0001145549-21-048204.txt : 20210824
0001145549-21-048204.hdr.sgml : 20210824
20210824114232
ACCESSION NUMBER: 0001145549-21-048204
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210824
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LoCorr Investment Trust
CENTRAL INDEX KEY: 0001506768
IRS NUMBER: 000000000
STATE OF INCORPORATION: OH
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22509
FILM NUMBER: 211200409
BUSINESS ADDRESS:
STREET 1: 687 EXCELSIOR BLVD
CITY: EXCELSIOR
STATE: MN
ZIP: 55331
BUSINESS PHONE: 952-767-2920
MAIL ADDRESS:
STREET 1: 687 EXCELSIOR BLVD
CITY: EXCELSIOR
STATE: MN
ZIP: 55331
0001506768
S000035412
LoCorr Long/Short Commodities Strategy Fund
C000108780
Class A
LCSAX
C000108781
Class C
LCSCX
C000108782
Class I
LCSIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001506768
XXXXXXXX
S000035412
C000108781
C000108780
C000108782
LoCorr Investment Trust
811-22509
0001506768
54930075F5KEPQITLS33
687 Excelsior Blvd
Excelsior
55331
952-767-2920
LoCorr Long/Short Commodities Strategy Fund
S000035412
5493004RVCIUQZ231D58
2021-12-31
2021-06-30
N
710839025.630000000000
2383469.250000000000
708455556.380000000000
0.000000000000
142635987.870000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
1200000.000000000000
0.000000000000
0.000000000000
69804419.770000000000
USD
N
Honda Auto Receivables Owner T
N/A
Honda Auto Receivables 2020-3 Owner Trust
43813KAC6
2350000.000000000000
PA
USD
2353022.100000000000
0.3321340455
Long
ABS-O
CORP
US
N
2
2024-10-18
Fixed
.370000000000
N
N
N
N
N
N
Honda Auto Receivables Owner T
N/A
Honda Auto Receivables 2019-1 Owner Trust
43814WAC9
430212.110000000000
PA
USD
435372.070000000000
0.0614536884
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
2.830000000000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust 2020-C
44891RAC4
2150000.000000000000
PA
USD
2151430.610000000000
0.3036789804
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
.380000000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AP8
965000.000000000000
PA
USD
1039536.600000000000
0.1467327895
Long
DBT
CORP
NL
N
2
2024-04-09
Fixed
3.550000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR2 Trust
46185HAA0
537954.820000000000
PA
USD
539195.400000000000
0.0761085710
Long
ABS-O
CORP
US
N
2
2037-06-17
Floating
.973000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAA6
568156.740000000000
PA
USD
568682.850000000000
0.0802707869
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
.782000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2017-SFR2 Trust
46187BAA1
432815.240000000000
PA
USD
433194.600000000000
0.0611463339
Long
ABS-O
CORP
US
N
2
2036-12-17
Floating
.932000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR3 Trust
46187VAA7
443315.440000000000
PA
USD
443967.870000000000
0.0626670037
Long
ABS-O
CORP
US
N
2
2037-07-17
Floating
1.082000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR4 Trust
46187XAG0
914020.320000000000
PA
USD
915729.720000000000
0.1292571865
Long
ABS-O
CORP
US
N
2
2038-01-17
Floating
1.732000000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3
46590RAE9
1500000.000000000000
PA
USD
1604152.650000000000
0.2264295390
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.870400000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase and Co
46625HJH4
2650000.000000000000
PA
USD
2767829.840000000000
0.3906850352
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
3.200000000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Corp
466330AA5
1653569.490000000000
PA
USD
1655619.590000000000
0.2336942064
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
.873000000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2
46635GAE0
78382.870000000000
PA
USD
78580.380000000000
0.0110917868
Long
ABS-MBS
CORP
US
N
2
2043-11-15
Fixed
4.069800000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8
46638UAD8
136017.100000000000
PA
USD
137458.730000000000
0.0194025904
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
2.379100000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10
46639JAH3
762000.000000000000
PA
USD
789942.920000000000
0.1115021137
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.371500000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
549300UOGMFS1M8XVM16
JPMBB Commercial Mortgage Securities Trust 2013-C15
46640NAJ7
1250000.000000000000
PA
USD
1338857.630000000000
0.1889825858
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Fixed
4.419600000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C22
46642NBH8
1350000.000000000000
PA
USD
1445282.060000000000
0.2040046192
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
4.109500000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C23
46643ABF9
858072.150000000000
PA
USD
901218.330000000000
0.1272088731
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
3.657000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBS4
225000.000000000000
PA
USD
225102.080000000000
0.0317736346
Long
DBT
CORP
US
N
2
2024-09-16
Variable
.653000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
2530000.000000000000
PA
USD
2489480.230000000000
0.3513953991
Long
DBT
CORP
US
N
2
2027-02-04
Variable
1.040000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCH7
925000.000000000000
PA
USD
923298.000000000000
0.1303254653
Long
DBT
CORP
US
N
2
2025-06-01
Variable
.824000000000
N
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2020-AIP
48253QAL9
482102.870000000000
PA
USD
482858.040000000000
0.0681564335
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.102880000000
N
N
N
N
N
N
KILROY REALTY LP
5493008CT3N3JR7P1552
Kilroy Realty LP
49427RAJ1
470000.000000000000
PA
USD
489090.040000000000
0.0690360935
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.800000000000
N
N
N
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAA2
2000000.000000000000
PA
USD
2001252.400000000000
0.2824810084
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
.873842000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBR0
1185000.000000000000
PA
USD
1198280.990000000000
0.1691398958
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.750000000000
N
N
N
N
N
N
MSN 41079 AND 41084 LTD
N/A
MSN 41079 and 41084 Ltd
553737AA5
7326.400000000000
PA
USD
7475.320000000000
0.0010551572
Long
DBT
USGSE
KY
N
2
2024-07-13
Fixed
1.717000000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2019-1
55389PAA7
445841.320000000000
PA
USD
458231.830000000000
0.0646803919
Long
ABS-O
CORP
US
N
2
2036-11-20
Fixed
2.890000000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW 2021-1W LLC
55389TAA9
1420883.810000000000
PA
USD
1420217.130000000000
0.2004666513
Long
ABS-O
CORP
US
N
2
2041-01-22
Fixed
1.140000000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW 2019-2 LLC
55400DAA9
579045.550000000000
PA
USD
589491.940000000000
0.0832080340
Long
ABS-O
CORP
US
N
2
2038-10-20
Fixed
2.220000000000
N
N
N
N
N
N
Merit
N/A
Merit 2020-Hill
590027AA6
2350000.000000000000
PA
USD
2358104.920000000000
0.3328514963
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.223000000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GEJ4
1145000.000000000000
PA
USD
1143416.730000000000
0.1613956895
Long
DBT
CORP
US
N
2
2025-07-02
Fixed
.950000000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GEN5
1210000.000000000000
PA
USD
1205796.690000000000
0.1702007528
Long
DBT
CORP
US
N
2
2024-06-07
Fixed
.550000000000
N
N
N
N
N
N
MIAMI-DADE CNTY FL AVIATION RE
N/A
County of Miami-Dade FL Aviation Revenue
59333PV21
650000.000000000000
PA
USD
676938.410000000000
0.0955512881
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
2.368000000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BV5
1295000.000000000000
