
N
2
2028-01-18
Variable
0.01017750
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
NEW YORK LIFE GLOBAL FDG FRN 3ML+28 01/10/2023 144A
64952WDM2
6945000.00000000
PA
USD
6956771.98000000
0.125750864695
Long
DBT
CORP
US
N
2
2023-01-10
Variable
0.00504130
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SR MTN 3ML+122 5/22/22 144A
05583JAB8
1605000.00000000
PA
USD
1622655.00000000
0.029331171114
Long
DBT
CORP
FR
N
2
2022-05-22
Variable
0.01432630
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP
RDKVCX5HITZ2GPIR7153
AMERICAN CAMPUS CMNTYS INC 3.75% 03/28/2023
024836AA6
910000.00000000
PA
USD
960011.11000000
0.017353195928
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03750000
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
185888.22000000
0.003360122262
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545759
31385JJC3
40631.52800000
PA
USD
47390.77000000
0.000856637291
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
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
25934.26810000
PA
USD
25892.59000000
0.000468035403
Long
ABS-CBDO
CORP
US
N
2
2044-07-25
Variable
0.02396358
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
3021199.29000000
0.054611308840
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
0.02850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 12ML+1.8 4/38 #956679
31413VJY4
14748.74000000
PA
USD
15494.20000000
0.000280073725
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Variable
0.03615000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TR 2020-1
N/A
MERCEDES-BENZ AUT RC TR 2012-1 0.46% 03/15/2023
58769VAB6
5892000.00000000
PA
USD
5899356.16000000
0.106636977667
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.00460000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 2.099/VAR 06/04/2026
404280CG2
1840000.00000000
PA
USD
1897614.14000000
0.034301342583
Long
DBT
CORP
GB
N
2
2026-06-04
Variable
0.02099000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2018-2
N/A
VERUS SECURITIZATION TR 2018-2 3.779% 06/01/2058 144A
92535TAB3
167301.04460000
PA
USD
168081.07000000
0.003038239567
Long
ABS-CBDO
CORP
US
N
2
2058-06-01
Fixed
0.03779000
N
N
N
N
N
N
AON PLC UK
VVT2B79I2Z4U3R6BY589
AON PLC 2.8% 03/15/2021
00185AAJ3
1320000.00000000
PA
USD
1326874.39000000
0.023984629992
Long
DBT
CORP
GB
N
2
2021-03-15
Fixed
0.02800000
N
N
N
N
N
N
Fidelity Salem Street Trust
S4W85DGKOEJ24DPRB829
FIDELITY SAI SHORT-TERM BOND FUND
31635T674
23409601.41500000
NS
USD
234330110.16000000
4.235759639885
Long
EC
RF
US
N
1
N
N
N
SLM STUDENT LN TR 2008 5
549300SRMXHPGI3BJ386
SLMA 2008-5 A4 3ML+170 7/23
78444YAD7
165607.81840000
PA
USD
165353.23000000
0.002988931031
Long
ABS-CBDO
CORP
US
N
2
2023-07-25
Variable
0.01914750
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 4.5% 04/01/2025
444859BM3
1205000.00000000
PA
USD
1386430.58000000
0.025061169861
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.04500000
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
1132736.53000000
PA
USD
1141724.11000000
0.020637846761
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Fixed
0.03040000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 3.5% 12/29/2020
571748BE1
1135000.00000000
PA
USD
1137712.64000000
0.020565335282
Long
DBT
CORP
US
N
2
2020-12-29
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)MAR21 TYH1
N/A
-162.00000000
NC
USD
-11620.10000000
-0.00021004535
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-03-22
-22372223.65000000
USD
-11620.10000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 2/23 #995431
31416BY44
4719.53880000
PA
USD
4809.80000000
0.000086942120
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
0.05500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 04/30/2022
912828ZM5
7520000.00000000
PA
USD
7520293.73000000
0.135937104454
Long
DBT
UST
US
N
2
2022-04-30
Fixed
0.00125000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 4.2% 03/01/21
37045XBF2
6059000.00000000
PA
USD
6092056.21000000
0.110120230817
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2050#CA7735
3140QFSZ3
264473.49000000
PA
USD
278423.78000000
0.005032798428
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 3.13% 03/15/2023 144A
361886BK9
2500000.00000000
PA
USD
2519628.50000000
0.045544896900
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.03130000
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
590936.24000000
0.010681785082
Long
DBT
CORP
US
N
2
2021-09-21
Fixed
0.03650000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2016-2
N/A
TPMT 16-2 A1A 2.75% 08/55 144A
89172PAJ8
139843.25450000
PA
USD
142685.04000000
0.002579180000
Long
ABS-CBDO
CORP
US
N
2
2055-08-25
Fixed
0.02750000
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
345340.39000000
0.006242385517
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
0.03550000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 4.61%/VAR 02/15/2023
06738EBE4
6000000.00000000
PA
USD
6278400.00000000
0.113488587979
Long
DBT
CORP
GB
N
2
2023-02-15
Variable
0.04610000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2037#1G1921
3128QSD29
5678.29900000
PA
USD
5987.26000000
0.000108225930
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.03377000
N
N
N
N
N
N
CAYUGA PARK CLO LTD
N/A
CAYUGA PARK CLO LTD 2020-1A A 3ML+160 07/17/2031 144A
149791AA3
1020000.00000000
PA
USD
1022568.36000000
0.018483983067
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Variable
0.01831800
N
N
N
N
N
N
NISSAN MASTER OWNER TR RECEIVABLES
N/A
NISSAN MASTER OWNER TR RECEIVA 1ML+56 02/15/2024
65474VAQ4
1350000.00000000
PA
USD
1355739.39000000
0.024506394788
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Variable
0.00700880
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
824192.01000000
PA
USD
824148.00000000
0.014897329384
Long
ABS-CBDO
CORP
US
N
2
2059-09-25
Fixed
0.02877000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST 2020-2
N/A
DELL EQUIPMENT FINANCE TRUST 2020-2 0.57% 10/23/2023 144A
24704GAC7
1915000.00000000
PA
USD
1919985.89000000
0.034705735154
Long
ABS-CBDO
CORP
US
N
2
2023-10-23
Fixed
0.00570000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.7% 01/15/2023
969457BU3
2205000.00000000
PA
USD
2328961.73000000
0.042098397393
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03700000
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
1473631.88000000
0.026637423748
Long
ABS-MBS
CORP
US
N
2
2032-04-15
Variable
0.01429590
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
682830.00000000
0.012342860048
Long
DBT
CORP
GB
N
2
2023-04-24
Variable
0.01234750
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.514% 06/18/2022
46647PAS5
5000000.00000000
PA
USD
5084343.05000000
0.091904770888
Long
DBT
CORP
US
N
2
2022-06-18
Variable
0.03514000
N
N
N
N
N
N
STARWOOD MTG RESIDENTIAL TR 2020-1
N/A
STARWOOD MTG RESIDENTIAL TR 2020-1 2.408% 02/25/2050 144A
85573AAB1
467069.36370000
PA
USD
470871.31000000
0.008511487017
Long
ABS-CBDO
CORP
US
N
2
2050-02-25
Fixed
0.02408000
N
N
N
N
N
N
MERIT 2020
N/A
MERIT 2020-B 1ML+140 08/15/2037 144A
590027AG3
455000.00000000
PA
USD
455729.68000000
0.008237786360
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.01540880
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC FRN 3ML+87 08/15/2021
294429AP0
610000.00000000
PA
USD
612004.24000000
0.011062611021
Long
DBT
CORP
US
N
2
2021-08-15
Variable
0.01091000
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
553672.89000000
PA
USD
555152.14000000
0.010034950382
Long
ABS-CBDO
CORP
CA
N
2
2022-03-21
Fixed
0.02780000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2020-3
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 1.06% 08/18/2026
03066PAE9
420000.00000000
PA
USD
421222.24000000
0.007614028612
Long
ABS-CBDO
CORP
US
N
2
2026-08-18
Fixed
0.01060000
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
685643.09000000
PA
USD
709930.08000000
0.012832722085
Long
ABS-CBDO
CORP
US
N
2
2059-01-25
Fixed
0.03454000
N
N
N
N
N
N
OBX 2019-EXP2 TR
N/A
OBX 2019-EXP2 TR 1ML+120 07/25/2059 144A
67113KAL2
825396.87000000
PA
USD
830145.30000000
0.015005736798
Long
ABS-CBDO
CORP
US
N
2
2059-06-25
Variable
0.01350130
N
N
N
N
N
N
TWDC ENTERPRISES 18 CORP
7260JQNI6SCF9FIV2392
DISNEY (WALT) CO NEW MTN FRN 3ML+39 03/04/2022
25468PDS2
5000000.00000000
PA
USD
5015350.00000000
0.090657649993
Long
DBT
CORP
US
N
2
2022-03-04
Variable
0.00641250
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
378560.91000000
PA
USD
382489.54000000
0.006913894911
Long
ABS-CBDO
CORP
US
N
2
2059-04-25
Fixed
0.03763000
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
847497.92000000
0.015319403391
Long
DBT
CORP
JP
N
2
2022-02-22
Variable
0.01124880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/35 #735591
31402RF87
17249.11580000
PA
USD
19709.88000000
0.000356276511
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 4.50% 5/25 #890305
31410LDJ8
71974.06850000
PA
USD
75479.32000000
0.001364366948
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORP
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP 0.4% 10/21/2022
02665WDR9
2775000.00000000
PA
USD
2778182.48000000
0.050218528096
Long
DBT
CORP
US
N
2
2022-10-21
Fixed
0.00400000
N
N
N
N
N
N
KINDER MORGAN INC DEL
549300WR7IX8XE0TBO16
KINDER MORGAN INC DEL 5.0% 02/15/2021 144A
49456BAA9
675000.00000000
PA
USD
678587.86000000
0.012266178970
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
0.05000000
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
527162.90000000
PA
USD
539843.33000000
0.009758227773
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
0.02359500
N
N
N
N
N
N
SLM STUDENT LN TR 2008 1
5493007HR3ICKG09D287
SLM STUDENT LN TR 2008 1 3ML+ 01/25/2022
784439AD3
1326466.74040000
PA
USD
1274445.50000000
0.023036923460
Long
ABS-CBDO
CORP
US
N
2
2022-01-25
Variable
0.00864750
N
N
N
N
N
N
SMB PRIVATE ED LN TR 2020-PT-B
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB 1.6% 09/15/2054 144A
78449DAB2
2750000.00000000
PA
USD
2764143.80000000
0.049964764403
Long
ABS-CBDO
CORP
US
N
2
2054-09-15
Fixed
0.01600000
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
1744175.83000000
0.031527786081
Long
ABS-CBDO
CORP
US
N
2
2024-10-22
Fixed
0.01910000
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
3254705.98000000
0.058832184307
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.03550000
N
N
N
N
N
N
CIM TR 2020-INV1
N/A
CIM TR 2020-INV1 2.5% 04/25/2050 144A
12560AAB0
512165.58000000
PA
USD
527786.68000000
0.009540291326
Long
ABS-CBDO
CORP
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 3ML+65 11/21/2022
00287YBP3
7100000.00000000
PA
USD
7144907.50000000
0.129151609234
Long
DBT
CORP
US
N
2
2022-11-21
Variable
0.00862630
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 1ML+135 09/25/2029
30711XHT4
941886.15000000
PA
USD
919339.66000000
0.016618017311
Long
ABS-CBDO
USGSE
US
N
2
2029-09-25
Variable
0.01500130
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 3.95% 1/11/23 144A
853254AJ9
405000.00000000
PA
USD
425002.32000000
0.007682357477
Long
DBT
CORP
GB
N
2
2023-01-11
Fixed
0.03950000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.124%/VAR 1/20/2023
06051GGE3
10000000.00000000
PA
USD
10299543.90000000
0.186174932154
Long
DBT
CORP
US
N
2
2023-01-20
Variable
0.03124000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 3/23 #890121
31410K4E1
4178.16400000
PA
USD
4278.13000000
0.000077331634
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
0.05000000
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
1500089.43000000
0.027115671389
Long
DBT
CORP
DK
N
2
2022-09-20
Variable
0.03001000
N
N
N
N
N
N
JOHN DEERE OWNER TR 2020-B
N/A
JOHN DEERE OWNER TR 2020-B 0.41% 03/15/2023
47787NAB5
9670000.00000000
PA
USD
9677422.69000000
0.174929446413
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.00410000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 2/35 #G01777
31283H6N0
76456.44560000
PA
USD
89811.43000000
0.001623434692
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.06000000
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
1093768.12000000
0.019770992532
Long
DBT
CORP
US
N
2
2022-06-20
Fixed
0.03000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BK OF COMM 0.95% 06/23/2023
13607GRK2
7200000.00000000
PA
USD
7290065.02000000
0.131775481873
Long
DBT
CORP
CA
N
2
2023-06-23
Fixed
0.00950000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 05/15/2023
912828ZP8
3315000.00000000
PA
USD
3311762.70000000
0.059863543664
Long
DBT
UST
US
N
2
2023-05-15
Fixed
0.00125000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 3.734% 12/15/2024
075887BF5
285000.00000000
PA
USD
314732.14000000
0.005689109671
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.03734000
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
178800.33000000
PA
USD
179248.28000000
0.003240098463
Long
ABS-CBDO
CORP
US
N
2
2023-06-19
Fixed
0.02240000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
CARGILL INC 1.375% 07/23/2023 144A
141781BL7
630000.00000000
PA
USD
646083.14000000
0.011678622463
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
0.01375000
N
N
N
N
N
N
ISHARES TRUST
549300G3FWQPUM47D181
iShares Ultra Short-Term Bond ETF
46434V878
1646060.00000000
NS
USD
83208333.00000000
1.504076869946
Long
EC
RF
US
N
1
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2050#MA6543
36179VHU7
332418.79000000
PA
USD
352086.78000000
0.006364333509
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
0.04000000
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
1025883.15000000
0.018543901332
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.01090880
N
N
N
N
N
N
J P MORGAN MTG TR 2020-INV1
N/A
J P MORGAN MTG TR 2020-INV1 3.5% 08/25/2050 144A
46591VBH1
595589.57200000
PA
USD
611968.29000000
0.011061961187
Long
ABS-CBDO
CORP
US
N
2
2050-08-25
Fixed
0.03500000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP INC 2.934% 03/09/2021
86562MAB6
10000000.00000000
PA
USD
10071600.00000000
0.182054609883
Long
DBT
CORP
JP
N
2
2021-03-09
Fixed
0.02934000
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
385418.87000000
PA
USD
387384.81000000
0.007002381990
Long
ABS-CBDO
CORP
US
N
2
2068-05-15
Fixed
0.02390000
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
957140.86000000
0.017301313184
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03283000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 1/38 #961181
31414BJ27
4149.84080000
PA
USD
4868.75000000
0.000088007703
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.05500000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC 2.1% 01/13/2023
80283LAY9
1255000.00000000
PA
USD
1296435.68000000
0.023434418757
Long
DBT
CORP
GB
N
2
2023-01-13
Fixed
0.02100000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
BB and T CORP 2.15% 02/01/2021
05531FAZ6
1160000.00000000
PA
USD
1161792.93000000
0.021000611485
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
0.02150000
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
157729.47680000
PA
USD
161939.48000000
0.002927223962
Long
ABS-CBDO
CORP
US
N
2
2030-03-25
Fixed
0.02690000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 1ML+ 09/15/2034 144A
78449KAC4
881611.42000000
PA
USD
882301.37000000
0.015948511826
Long
ABS-CBDO
CORP
US
N
2
2034-09-15
Variable
0.01240880
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
2030154.07000000
PA
USD
2047386.63000000
0.037008635589
Long
ABS-CBDO
CORP
US
N
2
2022-10-12
Fixed
0.02070000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
RY1052DWLDPLDW74Y843
ENERGY TRANSFER OPERATING LP 4.9% 02/01/2024
29273RAY5
245000.00000000
PA
USD
265995.25000000
0.004808139865
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.04900000
N
N
N
N
N
N
OBX 2019-EXP2 TR
N/A
OBX 2019-EXP2 TR 1ML+100 07/25/2059 144A
67113KAJ7
407164.71000000
PA
USD
407219.23000000
0.007360909692
Long
ABS-CBDO
CORP
US
N
2
2059-06-25
Variable
0.01050130
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP 2.242% 02/15/2025 144A
14448CAF1
1860000.00000000
PA
USD
1952905.68000000
0.035300794482
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.02242000
N
N
N
N
N
N
PNC BANK NA PITTSBURGH PA
AD6GFRVSDT01YPT1CS68
PNC BANK NA 2.95% 1/30/23
69349LAK4
695000.00000000
PA
USD
729761.38000000
0.013191193389
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
0.02950000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 2.9% 05/13/2022 144A
928668BC5
2663000.00000000
PA
USD
2749872.81000000
0.049706801466
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
0.02900000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 0.75% 09/29/2023
375558BW2
2070000.00000000
PA
USD
2076207.56000000
0.037529603774
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
0.00750000
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
6039946.87000000
0.109178300481
Long
DBT
CORP
HK
N
2
2021-09-20
Variable
0.00747380
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
69257.67000000
PA
USD
69601.08000000
0.001258111667
Long
ABS-CBDO
CORP
US
N
2
2023-10-20
Fixed
0.02870000
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
7250884.97000000
0.131067261857
Long
DBT
CORP
US
N
2
2021-12-03
Fixed
0.04450000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.5% 04/15/2025 144A
87264ABA2
1005000.00000000
PA
USD
1111409.40000000
0.020089876954
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.50% 3/21 #745453
31403DE21
15.61750000
PA
USD
15.64000000
0.000000282709
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
0.05500000
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
162294.61000000
PA
USD
162420.18000000
0.002935913112
Long
ABS-CBDO
CORP
US
N
2
2022-12-12
Fixed
0.02440000
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
5081504.27000000
PA
USD
5110457.16000000
0.092376810495
Long
ABS-CBDO
CORP
US
N
2
2022-03-21
Fixed
0.02000000
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
985341.91000000
0.017811076395
Long
ABS-CBDO
CORP
US
N
2
2022-09-20
Fixed
0.03200000
N
N
N
N
N
N
METROPOLITAN LIFE GLBL FDG I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLBL FDG I FRN SOFR+57 01/13/2023 144A
59217GEF2
6940000.00000000
PA
USD
6972132.20000000
0.126028516593
Long
DBT
CORP
US
N
2
2023-01-13
Variable
0.00655480
N
N
N
N
N
N
SLM STDENT LN TR 2010-1
549300WLW67V4O2Z6P70