PA
USD
1301686.180000000000
0.1837357571
Long
DBT
CORP
JP
N
2
2024-09-15
Variable
.848000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468J1
1000000.000000000000
PA
USD
1051859.280000000000
0.1484721618
Long
DBT
CORP
US
N
2
2025-07-22
Variable
2.720000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468W2
1650000.000000000000
PA
USD
1649340.690000000000
0.2328079264
Long
DBT
CORP
US
N
2
2024-01-25
Variable
.529000000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-HE6
61744CFB7
176128.800000000000
PA
USD
174458.250000000000
0.0246251509
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
.916500000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAN8
2440000.000000000000
PA
USD
2543748.510000000000
0.3590554816
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
3.125000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDQ6
640000.000000000000
PA
USD
696162.970000000000
0.0982648754
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.875000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174824M3
515000.000000000000
PA
USD
544064.070000000000
0.0767957940
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.875000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAA1
1680000.000000000000
PA
USD
1683375.940000000000
0.2376120739
Long
DBT
CORP
US
N
2
2024-04-05
Variable
.731000000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2018-1
62848BAA9
966954.390000000000
PA
USD
1001546.410000000000
0.1413703938
Long
ABS-O
CORP
US
N
2
2036-01-21
Fixed
3.450000000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAC9
1020000.000000000000
PA
USD
1018105.480000000000
0.1437077416
Long
DBT
CORP
JP
N
2
2026-04-03
Fixed
1.162000000000
N
N
N
N
N
N
NATIONAL BANK OF CANADA
BSGEFEIOM18Y80CKCV46
National Bank of Canada
63307CAG6
505000.000000000000
PA
USD
516155.140000000000
0.0728563896
Long
DBT
CORP
CA
N
2
2022-10-07
Fixed
2.150000000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAA6
955000.000000000000
PA
USD
988138.590000000000
0.1394778517
Long
DBT
CORP
GB
N
2
2023-05-21
Fixed
2.375000000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAB4
250000.000000000000
PA
USD
248799.520000000000
0.0351185784
Long
DBT
CORP
GB
N
2
2024-08-12
Fixed
.800000000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-A
63942BAA2
1354032.670000000000
PA
USD
1351673.270000000000
0.1907915405
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
.840000000000
N
N
N
N
N
N
NEBRASKA ST PUBLIC PWR DIST RE
5493001J0BLQRMOJKP23
Nebraska Public Power District
63968A2A2
675000.000000000000
PA
USD
702567.140000000000
0.0991688376
Long
DBT
MUN
US
N
2
2024-01-01
Fixed
2.216000000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2014-2
64828YAR2
76234.430000000000
PA
USD
80851.160000000000
0.0114123122
Long
ABS-MBS
CORP
US
N
2
2054-05-25
Variable
3.750000000000
N
N
N
N
N
N
New Residential Mortgage Loan
549300RCJSGOC0A85G53
New Residential Mortgage Loan Trust 2015-1
64829CAD0
420826.550000000000
PA
USD
444433.070000000000
0.0627326677
Long
ABS-MBS
CORP
US
N
2
2052-05-28
Variable
3.750000000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-1
64829FAA9
175075.770000000000
PA
USD
184862.440000000000
0.0260937243
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
3.750000000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-1
64829JAA1
336934.580000000000
PA
USD
358418.170000000000
0.0505914827
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Variable
4.000000000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-5
64829XAA0
653462.920000000000
PA
USD
688474.550000000000
0.0971796387
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.750000000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-6
64830BAA5
163162.350000000000
PA
USD
174557.970000000000
0.0246392266
Long
ABS-MBS
CORP
US
N
2
2057-08-27
Variable
4.000000000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WDT7
500000.000000000000
PA
USD
499512.050000000000
0.0705071822
Long
DBT
CORP
US
N
2
2023-10-21
Fixed
.400000000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBF6
1065000.000000000000
PA
USD
1086241.670000000000
0.1533253089
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.900000000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-1 Trust
67112FAD2
383007.960000000000
PA
USD
383303.830000000000
0.0541041462
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
.741500000000
N
N
N
N
N
N
OMERS FINANCE TRUST
529900M039WCPES03P17
OMERS Finance Trust
682142AA2
920000.000000000000
PA
USD
968790.050000000000
0.1367467643
Long
DBT
NUSS
CA
N
2
2024-05-02
Fixed
2.500000000000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAL2
3355000.000000000000
PA
USD
3357332.160000000000
0.4738945344
Long
DBT
CORP
US
N
2
2024-03-11
Fixed
1.100000000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AX1
560000.000000000000
PA
USD
589772.150000000000
0.0832475862
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.750000000000
N
N
N
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2016-3
68268HAA4
639818.240000000000
PA
USD
645193.420000000000
0.0910704157
Long
ABS-O
CORP
US
N
2
2031-06-18
Fixed
3.830000000000
N
N
N
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2018-2
68269CAA4
500000.000000000000
PA
USD
526697.750000000000
0.0743445013
Long
ABS-O
CORP
US
N
2
2033-03-14
Fixed
3.570000000000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PDV4
1150000.000000000000
PA
USD
1155482.510000000000
0.1630987999
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
.930000000000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PDX0
900000.000000000000
PA
USD
906202.530000000000
0.1279124035
Long
ABS-O
CORP
US
N
2
2026-02-15
Fixed
.970000000000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PED3
1450000.000000000000
PA
USD
1442196.830000000000
0.2035691325
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
.775000000000
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AM6
610000.000000000000
PA
USD
642775.620000000000
0.0907291381
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
2.700000000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBC5
3750.000000000000
PA
USD
3807.430000000000
0.0005374268
Long
DBT
USGSE
MX
N
2
2022-12-20
Fixed
2.000000000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AY0
890000.000000000000
PA
USD
891177.970000000000
0.1257916551
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
.900000000000
N
N
N
N
N
N
PHOENIX 2012 LLC
N/A
Phoenix 2012 LLC
719160AA1
7305.860000000000
PA
USD
7428.070000000000
0.0010484878
Long
DBT
USGSE
US
N
2
2024-07-03
Fixed
1.607000000000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEL9
1085000.000000000000
PA
USD
1085698.600000000000
0.1532486534
Long
DBT
CORP
US
N
2
2024-04-12
Fixed
.750000000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2019-SFR4 Trust
74331AAC6
600000.000000000000
PA
USD
611011.680000000000
0.0862455908
Long
ABS-O
CORP
US
N
2
2036-10-17
Fixed
2.937000000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AH9
550000.000000000000
PA
USD
576281.410000000000
0.0813433397
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.350000000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013X6D5
280000.000000000000
PA
USD
286033.690000000000
0.0403742602
Long
DBT
CORP
CA
N
2
2022-04-29
Fixed
2.800000000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7C2
645000.000000000000
PA
USD
675714.900000000000
0.0953785871
Long
DBT
CORP
CA
N
2
2024-11-01
Fixed
2.250000000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAA1
1400000.000000000000
PA
USD
1403933.690000000000
0.1981682093
Long
DBT
CORP
GB
N
2
2023-09-02
Fixed
.750000000000
N
N
N
N
N
N
Social Professional Loan Progr
549300MIP15HTYPHSM46
Sofi Professional Loan Program 2016-A LLC
78469PAB0
237289.800000000000
PA
USD
239833.810000000000
0.0338530495
Long
ABS-O
CORP
US
N
2
2036-12-26
Fixed
2.760000000000
N
N
N
N
N
N
Social Professional Loan Progr
549300JC8TEF7BQ48X56
SoFi Professional Loan Program 2015-d LLC
78470NAB2
43927.210000000000
PA
USD
44420.640000000000
0.0062700673
Long
ABS-O
CORP
US
N
2
2036-10-27
Fixed
2.720000000000
N
N
N
N
N
N
SAFINA LTD
N/A
Safina Ltd
78657AAC3
1784.120000000000
PA
USD
1789.040000000000
0.0002525268
Long
DBT
USGSE
KY
N
2
2022-01-15
Fixed
1.550000000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-4
80286WAD8
1800000.000000000000
PA
USD
1802982.060000000000
0.2544947307
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
.480000000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2A2
1000000.000000000000
PA
USD
1017840.000000000000
0.1436702685
Long
DBT
CORP
SA
N
2
2022-04-16
Fixed
2.750000000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2019-5
81743AAD1
115895.470000000000
PA
USD
116261.750000000000
0.0164105919
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
3.500000000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2017-1
81746TAD7
88150.780000000000
PA
USD
88289.270000000000
0.0124622172
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Variable
3.500000000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-1
81748MAD0
122930.680000000000
PA
USD
123361.800000000000
0.0174127790
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.500000000000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AB6
475000.000000000000
PA
USD
473856.490000000000
0.0668858457
Long
DBT
CORP
US
N
2
2024-02-10
Fixed
.800000000000
N
N
N
N
N
N
Invesco Government & Agency Po
5493007T1J7WZ5QI1A47
STIT-Government and Agency Portfolio
825252885
27804003.330000000000
NS
USD
27804003.330000000000
3.9245938690
Long
STIV
RF
US
N
1
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CVD2
8203.550000000000
PA
USD
8510.850000000000
0.0012013245
Long
ABS-MBS
USGA
US
N
2
2032-11-01
Fixed
2.090000000000
N
N
N
N
N
N
Social Professional Loan Progr
549300THMTEP636GV478
Sofi Professional Loan Program 2017-B LLC
83403YAB0
258992.110000000000
PA
USD
262939.510000000000
0.0371144679
Long
ABS-O
CORP
US
N
2
2040-05-25
Fixed
2.740000000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
SoFi Professional Loan Program 2016-D LLC
83404LAC5
361339.690000000000
PA
USD
367535.080000000000
0.0518783538
Long
ABS-O
CORP
US
N
2
2033-04-25
Fixed
2.340000000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HB2
1850000.000000000000
PA
USD
1862988.220000000000
0.2629647270
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
1.100000000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BJ8
675000.000000000000
PA
USD
709641.310000000000
0.1001673716
Long
DBT
CORP
GB
N
2
2024-03-15
Variable
3.885000000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BL6
550000.000000000000
PA
USD
560258.130000000000
0.0790816199
Long
DBT
CORP
US
N
2
2023-03-30
Variable
2.825000000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959LAF0
610000.000000000000
PA
USD
612940.640000000000
0.0865178676
Long
DBT
CORP
SE
N
2
2023-06-30
Fixed
.625000000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959LAG8
1000000.000000000000
PA
USD
996434.280000000000
0.1406488058
Long
DBT
CORP
SE
N
2
2024-06-11
Fixed
.550000000000
N
N
N
N
N
N
Synchrony Card Issuance Trust
N/A
Synchrony Card Issuance Trust
87166PAA9
1035000.000000000000
PA
USD
1041728.740000000000
0.1470422147
Long
ABS-O
CORP
US
N
2
2024-09-15
Fixed
3.380000000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABB0
2780000.000000000000
PA
USD
3013089.100000000000
0.4253038984
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.500000000000
N
N
N
N
N
N
TAGUA LEASING LLC
N/A
Tagua Leasing LLC
873782AC0
7824.400000000000
PA
USD
7970.800000000000
0.0011250953
Long
DBT
USGSE
US
N
2
2024-11-16
Fixed
1.581000000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2021-A
88161FAE6
1100000.000000000000
PA
USD
1105437.740000000000
0.1560348747
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
1.020000000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2020-A
88167HAB2
1331904.290000000000
PA
USD
1333807.980000000000
0.1882698171
Long
ABS-O
CORP
US
N
2
2023-05-22
Fixed
.550000000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
321 Henderson Receivables I LLC
88576NAG3
61265.980000000000
PA
USD
60979.640000000000
0.0086074051
Long
ABS-O
CORP
US
N
2
2041-12-15
Floating
.272880000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
321 Henderson Receivables I LLC
88576PAC7
34934.080000000000
PA
USD
34419.020000000000
0.0048583175
Long
ABS-O
CORP
US
N
2
2045-09-15
Floating
.422880000000
N
N
N
N
N
N
Toyota Auto Receivables Owner
N/A
Toyota Auto Receivables 2019-A Owner Trust
89239AAD5
344485.040000000000
PA
USD
349017.950000000000
0.0492646217
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.910000000000
N
N
N
N
N
N
Toyota Auto Receivables Owner
N/A
Toyota Auto Receivables 2020-B Owner Trust
89239RAB2
538453.850000000000
PA
USD
539699.560000000000
0.0761797342
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
1.380000000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR1 Trust
89613DAA1
1204274.990000000000
PA
USD
1208185.270000000000
0.1705379059
Long
ABS-O
CORP
US
N
2
2034-09-17
Fixed
2.716000000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAA6
197424.680000000000
PA
USD
201816.710000000000
0.0284868554
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
2.928000000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAB4
250000.000000000000
PA
USD
255683.180000000000
0.0360902216
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
3.275000000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAA0
1700000.000000000000
PA
USD
1719304.080000000000
0.2426834068
Long
DBT
CORP
US
N
2
2025-08-05
Fixed
1.200000000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AB4
200000.000000000000
PA
USD
201415.950000000000
0.0284302873
Long
DBT
CORP
CH
N
2
2024-07-30
Variable
1.008000000000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YA2
475000.000000000000
PA
USD
480307.910000000000
0.0677964772
Long
DBT
CORP
CH
N
2
2022-04-21
Fixed
1.750000000000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YF1
950000.000000000000
PA
USD
948907.860000000000
0.1339403512
Long
DBT
CORP
CH
N
2
2023-06-01
Fixed
.375000000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
N/A
UBS-Barclays Commercial Mortgage Trust 2012-C4
90270RBE3
870000.000000000000
PA
USD
891357.800000000000
0.1258170385
Long
ABS-MBS
CORP
US
N
2
2045-12-10
Fixed
2.850200000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C6
90276UAU5
1000000.000000000000
PA
USD
1083483.400000000000
0.1529359732
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.504200000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283P3
440000.000000000000
PA
USD
465678.130000000000
0.0657314528
Long
DBT
UST
US
N
2
2024-12-31
Fixed
2.250000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285U0
14425000.000000000000
PA
USD
15240914.060000000000
2.1512872505
Long
DBT
UST
US
N
2
2023-12-31
Fixed
2.625000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286R6
1585000.000000000000
PA
USD
1666355.070000000000
0.2352095421
Long
DBT
UST
US
N
2
2024-04-30
Fixed
2.250000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Q29
35755000.000000000000
PA
USD
36552504.190000000000
5.1594632664
Long
DBT
UST
US
N
2
2023-03-31
Fixed
1.500000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828SV3
39655000.000000000000
PA
USD
40228138.470000000000
5.6782868181
Long
DBT
UST
US
N
2
2022-05-15
Fixed
1.750000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828UN8