SLMA 2010-1 A 1ML+40 3/25
78445XAA4
802495.55870000
PA
USD
778243.90000000
0.014067565194
Long
ABS-CBDO
CORP
US
N
2
2025-03-25
Variable
0.00550130
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
7013623.89000000
0.126778521899
Long
DBT
CORP
US
N
2
2021-05-14
Variable
0.00721000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 8/24 #931743
31412QEQ8
32920.82730000
PA
USD
34523.44000000
0.000624046963
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 9/25 #AL1373
3138EHQ39
2441.39960000
PA
USD
2506.55000000
0.000045308489
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.05000000
N
N
N
N
N
N
SCHLUMBERGER HOLDINGS CORPORATION
529900IKZG65COT1D505
SCHLUMBERGER HOLDINGS CORPORATION 3.75% 05/01/2024 144A
806851AJ0
1515000.00000000
PA
USD
1643572.02000000
0.029709267933
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
0.03750000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 4.75% 05/31/2025
25278XAP4
1080000.00000000
PA
USD
1204024.26000000
0.021763986550
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
0.04750000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH INC 3.079% 06/15/2024
14149YBH0
695000.00000000
PA
USD
747107.05000000
0.013504734354
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.03079000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/35 #735578
31402RFT1
303056.91050000
PA
USD
347566.06000000
0.006282616809
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+110 09/09/2022
55336VBH2
1683000.00000000
PA
USD
1683245.01000000
0.030426398351
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.01341750
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
36840.72000000
PA
USD
37279.59000000
0.000673867232
Long
ABS-CBDO
CORP
US
N
2
2058-08-25
Fixed
0.03963000
N
N
N
N
N
N
SLIDE 2018-FUN
N/A
SLIDE 2018-FUN 1ML+185 06/15/2031 144A
831350AL7
778428.31000000
PA
USD
717903.10000000
0.012976842686
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Variable
0.01990880
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.60% 6/38 #1G2860
3128QTE91
20728.54280000
PA
USD
21721.80000000
0.000392644051
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Variable
0.02888000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 03/48#BE6823
3617G1SL3
195639.76000000
PA
USD
215499.17000000
0.003895370876
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 2/37 #1Q0196
3128S4GD3
6532.78790000
PA
USD
6860.16000000
0.000124004503
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.04191000
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
5033027.65000000
0.090977191841
Long
DBT
CORP
US
N
2
2022-02-15
Variable
0.01121000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP 4.875% 11/15/21
26884LAB5
284000.00000000
PA
USD
288970.00000000
0.005223432286
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 08/01/2026#AL2852
3138EKE27
16660.05660000
PA
USD
17585.18000000
0.000317870356
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 2/36 #745275
31403C6L0
22955.77180000
PA
USD
26328.03000000
0.000475906433
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.05000000
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
2725734.98000000
PA
USD
2743181.86000000
0.049585855609
Long
ABS-CBDO
CORP
US
N
2
2021-12-22
Fixed
0.01950000
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
145930.44000000
0.002637843969
Long
ABS-CBDO
CORP
US
N
2
2022-05-20
Fixed
0.02430000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-HQA
N/A
FREDDIE MAC STACR REMIC TRUST 2020-HQA 1ML+75 01/25/2050 144A
35565JAA9
190940.45000000
PA
USD
190807.19000000
0.003449037743
Long
ABS-CBDO
CORP
US
N
2
2050-01-25
Variable
0.00900130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 12ML+1.6 5/38 #979931
31414YEC0
22516.46930000
PA
USD
23608.06000000
0.000426740155
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Variable
0.02775000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2013-C13
N/A
J P MORGAN CHASE COML MTG SECS TR 2013-C13 A4 3.9936% 01/15/2046
46640JAR8
2583965.90400000
PA
USD
2770462.87000000
0.050078988144
Long
ABS-MBS
CORP
US
N
2
2046-01-15
Variable
0.03993600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 12/01/2032#995629
31416CA63
41664.11040000
PA
USD
48327.76000000
0.000873574356
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06500000
N
N
N
N
N
N
STACR TRUST 2018-DNA2
N/A
STACR TRUST 2018-DNA2 1ML+95 12/25/2030 144A
35563TAK7
450000.00000000
PA
USD
448118.01000000
0.008100197534
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Variable
0.01099250
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC 2.3% 06/01/2021
294429AK1
975000.00000000
PA
USD
982391.43000000
0.017757743411
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.02300000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 2.9% 12/15/2022
444859BJ0
160000.00000000
PA
USD
167456.77000000
0.003026954697
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
0.02900000
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
74989.83450000
PA
USD
75842.18000000
0.001370926018
Long
ABS-CBDO
CORP
US
N
2
2034-12-20
Fixed
0.02990000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% #AE0801
31419A3K1
114306.70130000
PA
USD
136565.04000000
0.002468554656
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 5/36 #003850
36202EH36
13893.43680000
PA
USD
15752.08000000
0.000284735174
Long
ABS-MBS
USGA
US
N
2
2036-05-20
Fixed
0.05000000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN EN 3.95% 9/1/22
494550BL9
135000.00000000
PA
USD
142109.02000000
0.002568767841
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
0.03950000
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST 2020-A
N/A
HILTON GRAND VACATIONS TRUST 2020-AA A 2.74% 02/25/2039 144A
43285HAA6
567829.18000000
PA
USD
591108.76000000
0.010684903560
Long
ABS-CBDO
CORP
US
N
2
2039-02-25
Fixed
0.02740000
N
N
N
N
N
N
ANGEL OAK MTG TR 2019-4
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-4 3.301% 07/26/2049 144A
03463UAC1
757353.98450000
PA
USD
765486.15000000
0.013836955638
Long
ABS-CBDO
CORP
US
N
2
2049-07-26
Fixed
0.03301000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC 4.133% 03/25/2025
883556CF7
385000.00000000
PA
USD
437676.92000000
0.007911464010
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
0.04133000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
ENI SPA 4% 09/12/2023 144A
26874RAG3
930000.00000000
PA
USD
1011861.88000000
0.018290452343
Long
DBT
CORP
IT
N
2
2023-09-12
Fixed
0.04000000
N
N
N
N
N
N
EMD FIN LLC
529900C8KS5G529A0B76
EMD FINANCE LLC 2.95% 03/19/2022 144A
26867LAG5
430000.00000000
PA
USD
441829.45000000
0.007986525294
Long
DBT
CORP
US
N
2
2022-03-19
Fixed
0.02950000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 0.75% 11/23/2022 144A
928668BG6
10620000.00000000
PA
USD
10634745.02000000
0.192234039856
Long
DBT
CORP
US
N
2
2022-11-23
Fixed
0.00750000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP INC
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP INC FRN 3ML+74 02/26/2023
606822AS3
1623000.00000000
PA
USD
1633549.31000000
0.029528097060
Long
DBT
CORP
JP
N
2
2023-03-02
Variable
0.00980880
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
1461962.21000000
0.026426482366
Long
DBT
CORP
FR
N
2
2022-11-21
Fixed
0.02125000
N
N
N
N
N
N
SLM STUDENT LN TR 2008
549300MTK92VF84VT259
SLMA 2008-9 A 3ML+150 4/23
78445JAA5
120057.88000000
PA
USD
119742.62000000
0.002164471977
Long
ABS-CBDO
CORP
US
N
2
2023-04-25
Variable
0.01714750
N
N
N
N
N
N
GREAT WOLF TR 2019-WOLF
N/A
GREAT WOLF TR 2019-WOLF 1ML+ 12/15/2029 144A
39152TAJ9
600000.00000000
PA
USD
554190.66000000
0.010017570634
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01773880
N
N
N
N
N
N
ROGERS COMMUNICATIONS INC
54930030NVF3Y2OL0A78
ROGERS COMMUNICATIONS INC FRN 3ML+60 03/22/2022
775109BQ3
5520000.00000000
PA
USD
5555863.44000000
0.100427990699
Long
DBT
CORP
CA
N
2
2022-03-22
Variable
0.00825380
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
709058.77000000
0.012816972254
Long
ABS-CBDO
CORP
US
N
2
2023-08-21
Fixed
0.02770000
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
1713931.60000000
PA
USD
1726603.90000000
0.031210155232
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
0.03471800
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST 2020-2
N/A
DELL EQUIPMENT FINANCE TRUST 2020-2 0.47% 10/24/2022 144A
24704GAB9
1568000.00000000
PA
USD
1570681.59000000
0.028391697855
Long
ABS-CBDO
CORP
US
N
2
2022-10-24
Fixed
0.00470000
N
N
N
N
N
N
STARWOOD MTG RESIDENTIAL TR 2019-INV1
N/A
STARWOOD MTG RESIDENTIAL TR 2019-INV1 2.61% 09/27/2049 144A
85572JAA5
132000.20000000
PA
USD
134072.21000000
0.002423494170
Long
ABS-CBDO
CORP
US
N
2
2049-09-27
Fixed
0.02610000
N
N
N
N
N
N
DALLAS FORT WORTH TX INTL ARPT
N/A
DFW ARPT 1.329% 11/1/2025
2350366M7
245000.00000000
PA
USD
246565.55000000
0.004456927897
Long
DBT
MUN
US
N
2
2025-11-01
Fixed
0.01329000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 1.319%/VAR 10/14/2023 144A
853254BV1
200000.00000000
PA
USD
201906.00000000
0.003649660238
Long
DBT
CORP
GB
N
2
2023-10-14
Variable
0.01319000
N
N
N
N
N
N
ANGEL OAK MTG TR 2020-6
N/A
ANGEL OAK MORTGAGE TRUST 2020-6 1.261% 05/25/2065 144A
03465AAA7
764803.28000000
PA
USD
764647.80000000
0.013821801593
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Fixed
0.01261000
N
N
N
N
N
N
BBVA USA
C90VT034M03BN29IRA40
COMPASS BK BIRMINGHAM ALA MTN BE FRN 3ML+73 06/11/2021
20453KAD7
11700000.00000000
PA
USD
11733483.53000000
0.212094877340
Long
DBT
CORP
US
N
2
2021-06-11
Variable
0.00980250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 12ML+1.84 5/38#963117
31414DPA8
14286.31490000
PA
USD
14991.54000000
0.000270987625
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Variable
0.03635000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
ZOETIS INC 3ML+44 08/20/2021
98978VAR4
10000000.00000000
PA
USD
10022720.00000000
0.181171053215
Long
DBT
CORP
US
N
2
2021-08-20
Variable
0.00663750
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
260050.47000000
PA
USD
269634.60000000
0.004873924889
Long
ABS-CBDO
CORP
US
N
2
2033-09-26
Fixed
0.03280000
N
N
N
N
N
N
TOWD PT MTG TR 2017-2
N/A
TPMT 2017-2 A1 2.75% 04/57
89173HAA4
296636.00390000
PA
USD
303489.63000000
0.005485889649
Long
ABS-CBDO
CORP
US
N
2
2057-04-25
Variable
0.02750000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2020-4
N/A
CARMAX AUTO OWNER TR 2020-4 0.31% 01/16/2024
14316HAB8
7423000.00000000
PA
USD
7422086.97000000
0.134161915469
Long
ABS-CBDO
CORP
US
N
2
2024-01-16
Fixed
0.00310000
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
1730026.92000000
0.031272029866
Long
ABS-CBDO
CORP
US
N
2
2024-03-18
Fixed
0.03820000
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
365336.95090000
PA
USD
377709.05000000
0.006827482599
Long
ABS-CBDO
CORP
US
N
2
2048-06-25
Fixed
0.03897000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 1.547% 10/01/2025
20268JAE3
670000.00000000
PA
USD
679966.71000000
0.012291103113
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.01547000
N
N
N
N
N
N
WESTERN UN CO
28ID94QU1140NC23S047
WESTERN UN CO 2.85% 01/10/2025
959802AY5
1280000.00000000
PA
USD
1367564.39000000
0.024720143920
Long
DBT
CORP
US
N
2
2025-01-10
Fixed
0.02850000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 2.65% 02/15/2025
37940XAA0
800000.00000000
PA
USD
856579.61000000
0.015483564352
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.02650000
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
971086.56850000
PA
USD
966071.88000000
0.017462750628
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Variable
0.01018380
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
857717.93000000
PA
USD
868037.31000000
0.015690674156
Long
ABS-CBDO
CORP
US
N
2
2049-07-25
Fixed
0.02801810
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 11/01/2034#SB0222
3132CWG73
404607.04000000
PA
USD
436859.44000000
0.007896687211
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2050#BU2156
3617N3MD5
77452.40000000
PA
USD
85556.64000000
0.001546524953
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
N
N
N
N
N
N
FLORIDA PWR and LT CO
A89MY1K3YLIGJMYWVX50
FLORIDA PWR and LT CO FRN 3ML+38 07/28/2023
341081GA9
5358000.00000000
PA
USD
5360129.43000000
0.096889895577
Long
DBT
CORP
US
N
2
2023-07-28
Variable
0.00602250
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
8385462.93000000
0.151575934549
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Variable
0.00420880
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 0.68% 08/15/2025 144A
361886CH5
1480000.00000000
PA
USD
1485114.88000000
0.026844990876
Long
ABS-CBDO
CORP
US
N
2
2025-08-15
Fixed
0.00680000
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
117931.20780000
PA
USD
117864.29000000
0.002130519215
Long
ABS-CBDO
USGSE
US
N
2
2030-03-25
Variable
0.00899250
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2020-4
N/A
CARMAX AUTO OWNER TR 2020-4 1.75% 04/15/2027
14316HAG7
540000.00000000
PA
USD
541428.89000000
0.009786888413
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
0.01750000
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
1370000.00000000
PA
USD
1410289.25000000
0.025492440052
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
0.02150000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TR 2020-HQA4
N/A
FREDDIE MAC STACR REMIC TR 2020-HQA4 1ML+130 09/25/2050 144A
35565RAA1
1140000.00000000
PA
USD
1139999.66000000
0.020606675539
Long
ABS-CBDO
CORP
US
N
2
2050-09-25
Variable
0.01450130
N
N
N
N
N
N
IBM CORPORATION
VGRQXHF3J8VDLUA7XE92
IBM CORPORATION 2.85% 05/13/2022
459200JX0
10000000.00000000
PA
USD
10374786.60000000
0.187535021951
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
0.02850000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARGENTARIA S.A
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZ ARGENTARIA SA 0.875% 09/18/2023
05946KAH4
1800000.00000000
PA
USD
1809118.93000000
0.032701699931
Long
DBT
CORP
ES
N
2
2023-09-18
Fixed
0.00875000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.2% 01/30/2023
14040HBU8
8016000.00000000
PA
USD
8475369.79000000
0.153201094238
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
0.03200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 11/01/2024#935767
31412VCC0
17518.66600000
PA
USD
18388.98000000
0.000332399874
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
0.04500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL B 1ML+110 10/15/2036 144A
056054AE9
427184.01320000
PA
USD
426381.08000000
0.007707279993
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01220880
N
N
N
N
N
N
BAXALTA INC
5493000JW8DCO3T45R55
BAXALTA INC 3.6% 06/23/2022
07177MAL7
265000.00000000
PA
USD
276162.94000000
0.004991931401
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
0.03600000
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
245581.16950000
PA
USD
254268.75000000
0.004596171222
Long
ABS-CBDO
CORP
US
N
2
2057-06-25
Fixed
0.02750000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 3.363% 06/06/2024
075887BV0
1215000.00000000
PA
USD
1313983.18000000
0.023751608009
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
0.03363000
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
818436.23000000
0.014794083220
Long
ABS-CBDO
CORP
US
N
2
2022-09-08
Fixed
0.02710000
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
1532663.41000000
0.027704479843
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
0.03300000
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
2483598.70000000
0.044893620917
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
0.02040000
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
152464.90420000
PA
USD
152825.39000000
0.002762477337
Long
ABS-CBDO
CORP
US
N
2
2027-06-15
Variable
0.01140880
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
272317.91000000
0.004922428498
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
0.03950000
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
4261804.75000000
0.077036538500
Long
DBT
CORP
US
N
2
2021-06-01
Variable
0.01196000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
VALERO ENERGY CORP 2.7% 04/15/2023
91913YAX8
1430000.00000000
PA
USD
1486493.59000000
0.026869912488
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.02700000
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
4942000.00000000
PA
USD
4952172.76000000
0.089515655893
Long
DBT
CORP
US
N
2
2021-08-06
Variable
0.00552250
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PART 3.875% 8/15/22
11120VAB9
170000.00000000
PA
USD
176801.42000000
0.003195868932
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.03875000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 2.85% 07/15/2022
337932AG2
885000.00000000
PA
USD
905707.74000000
0.016371606226
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.02850000
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
935611.95000000
0.016912155820
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
0.03448000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP 3% 10/01/2022
26884LAE9
2275000.00000000
PA
USD
2284213.75000000
0.041289531270
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
0.03000000
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
12950.26820000
PA
USD
12959.62000000
0.000234258565
Long
ABS-CBDO
CORP
US
N
2
2021-06-15
Fixed
0.02600000
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
920915.47800000
PA
USD
931320.17000000
0.016834577448
Long
ABS-CBDO
CORP
US
N
2
2058-01-28
Variable
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 7/35 #735676
31402RJV2
126478.40540000
PA
USD
144532.33000000
0.002612571682
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
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
2068230.86000000
0.037385416653
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01140880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/35 #735580
31402RFV6
46016.25160000
PA
USD
52580.38000000
0.000950444871
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
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
1834121.69000000
0.033153650735
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 30YR 7.5% 06/38#G62031
31335CHG2
162544.20000000
PA
USD
189477.82000000
0.003425008002
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.07500000