11500000.000000000000
PA
USD
11835566.440000000000
1.6706152324
Long
DBT
UST
US
N
2
2023-02-15
Fixed
2.000000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WJ5
6030000.000000000000
PA
USD
6387795.720000000000
0.9016508746
Long
DBT
UST
US
N
2
2024-05-15
Fixed
2.500000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828X70
6020000.000000000000
PA
USD
6287842.980000000000
0.8875423339
Long
DBT
UST
US
N
2
2024-04-30
Fixed
2.000000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YA2
3495000.000000000000
PA
USD
3549472.860000000000
0.5010156005
Long
DBT
UST
US
N
2
2022-08-15
Fixed
1.500000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YH7
500000.000000000000
PA
USD
515917.970000000000
0.0728229125
Long
DBT
UST
US
N
2
2024-09-30
Fixed
1.500000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z52
5655000.000000000000
PA
USD
5811175.210000000000
0.8202596702
Long
DBT
UST
US
N
2
2025-01-31
Fixed
1.375000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAX9
15625000.000000000000
PA
USD
15614624.060000000000
2.2040372073
Long
DBT
UST
US
N
2
2022-11-30
Fixed
.125000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBE0
1330000.000000000000
PA
USD
1321947.260000000000
0.1865956514
Long
DBT
UST
US
N
2
2024-01-15
Fixed
.125000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBU4
54330000.000000000000
PA
USD
54242987.250000000000
7.6565123615
Long
DBT
UST
US
N
2
2023-03-31
Fixed
.125000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCC3
5240000.000000000000
PA
USD
5211753.150000000000
0.7356499788
Long
DBT
UST
US
N
2
2024-05-15
Fixed
.250000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCG4
5345000.000000000000
PA
USD
5312846.510000000000
0.7499195203
Long
DBT
UST
US
N
2
2024-06-15
Fixed
.250000000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEB4
1190000.000000000000
PA
USD
1188648.150000000000
0.1677802001
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
.550000000000
N
N
N
N
N
N
VNO Mortgage Trust
N/A
VNDO 2012-6AVE Mortgage Trust
91830CAA6
1000000.000000000000
PA
USD
1027162.700000000000
0.1449861873
Long
ABS-MBS
CORP
US
N
2
2030-11-15
Fixed
2.995600000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCR3
1030000.000000000000
PA
USD
1114418.540000000000
0.1573025337
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.500000000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFS8
2605000.000000000000
PA
USD
2577537.700000000000
0.3638248972
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
.850000000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGG3
870000.000000000000
PA
USD
878580.200000000000
0.1240134532
Long
DBT
CORP
US
N
2
2026-03-20
Fixed
1.450000000000
N
N
N
N
N
N
Verizon Owner Trust
549300WANFF5OIMC3D47
Verizon Owner Trust 2019-C
92348AAA3
200000.000000000000
PA
USD
202825.040000000000
0.0286291833
Long
ABS-O
CORP
US
N
2
2024-04-22
Fixed
1.940000000000
N
N
N
N
N
N
Verizon Owner Trust
549300XY7L2MRX0BQH89
Verizon Owner Trust 2020-A
92348TAA2
1715000.000000000000
PA
USD
1744519.270000000000
0.2462425842
Long
ABS-O
CORP
US
N
2
2024-07-22
Fixed
1.850000000000
N
N
N
N
N
N
Verizon Owner Trust
549300DBBHVB9QKK8Q94
Verizon Owner Trust 2018-A
92348XAA3
414018.610000000000
PA
USD
416868.050000000000
0.0588418068
Long
ABS-O
CORP
US
N
2
2023-04-20
Fixed
3.230000000000
N
N
N
N
N
N
Verizon Owner Trust
549300P0XXSIS1ESEJ26
Verizon Owner Trust 2019-B
92349GAA9
1215000.000000000000
PA
USD
1228353.460000000000
0.1733846886
Long
ABS-O
CORP
US
N
2
2023-12-20
Fixed
2.330000000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
822176.600000000000
PA
USD
832836.200000000000
0.1175565909
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.417000000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAE4
664860.430000000000
PA
USD
672506.720000000000
0.0949257457
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.724000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2012-C10
92890NAU3
975000.000000000000
PA
USD
1000104.790000000000
0.1411669061
Long
ABS-MBS
CORP
US
N
2
2045-12-15
Fixed
2.875000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PAE4
200000.000000000000
PA
USD
209484.200000000000
0.0295691378
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Fixed
3.337000000000
N
N
N
N
N
N
VOYA FINANCIAL INC
549300T065Z4KJ686G75
Voya Financial Inc
929089AD2
970000.000000000000
PA
USD
1032327.190000000000
0.1457151660
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.125000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C13
92937UAF5
185000.000000000000
PA
USD
192088.020000000000
0.0271136302
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Fixed
3.345000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C17
92938GAE8
147723.290000000000
PA
USD
152815.460000000000
0.0215702253
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
3.558000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-UBS1
92938JAE2
772216.130000000000
PA
USD
824177.160000000000
0.1163343491
Long
ABS-MBS
CORP
US
N
2
2046-03-15
Variable
4.079000000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo and Co
94974BFJ4
1075000.000000000000
PA
USD
1126900.960000000000
0.1590644536
Long
DBT
CORP
US
N
2
2023-02-13
Fixed
3.450000000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2012-LC5
94988HAE1
185000.000000000000
PA
USD
190442.550000000000
0.0268813687
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.539000000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2R3
740000.000000000000
PA
USD
755742.690000000000
0.1066746789
Long
DBT
CORP
US
N
2
2024-06-02
Variable
1.654000000000
N
N
N
N
N
N
N/A
N/A
LCLSCSDB FUND LIMITED
000000000
1.000000000000
NC
USD
20590459.349
2.9063868811
N/A
DO
US
N
2
DEUTSCHE BANK SECURITIES INC.
9J6MBOOO7BECTDTUZW19
Custom Basket Swap - Termination 12/16/2022
CUSTOM1
Proprietary total return swap
KCA Comdty
-26809463.496037375
USD
19549.374381408095
USD
KCA Comdty
6091048.907577887
USD
67396.95061617065
USD
KCA Comdty
7433384.566467603
USD
674883.1945910845
USD
TRY
51.26905542589865
TRY
51.26905542589865
TRY
TRY
0.02957113704768395
TRY
0.02957113704768395
TRY
TRY
0.02955201565214671
TRY
0.02955201565214671
TRY
USD
105401792.4099
USD
105401792.4099
USD
USD
-790628.1125698761
USD
-790628.1125698761
USD
USD
-865.804458181057
USD
-865.804458181057
USD
C A Comdty
-12754338.044215702
USD
186680.68235977553
USD
C A Comdty
398969.5237110307
USD
-4931.950410568854
USD
C A Comdty
271871.5084016108
USD
-6851.117810960568
USD
TRY
0.02953724114128239
TRY
0.02953724114128239
TRY
TRY
0.07864085765143623
TRY
0.07864085765143623
TRY
EUR
-103558779.59168902
EUR
-103558779.59168902
EUR
KCA Comdty
12083882.392144354
USD
707325.7595310919
USD
PLA Comdty
1676033.2578942198
USD
-57342.48975794739
USD
PLA Comdty
-640428.2025907411
USD
3360.2547545848647
USD
C A Comdty
-3456924.9050000007
USD
49112.40500000073
USD
NGA Comdty
-137861347.67662346
USD
-9795218.314878672
USD
NGA Comdty
-30341445.84403214
USD
-894273.7829784602
USD
LLA Comdty
0
USD
0
USD
LLA Comdty
0
USD
0
USD
LLA Comdty
0
USD
0
USD
LLA Comdty
0
USD
0
USD
USD
-128.435423189011
USD
-128.435423189011
USD
USD
-513.74056743722
USD
-513.74056743722
USD
MWA Comdty
1267051.621393715
USD
-38988.753779041814
USD
HGA Comdty
-22829931.56651871
USD
814416.8673967198
USD
HGA Comdty
36369125.76402484
USD
-1853034.973984547
USD
EUR
2971060.017818278
EUR
2971060.017818278
EUR
EUR
-18484623.722057234
EUR
-18484623.722057234
EUR
EUR
-25.551463553890148
EUR
-25.551463553890148
EUR
EUR
-3.954933924705071
EUR
-3.954933924705071
EUR
GCA Comdty
12721293.06486727
USD
-58821.38926298916
USD
GCA Comdty
23629103.137753658
USD
52532.96519398689
USD
KWA Comdty
-33316521.13775646
USD
318873.61318785325
USD
NRA Comdty
1398522.5000000005
USD
570289.9999999998
USD
NRA Comdty
-991432.5000000015
USD
-93937.49999999849
USD
NRA Comdty
-7587.5
USD
-1380
USD
NGA Comdty
92544617.78590144
USD
8053280.590167582
USD
NGA Comdty
2964481.6689096275
USD
-580.4048411138356
USD
NGA Comdty
2776318.8213231326
USD
421328.79723892594
USD
SMA Comdty
-68835.3170167903
USD
461.65238296077587
USD
SMA Comdty
69090.69918608775
USD
-451.82999183394713
USD
SMA Comdty
-6010054.795048866
USD
272837.2865058826
USD
LLA Comdty
10152603.51179692
USD
365521.2849021368
USD
LLA Comdty
0
USD
0
USD
LLA Comdty
0
USD
0
USD
BOA Comdty
-9176393.142781489
USD
241791.26835744828
USD
NGA Comdty
-13441487.411652742
USD
-791992.5883472599
USD
NGA Comdty
11755000.000000011
USD
1959049.9999999888
USD
NGA Comdty
73946030
USD
3433705.000000015
USD
NRA Comdty
4074237.4999999953
USD
617537.5000000047
USD
NRA Comdty
1287567.5000000019
USD
423862.49999999837
USD
NRA Comdty
3860857.5
USD
984582.5
USD
KWA Comdty
34951315.030992694
USD
62773.30770827085
USD
QWA Comdty
-1739658.1698223986
USD
22438.996292943368
USD
QWA Comdty
43975.22285907006
USD
1251.9770843961087
USD
EUR
-11.8975997018678
EUR
-11.8975997018678
EUR
EUR/USD
18474307.5031894
EUR
-122391.40288962612
USD
WZA Comdty
4113912.075648162
ZAR
-1723.045502289664
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
FCA Comdty
-10281615.690642802
USD
-72994.52596483566
USD
FCA Comdty
6722345.277450019
USD
311604.72254998237
USD
FCA Comdty
693949.84747475
USD
34449.71492332092
USD
DFA Comdty
1790612.0800290867
USD
15961.385581091512
USD
DFA Comdty
812292.1014061836
USD
8800.862449635519
USD
CCA Comdty
-68535.5638275726
USD
422.16787206128356
USD
MYR
1939996.1985251368
MYR
1939996.1985251368
MYR
MYR
165300.11981179751
MYR
165300.11981179751
MYR
MYR
-513089.3766741417
MYR
-513089.3766741417
MYR
BOA Comdty
168422.576173445
USD
7172.310000807687
USD
BOA Comdty
6853681.797801666
USD
-102233.68833815213
USD
BOA Comdty
1924387.6341032153
USD
-62729.31342634908
USD
CTA Comdty
2076854.4582691044
USD
6149.422779375454
USD
CTA Comdty
765162.75764258
USD
-3230.055543628754
USD
ZAR
5647731.903476484
ZAR
5647731.903476484
ZAR
XBA Comdty
-31722102.463075604
USD
-162218.949040059
USD
XBA Comdty
39380387.81656877
USD
-11608.424713559449
USD
XBA Comdty
2518461.0975920195
USD
-14285.01076153433
USD
IJA Comdty
-831771.8574660548
EUR
-4622.947318270337
USD
IJA Comdty
0
EUR
0
USD
LCA Comdty
-6323653.660185048
USD
-9134.44774437882
USD
CCA Comdty
-2778540.059874565
USD
-23554.533611471765
USD
SBA Comdty
-8216622.104089564
USD
-69697.92242782377
USD
SBA Comdty
22901144.098281976
USD
359291.90956641734
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
4650166.1743521355
USD
-259056.39871384017
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
AUD
4.746863338353546
AUD
4.746863338353546
AUD
AUD
-9.798154890140292
AUD
-9.798154890140292
AUD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
ZAR
-767404.928480163
ZAR
-767404.928480163
ZAR
ZAR
-4601.1825907673
ZAR
-4601.1825907673
ZAR
ZAR
-96958.46325835954
ZAR
-96958.46325835954
ZAR
CAA Comdty
-4490220.157705754
EUR
183685.76043036487
USD
CAA Comdty
-583769.2606450346
EUR
5284.769044640358
USD
XBA Comdty
596937.7475331242
USD
-4032.582677119295
USD
HOA Comdty
-23928798.422703315
USD
118747.13205485791
USD
HOA Comdty
23517866.838613953
USD
11436.831203706563
USD
NRA Comdty
531829.9999999998
USD
116807.50000000023
USD
NRA Comdty
3422944.999999996
USD
534565.0000000047
USD
LCA Comdty
-4054614.3004155145
USD
16874.867955878377
USD
LCA Comdty
5979619.825068318
USD
155866.77102625836
USD
LCA Comdty
6717224.209600007
USD
239725.79039999284
USD
LTA Comdty
292866.86943519884
USD
22967.206052298832
USD
W A Comdty
-2006818.7394991906
USD
55011.39868777129
USD
W A Comdty
-6593618.468817743
USD
142133.29822692182
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
FCA Comdty
2609651.1266386257
USD
102372.2808997389
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
ZAR
-16.778395676780733
ZAR
-16.778395676780733
ZAR
ZAR
45.09555399256877
ZAR
45.09555399256877
ZAR
DTG Comdty
-4905273.6
EUR
-671350.5899092928
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
KOA Comdty
-6287133.548115334
MYR
-38948.803145166254
USD
COA Comdty
-55171311.323298916
USD
-58643.40405882895
USD
COA Comdty
39916924.248797305
USD
187702.27420715243
USD
SBA Comdty
1244124.2571530459
USD
17858.142846954288
USD
LBA Comdty
-188983.78751922763
USD
25207.202348771272
USD
JPY
79817056.2986886
JPY
79817056.2986886
JPY
JPY
-1032911.9718667145
JPY
-1032911.9718667145
JPY
HHA Comdty
2829722.500000003
USD
234527.4999999972
USD
HOA Comdty
1938762.6160515263
USD
-9999.979958396638
USD
HOA Comdty
967003.0124622245
USD
-3075.4888857188635
USD
W A Comdty
-518646.8074741833
USD
4641.079807424918
USD
RSA Comdty
95945.11652682774
CAD
-3870.0030867549067
USD
GBP
3309061.2167637367
GBP
3309061.2167637367
GBP
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LPA Comdty
0
USD
0
USD
LXA Comdty
3272327.153497184
USD
24442.335746988654
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
DTG Comdty
4603369.8
EUR
579312.5321633965
USD
CAD
337586.97242352745
CAD
337586.97242352745
CAD
CAD
-7447.180503051458
CAD
-7447.180503051458
CAD
CAD
-24493.86933682345
CAD
-24493.86933682345
CAD
CAD
-63013.33149777475
CAD
-63013.33149777475
CAD
CAD
0.5303814859095811
CAD
0.5303814859095811
CAD
S A Comdty
-23825373.591238793
USD
209210.56402362138
USD
S A Comdty
9663747.232137999
USD
-89678.43098791316
USD
S A Comdty
446685.51448128035
USD
-4923.473552320851
USD
SIA Comdty
5250583.7328221835
USD
5390.037130847573
USD
SIA Comdty
8134014.484912828
USD
-42223.82035466563
USD
QSA Comdty
-13013065.407400314
USD
-197436.75873403624
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LXA Comdty
0
USD
0
USD
LHA Comdty
5297412.482713927
USD
-353650.012539288
USD
LHA Comdty
-21916929.688712217
USD
1011677.4646610841
USD
GBP
-103113.95767007713
GBP
-103113.95767007713
GBP
GBP
-286.7808503893425
GBP
-286.7808503893425
GBP
GBP
-9.633344812120276
GBP
-9.633344812120276
GBP
LPA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
7436685.924340865
USD
277142.3216798324
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
QSA Comdty
6263063.893646414
USD
76053.66522103082
USD
QSA Comdty
6496742.587225208
USD
110779.92379002925
USD
QSA Comdty
178276.39895187618
USD
-1068.185035042232
USD
HHA Comdty
89520
USD
17790
USD
HHA Comdty
89520
USD
17715
USD
HHA Comdty
89520
USD
18885
USD
HHA Comdty
89520
USD
21540
USD
COA Comdty
24330262.322262995
USD
-22791.000708837062
USD
COA Comdty
9622478.567479668
USD
46216.406263431534
USD
COA Comdty
2951173.5783128454
USD
9835.338824220933
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LNA Comdty
0
USD
0
USD
LHA Comdty
2528098.1338818283
USD
-56250.913572057616
USD
LHA Comdty
9210979.680845654
USD
-532362.3174084742
USD
QSA Comdty
-2101498.3333800016
USD
12435.833380001597
USD
PAA Comdty
5183766.917181957
USD
194974.46386747807
USD
PAA Comdty
8212216.987550196
USD
121362.18341707531
USD
GBP
0.45615077510915486
GBP
0.45615077510915486
GBP
GBP
1.3684878876767692
GBP
1.3684878876767692
GBP
QCA Comdty
-252564.5462427866
GBP
-2810.6289365487755
USD
FNA Comdty
1556876.7691411346
GBP
376139.4159686924
USD
FNA Comdty
209364.2668682774
GBP
62467.58684425242
USD
FNA Comdty
1735964.1017302463
GBP
21645.887380131986
USD
QCA Comdty
345640.12136184896
GBP
-1188.8882759916014
USD
LNA Comdty
0
USD
0
USD
COA Comdty
202969.89024471454
USD
6968.986504482484
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
FNA Comdty
174542.14503092706
GBP
13187.664720158355
USD
LAA Comdty
8885911.685393069
USD
307944.619367525
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