N
N
N
N
N
N
SIERRA TIMESHARE 2020-2 RECEIVABLES FDG LLC
N/A
SIERRA TIMESHARE 2020-2 RECEIVABLES FDG LLC 3.51% 07/20/2037 144A
826525AC1
534700.07000000
PA
USD
551069.54000000
0.009961153155
Long
ABS-CBDO
CORP
US
N
2
2037-07-20
Fixed
0.03510000
N
N
N
N
N
N
HOUSTON TX ARPT SYS REV
N/A
HOUSTON TX ARPT .883% 7/1/2022
442349EJ1
70000.00000000
PA
USD
70035.00000000
0.001265955220
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
0.00883000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING
635400B4JJBON4TCHF02
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 0.5% 11/17/2023 144A
29449WAC1
5000000.00000000
PA
USD
5004461.15000000
0.090460822743
Long
DBT
CORP
US
N
2
2023-11-17
Fixed
0.00500000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
NATWEST GRP PLC(UNGTD) 3.875% 09/12/2023
780097BD2
1085000.00000000
PA
USD
1175549.39000000
0.021249273759
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
0.03875000
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
8016000.00000000
PA
USD
8123171.52000000
0.146834745431
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
0.02000000
N
N
N
N
N
N
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2020-1
N/A
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2020-1 A2 1.83% 01/17/2023
36258NAB8
2302476.26000000
PA
USD
2314501.63000000
0.041837016097
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
0.01830000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 07/15/2023
912828ZY9
5180000.00000000
PA
USD
5172917.96000000
0.093505854200
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.00125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
101539.33860000
PA
USD
113459.64000000
0.002050900601
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/37 #889506
31410KGP3
9210.26020000
PA
USD
10956.91000000
0.000198057505
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.06000000
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
1397806.89000000
0.025266808456
Long
ABS-CBDO
CORP
US
N
2
2023-07-18
Fixed
0.03180000
N
N
N
N
N
N
LLOYDS BANK PLC
H7FNTJ4851HG0EXQ1Z70
LLOYDS BANK PLC 3.3% 05/07/2021
53944VAP4
2649000.00000000
PA
USD
2683331.04000000
0.048503989999
Long
DBT
CORP
GB
N
2
2021-05-07
Fixed
0.03300000
N
N
N
N
N
N
EXPEDIA INC DEL
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC DEL 3.6% 12/15/2023 144A
30212PAZ8
1270000.00000000
PA
USD
1327786.83000000
0.024001123291
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
0.03600000
N
N
N
N
N
N
SYNOVUS BANK
DX0JX77PRMOELF7VG772
SYNOVUS BANK 2.289%/VAR 02/10/2023
87164DQS2
1237000.00000000
PA
USD
1252433.27000000
0.022639029585
Long
DBT
CORP
US
N
2
2023-02-10
Variable
0.02289000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.803%/VAR 03/11/2025
404280BZ1
425000.00000000
PA
USD
462501.56000000
0.008360195110
Long
DBT
CORP
GB
N
2
2025-03-11
Variable
0.03803000
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
10039430.00000000
0.181473103786
Long
DBT
CORP
US
N
2
2021-04-23
Variable
0.01574750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 9/24 #AC3255
31417MTM5
5017.59180000
PA
USD
5271.94000000
0.000095295780
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
0.04500000
N
N
N
N
N
N
NUCOR CORP
549300GGJCRSI2TIEJ46
NUCOR CORP 2% 06/01/2025
670346AR6
350000.00000000
PA
USD
367627.23000000
0.006645243252
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.02000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 1.654%/VAR 06/02/2024
95000U2R3
5935000.00000000
PA
USD
6073387.05000000
0.109782766398
Long
DBT
CORP
US
N
2
2024-06-02
Variable
0.01654000
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
400480.34000000
0.007239097270
Long
ABS-MBS
CORP
US
N
2
2047-10-15
Fixed
0.04110000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.50% 4/23 #G18253
3128MMH71
8562.98230000
PA
USD
8931.50000000
0.000161446120
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
0.05500000
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
1098080.17000000
0.019848937305
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 11/01/2026#AJ5340
3138AW5A7
198247.96270000
PA
USD
211090.86000000
0.003815686104
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.03500000
N
N
N
N
N
N
FHLM STRCTRD ACR DBT NTS
N/A
STACR 14-DN3 M3 1ML+400 8/24
3137G0BK4
384733.78260000
PA
USD
392030.45000000
0.007086356749
Long
ABS-CBDO
USGSE
US
N
2
2024-08-25
Variable
0.04150130
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
279891.27000000
PA
USD
282796.74000000
0.005111844213
Long
ABS-CBDO
CORP
US
N
2
2049-05-25
Fixed
0.03337000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TR 2020-A
N/A
SANTANDER RETAIL AUTO LEASE TR 2020-A 1.69% 01/20/2023 144A
80286KAB8
8730981.27000000
PA
USD
8821142.62000000
0.159451296557
Long
ABS-CBDO
CORP
US
N
2
2023-01-20
Fixed
0.01690000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 0.69% 10/15/2025 144A
361886CM4
3238000.00000000
PA
USD
3241173.24000000
0.058587566004
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.00690000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.25% 03/15/2023
29278NAL7
855000.00000000
PA
USD
899900.03000000
0.016266625848
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2020-3
N/A
CARMAX AUTO OWNER TRUST 2020-3 0.49% 06/15/2023
14315FAB3
8502000.00000000
PA
USD
8512443.86000000
0.153871246483
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
0.00490000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANCORP 1.625% 05/05/2023
316773CZ1
10625000.00000000
PA
USD
10914946.16000000
0.197298965909
Long
DBT
CORP
US
N
2
2023-05-05
Fixed
0.01625000
N
N
N
N
N
N
PPL ELEC UTILS CORP
N/A
PPL ELEC UTILS CORP FRN 3ML+25 09/28/2023
69351UAX1
1780000.00000000
PA
USD
1781508.87000000
0.032202619477
Long
DBT
CORP
US
N
2
2023-09-28
Variable
0.00475130
N
N
N
N
N
N
TOWD PT MTG TR 2015-5
N/A
TPMT 2015-5 A1B AFC 05/55
89171VAK3
106685.62400000
PA
USD
107142.52000000
0.001936712109
Long
ABS-CBDO
CORP
US
N
2
2055-05-25
Fixed
0.02750000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
SWEDBANK AB 1.3% 06/02/2023 144A
87020PAK3
1150000.00000000
PA
USD
1172024.80000000
0.021185563141
Long
DBT
CORP
SE
N
2
2023-06-02
Fixed
0.01300000
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
122052.95000000
0.002206233587
Long
DBT
CORP
IE
N
2
2023-09-23
Fixed
0.02875000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEAL INC 3.2% 3/23
14149YAY4
875000.00000000
PA
USD
927294.11000000
0.016761802240
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.03200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 6.0% 7/15/36 #783564
36241L5Z5
200591.91690000
PA
USD
233147.56000000
0.004214383819
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
0.06000000
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
250564.10000000
0.004529205833
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 6.00% 4/35 #735502
31402RDF3
20767.37080000
PA
USD
24477.89000000
0.000442463234
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.00% 8/22 #G12738
3128MBHP5
1612.42800000
PA
USD
1650.18000000
0.000029828714
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
0.06000000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FDG II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FDG II 0.85% 06/09/2023 144A
57629WCU2
10000000.00000000
PA
USD
10116691.50000000
0.182869685486
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
0.00850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 6.0% 07/01/2021#G12297
3128M1NN5
709.84340000
PA
USD
716.91000000
0.000012958891
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
0.06000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.6% 11/21/2024
00287YBZ1
3500000.00000000
PA
USD
3740761.47000000
0.067618141118
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
0.02600000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO FRN 3ML+137.5 11/15/2021
694308JR9
1755000.00000000
PA
USD
1756905.40000000
0.031757886254
Long
DBT
CORP
US
N
2
2021-11-15
Variable
0.01600000
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
393204.73000000
0.007107583077
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.03470000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
BAIDU INC 3.5% 11/28/22
056752AB4
780000.00000000
PA
USD
816562.50000000
0.014760213608
Long
DBT
CORP
KY
N
2
2022-11-28
Fixed
0.03500000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL PARIS
VBHFXSYT7OG62HNT8T76
BANQUE FED CRED MUTUEL PARIS 0.65% 02/27/2024 144A
06675FAV9
860000.00000000
PA
USD
860869.46000000
0.015561107837
Long
DBT
CORP
FR
N
2
2024-02-27
Fixed
0.00650000
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
199603.74000000
0.003608044503
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Variable
0.01390880
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
665241.30000000
0.012024926064
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
0.02940000
N
N
N
N
N
N
THE TORONTO DOMINION BANK
PT3QB789TSUIDF371261
TORONTO DOMINION BANK FRN SOFR+48 01/27/2023
89114QCF3
5000000.00000000
PA
USD
5014119.35000000
0.090635404719
Long
DBT
CORP
CA
N
2
2023-01-27
Variable
0.00565000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.00% 2/23 #889634
31410KLP7
37105.53990000
PA
USD
38289.26000000
0.000692118063
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
0.06000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2020-2
N/A
VERUS SECURITIZATION TRUST 2020-2 2.226% 05/25/2060 144A
92537UAA0
2165758.53700000
PA
USD
2193851.02000000
0.039656131258
Long
ABS-CBDO
CORP
US
N
2
2060-05-25
Fixed
0.02226000
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
1081925.56500000
PA
USD
1075677.44000000
0.019443984739
Long
ABS-CBDO
CORP
KY
N
2
2027-07-18
Variable
0.01147750
N
N
N
N
N
N
SIERRA TIMESHARE 2019-3 RECEIVABLES FDG LLC
N/A
SIERRA TIMESHARE 2019-3 RECEIVABLES FDG LLC 2.34% 08/20/2036 144A
82652NAA6
389597.46000000
PA
USD
398591.12000000
0.007204947660
Long
ABS-CBDO
CORP
US
N
2
2036-08-20
Fixed
0.02340000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-DNA2
N/A
FREDDIE MAC STACR REMIC TRUST 2020-DNA2 1ML+75 02/25/2050 144A
35565KAA6
312777.27000000
PA
USD
312133.39000000
0.005642134571
Long
ABS-CBDO
CORP
US
N
2
2050-02-25
Variable
0.00899250
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
295330.49000000
0.005338404736
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.04000000
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
176595.73530000
PA
USD
177642.38000000
0.003211070156
Long
ABS-CBDO
CORP
US
N
2
2032-12-20
Fixed
0.02520000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TR 2020-4
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4 1.01% 01/15/2026
80286WAF3
675000.00000000
PA
USD
675927.18000000
0.012218084421
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.01010000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 1% 09/15/2025
776743AM8
235000.00000000
PA
USD
236341.02000000
0.004272108919
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
0.01000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.0% 10/01/2022#G12814
3128MBK30
8123.44750000
PA
USD
8331.36000000
0.000150597968
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
0.05000000
N
N
N
N
N
N
CREDIT SUISSE AG NY BRNCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG NY BRNCH FRN SOFR+45 02/04/2022
22550UAA9
5310000.00000000
PA
USD
5317380.90000000
0.096117171586
Long
DBT
CORP
US
N
2
2022-02-04
Variable
0.00534650
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 3.65% 09/15/2023
776743AE6
270000.00000000
PA
USD
293057.55000000
0.005297318989
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03650000
N
N
N
N
N
N
PACCAR FINANCIAL CORP
PH3S12DWZBHHQKVYZ297
PACCAR FINANCIAL CORP 0.8% 06/08/2023
69371RQ82
445000.00000000
PA
USD
450187.10000000
0.008137598481
Long
DBT
CORP
US
N
2
2023-06-08
Fixed
0.00800000
N
N
N
N
N
N
ENTERPRISE FLEET FING 2019-1 LLC
N/A
ENTERPRISE FLEET FING 2019-1 LLC 2.98% 10/20/2024 144A
29374AAB0
1862774.37500000
PA
USD
1895758.52000000
0.034267800328
Long
ABS-CBDO
CORP
US
N
2
2024-10-20
Fixed
0.02980000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC FRN 3ML+ 08/02/2021
172967KW0
9500000.00000000
PA
USD
9568921.74000000
0.172968179274
Long
DBT
CORP
US
N
2
2021-08-02
Variable
0.01404380
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 03/20/2048#MA5081
36179TUE3
110607.57000000
PA
USD
124752.00000000
0.002255021713
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
0.05500000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 2.497% 04/24/2023
595112BR3
2585000.00000000
PA
USD
2699414.40000000
0.048794713402
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
0.02497000
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
610197.51680000
PA
USD
606674.24000000
0.010966265746
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Variable
0.01387750
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
147097.78000000
PA
USD
152160.34000000
0.002750455869
Long
ABS-CBDO
CORP
US
N
2
2048-08-25
Fixed
0.04500000
N
N
N
N
N
N
ENTERPRISE FLEET FING 2020-2 LLC
N/A
ENTERPRISE FLEET FING 2020-2 LLC 0.61% 07/20/2026 144A
29375MAB3
3960000.00000000
PA
USD
3962172.85000000
0.071620381319
Long
ABS-CBDO
CORP
US
N
2
2026-07-20
Fixed
0.00610000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 10/21 #888564
31410GFD0
72.38450000
PA
USD
72.47000000
0.000001309970
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
PRUDENTIAL SHORT TERM CORPORATE BD FD INC
GFJ5W14YU35E0I4FQC77
PGIM Short-Term Corporate Bond A
74441R102
1788807.85900000
NS
USD
20356633.44000000
0.367967250432
Long
EC
RF
US
N
1
N
N
N
HOLMES MASTER ISSUER PLC
N/A
HOLMES MASTER ISSUER PLC 18-2 A2 STEP 3ML+42 10/15/2054 144A
43641NCA0
839530.33000000
PA
USD
839647.86000000
0.015177505420
Long
ABS-CBDO
CORP
GB
N
2
2054-10-15
Variable
0.00656880
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
718010.09000000
0.012978776641
Long
ABS-CBDO
CORP
US
N
2
2023-05-22
Fixed
0.03010000
N
N
N
N
N
N
PAYPAL HLDGS INC
5493005X2GO78EFZ3E94
PAYPAL HLDGS INC 1.35% 06/01/2023
70450YAF0
2224000.00000000
PA
USD
2278902.66000000
0.041193527813
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.01350000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA 2.55% 05/13/2021
17401QAE1
1320000.00000000
PA
USD
1330784.40000000
0.024055307476
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
0.02550000
N
N
N
N
N
N
KEYBANK NATL ASSN
HUX2X73FUCYHUVH1BK78
KEYBANK NATL ASSN FRN 3ML+66 02/01/2022
49327M2Y9
8128000.00000000
PA
USD
8179526.16000000
0.147853413964
Long
DBT
CORP
US
N
2
2022-02-01
Variable
0.00874380
N
N
N
N
N
N
AMPHENOL CORPORATION NEW
549300D3L3G0R4U4VT04
AMPHENOL CORPORATION NEW 2.05% 03/01/2025
032095AK7
910000.00000000
PA
USD
955122.25000000
0.017264824716
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0.02050000
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
531406.83000000
0.009605729290
Long
DBT
CORP
US
N
2
2022-10-31
Variable
0.02876000
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
99600.96540000
PA
USD
100005.62000000
0.001807705243
Long
ABS-CBDO
CORP
US
N
2
2055-04-25
Fixed
0.02750000
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
1355000.00000000
PA
USD
1430808.97000000
0.025863355261
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 01/01/2038#A71803
3128L5AC5
2811.66540000
PA
USD
3372.68000000
0.000060964687
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING 2020-3
N/A
GM FINANCIAL AUTOMOBILE LEASING 2020-3 0.35% 11/21/2022
362569AA3
10000000.00000000
PA
USD
10003740.00000000
0.180827970041
Long
ABS-CBDO
CORP
US
N
2
2022-11-21
Fixed
0.00350000
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
854285.08710000
PA
USD
876959.18000000
0.015851946205
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Fixed
0.03117000
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
126315.69000000
0.002283287031
Long
DBT
CORP
US
N
2
2021-05-12
Fixed
0.03375000
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
17137202.07000000
0.309772691264
Long
DBT
CORP
JP
N
2
2021-09-13
Variable
0.01389130
N
N
N
N
N
N
NELNET STUDENT LN TR 2019-5
N/A
NELNET STUDENT LN TR 2020-1A A 1ML+ 74 03/26/2068 144A
64034GAA8
375560.21000000
PA
USD
372375.20000000
0.006731067731
Long
ABS-CBDO
CORP
US
N
2
2068-03-26
Variable
0.00890130
N
N
N
N
N
N
NAVIENT PRIVATE ED LN TR 2020-A
N/A
NAVIENT PRIVATE ED LN TR 2020-A 2.46% 11/15/2068 144A
63941FAB2
840000.00000000
PA
USD
874901.16000000
0.015814745360
Long
ABS-CBDO
CORP
US
N
2
2068-11-15
Fixed
0.02460000
N
N
N
N
N
N
COMM 2014-UBS2 MTG TR
N/A
COMM 2014-UBS2 MTG TR 4.701% 03/10/2047
12591UAJ2
520000.00000000
PA
USD
556888.64000000
0.010066339420
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Fixed
0.04701000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 08/01/2037#889633
31410KLN2
65164.00840000
PA
USD
76144.11000000
0.001376383716
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.03% 01/25/2024
35137LAG0
305000.00000000
PA
USD
336243.58000000
0.006077951247
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.04030000
N
N
N
N
N
N
VISTA PT SECURITIZATION TR 2020-2
N/A
VISTA POINT SECURITIZATION TRUST 2.496% 04/25/2065 144A
92838TAC5
404656.08130000
PA
USD
404436.84000000
0.007310615108
Long
ABS-CBDO
CORP
US
N
2
2065-04-25
Fixed
0.02496000
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
1252486.42000000
0.022639990326
Long
DBT
CORP
US
N
2
2022-02-04
Fixed
0.04050000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2050#BU2157
3617N3ME3
68870.75000000
PA
USD
75431.38000000
0.001363500383
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
N
N
N
N
N
N
METROPOLITAN LIFE GLBL FDG I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLBL FDG I 0.9% 06/08/2023 144A
59217GEH8
4918000.00000000
PA
USD
4982555.54000000
0.090064856135
Long
DBT
CORP
US
N
2
2023-06-08
Fixed
0.00900000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.083/VAR 04/22/2026
46647PBK1
1870000.00000000
PA
USD
1959005.96000000
0.035411063366
Long
DBT
CORP
US
N
2
2026-04-22
Variable
0.02083000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 04/01/2026#AL2665
3138EJ6B9
26213.44240000
PA
USD
27813.68000000
0.000502761096
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.04500000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TR 2020-DNA5