2775656.25
USD
59118.750000000466
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
LAA Comdty
0
USD
0
USD
CLA Comdty
-148666934.73276082
USD
-1172173.4594829082
USD
CLA Comdty
114578454.34638858
USD
1111594.5651066601
USD
CLA Comdty
20054778.681675017
USD
202606.461773023
USD
CLA Comdty
7580911.6492924765
USD
67686.09725495428
USD
CLA Comdty
21767816.760201085
USD
157706.22897512093
USD
CLA Comdty
197999.76033454103
USD
6443.488579197292
USD
CLA Comdty
846334.6667533333
USD
18620.33324666659
USD
ENA Comdty
-2654491.3796333615
USD
17636.103268214036
USD
Y
2022-12-16
0.000000000000
USD
0.000000000000
USD
414945098
USD
20590459.49
N
N
N
NOMURA GALAXY OPTION
N/A
NOMURA GALAXY OPTION
N/A
1
NS
USD
37684066.040000000000
5.3191856145
Long
DO
US
N
2
Nomura
549300R5F7LQRD9R8R24
Call
Purchased
Nomura Galaxy Opiton
Nomura Galaxy Option
1
0.000100000000
USD
2022-08-22
XXXX
20843888.510000000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LV1
1205000.000000000000
PA
USD
1223197.720000000000
0.1726569450
Long
DBT
CORP
US
N
2
2023-01-24
Variable
3.142000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LZ2
1425000.000000000000
PA
USD
1517824.630000000000
0.2142441564
Long
DBT
CORP
US
N
2
2024-06-01
Variable
4.044000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MT5
1360000.000000000000
PA
USD
1363207.740000000000
0.1924196554
Long
DBT
CORP
US
N
2
2024-10-30
Variable
.776000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MX6
2275000.000000000000
PA
USD
2281318.130000000000
0.3220128785
Long
DBT
CORP
US
N
2
2025-05-01
Variable
.981000000000
N
N
N
N
N
N
Citibank Credit Card Issuance
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGM1
1085000.000000000000
PA
USD
1146620.080000000000
0.1618478491
Long
ABS-O
CORP
US
N
2
2025-05-23
Fixed
3.290000000000
N
N
N
N
N
N
Citibank Credit Card Issuance
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGR0
1500000.000000000000
PA
USD
1563822.900000000000
0.2207369095
Long
ABS-O
CORP
US
N
2
2024-12-07
Fixed
3.210000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAM5
725000.000000000000
PA
USD
715039.020000000000
0.1009292698
Long
DBT
CORP
US
N
2
2027-01-28
Variable
1.122000000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
1920000.000000000000
PA
USD
2082126.530000000000
0.2938965629
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.700000000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21685WDF1
895000.000000000000
PA
USD
936851.860000000000
0.1322386213
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
3.950000000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2D2
900000.000000000000
PA
USD
909612.040000000000
0.1283936631
Long
DBT
CORP
CH
N
2
2023-05-05
Fixed
1.000000000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAS0
505000.000000000000
PA
USD
508624.930000000000
0.0717934845
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.350000000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AJ0
943200.000000000000
PA
USD
955433.300000000000
0.1348614308
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
3.787000000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851EB6
725000.000000000000
PA
USD
726638.960000000000
0.1025666259
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
.750000000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAX9
815000.000000000000
PA
USD
832811.110000000000
0.1175530494
Long
DBT
CORP
DK
N
2
2023-01-12
Variable
5.000000000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CJ6
660000.000000000000
PA
USD
657334.440000000000
0.0927841463
Long
DBT
CORP
DE
N
2
2024-05-28
Fixed
.898000000000
N
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
Diageo Capital PLC
25243YBC2
575000.000000000000
PA
USD
584653.400000000000
0.0825250638
Long
DBT
CORP
GB
N
2
2025-09-29
Fixed
1.375000000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2018-1
252724AA7
487269.000000000000
PA
USD
507581.590000000000
0.0716462148
Long
ABS-O
CORP
US
N
2
2031-01-21
Fixed
3.700000000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2021-1
25273CAA8
1074102.800000000000
PA
USD
1078319.620000000000
0.1522070948
Long
ABS-O
CORP
US
N
2
2033-11-21
Fixed
1.510000000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
335000.000000000000
PA
USD
353827.000000000000
0.0499434293
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.875000000000
N
N
N
N
N
N
Discover Card Execution Note T
549300CKCX1QE4RUW216
Discover Card Execution Note Trust
254683CE3
1225000.000000000000
PA
USD
1230860.400000000000
0.1737385484
Long
ABS-O
CORP
US
N
2
2025-08-15
Floating
.402880000000
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAB6
780000.000000000000
PA
USD
845085.010000000000
0.1192855363
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.205000000000
N
N
N
N
N
N
DRAGON 2012 LLC
N/A
Dragon 2012 LLC
26144YAA5
6400.500000000000
PA
USD
6541.940000000000
0.0009234087
Long
DBT
USGSE
US
N
2
2024-03-12
Fixed
1.972000000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer Operating LP
29278NAP8
520000.000000000000
PA
USD
547222.520000000000
0.0772416159
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.900000000000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE
635400B4JJBON4TCHF02
Equitable Financial Life Global Funding
29449WAA5
925000.000000000000
PA
USD
933124.520000000000
0.1317124993
Long
DBT
CORP
US
N
2
2025-07-07
Fixed
1.400000000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAJ7
125000.000000000000
PA
USD
123674.530000000000
0.0174569215
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
.800000000000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAR4
265000.000000000000
PA
USD
269732.480000000000
0.0380733100
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.400000000000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAS2
220000.000000000000
PA
USD
237293.140000000000
0.0334944285
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.250000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2016-SB17 Mortgage Trust
30294UAC9
563724.440000000000
PA
USD
571770.930000000000
0.0807066759
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Variable
2.150000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2017-SB32 Mortgage Trust
302952AB2
996677.390000000000
PA
USD
1020558.280000000000
0.1440539595
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
2.440000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2016-SB23 Mortgage Trust
30295LAE4
854448.880000000000
PA
USD
878724.970000000000
0.1240338878
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Variable
2.310000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2019-SB69 Mortgage Trust
30312XAE7
1574430.380000000000
PA
USD
1631367.920000000000
0.2302710319
Long
ABS-MBS
USGSE
US
N
2
2024-10-25
Variable
2.250000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2019-SB67 Mortgage Trust
30314KAS2
1369482.980000000000
PA
USD
1400450.410000000000
0.1976765370
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Variable
2.090000000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAF1
866466.540000000000
PA
USD
871492.480000000000
0.1230130066
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Floating
2.691500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAK0
376382.670000000000
PA
USD
379230.190000000000
0.0535291433
Long
ABS-MBS
CORP
US
N
2
2024-07-25
Floating
3.091500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XHT4
396594.960000000000
PA
USD
399165.090000000000
0.0563429966
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
1.441500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XHU1
167790.190000000000
PA
USD
163877.660000000000
0.0231316783
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
.941500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XNT7
153808.740000000000
PA
USD
154296.050000000000
0.0217792138
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.291500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XNX8
679020.290000000000
PA
USD
689844.420000000000
0.0973729987
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.291500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XZL1
385000.000000000000
PA
USD
381537.160000000000
0.0538547770
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
.541500000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130A0F70
2325000.000000000000
PA
USD
2495757.350000000000
0.3522814279
Long
DBT
USGSE
US
N
2
2023-12-08
Fixed
3.375000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AEBM1
1000000.000000000000
PA
USD
1024801.570000000000
0.1446529088
Long
DBT
USGSE
US
N
2
2022-06-10
Fixed
2.750000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AGLD5
2420000.000000000000
PA
USD
2420830.450000000000
0.3417053375
Long
DBT
USGSE
US
N
2
2021-07-07
Fixed
1.875000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AJHU6
3950000.000000000000
PA
USD
3928069.400000000000
0.5544553028
Long
DBT
USGSE
US
N
2
2025-04-14
Fixed
.500000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
313379Q69
5575000.000000000000
PA
USD
5681570.420000000000
0.8019656800
Long
DBT
USGSE
US
N
2
2022-06-10
Fixed
2.125000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
313383QR5
2345000.000000000000
PA
USD
2480545.900000000000
0.3501342996
Long
DBT
USGSE
US
N
2
2023-06-09
Fixed
3.250000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
313383YJ4
2235000.000000000000
PA
USD
2382039.580000000000
0.3362299242
Long
DBT
USGSE
US
N
2
2023-09-08
Fixed
3.375000000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks
3133EJUS6
1600000.000000000000
PA
USD
1684254.580000000000
0.2377360958
Long
DBT
USGSE
US
N
2
2023-07-17
Fixed
2.875000000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks
3133EKSN7
2450000.000000000000
PA
USD
2522371.600000000000
0.3560380856
Long
DBT
USGSE
US
N
2
2023-06-26
Fixed
1.770000000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks Funding Corp
3133EMH96
10000000.000000000000
PA
USD
9972095.100000000000
1.4075823120
Long
DBT
USGSE
US
N
2
2023-06-14
Fixed
.125000000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks Funding Corp
3133EMYX4
8180000.000000000000
PA
USD
8164604.830000000000
1.1524512380
Long
DBT
USGSE
US
N
2
2023-05-10
Fixed
.125000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134GWAK2
2465000.000000000000
PA
USD
2465395.530000000000
0.3479957928
Long
DBT
USGSE
US
N
2
2023-07-20
Fixed
.410000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134GXCB8
2730000.000000000000
PA
USD
2729469.040000000000
0.3852703272
Long
DBT
USGSE
US
N
2
2023-05-19
Fixed
.250000000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G05G4
3350000.000000000000
PA
USD
3349619.370000000000
0.4728058577
Long
DBT
USGSE
US
N
2
2023-07-10
Fixed
.250000000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G0T94
220000.000000000000
PA
USD
227416.860000000000
0.0321003707
Long
DBT
USGSE
US
N
2
2023-01-19
Fixed
2.375000000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AV7F0
2512836.610000000000
PA
USD
2631832.490000000000
0.3714887217
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Fixed
2.595000000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BJPH0
128431.850000000000
PA
USD
128263.080000000000
0.0181046050
Long
ABS-MBS
USGSE
US
N
2
2022-01-25
Floating
.385880000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BLW87
2339744.560000000000
PA
USD
2439158.670000000000
0.3442924045
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
2.802000000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BMTW6
327648.110000000000
PA
USD
340177.500000000000
0.0480167735
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
2.598000000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BSRD7
773857.900000000000
PA
USD
819395.100000000000
0.1156593512
Long
ABS-MBS
USGSE
US
N
2
2025-09-25
Fixed
2.761000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAEP0
4850000.000000000000
PA
USD
5005579.460000000000
0.7065481264
Long
DBT
USGSE
US
N
2
2025-02-12
Fixed
1.500000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAES4
3000000.000000000000
PA
USD
2999600.400000000000
0.4233999399
Long
DBT
USGSE
US
N
2
2023-06-26
Fixed
.250000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAEW5
885000.000000000000
PA
USD
884124.120000000000
0.1247959893
Long
DBT
USGSE
US
N
2
2023-09-08
Fixed
.250000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAEZ8
4000000.000000000000
PA
USD
3995688.320000000000
0.5639998563
Long
DBT
USGSE
US
N
2
2023-11-06
Fixed
.250000000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ3N1
1510000.000000000000
PA
USD
1555122.580000000000
0.2195088409
Long
ABS-MBS
USGSE
US
N
2
2026-02-25
Fixed
2.169000000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NW5
355402.490000000000
PA
USD
355679.810000000000
0.0502049574
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
1.291500000000
N
N
N
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31429KAE3
1190000.000000000000
PA
USD
1188460.290000000000
0.1677536832
Long
DBT
CORP
CA
N
2
2024-05-21
Fixed
.700000000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
5493006E18I81G847N31
Ford Credit Auto Lease Trust 2019-B
34528DAD5
231393.900000000000
PA
USD
232134.150000000000
0.0327662262
Long
ABS-O
CORP
US
N
2
2022-10-15
Fixed
2.220000000000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
STACR Trust 2018-DNA2
35563TAA9
197740.880000000000
PA
USD
197740.860000000000
0.0279115406
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
.891500000000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
Freddie Mac STACR Trust 2018-DNA2
35563TAH4
700000.000000000000
PA
USD
704627.210000000000
0.0994596208
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
2.241500000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAB0
855000.000000000000
PA
USD
862203.380000000000
0.1217018304
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
2.191500000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAA6
6469.500000000000
PA
USD
6469.500000000000
0.0009131836
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
.841500000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LAA4
109238.370000000000
PA
USD
109272.520000000000
0.0154240473
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
1.191500000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAP5
907959.520000000000
PA
USD
908786.310000000000
0.1282771095
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
1.591500000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
3490000.000000000000
PA
USD
3809534.140000000000
0.5377238001
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.373000000000
N
N
N
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAA1
1400000.000000000000
PA
USD
1401665.720000000000
0.1978480806
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
.873000000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36192CAE5
1720000.000000000000
PA
USD
1774302.290000000000
0.2504465205
Long
ABS-MBS
CORP
US
N
2
2046-02-10
Fixed
2.943000000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493002EPQ51IPGGFX73
GS Mortgage Securities Trust 2015-GC28
36251FBA3
885000.000000000000
PA
USD
948954.260000000000
0.1339469006
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.759000000000
N
N
N
N
N
N
GM Financial Consumer Automobi
N/A
GM Financial Consumer Automobile Receivables Trust 2020-2
36258VAC8
91527.000000000000
PA
USD
91650.280000000000
0.0129366308
Long
ABS-O
CORP