N/A
FREDDIE MAC STACR REMIC TR 2020-DNA5 VAR 10/25/2050 144A
35566AAA7
250000.00000000
PA
USD
250477.33000000
0.004527637376
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Variable
0.01387670
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
223752.54000000
PA
USD
223984.88000000
0.004048758881
Long
ABS-CBDO
CORP
US
N
2
2021-11-15
Fixed
0.02900000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 2.95% 03/15/2023
281020AJ6
455000.00000000
PA
USD
469753.83000000
0.008491287408
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.02950000
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
1872312.57000000
PA
USD
1872904.03000000
0.033854681731
Long
ABS-CBDO
CORP
US
N
2
2022-09-20
Variable
0.00411380
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
760770.72000000
0.013751719353
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.02450000
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
1161973.86000000
PA
USD
1162004.07000000
0.021004428059
Long
ABS-CBDO
CORP
GB
N
2
2060-08-25
Variable
0.00656500
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.01% 11/36 #1G1326
3128QJPK6
2926.05900000
PA
USD
3057.20000000
0.000055262058
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.03465000
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
1087833.39000000
0.019663716135
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03500000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 3.05% 04/07/2025
35137LAM7
185000.00000000
PA
USD
202704.74000000
0.003664098292
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
0.03050000
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
10004840.00000000
0.180847853682
Long
DBT
CORP
NL
N
2
2021-01-19
Variable
0.00627750
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
28593.83000000
PA
USD
28769.11000000
0.000520031484
Long
ABS-CBDO
CORP
US
N
2
2046-12-26
Variable
0.03485000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 1ML+150 06/25/2050 144A
35565WAA0
293367.21000000
PA
USD
293664.42000000
0.005308288794
Long
ABS-CBDO
CORP
US
N
2
2050-06-25
Variable
0.01649250
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TRUST 2020-B
N/A
MERCEDES-BENZ AUTO LEASE TRUST 2020-B 0.31% 02/15/2023
58769EAB4
5200000.00000000
PA
USD
5202067.52000000
0.094032762712
Long
ABS-CBDO
CORP
US
N
2
2023-02-15
Fixed
0.00310000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 5/41 #AI1888
3138AFC24
270139.49000000
PA
USD
302052.12000000
0.005459905166
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 1/24 #970997
31414NGE8
21842.99890000
PA
USD
22863.38000000
0.000413279292
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2049#CA4823
3140QCLD6
96707.18000000
PA
USD
103386.45000000
0.001868817250
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.04000000
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
CONAGRA BRANDS INC CP 0 04/03/2021
20600GR81
3355000.00000000
PA
USD
3347269.74000000
0.060505370218
Long
DBT
CORP
US
N
2
2021-04-03
Fixed
0.00000000
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
3012961.41000000
0.054462400620
Long
DBT
CORP
JP
N
2
2021-03-09
Variable
0.01921750
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
5040771.00000000
0.091117160919
Long
DBT
CORP
US
N
2
2022-01-10
Variable
0.01054130
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3.65% 05/24/2021
87166FAC7
3082000.00000000
PA
USD
3120286.92000000
0.056402420463
Long
DBT
CORP
US
N
2
2021-05-24
Fixed
0.03650000
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
2230029.76000000
0.040310099486
Long
ABS-MBS
CORP
US
N
2
2045-09-10
Fixed
0.03683000
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO LTD 3.043% 09/15/2023 144A
654744AA9
985000.00000000
PA
USD
1023446.84000000
0.018499862503
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
0.03043000
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
132981.91440000
PA
USD
133889.53000000
0.002420192040
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
0.02577000
N
N
N
N
N
N
OBX 2020-EXP1 TR
N/A
OBX 2020-EXP1 TR VAR 02/25/2060 144A
67448TAP0
868529.92000000
PA
USD
885554.24000000
0.016007310823
Long
ABS-CBDO
CORP
US
N
2
2060-02-25
Variable
0.03500000
N
N
N
N
N
N
CHINA MENGNIU DAIRY CO
2549005Q343BSJ8RSS21
CHINA MENGNIU DAIRY CO 1.875% 06/17/2025 REGS
N/A
2004000.00000000
PA
USD
2015517.39000000
0.036432566042
Long
DBT
CORP
KY
N
2
2025-06-17
Fixed
0.01875000
N
N
N
N
N
N
CONNECTICUT ST
N/A
CT ST 2.098% 7/1/2025
20772KJX8
190000.00000000
PA
USD
200999.10000000
0.003633267081
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
0.02098000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.0% 02/37#AB0299
31416VKM5
9246.33630000
PA
USD
10972.08000000
0.000198331719
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.06000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP 5.75% 1/24/22
38141GGS7
1800000.00000000
PA
USD
1910496.15000000
0.034534198267
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
0.05750000
N
N
N
N
N
N
NAVIENT STUDENT LN TR 2017-3
N/A
NAVSL 2017-3A A2 1ML+60 7/66
63940JAB5
5086471.32000000
PA
USD
5085385.36000000
0.091923611722
Long
ABS-CBDO
CORP
US
N
2
2066-07-26
Variable
0.00750130
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC FRN SOFR+120 11/17/2023
37045XDC7
5000000.00000000
PA
USD
5004400.00000000
0.090459717393
Long
DBT
CORP
US
N
2
2023-11-17
Variable
0.01265560
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TR 2020-A
N/A
SANTANDER RETAIL AUTO LEASE TR 2020-A 2.52% 11/20/2024 144A
80286KAG7
720000.00000000
PA
USD
735723.86000000
0.013298971396
Long
ABS-CBDO
CORP
US
N
2
2024-11-20
Fixed
0.02520000
N
N
N
N
N
N
DRYDEN 86 CLO LTD / DRYDEN 86 CLO LLC
N/A
DRYDEN 86 CLO LTD / DRYDEN 86 CLO LLC 3ML+165 07/17/2030 144A
26245XAA5
1220000.00000000
PA
USD
1222165.50000000
0.022091908268
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Variable
0.01883750
N
N
N
N
N
N
PIMCO ETF TR
3JA8FFHDP0WD6S8AJT23
PIMCO Enhanced Short Maturity Active ETF
72201R833
2918935.00000000
NS
USD
297760559.35000000
5.382330758874
Long
EC
RF
US
N
1
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP A 1ML+82.15 12/15/2029 144A
05607QAA6
2330866.63000000
PA
USD
2328066.56000000
0.042082216267
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.00940880
N
N
N
N
N
N
SHANGHAI ELECTRIC GROUP GLOBAL INVESTMENT LTD
529900Y3SWJ0FFDION78
SHANGHAI ELECTRIC GROUP GLOBAL INVESTMENT LTD 2.65% 11/21/2024 REGS
N/A
2220000.00000000
PA
USD
2296022.57000000
0.041502987932
Long
DBT
CORP
VG
N
2
2024-11-21
Fixed
0.02650000
N
N
N
N
N
N
ISHARES TRUST
549300G3FWQPUM47D181
iShares Short Treasury Bond ETF
464288679
1120350.00000000
NS
USD
123989134.50000000
2.241232129071
Long
EC
RF
US
N
1
N
N
N
SYNGENTA FIN NV
54930042S3BYCEGOCN86
SYNGENTA FIN NV 3.933% 04/23/2021 144A
87164KAE4
735000.00000000
PA
USD
742480.20000000
0.013421099245
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
0.03933000
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
189012.68000000
0.003416600115
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03100000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2020-A
N/A
WORLD OMNI AUTO RECEIVABLES TR 2020-A 1.64% 08/17/2026
98163MAG3
480000.00000000
PA
USD
489480.05000000
0.008847859282
Long
ABS-CBDO
CORP
US
N
2
2026-08-17
Fixed
0.01640000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO 2.375% 01/17/2023 144A
693483AG4
1870000.00000000
PA
USD
1918769.60000000
0.034683749452
Long
DBT
CORP
KR
N
2
2023-01-17
Fixed
0.02375000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.2% 09/15/2023
29278NAC7
280000.00000000
PA
USD
298113.66000000
0.005388713419
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.04200000
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
798998.49690000
PA
USD
854263.78000000
0.015441703324
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.03000000
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
337910.71480000
PA
USD
345449.60000000
0.006244359601
Long
ABS-CBDO
CORP
US
N
2
2057-11-25
Fixed
0.03500000
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
242842.11000000
0.004389622860
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Variable
0.00840880
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A
N/A
NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A 2.88% 12/16/2058 144A
63939XAB7
1413542.59000000
PA
USD
1436557.18000000
0.025967260115
Long
ABS-CBDO
CORP
US
N
2
2058-12-16
Fixed
0.02880000
N
N
N
N
N
N
FORD CR AUTO LEASE TR 2011-A
N/A
FORD CR AUTO LEASE TR 2011-A 0.62% 08/15/2023
34531RAD9
4531000.00000000
PA
USD
4548986.26000000
0.082227641976
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
0.00620000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA FRN 3ML+30 01/14/2022 144A
05578AAQ1
5000000.00000000
PA
USD
5006336.50000000
0.090494721638
Long
DBT
CORP
FR
N
2
2022-01-14
Variable
0.00528880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 6/39 #AD0527
31418MSR4
34222.97050000
PA
USD
40118.47000000
0.000725182930
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05500000
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
761834.51000000
0.013770948460
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
0.02200000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2020-A
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2020-A 1.71% 11/15/2022
98162HAB6
9267561.32000000
PA
USD
9355312.15000000
0.169106964514
Long
ABS-CBDO
CORP
US
N
2
2022-11-15
Fixed
0.01710000
N
N
N
N
N
N
TOWD PT MTG TR 2017-1
N/A
TPMT 17-1 A1 2.75% 10/56
89173FAA8
453949.34080000
PA
USD
465196.12000000
0.008408902075
Long
ABS-CBDO
CORP
US
N
2
2056-10-25
Variable
0.02750000
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
1051370.10000000
0.019004604372
Long
ABS-CBDO
CORP
US
N
2
2050-01-15
Fixed
0.02836000
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
10000000.00000000
0.180760365665
Long
DBT
CORP
US
N
2
2020-12-01
Variable
0.00646000
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
4551672.28000000
PA
USD
4610177.20000000
0.083333731645
Long
ABS-CBDO
CORP
US
N
2
2023-04-20
Fixed
0.03230000
N
N
N
N
N
N
DUKE ENERGY CORP NEW
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP 3.55% 9/15/21
26441CAF2
330000.00000000
PA
USD
335693.67000000
0.006068011054
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
0.03550000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 2.67% 09/01/2023 144A
595017AQ7
1110000.00000000
PA
USD
1163537.93000000
0.021032154169
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.02670000
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 2.33% 08/20/2026 144A
05377RDU5
540000.00000000
PA
USD
554805.99000000
0.010028693362
Long
ABS-CBDO
CORP
US
N
2
2026-08-20
Fixed
0.02330000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 1.645/VAR 04/18/2026
404280CJ6
1735000.00000000
PA
USD
1759492.14000000
0.031804644261
Long
DBT
CORP
GB
N
2
2026-04-18
Variable
0.01645000
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
249915.23000000
PA
USD
258733.69000000
0.004676879641
Long
ABS-CBDO
CORP
US
N
2
2036-01-20
Fixed
0.03200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 4/40 #AE0349
31419AL70
87723.66980000
PA
USD
104779.01000000
0.001893989216
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.06000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2016-3
N/A
TPMT 2016-3 2.25% 04/25/2056
89172YAA8
30750.03800000
PA
USD
31015.83000000
0.000560643277
Long
ABS-CBDO
CORP
US
N
2
2056-04-25
Fixed
0.02250000
N
N
N
N
N
N
COMM 2020-CBM MORTGAGE TRUST
N/A
COMM 2020-CBM MORTGAGE TRUST 3.632% 02/10/2037 144A
20049AAG3
560000.00000000
PA
USD
532346.64000000
0.009622717330
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.03753778
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
259188.40000000
PA
USD
261305.35000000
0.004723365061
Long
ABS-CBDO
CORP
US
N
2
2024-02-20
Fixed
0.03140000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.375% 05/17/2021
025816BU2
1500000.00000000
PA
USD
1517430.00000000
0.027429120167
Long
DBT
CORP
US
N
2
2021-05-17
Fixed
0.03375000
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
628405.79000000
PA
USD
606572.08000000
0.010964419098
Long
ABS-CBDO
CORP
US
N
2
2049-02-25
Variable
0.01549250
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 08/47#MA4654
36179TE35
413037.95000000
PA
USD
450297.44000000
0.008139592991
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.04500000
N
N
N
N
N
N
MERIT 2020
N/A
MERIT 2020 1ML+170 08/15/2037 144A
590027AJ7
410000.00000000
PA
USD
410779.74000000
0.007425269601
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.01840880
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
791813.06210000
PA
USD
818453.61000000
0.014794397382
Long
ABS-CBDO
CORP
US
N
2
2057-06-28
Fixed
0.03500000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST 2020
N/A
KUBOTA CREDIT OWNER TRUST 2020 1.96% 03/15/2024 144A
50117WAC8
380000.00000000
PA
USD
391030.83000000
0.007068287581
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
0.01960000
N
N
N
N
N
N
CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV
N/A
CHICAGO ILL TR 1.838% 12/1/2023
16772PCJ3
35000.00000000
PA
USD
35405.65000000
0.000639993824
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
0.01838000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 3.85% 10/01/2024
444859BD3
610000.00000000
PA
USD
674580.53000000
0.012193742327
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2048#MA3522
31418C4G6
256552.98000000
PA
USD
277961.40000000
0.005024440430
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04500000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC STEP 08/15/2021
25746UDA4
3153000.00000000
PA
USD
3201089.65000000
0.057863013566
Long
DBT
CORP
US
N
2
2021-08-15
Variable
0.02715000
N
N
N
N
N
N
ROWE T PRICE SHORT TERM BD FD INC
O3EF15Z749ITOPZMGX97
T. Rowe Price Ultra Short-Term Bond
77957P303
14757659.65000000
NS
USD
75116487.62000000
1.357808376966
Long
EC
RF
US
N
1
N
N
N
SANTANDER RETAIL AUTO LEASE TR 2020-B
N/A
SANTANDER RETAIL AUTO LEASE TR 2020-B 0.42% 11/20/2023 144A
80286RAB3
8856000.00000000
PA
USD
8866819.38000000
0.160276951341
Long
ABS-CBDO
CORP
US
N
2
2023-11-20
Fixed
0.00420000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A
12653VAA4
5485000.00000000
PA
USD
5486709.67000000
0.099177964624
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01120880
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
506068.20000000
0.009147707288
Long
ABS-CBDO
CORP
US
N
2
2023-11-20
Fixed
0.02170000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3% 07/15/2023
125523BV1
715000.00000000
PA
USD
758177.02000000
0.013704835537
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.03000000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOB 3.5 2/23 144A
453140AB1
1125000.00000000
PA
USD
1179194.02000000
0.021315154224
Long
DBT
CORP
GB
N
2
2023-02-11
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2050#BS6833
3617MHSW7
30233.66000000
PA
USD
33113.72000000
0.000598564813
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
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
1129177.71000000
0.020411057576
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
0.03218000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#CA4885
3140QCNB8
1086736.18000000
PA
USD
1174042.28000000
0.021222031183
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
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
506433.00000000
PA
USD
503905.39000000
0.009108612255
Long
ABS-CBDO
CORP
KY
N
2
2028-07-28
Variable
0.01222250
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
11120953.24000000
0.201022757420
Long
DBT
CORP
US
N
2
2021-04-12
Variable
0.00630500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 12/20 #AD0305
31418MKT8
3.09620000
PA
USD
3.10000000
0.000000056035
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2050#BT2982
3617MRJ39
34255.04000000
PA
USD
37518.18000000
0.000678179993
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV FRN 3ML+115 03/29/2022
456837AJ2
735000.00000000
PA
USD
742980.63000000
0.013430145036
Long
DBT
CORP
NL
N
2
2022-03-29
Variable
0.01367880
N
N
N
N
N
N
NXP B V/NXP FDG LLC/NXP USA INC
N/A
NXP B V/NXP FDG LLC/NXP USA INC 2.7% 05/01/2025 144A
62954HAE8
205000.00000000
PA
USD
220205.08000000
0.003980435078
Long
DBT
CORP
NL
N
2
2025-05-01
Fixed
0.02700000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2019-2
N/A
CARMAX AUTO OWNER TRUST 2019-2 3.01% 12/16/2024
14316LAE3
1935000.00000000
PA
USD
2037713.28000000
0.036833779761
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
0.03010000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2049#MA3694
31418DC83
16595.68000000
PA
USD
17980.53000000
0.000325016717
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
0.04500000
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
5013395.00000000
0.090622311342
Long
DBT
CORP
CA
N
2
2021-09-10
Variable
0.00649500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 02/20/2049#MA5766
36179UMP4
317307.22000000
PA
USD
352232.24000000
0.006366962850
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
0.05500000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+ 05/15/2036
12653VAG1
780000.00000000
PA
USD
774137.21000000
0.013993332515
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01740880
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK NA FRN 3ML+60 05/20/2022
17325FAX6
8000000.00000000
PA
USD
8014539.12000000
0.144871102196
Long
DBT
CORP
US
N
2
2022-05-20
Variable
0.00823750
N
N
N
N
N
N
VERIZON OWNER TR 2018-A
N/A
VERIZON OWNER TR 2018-A A1B 1ML+24 04/23
92348XAB1
3547679.09000000
PA
USD
3550550.94000000
0.064179888622
Long
ABS-CBDO
CORP
US
N
2
2023-04-20
Variable
0.00386500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 01/01/2025#AL0464
3138EGQS6
2538.15520000
PA
USD
2607.65000000
0.000047135976
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/30#AS4509
3138WEAK5
21274.05810000
PA
USD
22617.52000000
0.000408835118
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
0.03000000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP 0.45% 07/22/2022
89236THD0
7207000.00000000
PA
USD
7237068.69000000
0.130817518274
Long
DBT
CORP
US
N
2
2022-07-22
Fixed
0.00450000
N
N
N
N
N
N
CHEVRON CORP NEW
N/A
CHEVRON CORP NEW 1.141% 05/11/2023
166764BV1
4174000.00000000
PA
USD
4257379.82000000
0.076956553303
Long
DBT
CORP
US
N
2
2023-05-11
Fixed
0.01141000
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
17180000.00000000
PA
USD
17219342.20000000
0.311257459258
Long
DBT
CORP
US
N
2
2021-06-25
Variable
0.00855000
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
416037.50000000
0.007520309063
Long
DBT
CORP
US
N
2
2021-04-05
Fixed
0.03470000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
NEW YORK LIFE INSURANCE CO 1.1% 05/05/2023 144A
64952WDP5
725000.00000000
PA
USD
737456.17000000
0.013330284695
Long
DBT
CORP
US
N
2
2023-05-05
Fixed
0.01100000
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
1520778.12000000
0.027489640906
Long
DBT
CORP
US
N
2
2022-04-26
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2038#847962
3128JRZ33
8871.27170000
PA
USD
9316.94000000
0.000168413348
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Variable
0.03193000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 11/01/2026#AL1794
3138EH7G1
109836.21400000
PA
USD
116142.47000000
0.002099395534
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.04500000
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
10058431.10000000
0.181816568365
Long
DBT
CORP
JP
N
2
2022-03-07
Variable
0.00948000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 11/34 #735061
31402QTS0
13227.57570000
PA
USD
15572.42000000
0.000281487633
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.06000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2014-150E
N/A
MORGAN STANLEY CAPITAL I TRUST 2014-150E 3.912% 09/09/2024 144A
61764BAA1
1325000.00000000
PA
USD
1410466.74000000
0.025495648368
Long
ABS-MBS
CORP
US
N
2
2032-09-09
Fixed
0.03912000
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
102860.43500000
PA
USD
103425.85000000
0.001869529446
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.01914000
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
764023.21940000
PA
USD
778472.50000000
0.014071697376
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.02675000
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
1012683.82000000
0.018305309760
Long
ABS-CBDO
CORP
US
N
2
2025-07-18
Fixed
0.02130000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 3.666% 01/25/2022
35137LAF2
260000.00000000
PA
USD
269725.28000000
0.004875564024
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
0.03666000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.25% 10/01/2022
00287YCT4
185000.00000000
PA
USD
193141.16000000
0.003491226670
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
0.03250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 10/31/2022
91282CAR2
13245000.00000000
PA
USD
13239826.24000000
0.239323583248
Long
DBT
UST
US
N
2
2022-10-31
Fixed
0.00125000
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
1509502.62000000
PA
USD
1510101.74000000
0.027296654271
Long
ABS-CBDO
CORP
US
N
2
2031-01-15
Variable
0.00620880
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 2.35% 09/15/2024
776743AH9
365000.00000000
PA
USD
386636.62000000
0.006988857681
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.02350000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK NA 2.844%/VAR 05/20/2022
17325FAY4
1485000.00000000
PA
USD
1502663.24000000
0.027162195673
Long
DBT
CORP
US
N
2
2022-05-20
Variable
0.02844000
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
626674.89000000
PA
USD
640354.33000000
0.011575068284
Long
ABS-CBDO
CORP
US
N
2
2049-06-25
Fixed
0.02941000
N
N
N
N
N
N
BANK 2019-BNK19
N/A
BANK 2019-BNK19 2.263% 08/15/2061
06540WBA0
437027.94000000
PA
USD
447326.20000000
0.008085884748
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
0.02263000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.52% 12/35 #848476
31408DT95
6078.74920000
PA
USD
6345.79000000
0.000114706732
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Variable
0.03230000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.92% 12/36 #905196
31411DUV9
2013.48340000
PA
USD
2107.96000000
0.000038103562
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
0.03612000
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
31245.76270000
PA
USD
31845.80000000
0.000575645845
Long
ABS-CBDO
CORP
US
N
2
2034-12-20
Fixed
0.02750000
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
831861.61000000
0.015036760880
Long
DBT
CORP
US
N
2
2021-08-13
Variable
0.00713630
N
N
N
N
N
N
LLOYDS BANK PLC
H7FNTJ4851HG0EXQ1Z70
LLOYDS BANK PLC 3ML+49 05/07/21
53944VAQ2
9000000.00000000
PA
USD
9016569.00000000
0.162983830948
Long
DBT
CORP
GB
N
2
2021-05-07
Variable
0.00703000
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
453396.27990000
PA
USD
457755.41000000
0.008274403529
Long
ABS-CBDO
CORP
US
N
2
2058-06-01
Fixed
0.03677000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.45% 04/16/2021
225433AM3
15000000.00000000
PA
USD
15172200.00000000
0.274253241994
Long
DBT
CORP
GG
N
2
2021-04-16
Fixed
0.03450000
N
N
N
N
N
N
CSMC 2020-NET
N/A
CSMC 2020-NET 2.2569% 08/15/2037 144A
126438AA8
455000.00000000
PA
USD
469340.28000000
0.008483812063
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Fixed
0.02256900
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
209084.77000000
0.003779423948
Long
ABS-CBDO
CORP
US
N
2
2023-10-16
Fixed
0.02700000
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
924850.04000000
0.016717623141
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.02400000
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
551943.31000000
0.009976947454
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Variable
0.01740880
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TR 2020-HQA5
N/A
FREDDIE MAC STACR REMIC TR 2020-HQA5 SOFR30A+110 11/25/2050 144A
35565TAA7
530000.00000000
PA
USD
530005.41000000
0.009580397171
Long
ABS-CBDO
CORP
US
N
2
2050-11-25
Variable
0.01191000
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
1395000.00000000
PA
USD
1436659.97000000
0.025969118151
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
0.04450000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
87445933.99100000
NS
USD
87463423.18000000
1.580992035633
Long
STIV
RF
US
N
1
N
N
N
JOHN DEERE OWNER TR 2020
N/A
JOHN DEERE OWNER TR 2020 1.01% 01/17/2023
47789KAB9
2476653.47000000
PA
USD
2485085.73000000
0.044920500526
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
0.01010000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 2.9% 02/26/2025
37045XCV6
1880000.00000000
PA
USD
1991653.14000000
0.036001194986
Long
DBT
CORP
US
N
2
2025-02-26
Fixed
0.02900000
N
N
N
N
N
N
TRANSCANADA PIPELINES LTD
5BV01I6231JPDAPMGH09
TRANSCANADA PIPELINES LTD CP .0025 12/15/2020
89355PMF2
4300000.00000000
PA
USD
4299695.56000000
0.077721454167
Long
DBT
CORP
CA
N
2
2020-12-15
Fixed
0.00250000
N
N
N
N
N
N
TRINITY ACQ PLC
549300FJZWZN6MJNGB63
TRINITY ACQUISITION PLC 3.5% 09/15/2021
89641UAD3
650000.00000000
PA
USD
663894.97000000
0.012000589754
Long
DBT
CORP
GB
N
2
2021-09-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2050#BS6831
3617MHSU1
30120.22000000
PA
USD
33290.68000000
0.000601763549
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2020-C
N/A
WORLD OMNI AUTO RECEIVABLES TR 2020-C 0.35% 12/15/2023
98163CAB6
5000000.00000000
PA
USD
5003707.00000000
0.090447190700
Long
ABS-CBDO
CORP
US
N
2
2023-12-15
Fixed
0.00350000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 3/41 #004979
36202FQ82
10655.94260000
PA
USD
12252.99000000
0.000221485495
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.05000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL PARIS
VBHFXSYT7OG62HNT8T76
BANQUE FED CRED MUTUEL PARIS 1.96% 07/21/2021 144A
06675FAU1
5000000.00000000
PA
USD
5052705.70000000
0.091332892992
Long
DBT
CORP
FR
N
2
2021-07-21
Fixed
0.01960000
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
1715007.42000000
0.031000536835
Long
DBT
CORP
NL
N
2
2022-05-25
Fixed
0.02875000
N
N
N
N
N
N
PERRIGO FINANCE PLC
549300E86RB6YCTMRM83
PERRIGO FINANCE PLC 3.9% 12/15/2024
714295AC6
3245000.00000000
PA
USD
3528619.04000000
0.063783446796
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
0.03900000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
GRAY OAK PIPELINE LLC 2% 09/15/2023 144A
38937LAA9
120000.00000000
PA
USD
120934.66000000
0.002186019336
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.02000000
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
390725.29000000
PA
USD
395290.25000000
0.007145281013
Long
ABS-CBDO
CORP
US
N
2
2049-07-25
Fixed
0.03086360
N
N
N
N
N
N
CAPITAL AUTO RECEIVABLES ASSET TR 2018-1
N/A
CAPITAL AUTO RECEIVABLES ASSET TR 2018-1 3.09% 08/22/2022 144A
13976MAE4
760000.00000000
PA
USD
771963.69000000
0.013954043888
Long
ABS-CBDO
CORP
US
N
2
2022-08-22
Fixed
0.03090000
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
1695384.60000000
PA
USD
1713860.90000000
0.030979812298
Long
ABS-CBDO
CORP
US
N
2
2028-08-25
Fixed
0.02450000
N
N
N
N
N
N
MERIT 2020
N/A
MERIT 2020-HILL F 1ML+125 08/15/2037 144A
590027AA6
576000.00000000
PA
USD
576722.07000000
0.010424849226
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.01290880
N
N
N
N
N
N
MERCEDES BENZ AUTO LEASE TR 2020-A
N/A
MERCEDES BENZ AUTO LEASE TR 2020-A 1.82% 03/15/2022
58770FAB8
4455888.64000000
PA
USD
4472575.94000000
0.080846446237
Long
ABS-CBDO
CORP
US
N
2
2022-03-15
Fixed
0.01820000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 3.125% 11/15/2022
776696AE6
1505000.00000000
PA
USD
1571679.48000000
0.028409735751
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.03125000
N
N
N
N
N
N
VISTA PT SECURITIZATION TR 2020-1
N/A
VISTA PT SECURITIZATION TR 2020-1 A1 1.763% 03/25/2065
92838WAA2
579484.81000000
PA
USD
583836.45000000
0.010553449019
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Fixed
0.01763000
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
1487914.57000000
0.026895598175
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.01790880
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 4.95% 03/20/2025 144A
05377RDE1
430000.00000000
PA
USD
450831.65000000
0.008149249390
Long
ABS-CBDO
CORP
US
N
2
2025-03-20
Fixed
0.04950000
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
201312.13000000
0.003638925423
Long
ABS-CBDO
CORP
US
N
2
2059-12-25
Fixed
0.04034000
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
674277.50000000
0.012188264745
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
0.02700000
N
N
N
N
N
N
FREDDIE MAC STACR TR 2018-DNA3
549300BL200YC56BUV20
FREDDIE MAC STACR TR 2018-DNA3 1ML+90 09/25/2048 144A
35563WAQ7
600000.00000000
PA
USD
595276.56000000
0.010760240865
Long
ABS-CBDO
USGSE
US
N
2
2048-09-25
Variable
0.01050130
N
N
N
N
N
N
E TRADE FINANCIAL CORP
549300LYE2HSVYJFJD24
E TRADE FINANCIAL CORP 2.95% 08/24/2022
269246BP8
2362000.00000000
PA
USD
2461939.53000000
0.044502108968
Long
DBT
CORP
US
N
2
2022-08-24
Fixed
0.02950000
N
N
N
N
N
N
GALTON FDG MTG TR 2020-H1
N/A
GALTON FDG MTG TR 2020-H1 2.368% 02/21/2060 144A
36418HAA0
525097.55000000
PA
USD
535137.99000000
0.009673173875
Long
ABS-CBDO
CORP
US
N
2
2060-01-25
Fixed
0.02310000
N
N
N
N
N
N
SINOSING SERVICES PTE LTD
549300UVDH5NQRVTJG47
SINOSING SERVICES PTE LTD 2.25% 02/20/2025 REGS
N/A
2200000.00000000
PA
USD
2258921.50000000
0.040832347634
Long
DBT
CORP
SG
N
2
2025-02-20
Fixed
0.02250000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 1.125% 06/22/2022 144A
91533BAA8
1153000.00000000
PA
USD
1163308.40000000
0.021028005176
Long
DBT
CORP
US
N
2
2022-06-22
Fixed
0.01125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #826362
31407CB71
5512.96900000
PA
USD
5768.91000000
0.000104279028
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.02632000
N
N
N
N
N
N
BMW FLOORPLAN MASTER OWNER TR
N/A
BMW FLOORPLAN MASTER OWNER TR 2018-1 A2 1ML+32 05/15/2023 144A
05564UAN0
6174000.00000000
PA
USD
6179927.66000000
0.111708598360
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Variable
0.00460880
N
N
N
N
N
N
Fidelity Colchester Street Trust
549300SHPEJB1OPRCV46
FIMM MM Government Portfolio - Instl Cl
31607A703
424870915.09000000
NS
USD
424870915.09000000
7.679982197212
Long
EC
RF
US
N
1
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 2017-4A A2 1ML+34 11/15/2029 144A
165183BF0
712850.04400000
PA
USD
712872.57000000
0.012885910642
Long
ABS-CBDO
CORP
US
N
2
2029-11-15
Variable
0.00450880
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
924278.18000000
PA
USD
925276.40000000
0.016725330040
Long
ABS-CBDO
CORP
US
N
2
2048-06-20
Fixed
0.04250000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 2.75% 05/19/22
61744YAH1
1095000.00000000
PA
USD
1132885.37000000
0.020478077373
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
0.02750000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
SUNCOR ENERGY INC NEW 2.8% 05/15/2023
867224AC1
505000.00000000
PA
USD
530882.93000000
0.009596259255
Long
DBT
CORP
CA
N
2
2023-05-15
Fixed
0.02800000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC FRN 03/16/2022
92343VDX9
15233000.00000000
PA
USD
15414089.90000000
0.278625652671
Long
DBT
CORP
US
N
2
2022-03-16
Variable
0.01237250
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY FRN SOFR+70 01/20/2023
6174468K8
5000000.00000000
PA
USD
5013822.90000000
0.090630046078
Long
DBT
CORP
US
N
2
2023-01-20
Variable
0.00783960
N
N
N
N
N
N
BAT INTL FIN PLC
21380041YBGOQDFAC823
BAT INTL FINANCE PLC 1.668% 03/25/2026
05530QAN0
885000.00000000
PA
USD
900798.75000000
0.016282871144
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
0.01668000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC FRN 3ML+53 09/15/2023
25746UDH9
2327000.00000000
PA
USD
2330736.84000000
0.042130484346
Long
DBT
CORP
US
N
2
2023-09-15
Variable
0.00776130
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION FRN 3ML+65 06/25/2022
06051GHJ1
10000000.00000000
PA
USD
10032009.90000000
0.181338977787
Long
DBT
CORP
US
N
2
2022-06-25
Variable
0.00875000
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
553858.60000000
PA
USD
553857.66000000
0.010011551314
Long
ABS-CBDO
CORP
US
N
2
2029-05-15
Variable
0.00590880
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST 2019-C
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2019-C 2.88% 06/20/2024 144A
80284NAH1
870000.00000000
PA
USD
888174.21000000
0.016054669497
Long
ABS-CBDO
CORP
US
N
2
2024-06-20
Fixed
0.02880000
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
148333.34600000
PA
USD
148473.70000000
0.002683816030
Long
ABS-CBDO
CORP
US
N
2
2021-12-20
Fixed
0.02630000
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
4303002.69000000
0.077781233970
Long
DBT
CORP
US
N
2
2021-06-25
Variable
0.00685000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 3.15% 12/01/22
444859BA9
315000.00000000
PA
USD
329704.38000000
0.005959748429
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
0.03150000
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
1160239.20460000
PA
USD
1163795.22000000
0.021036804952
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.02280000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.93% 12/36 #1G1353
3128QJQE9
6099.53200000
PA
USD
6376.53000000
0.000115262389
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
0.04073000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2020-609M
N/A
J P MORGAN CHASE COML MTG SECS TR 2020-609M 1ML+ 10/15/2033 144A
46652RAJ3
805000.00000000
PA
USD
804024.74000000
0.014533580600
Long
ABS-MBS
CORP
US
N
2
2033-10-15
Variable
0.02310880
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.5% 01/15/2022
00912XBE3
5560000.00000000
PA
USD
5711979.65000000
0.103249953020
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
0.03500000
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
11081.81240000
PA
USD
11112.19000000
0.000200864352
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
0.02711000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/34 #725229
31402CVW9
126183.33160000
PA
USD
147166.90000000
0.002660194265
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
0.06000000
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
1341528.78000000
PA
USD
1348399.29000000
0.024373714872
Long
ABS-CBDO
CORP
US
N
2
2021-11-15
Fixed
0.03100000
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
387871.81000000
0.007011185020
Long
DBT
CORP
US
N
2
2043-07-15
Fixed
0.03720000
N
N
N
N
N
N
PNM RESOURCES INC
5493003JOBJGLZSDDQ28
PNM RESOURCES INC 3.25% 03/09/2021
69349HAC1
995000.00000000
PA
USD
1002248.92000000
0.018116688126
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
0.03250000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 2.25% 10/1/2022
4521527Q8
1640000.00000000
PA
USD
1605363.20000000
0.029018603905
Long
DBT
MUN
US
N
2
2022-10-01
Fixed
0.02250000
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
379048.30210000
PA
USD
395023.10000000
0.007140452000
Long
ABS-CBDO
CORP
US
N
2
2048-06-25
Fixed
0.03766000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO 3.5% 3/8/22
94974BFC9
735000.00000000
PA
USD
763959.65000000
0.013809362568
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
0.03500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE 3.5% 6/23 WI
14040HBD6
555000.00000000
PA
USD
595158.79000000
0.010758112050
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03500000
N
N
N
N
N
N
ARES LVII CLO LTD / ARES LVII CLO LLC
N/A
ARES LVII CLO LTD / ARES LVII CLO LLC 3ML+132 10/25/2031 144A
04017NAC6
895000.00000000
PA
USD
895000.00000000
0.016178052727
Long
ABS-CBDO
CORP
KY
N
2
2031-10-25
Variable
0.00000000
N
N
N
N
N
N
KEYBANK NATL ASSN
HUX2X73FUCYHUVH1BK78
KEYBANK NATL ASSN CLVLD MTN BE 2.3% 09/14/2022
49327M2T0
355000.00000000
PA
USD
367576.55000000
0.006644327158
Long
DBT
CORP
US
N
2
2022-09-14
Fixed
0.02300000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 3.125% 05/12/2023 144A
928668BD3
355000.00000000
PA
USD
375034.00000000
0.006779128297
Long
DBT
CORP
US
N
2
2023-05-12
Fixed
0.03125000
N
N
N
N
N
N
PNC BANK NA PITTSBURGH PA
AD6GFRVSDT01YPT1CS68
PNC BK NA PITTSBURGH PA MTN 2.028%/VAR 12/09/2022
69353RFS2
7000000.00000000
PA
USD
7120053.85000000
0.128702353748
Long
DBT
CORP
US
N
2
2022-12-09
Variable
0.02028000
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
605029.43000000
PA
USD
612406.80000000
0.011069887710
Long
ABS-CBDO
CORP
US
N
2
2059-02-25
Fixed
0.03836000
N
N
N
N
N
N
CC HLDGS GS V LLC / CROWN CASTLE GS III CORP
549300UOUI8AGDVWFP45
CC HOLDINGS 3.849% 4/15/23
14987BAE3
1900000.00000000
PA
USD
2039487.49000000
0.036865850446
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03849000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) FRN SOFR+54 11/17/2023
38141GXK5
10000000.00000000
PA
USD
10008100.00000000
0.180906781561
Long
DBT
CORP
US
N
2
2023-11-17
Variable
0.00611429
N
N
N
N
N
N
MVW OWNER TR 2014-1
N/A
MVWOT 2014-1A A 2.25% 9/31
553891AA0
71877.15820000
PA
USD
72066.99000000
0.001302685546
Long
ABS-CBDO
CORP
US
N
2
2031-09-22
Fixed
0.02250000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE
N/A
FANNIE MAE CONNECTICUT AVENUE 1ML+85 07/25/2030
30711XZZ0
921427.72000000
PA
USD
904832.25000000
0.016355780837
Long
ABS-CBDO
USGSE
US
N
2
2030-07-25
Variable
0.01000130
N
N
N
N
N
N
STATE STR INVT TR
549300CCOK7OZZUAS108
State Street Instl US Govt MMkt Premier
857492706
7189424.45000000
NS
USD
7189424.45000000
0.129956299250
Long
EC
RF
US
N
1
N
N
N
DT AUTO OWNER TR 2019-3
N/A
DT AUTO OWNER TR 2019-3 2.55% 08/15/2022 144A
26253KAA2
499904.80000000
PA
USD
501179.41000000
0.009059337341
Long
ABS-CBDO
CORP
US
N
2
2022-08-15
Fixed
0.02550000
N
N
N
N
N
N
HIGHWOODS RLTY LTD PARTNERSHIP
JUJNVZX73BIYHLR58F51
HIGHWOODS REALTY LP 3.625% 01/15/2023
431282AM4
1620000.00000000
PA
USD
1688765.24000000
0.030526182230
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03625000
N
N
N
N
N
N
HPEFS EQUIP TR 2020-2
N/A
HPEFS EQUIP TR 2020-2A A2 0.65% 07/22/2030 144A
40438PAB8
5990000.00000000
PA
USD
6001367.82000000
0.108480944163
Long
ABS-CBDO
CORP
US
N
2
2030-07-22
Fixed
0.00650000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TR 2019-4
N/A
CARVANA AUTO RECEIVABLES TR 2019-4 2.2% 07/15/2022 144A
14686YAC1
126876.65000000
PA
USD
127172.62000000
0.002298776929
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
0.02200000
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
598861.74000000
0.010825046710
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Fixed
0.03339000
N
N
N
N
N
N
COMM 2014-CCRE15 MTG TR
N/A
COMM 2014-CCRE15 MTG TR VAR 02/10/2047
12591RBD1
920000.00000000
PA
USD
1008882.58000000
0.018236598407
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
0.04841204
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 1.008%/VAR 07/30/2024 144A
902613AB4
7118000.00000000
PA
USD
7169020.26000000
0.129587472365
Long
DBT
CORP
CH
N
2
2024-07-30
Variable
0.01008000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
549300LJXD867XMVE759
ROPER TECHNOLOGIES INC 0.45% 08/15/2022
776743AK2
706000.00000000
PA
USD
706797.62000000
0.012776099624
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.00450000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL INC
ISRPG12PN4EIEOEMW547
HONEYWELL INTL INC FRN 3ML+37 08/08/2022
438516BV7
9078000.00000000
PA
USD
9120139.17000000
0.164855969128
Long
DBT
CORP
US
N
2
2022-08-08
Variable
0.00583000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 10/01/2024#890205
31410LAE2
44032.39080000
PA
USD
45517.27000000
0.000822771836
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
0.05500000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL INC
549300DV9GIB88LZ5P30
MONDELEZ INTL INC 2.125% 04/13/2023
609207AS4
2351000.00000000
PA
USD
2439065.99000000
0.044088646023
Long
DBT
CORP
US
N
2
2023-04-13
Fixed
0.02125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7% 03/39#G62030
31335CHF4
159738.38000000
PA
USD
188697.10000000
0.003410895679
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.07000000
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
464856.99200000
PA
USD
475300.33000000
0.008591546145
Long
ABS-CBDO
USGSE
US
N
2
2040-02-15
Fixed
0.02000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.8% 02/14/2024
02209SBB8
1300000.00000000
PA
USD
1419719.09000000
0.025662894185
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
0.03800000
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
11435000.00000000
PA
USD
11469991.10000000
0.207331978541
Long
DBT
CORP
US
N
2
2021-01-22
Fixed
0.03150000
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC 2020-1A 1A 12/22/2069 144A
513770BE6
1768000.00000000
PA
USD
1810219.84000000
0.032721600021
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02277000
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
3726917.75510000
PA
USD
3565591.78000000
0.064451767396
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01260880
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
AVNET INC 3.75% 12/01/2021
053807AT0
905000.00000000
PA
USD
925800.69000000
0.016734807125
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.03750000
N
N
N
N
N
N
DAIMLER TRUCKS RETAIL TRUST 2018-1
N/A
DAIMLER TRUCKS RETAIL TRUST 2018-1 3.03% 11/15/2024 144A
233864AD9
246636.13000000
PA
USD
247211.66000000
0.004468607005
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.03030000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 1.326%/VAR 06/15/2023
53944YAM5
1803000.00000000
PA
USD
1821769.66000000
0.032930374989
Long
DBT
CORP
GB
N
2
2023-06-15
Variable
0.01326000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 02/01/2037#1G1496
3128QJUV6
3190.08880000
PA
USD
3356.21000000
0.000060666974
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.03733000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2050#BS9707
3617MLYC5
29984.85000000
PA
USD
32841.21000000
0.000593638912
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
N
N
N
N
N
N
TESLA 2020-A
N/A
TESLA 2020-A 0.55% 05/22/2023 144A
88167HAB2
2221000.00000000
PA
USD
2224887.86000000
0.040217154313
Long
ABS-CBDO
CORP
US
N
2
2023-05-22
Fixed
0.00550000
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
29504.18000000
PA
USD
29536.82000000
0.000533908638
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
0.02550000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 3ML+57 08/27/2021 144A
00084DAS9
10813000.00000000
PA
USD
10851105.01000000
0.196144970947
Long
DBT
CORP
NL
N
2
2021-08-27
Variable
0.00803000
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
5002815.00000000
0.090431066875
Long
DBT
CORP
US
N
2
2021-03-12
Variable
0.00489130
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.00% 10/23 #G13276
3128MB2H9
8536.12010000
PA
USD
8876.75000000
0.000160456457
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
0.05000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES 2020-C OWNER TR
N/A
TOYOTA AUTO RECEIVABLES 2020-C OWNER TR 0.44% 10/15/2024
89237VAB5
9912000.00000000
PA
USD
9942349.55000000
0.179718274022
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
0.00440000
N
N
N
N
N
N
PROSPEROUS RAY LTD
N/A
PROSPEROUS RAY LTD 4.625% 11/12/2023 REGS
N/A
1200000.00000000
PA
USD
1312089.61000000
0.023717379768
Long
DBT
CORP
VG
N
2
2023-11-12
Fixed
0.04625000
N
N
N
N
N
N
SEQUOIA MTG TR 2018-CH2
N/A
SEQUOIA MTG TR 2018-CH2 A21 4% 06/25/2048 144A
81747EAW7
320833.54000000
PA
USD
330790.38000000
0.005979379004
Long
ABS-CBDO
CORP
US
N
2
2048-06-25
Fixed
0.04000000
N
N
N
N
N
N
NAVIENT PRIVATE ED REFI LN TR 2019-E
N/A
NAVIENT PRIVATE ED REFI LN TR 2019-E 2.64% 05/15/2068 144A
63941MAB7
1560000.00000000
PA
USD
1601358.10000000
0.028946207571
Long
ABS-CBDO
CORP
US
N
2
2068-05-15
Fixed
0.02640000
N
N
N
N
N
N
CSAIL 2015-C3 COML MTG TR
549300ZAGI6FKGY8O078
CSAIL 2015-C3 A4 3.7182% 08/15/2048
12635FAT1
670000.00000000
PA
USD
740996.75000000
0.013394284348
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Fixed
0.03718200
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP 1.15% 05/26/2022
89236TGZ2
5000000.00000000
PA
USD
5063992.40000000
0.091536911794
Long
DBT
CORP
US
N
2
2022-05-26
Fixed
0.01150000
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
105422.56880000
PA
USD
105826.87000000
0.001912930371
Long
ABS-CBDO
CORP
US
N
2
2058-06-01
Fixed
0.03830000
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
331296.09000000
PA
USD
332658.98000000
0.006013155886
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
0.02400000
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
212748.10000000
0.003845642435
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
0.04125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 02/20/2048#MA5022
36179TSK2
628648.23000000
PA
USD
696541.55000000
0.012590710527
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12ML+2 2/38 #1J0889
3128LU7A8
17712.86860000
PA
USD
18613.10000000
0.000336451076
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Variable
0.04082000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 06/01/2032#BE3725
3140FPD71
38774.25000000
PA
USD
41383.06000000
0.000748041705
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.03500000
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
1830.51200000
PA
USD
1830.51000000
0.000033088365
Long
ABS-CBDO
USGSE
US
N
2
2048-09-25
Variable
0.00900130
N
N
N
N
N
N
HERO ASIA INVESTMENT LTD
549300YWBWWXOPOSH694
HERO ASIA INVESTMENT LTD 1.5% 11/18/2023 REGS
N/A
1650000.00000000
PA
USD
1647251.43000000
0.029775777082
Long
DBT
CORP
HK
N
2
2023-11-18
Fixed
0.01500000
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
1402907.67000000
0.025359010342
Long
DBT
CORP
US
N
2
2021-07-30
Variable
0.00884380
N
N
N
N
N
N
DELTA AIRLINES INC
Q2CCMS6R0AS67HJMBN42
DELTA AIRLINES INC 2.6% 12/04/2020
247361ZL5
290000.00000000
PA
USD
290000.00000000
0.005242050604
Long
DBT
CORP
US
N
2
2020-12-04
Fixed
0.02600000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 4.64% 02/06/2024
595112BL6
340000.00000000
PA
USD
378702.02000000
0.006845431561
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
0.04640000
N
N
N
N
N
N
SOUTHERN CALIFORNIA GAS CO
XY0N0J73VHV5F4CUJV89
SOUTHERN CALIFORNIA GAS CO FRN 3ML+35 09/14/2023
842434CV2
902000.00000000
PA
USD
902267.98000000
0.016309428999
Long
DBT
CORP
US
N
2
2023-09-14
Variable
0.00577380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 01/01/2038#A71375
3128L4Q49
2083.74440000
PA
USD
2501.65000000
0.000045219916
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 7/34 #725594
31402DC73
68600.51530000
PA
USD
79571.80000000
0.001438342766
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.05500000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 2.625% 03/15/2023
26875PAK7
291000.00000000
PA
USD
303641.49000000
0.005488634676
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.02625000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
GRAY OAK PIPELINE LLC 2.6% 10/15/2025 144A
38937LAC5
385000.00000000
PA
USD
390859.46000000
0.007065189891
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
0.02600000
N
N
N
N
N
N
APPLEBEE'S/IHOP FUNDING LLC
N/A
APPLEBEE'S/IHOP FUNDING LLC 2019-1A A2I 4.194% 06/07/49
03789XAD0
1440000.00000000
PA
USD
1407124.80000000
0.025435239338
Long
ABS-CBDO
CORP
US
N
2
2049-06-07
Fixed
0.04194000
N
N
N
N
N
N
PIMCO FDS PAC INVT MGMT SER
549300F3V4IM7FBY9U59
PIMCO Short-Term Instl
693390601
71564642.19500000
NS
USD
705627372.04000000
12.75494617932
Long
EC
RF
US
N
1
N
N
N
AON CORP2
LTS3U8DGK38SETRUWX71
AON CORP 2.2% 11/15/2022
037389BD4
1592000.00000000
PA
USD
1647269.05000000
0.029776095582
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.02200000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC FRN 3ML+115 01/20/2023
853254BL3
910000.00000000
PA
USD
914520.59000000
0.016530907625
Long
DBT
CORP
GB
N
2
2023-01-20
Variable
0.01368380
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
1334038.47000000
PA
USD
1340609.68000000
0.024232909597
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Fixed
0.02170000
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
1362572.41000000
0.024629908707
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03950000
N
N
N
N
N
N
GATX CORP
549300IHYHCQP2PIR591
GATX CORP 3.9% 3/30/23
361448AQ6
545000.00000000
PA
USD
581461.99000000
0.010510528193
Long
DBT
CORP
US
N
2
2023-03-30
Fixed
0.03900000
N
N
N
N
N
N
VERIZON OWNER TR 2020-A
N/A
VERIZON OWNER TR 2020-A 1.85% 07/22/2024
92348TAA2
4951000.00000000
PA
USD
5072332.67000000
0.091687670820
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
0.01850000
N
N
N
N
N
N
CREDIT SUISSE AG NY BRNCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG NY BRNCH 2.1% 11/12/2021
22550L2A8
8156000.00000000
PA
USD
8292469.94000000
0.149894989862
Long
DBT
CORP
US
N
2
2021-11-12
Fixed
0.02100000
N
N
N
N
N
N
NXP BV/NXP FDG LLC
N/A
NXP BV/NXP FDG LLC 4.875% 03/01/2024 144A
62947QAZ1
195000.00000000
PA
USD
219889.23000000
0.003974725762
Long
DBT
CORP
NL
N
2
2024-03-01
Fixed
0.04875000
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
N/A
NELNET STUDENT LOAN TRUST 3ML+18 03/22/2032
64031QCJ8
691488.94000000
PA
USD
652177.38000000
0.011788782168
Long
ABS-CBDO
CORP
US
N
2
2032-03-22
Variable
0.00405380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 5/36 #745516
31403DGZ6
12094.14510000
PA
USD
14073.75000000
0.000254397619
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.05500000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
REPUBLIC SERVICES INC 2.5% 08/15/2024
760759AU4
880000.00000000
PA
USD
937658.57000000
0.016949150598
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02500000
N
N
N
N
N
N
HOUSTON TX ARPT SYS REV
N/A
HOUSTON TX ARPT 1.054% 7/1/2023
442349EK8
120000.00000000
PA
USD
120198.00000000
0.002172703443
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
0.01054000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 1/37 #888688
31410GJ95
2718.98770000
PA
USD
3167.88000000
0.000057262714
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.05500000
N
N
N
N
N
N
ARI FLEET LEASE TR 2020-A
N/A
ARI FLEET LEASE TR 2020-A 2.06% 11/15/2028 144A
00217TAD7
770000.00000000
PA
USD
789530.67000000
0.014271585261
Long
ABS-CBDO
CORP
US
N
2
2028-11-15
Fixed
0.02060000
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC
213800MVYG7MLQM2LF25
PERMANENT MASTER ISSUER PLC 2.53613%/VAR 07/15/2058
71419GAY6
896000.00000000
PA
USD
896798.34000000
0.016210559586
Long
ABS-CBDO
CORP
GB
N
2
2058-07-15
Variable
0.00786880
N
N
N
N
N
N
SCHLUMBERGER FINANCE CANADA LTD
549300P4EXZFF0LRNF59
SCHLUMBERGER FINANCE CANADA LTD 1.4% 09/17/2025
80685XAC5
290000.00000000
PA
USD
295985.49000000
0.005350244540
Long
DBT
CORP
CA
N
2
2025-09-17
Fixed
0.01400000
N
N
N
N
N
N
AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR
N/A
AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR 1ML+105 09/15/2032 144A
05223HAA0
615000.00000000
PA
USD
599593.39000000
0.010838272042
Long
ABS-MBS
CORP
US
N
2
2032-09-15
Variable
0.01190880
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
574509.57000000
0.010384855995
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03450000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 3.75% 06/15/2024 144A
629377CK6
535000.00000000
PA
USD
574335.83000000
0.010381715464
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.03750000
N
N
N
N
N
N
BUNGE LTD FIN CORP
549300QHC068L40NNM71
BUNGE LTD FIN CORP 3% 09/25/2022
120568AY6
2775000.00000000
PA
USD
2879046.07000000
0.052041742037
Long
DBT
CORP
US
N
2
2022-09-25
Fixed
0.03000000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX CAPITAL INC 3.5% 03/16/2023
74949LAB8
575000.00000000
PA
USD
612890.52000000
0.011078631450
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 8/37 #AE0188
31419AF69
28834.98680000
PA
USD
33614.12000000
0.000607610062
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.9% 02/15/2022
125523BR0
585000.00000000
PA
USD
609290.55000000
0.011013558261
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 1/35 #735141
31402QWA5
411384.18510000
PA
USD
478161.63000000
0.008643267108
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05500000
N
N
N
N
N
N
COX COMMUNICATIONS INC NEW
5493001NEDZNIFRP2R92
COX COMMUNICATIONS INC NEW 3.15% 08/15/2024 144A
224044CH8
1600000.00000000
PA
USD
1730150.62000000
0.031274265872
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.03150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.00% 3/23 #889390
31410KC36
13730.10670000
PA
USD
14168.05000000
0.000256102189
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
0.06000000
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
1357905.14000000
0.024545542964
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
0.03875000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 3.3% 07/15/2025 144A
00130HCB9
820000.00000000
PA
USD
894423.20000000
0.016167626469
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2050#
31418DVA7
135000.00000000
PA
USD
140275.25000000
0.002535620548
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.02000000
N
N
N
N
N
N
NAVIENT PRIVNAVIENT PRIVATE ED REFI LN TR 2019-ATE EDUCATION REFI LOAN TRUST 2019-A
N/A
NAVIENT PRIVATE ED REFI LN TR 2019-A A2A 3.42% 01/15/2043 144A
63941BAB1
2679778.87000000
PA
USD
2802794.12000000
0.050663409001
Long
ABS-CBDO
CORP
US
N
2
2043-01-15
Fixed
0.03420000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-NXS2
N/A
WFCM TR 2015-NXS2 3.02% 7/58
94989MAB5
332926.50000000
PA
USD
338326.83000000
0.006115608150
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Fixed
0.03020000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 2.894% 06/06/2022
075887BT5
6407000.00000000
PA
USD
6626656.11000000
0.119783678158
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
0.02894000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/38 #889579
31410KJY1
5653.69800000
PA
USD
6777.19000000
0.000122504734
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.06000000
N
N
N
N
N
N
COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK B A STRUCTURED UTRECHT BRANCH
N/A
RABOBK NEDERLND 3.95% 11/09/22
21685WDF1
1370000.00000000
PA
USD
1457474.10000000
0.026345355126
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
0.03950000
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
553625.51000000
0.010007354962
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
0.03900000
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
381632.55780000
PA
USD
388499.88000000
0.007022538036
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.0% 01/01/2041#AL1793
3138EH7F3
25768.43210000
PA
USD
30753.31000000
0.000555897956
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.06000000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 2.625% 06/15/2022
828807DB0
1150000.00000000
PA
USD
1179677.15000000
0.021323887300
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.02625000
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD 3.5% 03/28/2024 REGS
N/A
1000000.00000000
PA
USD
1069375.00000000
0.019330061603
Long
DBT
CORP
KY
N
2
2024-03-28
Fixed
0.03500000
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
220581.82000000
PA
USD
221546.25000000
0.004004678116
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.03210000
N
N
N
N
N
N
MARATHON OIL CORP
1FRVQX2CRLGC1XLP5727
MARATHON OIL CP 2.8% 11/01/22
565849AK2
653000.00000000
PA
USD
667222.27000000
0.012060734150
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.02800000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 11/01/2034#1H1218
3128NGAT2
13898.07740000
PA
USD
14466.75000000
0.000261501501
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
0.03759000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.21% 2/37 #1J0248
3128LUHZ2
4408.97700000
PA
USD
4638.75000000
0.000083850214
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.03734000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.7% 03/09/2023
126650CV0
1169000.00000000
PA
USD
1250561.09000000
0.022605187991
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.50% 11/21 #G12463
3128M1TU3
13.62050000
PA
USD
13.81000000
0.000000249630
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
0.05500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE VFAC SOFR+18 07/08/2022
3135G05F6
20000000.00000000
PA
USD
20036268.40000000
0.362176320254
Long
DBT
USGSE
US
N
2
2022-07-08
Variable
0.00265556
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
AKER BP ASA 3% 01/15/2025 144A
00973RAE3
995000.00000000
PA
USD
1011699.80000000
0.018287522579
Long
DBT
CORP
NO
N
2
2025-01-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2050#BS6832
3617MHSV9
49406.90000000
PA
USD
54576.60000000
0.000986528617
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.04000000
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
106300.73000000
PA
USD
106919.11000000
0.001932673742
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
0.02960000
N
N
N
N
N
N
PEACEHEALTH OBLIGATED GROUP
N/A
PEACEHEALTH OBLIGATED GROUP 1.375% 11/15/2025
70462GAB4
190000.00000000
PA
USD
193872.20000000
0.003504440976
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.01375000
N
N
N
N
N
N
WESTERN UN CO
28ID94QU1140NC23S047
WESTERN UN CO 3.6% 03/15/2022
959802AU3
840000.00000000
PA
USD
868828.09000000
0.015704968324
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03600000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
232810107.58600000
NS
USD
232833388.60000000
4.208704846237
Long
STIV
RF
US
N
1
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 5/25 #AD6392
31418UC69
5482.72860000
PA
USD
5781.90000000
0.000104513835
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.35% 03/09/2021
126650DC1
10000000.00000000
PA
USD
10083795.40000000
0.182275054379
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
0.03350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 09/01/2035#CA7133
3140QE4T6
854653.73000000
PA
USD
897681.61000000
0.016226525607
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.02000000
N
N
N
N
N
N
HOUSTON TX ARPT SYS REV
N/A
HOUSTON TX ARPT 1.272% 7/1/2024
442349EL6
400000.00000000
PA
USD
401708.00000000
0.007261288497
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
0.01272000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 5/39 #995838
31416CHP4
33373.14700000
PA
USD
39082.85000000
0.000706463025
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.05500000
N
N
N
N
N
N
ARCHER DANIELS MIDLAND CO
549300LO13MQ9HYSTR83
ARCHER DANIELS MIDLAND CO 2.75% 03/27/2025
039482AA2
285000.00000000
PA
USD
308421.05000000
0.005575030177
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
0.02750000
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
391954.43000000
PA
USD
329241.72000000
0.005951385369
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
0.03500000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-B
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST 2019-B 2.03% 11/15/2022
98162GAD4
2480000.00000000
PA
USD
2524652.15000000
0.045635704581
Long
ABS-CBDO
CORP
US
N
2
2022-11-15
Fixed
0.02030000
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
1099127.10000000
0.019867861650
Long
DBT
CORP
DK
N
2
2022-01-12
Fixed
0.05000000
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
661896.68000000
PA
USD
663926.72000000
0.012001163668
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.01026130
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
1583141.59000000
0.028616925270
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
0.03625000
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
763330.90000000
PA
USD
768457.89000000
0.013890672919
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.02010000
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
3020457.19000000
PA
USD
3018518.06000000
0.054562842829
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
0.00931380
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN ENERGY PTNRS MLP 3.5% 03/01/2021
494550BT2
435000.00000000
PA
USD
436048.19000000
0.007882023027
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.03500000
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 0.7% 09/15/2025
34528QHK3
3274000.00000000
PA
USD
3289957.80000000
0.059469397495
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
0.00700000
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
342344.30000000
0.006188228085
Long
ABS-CBDO
CORP
US
N
2
2023-04-17
Fixed
0.02380000
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
21944.98870000
PA
USD
21973.17000000
0.000397187824
Long
ABS-CBDO
CORP
US
N
2
2021-06-10
Fixed
0.02290000
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
559225.59000000
0.010108582213
Long
ABS-CBDO
CORP
US
N
2
2049-03-25
Fixed
0.04065000
N
N
N
N
N
N
NAVIENT PRIVATE ED REFI LN TR 2020-D
N/A
NAVIENT STUDENT LOAN TRUST 1.69% 05/15/2069 144A
63941HAA0
1061513.67000000
PA
USD
1079469.17000000
0.019512524189
Long
ABS-CBDO
CORP
US
N
2
2069-05-15
Fixed
0.01690000
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
1600907.09290000
PA
USD
1599496.21000000
0.028912551979
Long
ABS-CBDO
CORP
US
N
2
2037-01-15
Variable
0.00860880
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
143396.76000000
0.002592045077
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.04350000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.312%/VAR 11/04/2022
17308CC46
16290000.00000000
PA
USD
16569700.28000000
0.299514508157
Long
DBT
CORP
US
N
2
2022-11-04
Variable
0.02312000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC 1.125% 05/01/2023
718172CQ0
9481000.00000000
PA
USD
9664566.10000000
0.174697050223
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.01125000
N
N
N
N
N
N
COLT 2020-3 MORTGAGE LOAN TRUST
N/A
COLT 2020-3 A1 MORTGAGE LOAN TRUST 1.817% 04/27/2065 144A
12597QAA4
488998.55000000
PA
USD
486545.49000000
0.008794814068
Long
ABS-CBDO
CORP
US
N
2
2065-04-27
Fixed
0.01506000
N
N
N
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
269623.10510000
PA
USD
275112.96000000
0.004972951924
Long
ABS-CBDO
CORP
US
N
2
2055-01-28
Fixed
0.03500000
N
N
N
N
N
N
WALGREEN CO
E1OI0SEUGJMPPTKRDD35
WALGREEN CO 3.1% 9/15/22
931422AH2
435000.00000000
PA
USD
455130.75000000
0.008226960079
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
0.03100000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2020-A
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 20 A 1.9% 05/16/2022 144A
44935SAB2
4272756.47000000
PA
USD
4297639.29000000
0.077684284955
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
0.01900000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST 2020-2
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2020-2 2.56% 07/22/2024
36259PAG1
445000.00000000
PA
USD
461564.41000000
0.008343255152
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
0.02560000
N
N
N
N
N
N
COMM 2013-300P MTG TR
N/A
COMM 2013-300P MTG TR
12625XAA5
620000.00000000
PA
USD
660170.23000000
0.011933261217
Long
ABS-MBS
CORP
US
N
2
2030-08-10
Fixed
0.04353000
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
26486.85630000
PA
USD
26641.77000000
0.000481577608
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.0% 12/01/2023#G13378
3128MB6P7
77659.18640000
PA
USD
80662.75000000
0.001458062818
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.05000000
N
N
N
N
N
N
SCHLUMBERGER HOLDINGS CORPORATION
529900IKZG65COT1D505
SCHLUMBERGER HOLDINGS CORPORATION 4% 12/21/25 144A
806851AG6
375000.00000000
PA
USD
420807.41000000
0.007606530130
Long
DBT
CORP
US
N
2
2025-12-21
Fixed
0.04000000
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
225429.88000000
0.004074878754
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
0.02200000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.55% 10/36 #1G2603
3128QS3L8
22107.14280000
PA
USD
23234.51000000
0.000419987852
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
0.02788000
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
453210.54000000
0.008192250293
Long
DBT
CORP
KY
N
2
2023-03-15
Fixed
0.04500000
N
N
N
N
N
N
DAIMLER TRUCKS RETAIL TRUST 2020-1
N/A
DAIMLER TRUCKS RETAIL TRUST 2020-1 1.37% 06/15/2027
233854AD0
1820000.00000000
PA
USD
1831557.91000000
0.033107307754
Long
ABS-CBDO
CORP
US
N
2
2027-06-15
Fixed
0.01370000
N
N
N
N
N
N
LONG ISLAND PWR AUTH NY ELEC
N/A
LIPA NY .764% 3/1/2023
542691DP2
360000.00000000
PA
USD
358718.40000000
0.006484206915
Long
DBT
MUN
US
N
2
2023-03-01
Fixed
0.00764000
N
N
N
N
N
N
SUNOCO LOGISTICS PRTNR OPER LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS PRTNR OPER LP 4.25% 04/01/2024
86765BAN9
70000.00000000
PA
USD
74982.20000000
0.001355380989
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04250000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 1.75% 06/16/2022
694308JE8
3430000.00000000
PA
USD
3436629.74000000
0.062120644845
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
0.01750000
N
N
N
N
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
983059.06000000
PA
USD
986355.26000000
0.017829393747
Long
ABS-CBDO
CORP
US
N
2
2022-01-20
Fixed
0.02720000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 10/26 #AL2456
3138EJWS3
97315.11330000
PA
USD
102054.66000000
0.001844743765
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.04500000
N
N
N
N
N
N
HEATHROW FUNDING LTD
7TI96JO3DYEIQWZ7Z726
BAA FUNDING LT 4.875% 7/15/23 144A
05607MAA5
1340000.00000000
PA
USD
1370279.66000000
0.024769225240
Long
DBT
CORP
JE
N
2
2023-07-15
Fixed
0.04875000
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
2846182.91160000
PA
USD
2845122.71000000
0.051428542142
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.00863500
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 3.2% 08/09/2021
25466AAF8
1050000.00000000
PA
USD
1068151.48000000
0.019307945211
Long
DBT
CORP
US
N
2
2021-08-09
Fixed
0.03200000
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
251915.88000000
PA
USD
253577.21000000
0.004583670920
Long
ABS-CBDO
CORP
US
N
2
2059-02-25
Fixed
0.04000000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA BC 0.8% 06/15/2023
064159VM5
7000000.00000000
PA
USD
7079539.04000000
0.127970006561
Long
DBT
CORP
CA
N
2
2023-06-15
Fixed
0.00800000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TR 2017-1
N/A
AMCAR 2017-1 C 2.71% 08/22
03065FAF9
170940.42000000
PA
USD
172104.71000000
0.003110971031
Long
ABS-CBDO
CORP
US
N
2
2022-08-18
Fixed
0.02710000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.75% 07/15/2023
125523AF7
738000.00000000
PA
USD
798914.52000000
0.014441208077
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.03750000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.45% 03/15/2022
00287YCS6
615000.00000000
PA
USD
635761.63000000
0.011492050471
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 09/01/2024#AC1850
31417LBU8
49999.01290000
PA
USD
52433.18000000
0.000947784078
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2048#BH9277
3140GYJX8
183134.21000000
PA
USD
193690.10000000
0.003501149330
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2020-A
N/A
WORLD OMNI AUTO RECEIVABLES TR 2020-A 1.02% 06/15/2023
98163MAB4
3321785.35000000
PA
USD
3333876.65000000
0.060263276233
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
0.01020000
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP FRN 3ML+22 01/06/2022
14913R2E6
3019000.00000000
PA
USD
3022915.91000000
0.054642338526
Long
DBT
CORP
US
N
2
2022-01-06
Variable
0.00453500
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 4.908% 07/23/2025
161175AY0
2145000.00000000
PA
USD
2482902.02000000
0.044881027704
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
0.04908000
N
N
N
N
N
N
OBX 2020-EXP2 TR
N/A
ONSLOW BAY MORTGAGE LOAN TRUST 3% 05/25/2060 144A
67448VAF7
1329805.32000000
PA
USD
1364688.11000000
0.024668152178
Long
ABS-CBDO
CORP
US
N
2
2060-05-25
Fixed
0.03000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 2.375% 05/21/2023 144A
63906YAA6
1525000.00000000
PA
USD
1586503.25000000
0.028677690759
Long
DBT
CORP
GB
N
2
2023-05-21
Fixed
0.02375000
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
1751266.47000000
0.031655956749
Long
DBT
CORP
US
N
2
2021-02-12
Fixed
0.02300000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO FRN 3ML+65 03/01/2021
929160AX7
1620000.00000000
PA
USD
1620099.23000000
0.029284972922
Long
DBT
CORP
US
N
2
2021-03-01
Variable
0.00896000
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
920192.66000000
0.016633436170
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
0.05250000
N
N
N
N
N
N
HYUNDAI CAP AMER
549300RIPPWJB5Z0FK07
HYUNDAI CAP AMER 2.375% 02/10/2023 144A
44891ABE6
1925000.00000000
PA
USD
1984030.36000000
0.035863405336
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
0.02375000
N
N
N
N
N
N
ISHARES U S ETF TR
549300BV2WH8444C2Y33
iShares Short Maturity Bond ETF
46431W507
4226791.00000000
NS
USD
212100372.38000000
3.833934086910
Long
EC
RF
US
N
1
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
1332090.24000000
0.024078911888
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01070880
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TRUST
N/A
WORLD OMNI SELECT AUTO TRUST 2.06% 08/15/2023
98163BAB8
2271126.70000000
PA
USD
2284200.67000000
0.041289294836
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
0.02060000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-4
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-4 1.05% 05/18/2026
36260KAF1
420000.00000000
PA
USD
420735.63000000
0.007605232632
Long
ABS-CBDO
CORP
US
N
2
2026-05-18
Fixed
0.01050000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
ROSS STORES INC 4.6% 04/15/2025
778296AB9
2310000.00000000
PA
USD
2671367.18000000
0.048287730828
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.04600000
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
3390147.69000000
PA
USD
3417689.59000000
0.061778282001
Long
ABS-CBDO
CORP
US
N
2
2022-09-20
Fixed
0.01890000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
STRYKER CORP 0.6% 12/01/2023
863667BB6
325000.00000000
PA
USD
325448.18000000
0.005882813202
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.00600000
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
57805.79640000
PA
USD
57975.82000000
0.001047973042
Long
ABS-CBDO
CORP
US
N
2
2033-07-20
Fixed
0.02330000
N
N
N
N
N
N
BP CAP MARKETS AMERICA INC
5493009NTB34VXE1T760
BP CAP MARKETS AMERICA INC 2.937% 04/06/2023
10373QBH2
700000.00000000
PA
USD
740636.53000000
0.013387772998
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
0.02937000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 0.81%/VAR 10/24/2024
06051GJH3
755000.00000000
PA
USD
757946.75000000
0.013700673168
Long
DBT
CORP
US
N
2
2024-10-24
Variable
0.00810000
N
N
N
N
N
N
COX COMMUNICATIONS INC NEW
5493001NEDZNIFRP2R92
COX COMMUNICATIONS INC NEW 2.95% 06/30/2023 144A
224044CA3
590000.00000000
PA
USD
621547.94000000
0.011235123291
Long
DBT
CORP
US
N
2
2023-06-30
Fixed
0.02950000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP FDG SWITZ AG FRN 3ML+1.22% 5/23/23 144A
90352JAB9
880000.00000000
PA
USD
890618.47000000
0.016098852030
Long
DBT
CORP
CH
N
2
2023-05-23
Variable
0.01432630
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
688591.87000000
0.012447011821
Long
ABS-CBDO
CORP
US
N
2
2025-09-22
Fixed
0.03350000
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
381728.49000000
0.006900138143
Long
DBT
CORP
US
N
2
2021-11-06
Fixed
0.04200000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 0.87% 08/16/2032 144A
165183CJ1
3576479.52000000
PA
USD
3583374.97000000
0.064773216989
Long
ABS-CBDO
CORP
US
N
2
2032-08-16
Fixed
0.00870000
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
509234.89000000
PA
USD
517006.88000000
0.009345435268
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Fixed
0.02739000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
TRUIST BANK 1.25% 03/09/2023
89788JAB5
9650000.00000000
PA
USD
9835698.62000000
0.177790447912
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.01250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2050#CA5186
3140QCXQ4
117235.41000000
PA
USD
127604.46000000
0.002306582885
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
0.04500000
N
N
N
N
N
N
CREDIT SUISSE AG NY BRNCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG NY BRNCH 2.8% 04/08/2022
22550L2B6
2340000.00000000
PA
USD
2417617.80000000
0.043700947756
Long
DBT
CORP
US
N
2
2022-04-08
Fixed
0.02800000
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
189620.69000000
PA
USD
190217.10000000
0.003438371255
Long
ABS-CBDO
CORP
US
N
2
2068-02-15
Fixed
0.02820000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-B
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2020-B 1.29% 07/15/2053 144A
78449XAA0
537602.59610000
PA
USD
539093.91000000
0.009744681229
Long
ABS-CBDO
CORP
US
N
2
2053-07-15
Fixed
0.01290000
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
5017582.73000000
PA
USD
5063282.87000000
0.091524086304
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.02130000
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
713220.96740000
PA
USD
706451.57000000
0.012769844411
Long
ABS-CBDO
USGSE
US
N
2
2046-10-25
Variable
0.03605155
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
643150.60000000
PA
USD
653999.78000000
0.011821723937
Long
ABS-CBDO
USGSE
US
N
2
2044-06-25
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 12/01/2024#AC6942
31417TWC8
21043.53300000
PA
USD
22151.79000000
0.000400416566
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.04500000
N
N
N
N
N
N
ZIONS BANCORP NA
YYQWUR1Z2BCX32HQS333
ZIONS FIRST NATIONAL BANK 3.5% 08/27/2021
98920AAA6
5000000.00000000
PA
USD
5104936.70000000
0.092277022458
Long
DBT
CORP
US
N
2
2021-08-27
Fixed
0.03500000
N
N
N
N
N
N
STARWOOD MTG RESIDENTIAL TR 2019-INV1
N/A
STARWOOD MTG RESIDENTIAL TR 2019-INV1 2.916% 09/27/2049 144A
85572JAC1
388375.89000000
PA
USD
396294.60000000
0.007163435680
Long
ABS-CBDO
CORP
US
N
2
2049-09-27
Fixed
0.02916000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
ROYALTY PHARMA PLC 0.75% 09/02/2023 144A
78081BAA1
870000.00000000
PA
USD
873763.03000000
0.015794172480
Long
DBT
CORP
GB
N
2
2023-09-02
Fixed
0.00750000
N
N
N
N
N
N
CSMC 2020-NET
N/A
CSMC 2020-NET VAR 08/15/2037 144A
126438AJ9
985000.00000000
PA
USD
983489.90000000
0.017777599395
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.03827673
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2020-LTV1
N/A
JP MORGAN MORTGAGE TRUST 2020-LTV1 3.5% 06/25/2050 144A
46591NAF4
1182979.16000000
PA
USD
1204050.98000000
0.021764469542
Long
ABS-CBDO
CORP
US
N
2
2050-06-25
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
5010786.15000000
0.090575153674
Long
DBT
CORP
FR
N
2
2021-08-07
Variable
0.00603000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC FRN 3ML+ 03/30/2021
172967KL4
10000000.00000000
PA
USD
10043925.70000000
0.181554368224
Long
DBT
CORP
US
N
2
2021-03-30
Variable
0.01600380
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE I POOL 30YR 5.5% 09/45#784653
3622AABW3
482064.07000000
PA
USD
558451.03000000
0.010094581238
Long
ABS-MBS
USGA
US
N
2
2045-09-15
Fixed
0.05500000
N
N
N
N
N
N
CIFC FDG 2020-I LTD / CIFC FDG 2020-I LLC
N/A
CIFC FDG 2020-I LTD / CIFC FDG 2020-I LLC 3ML+170 07/15/2032 144A
12555QAA4
1480000.00000000
PA
USD
1482740.96000000
0.026802079811
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.01936880
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 0.875% 11/22/2023 144A
928668BJ0
590000.00000000
PA
USD
591259.36000000
0.010687625811
Long
DBT
CORP
US
N
2
2023-11-22
Fixed
0.00875000
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
2788709.70000000
PA
USD
2808478.86000000
0.050766166569
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.02290000
N
N
N
N
N
N
SUNOCO LOGISTICS PRTNR OPER LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS PRTNR OPER LP 3.45% 01/15/2023
86765BAL3
110000.00000000
PA
USD
114205.11000000
0.002064375744
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03450000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY 3.8% 9/15/23
15135UAJ8
165000.00000000
PA
USD
170176.36000000
0.003076114106
Long
DBT
CORP
CA
N
2
2023-09-15
Fixed
0.03800000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 3.375% 10/01/2024
828807CS4
1175000.00000000
PA
USD
1271460.06000000
0.022982958537
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.03375000
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
949252.86000000
0.017158729408
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Variable
0.00990880
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
782526.25000000
0.014144973109
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
0.04697000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
VALERO ENERGY CORP NEW 3.65% 03/15/2025
91913YAS9
245000.00000000
PA
USD
266016.89000000
0.004808531030
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.03650000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 2.875% 02/15/2025 144A
05401AAH4
980000.00000000
PA
USD
962739.78000000
0.017402519467
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
0.02875000
N
N
N
N
N
N
FIRST REPUBLIC BANK
YWC0TIKBQM2JV8L4IV08
FIRST REPUBLIC BANK 1.912%/VAR 02/12/2024
33616CHQ6
2031000.00000000
PA
USD
2091713.80000000
0.037809895135
Long
DBT
CORP
US
N
2
2024-02-12
Variable
0.01912000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION LLC 6.25% 03/15/2022
785592AH9
2495000.00000000
PA
USD
2634899.74000000
0.047628544049
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 8/24 #931726
31412QD71
150140.10960000
PA
USD
157297.75000000
0.002843319880
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
0.04500000
N
N
N
N
N
N
CGDBB COML MTG TR 2017-BIOC
N/A
CGDBB COML MTG TR 2017-BIOC A 1ML+79 07/15/28
125282AA1
3713553.92000000
PA
USD
3712433.54000000
0.067106084419
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Variable
0.00930880
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TR 2020-A
N/A
WORLD OMNI SELECT AUTO TR 2020-A 1.25% 10/15/2026
98163DAF5
585000.00000000
PA
USD
587209.19000000
0.010614414790
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
0.01250000
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
238140.61000000
0.004304638374
Long
ABS-CBDO
CORP
US
N
2
2022-09-20
Fixed
0.02700000
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
426593.58000000
0.007711121151
Long
ABS-CBDO
CORP
US
N
2
2023-06-19
Fixed
0.02690000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2020-B
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2020-B 0.32% 09/15/2023
98163GAB7
4533000.00000000
PA
USD
4533461.91000000
0.081947023258
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.00320000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
ANTHEM INC 2.375% 01/15/2025
036752AJ2
410000.00000000
PA
USD
435708.08000000
0.007875875186
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.02375000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.875% 07/01/2038#1B4142
3128JPP46
23158.15000000
PA
USD
24061.84000000
0.000434942699
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Variable
0.02504000
N
N
N
N
N
N
NAVIENT PRIVATE ED LN TR 2020-C
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C 2.15% 11/15/2068 144A
63941KAB1
2610000.00000000
PA
USD
2688803.47000000
0.048602909843
Long
ABS-CBDO
CORP
US
N
2
2068-11-15
Fixed
0.02150000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HOME DEPOT INC FRN 3ML+31 03/01/2022
437076BU5
14500000.00000000
PA
USD
14542748.61000000
0.262875255651
Long
DBT
CORP
US
N
2
2022-03-01
Variable
0.00556000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2020-HQA2
N/A
FREDDIE MAC STACR REMIC TRUST 2020-HQA2 1ML+110 03/25/2050 144A
35565LAA4
516156.84000000
PA
USD
515936.60000000
0.009326088847
Long
ABS-CBDO
CORP
US
N
2
2050-03-25
Variable
0.01250130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/49#CA4571
3140QCCH7
230047.25000000
PA
USD
245792.14000000
0.004442947710
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 2.94% 04/15/2031 144A
165183BY9
2214383.44000000
PA
USD
2257677.96000000
0.040809869360
Long
ABS-CBDO
CORP
US
N
2
2031-04-15
Fixed
0.02940000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.92% 8/38 #983349
31415LL62
8971.23250000
PA
USD
9439.35000000
0.000170626035
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Variable
0.02692000
N
N
N
N
N
N
CNH EQUIPMENT TR 2019-B
N/A
CNH EQUIPMENT TRUST 2019-B 2.55% 09/15/2022
12596TAB7
1116358.61000000
PA
USD
1119355.81000000
0.020233516552
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Fixed
0.02550000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 12/35 #003795
36202EGC7
13166.90360000
PA
USD
14914.31000000
0.000269591612
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
0.05000000
N
N
N
N
N
N
MET TOWER GLOBAL FUNDING
635400OFJCY9IOGBGY57
MET TOWER GLOBAL FUNDING FRN SOFR+55 01/17/2023 144A
58989VAA2
5000000.00000000
PA
USD
5021292.80000000
0.090765072263
Long
DBT
CORP
US
N
2
2023-01-17
Variable
0.00635004
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH INC 2.616% 06/15/2022
14149YBF4
115000.00000000
PA
USD
118444.21000000
0.002141001871
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.02616000
N
N
N
N
N
N
SEQUOIA MTG TR 2018-CH1
549300ZUG1L9OO3W6B29
SEQUOIA MTG TR 2018-CH1 A11 3.5% 02/48 144A
81747DAL3
298725.67740000
PA
USD
301035.48000000
0.005441528344
Long
ABS-CBDO
CORP
US
N
2
2048-02-25
Fixed
0.03500000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PTNRS 3.35% 8/15/22
96950FAJ3
200000.00000000
PA
USD
208690.88000000
0.003772303977
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.03350000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR NON PFD MTN 3.5% 03/01/2023 144A
09659W2E3
10000000.00000000
PA
USD
10641017.90000000
0.192347428665
Long
DBT
CORP
FR
N
2
2023-03-01
Fixed
0.03500000
N
N
N
N
N
N
BANCO DEL ESTADO DE CHILE
5493004R4EJC0W0XVQ72
BANCO DEL ESTADO DE CHILE 2.704% 01/09/2025 144A
05965MAG8
665000.00000000
PA
USD
700328.13000000
0.012659156886
Long
DBT
CORP
CL
N
2
2025-01-09
Fixed
0.02704000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2050#MA4021
31418DPF3
677864.01000000
PA
USD
714182.40000000
0.012909587177
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03500000
N
N
N
N
N
N
YONGDA INVESTMENT LTD
300300Y6LHOS618ULI27
YONGDA INVESTMENT LTD 2.25% 06/16/2025 REGS
N/A
1384000.00000000
PA
USD
1413697.73000000
0.025554051861
Long
DBT
CORP
VG
N
2
2025-06-16
Fixed
0.02250000
N
N
N
N
N
N
MET TOWER GLOBAL FUNDING
635400OFJCY9IOGBGY57
MET TOWER GLOBAL FUNDING 0.55% 07/13/2022 144A
58989V2A1
6000000.00000000
PA
USD
6026289.36000000
0.108931426831
Long
DBT
CORP
US
N
2
2022-07-13
Fixed
0.00550000
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
2636136.24000000
0.047650895068
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.05875000
N
N
N
N
N
N
VF CORPORATION
CWAJJ9DJ5Z7P057HV541
VF CORPORATION 2.05% 04/23/2022
918204AZ1
6772000.00000000
PA
USD
6922763.28000000
0.125136122190
Long
DBT
CORP
US
N
2
2022-04-23
Fixed
0.02050000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 04/15/2022
9128286M7
20770000.00000000
PA
USD
21375250.68000000
0.386379812909
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.02250000
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
5029865.00000000
0.090920023664
Long
DBT
CORP
CA
N
2
2022-03-26
Variable
0.00803250
N
N
N
N
N
N
CATERPILLAR FINL SVCS CORP
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL SVCS CORP FRN 3ML+28 09/07/2021
14913Q2P3
6190000.00000000
PA
USD
6201697.12000000
0.112102103915
Long
DBT
CORP
US
N
2
2021-09-07
Variable
0.00528000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC INC 4.375% 3/15/2023
747262AK9
660000.00000000
PA
USD
691350.00000000
0.012496867880
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04375000
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
2305598.06000000
0.041676074840
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Variable
0.05419110
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/50#FM3972
3140X7MW6
53714.49000000
PA
USD
57666.68000000
0.001042385016
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03500000
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
1847125.00000000
0.033388699042
Long
DBT
CORP
MX
N
2
2022-11-09
Fixed
0.04125000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
NORDEA BK 4.875% 5/13/21 144A
65557FAA4
710000.00000000
PA
USD
724072.61000000
0.013088362975
Long
DBT
CORP
FI
N
2
2021-05-13
Fixed
0.04875000
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
727864.75000000
PA
USD
740036.54000000
0.013376927557
Long
ABS-CBDO
CORP
US
N
2
2025-05-20
Fixed
0.02060000
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
860849.21000000
0.015560741798
Long
DBT
CORP
US
N
2
2021-02-04
Variable
0.01510130
N
N
N
N
N
N
THE BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
THE BOOKING HOLDINGS INC 4.1% 04/13/2025
09857LAP3
830000.00000000
PA
USD
935875.10000000
0.016916912529
Long
DBT
CORP
US
N
2
2025-04-13
Fixed
0.04100000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST LLC
N/A
ANGEL OAK MORTGAGE TRUST LLC 1.691% 04/25/2065 144A
03465LAA3
787098.10000000
PA
USD
794283.91000000
0.014357505001
Long
ABS-CBDO
CORP
US
N
2
2065-04-25
Fixed
0.01691000
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
2005857.74000000
0.036257957855
Long
DBT
CORP
US
N
2
2021-06-28
Variable
0.00753250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% #AL2664
3138EJ6A1
113708.91130000
PA
USD
120129.68000000
0.002171468488
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2048#MA3496
31418C3E2
27038.90000000
PA
USD
29274.92000000
0.000529174524
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
PORT AUTH NY and NJ
54930006MR4KZ4W74Z83
PORT NY NJ 1.086% 7/1/2023
73358W4V3
1405000.00000000
PA
USD
1421045.10000000
0.025686863190
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
0.01086000
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
82697.15820000
PA
USD
83831.61000000
0.001515343247
Long
ABS-CBDO
CORP
US
N
2
2055-02-25
Fixed
0.02750000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
ROSS STORES INC 0.875% 04/15/2026
778296AF0
450000.00000000
PA
USD
445708.26000000
0.008056638805
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.00875000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MTG TR 2020-2
N/A
DEEPHAVEN RESIDENTIAL MTG TR 2020-2 1.692% 05/25/2065 144A
24380NAA7
957768.43000000
PA
USD
963159.80000000
0.017410111764
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Fixed
0.01692000
N
N
N
N
N
N
BLACKROCK FDS II
N/A
BlackRock Low Duration Bond Inv A
09260B523
25461893.10100000
NS
USD
248253457.73000000
4.487438579689
Long
EC
RF
US
N
1
N
N
N
VERUS SECURITIZATION TRUST 2019-2
N/A
VERUS SECURITIZATION TRUST 2019-2 3.211% 05/25/2059 144A
92537GAA1
511109.14000000
PA
USD
518384.93000000
0.009370344950
Long
ABS-CBDO
CORP
US
N
2
2059-05-25
Fixed
0.03211000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+125 12/15/2029 144A
05607QAR9
759305.03000000
PA
USD
749337.41000000
0.013545050423
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01390880
N
N
N
N
N
N
SUMITOMO MITSUI BKG CORP NY BRANCH
5U0XI89JRFVHWIBS4F54
SUMITOMO MITSUI BKG CORP NY BR YCD 0.27% 05/10/2021
86565CTE9
6000000.00000000
PA
USD
6000347.40000000
0.108462499014
Long
DBT
CORP
US
N
2
2021-05-10
Fixed
0.00270000
N
N
N
N
N
N
UBS AG LONDN BRANCH
BFM8T61CT2L1QCEMIK50
UBS AG LON BRANCH 1.75% 04/21/2022 144A
902674YA2
7525000.00000000
PA
USD
7663338.55000000
0.138522787851
Long
DBT
CORP
GB
N
2
2022-04-21
Fixed
0.01750000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 1.884% 07/15/2050 144A
78403DAP5
365000.00000000
PA
USD
375794.04000000
0.006792866808
Long
ABS-CBDO
CORP
US
N
2
2050-07-15
Fixed
0.01884000
N
N
N
N
N
N
GREAT WOLF TR 2019-WOLF
N/A
GREAT WOLF TR 2019-WOLF 1ML+ 12/15/2029 144A
39152TAA8
1906000.00000000
PA
USD
1846409.48000000
0.033375765277
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01174880
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNERS LP 4.3% 03/04/2024
96950FAM6
305000.00000000
PA
USD
334696.04000000
0.006049977857
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
0.04300000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT MAR21 TUH1
N/A
489.00000000
NC
USD
40883.28000000
0.000739007664
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2021-03-31
107955530.78000000
USD
40883.28000000
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 2.188/VAR 04/30/2026
95000U2N2
840000.00000000
PA
USD
879265.02000000
0.015893626653
Long
DBT
CORP
US
N
2
2026-04-30
Variable
0.02188000
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
701946.42000000
0.012688409155
Long
ABS-CBDO
CORP
US
N
2
2022-04-20
Fixed
0.02530000
N
N
N
N
N
N
OBX 2020-INV1 TRUST
N/A
OBX 2020-INV1 TRUST 3.5% 12/25/2049 144A
67113CAE6
370453.44640000
PA
USD
384529.01000000
0.006950760445
Long
ABS-CBDO
CORP
US
N
2
2049-12-25
Fixed
0.03500000
N
N
N
N
N
N
CANADIAN NATL RESOURCES LTD
549300T15RIMIKZC5Q38
CANADIAN NATL RESOURCES LTD 2.05% 07/15/2025
136385AZ4
1430000.00000000
PA
USD
1472368.28000000
0.026614582868
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
0.02050000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 3.885%/VAR 03/15/2024 144A
853254BJ8
365000.00000000
PA
USD
388051.87000000
0.007014439791
Long
DBT
CORP
GB
N
2
2024-03-15
Variable
0.03885000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2020-1
N/A
VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2020-1 1.26% 08/20/2026
92868JAE6
545000.00000000
PA
USD
557291.39000000
0.010073619543
Long
ABS-CBDO
CORP
US
N
2
2026-08-20
Fixed
0.01260000
N
N
N
N
N
N
BP CAP MARKETS AMERICA INC
5493009NTB34VXE1T760
BP CAP MARKETS AMERICA INC 4.742% 03/11/2021
10373QAG5
5000000.00000000
PA
USD
5060900.00000000
0.091481013459
Long
DBT
CORP
US
N
2
2021-03-11
Fixed
0.04742000
N
N
N
N
N
N
CHENIERE CORPUS CHRISTI HLD
549300I7CIEWU1BBLQ53
CHENIERE CORPUS CHRISTI HLD 5.875% 03/31/2025
16412XAC9
1470000.00000000
PA
USD
1684258.25000000
0.030444713714
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 5.50% 12/23 #G13617
3128MCG25
3855.90240000
PA
USD
3924.19000000
0.000070933801
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 4/25 #AD3831
31418RHH7
3005.77200000
PA
USD
3169.78000000
0.000057297059
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
FLAGSTAR MTG TR 2020-1INV
N/A
FLAGSTAR MTG TR 2020-1INV 1ML+85 03/25/2050 144A
33851YAL0
603168.39000000
PA
USD
601785.32000000
0.010877893449
Long
ABS-CBDO
CORP
US
N
2
2050-03-25
Variable
0.00999250
N
N
N
N
N
N
VODAFONE GRP PLC
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC 3.75% 01/16/2024
92857WBH2
770000.00000000
PA
USD
842066.51000000
0.015221225026
Long
DBT
CORP
GB
N
2
2024-01-16
Fixed
0.03750000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1 2.46413% 01/26/2060 144A
64830VAA1
634493.34000000
PA
USD
645352.19000000
0.011665409784
Long
ABS-CBDO
CORP
US
N
2
2060-01-26
Fixed
0.02464130
N
N
N
N
N
N
CONNECTICUT ST
N/A
CT ST 1.998% 7/1/2024
20772KJW0
285000.00000000
PA
USD
298058.70000000
0.005387719960
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
0.01998000
N
N
N
N
N
N
2020-12-30
Stacie M. Smith
Stacie M. Smith
Stacie M. Smith
President and Treasurer