US
N
2
2023-03-16
Floating
1.124630000000
N
N
N
N
N
N
GM Financial Securitized Term
N/A
GM Financial Consumer Automobile Receivables Trust 2021-1
36261LAC5
1400000.000000000000
PA
USD
1400663.040000000000
0.1977065502
Long
ABS-O
CORP
US
N
2
2025-10-16
Fixed
.350000000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF841CNQ550
GS Mortgage Securities Corp II
36264YAA8
2000000.000000000000
PA
USD
2000682.000000000000
0.2824004953
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Floating
1.223000000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCX2
1375000.000000000000
PA
USD
1448236.310000000000
0.2044216178
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.750000000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCZ7
1000000.000000000000
PA
USD
1020513.950000000000
0.1440477022
Long
DBT
CORP
US
N
2
2023-08-18
Fixed
1.700000000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BW2
660000.000000000000
PA
USD
660463.960000000000
0.0932258847
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
.750000000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Leasing Trust
380144AD7
2182000.000000000000
PA
USD
2179028.330000000000
0.3075744569
Long
ABS-O
CORP
US
N
2
2025-05-20
Fixed
.410000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GRD8
1195000.000000000000
PA
USD
1254408.460000000000
0.1770624069
Long
DBT
CORP
US
N
2
2023-01-22
Fixed
3.625000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
3385000.000000000000
PA
USD
3531166.090000000000
0.4984315612
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.200000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXM1
235000.000000000000
PA
USD
231550.840000000000
0.0326838907
Long
DBT
CORP
US
N
2
2026-12-09
Variable
1.093000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXZ2
9325000.000000000000
PA
USD
9340741.350000000000
1.3184653950
Long
DBT
CORP
US
N
2
2024-03-08
Variable
.673000000000
N
N
N
N
N
N
HSBC BANK CANADA
DMB80L5QKUQ124HSYW98
HSBC Bank Canada
40427HTH6
870000.000000000000
PA
USD
884576.560000000000
0.1248598521
Long
DBT
CORP
CA
N
2
2022-09-10
Fixed
1.650000000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
1245000.000000000000
PA
USD
1280695.200000000000
0.1807728358
Long
DBT
CORP
GB
N
2
2026-06-04
Variable
2.099000000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CJ6
675000.000000000000
PA
USD
684291.600000000000
0.0965892065
Long
DBT
CORP
GB
N
2
2026-04-18
Variable
1.645000000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CS6
530000.000000000000
PA
USD
529595.160000000000
0.0747534768
Long
DBT
CORP
GB
N
2
2025-05-24
Variable
.976000000000
N
N
N
N
N
N
HELIOS LEASING I LLC
549300H2L807705NLV88
Helios Leasing I LLC
42328BAA0
6821.770000000000
PA
USD
6985.780000000000
0.0009860576
Long
DBT
USGSE
US
N
2
2024-05-29
Fixed
2.018000000000
N
N
N
N
N
N
HELIOS LEASING I LLC
549300H2L807705NLV88
Helios Leasing I LLC
42328BAB8
7341.590000000000
PA
USD
7488.130000000000
0.0010569654
Long
DBT
USGSE
US
N
2
2024-07-24
Fixed
1.734000000000
N
N
N
N
N
N
HELIOS LEASING I LLC
549300H2L807705NLV88
Helios Leasing I LLC
42328BAC6
7265.620000000000
PA
USD
7406.530000000000
0.0010454474
Long
DBT
USGSE
US
N
2
2024-09-28
Fixed
1.562000000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMJ8
1000000.000000000000
PA
USD
1002199.500000000000
0.1414625788
Long
DBT
CORP
US
N
2
2024-03-25
Fixed
.900000000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBM0
1600000.000000000000
PA
USD
1641967.390000000000
0.2317671695
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.300000000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
2495000.000000000000
PA
USD
2631146.040000000000
0.3713918278
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.600000000000
N
N
N
N
N
N
ACRE COMMERCIAL MORTGAGE TRUST
N/A
ACRE Commercial Mortgage 2021-FL4 Ltd
00489TAA4
850000.000000000000
PA
USD
846572.460000000000
0.1194954930
Long
ABS-MBS
CORP
KY
N
2
2037-12-18
Floating
.912500000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAC9
1930000.000000000000
PA
USD
2046011.410000000000
0.2887988374
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.500000000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAS4
725000.000000000000
PA
USD
716362.560000000000
0.1011160903
Long
DBT
CORP
IE
N
2
2026-01-30
Fixed
1.750000000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBC7
675000.000000000000
PA
USD
716017.660000000000
0.1010674069
Long
DBT
CORP
US
N
2
2023-07-03
Fixed
3.875000000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAA0
350000.000000000000
PA
USD
379577.290000000000
0.0535781372
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.250000000000
N
N
N
N
N
N
ALEN 2021-ACEN Mortgage Trust
N/A
Alen 2021-ACEN Mortgage Trust
01449NAA4
1250000.000000000000
PA
USD
1250371.880000000000
0.1764926351
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
1.223000000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CG2
905000.000000000000
PA
USD
953917.760000000000
0.1346475091
Long
DBT
CORP
US
N
2
2024-07-30
Fixed
2.500000000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR2 Trust
02665UAA3
283685.010000000000
PA
USD
301592.120000000000
0.0425703655
Long
ABS-O
CORP
US
N
2
2036-10-17
Fixed
3.786000000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBB5
2360000.000000000000
PA
USD
2366198.070000000000
0.3339938615
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.300000000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-3
03066PAC3
2150000.000000000000
PA
USD
2157154.990000000000
0.3044869887
Long
ABS-O
CORP
US
N
2
2025-06-18
Fixed
.530000000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-2
03066RAC9
2010000.000000000000
PA
USD
2014148.040000000000
0.2843012553
Long
ABS-O
CORP
US
N
2
2026-12-18
Fixed
.340000000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-1
03464RAD5
877000.000000000000
PA
USD
884085.900000000000
0.1247905944
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
3.161000000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust LLC 2020-5
03464WAC6
157722.870000000000
PA
USD
158804.830000000000
0.0224156376
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.041000000000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BD4
775000.000000000000
PA
USD
793926.100000000000
0.1120643480
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.200000000000
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series 2002-HE1
04541GCG5
366437.390000000000
PA
USD
367884.010000000000
0.0519276060
Long
ABS-MBS
CORP
US
N
2
2032-03-15
Floating
1.722880000000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAC7
1600000.000000000000
PA
USD
1598352.000000000000
0.2256107649
Long
DBT
CORP
US
N
2
2024-05-28
Fixed
.700000000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AV7
390000.000000000000
PA
USD
390051.520000000000
0.0550565969
Long
DBT
CORP
US
N
2
2023-03-09
Floating
.503130000000
N
N
N
N
N
N
Bank of America Credit Card Tr
5493006DQ60M1CRKHH19
BA Credit Card Trust
05522RDD7
850000.000000000000
PA
USD
847773.850000000000
0.1196650718
Long
ABS-O
CORP
US
N
2
2026-09-15
Fixed
.440000000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
240000.000000000000
PA
USD
254937.600000000000
0.0359849814
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.222000000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAN0
1615000.000000000000
PA
USD
1614797.720000000000
0.2279321131
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
1.668000000000
N
N
N
N
N
N
BHP Trust
N/A
BHP Trust 2019-BXHP
05550TAA7
1920765.680000000000
PA
USD
1921368.030000000000
0.2712051607
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
1.048020000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
1310000.000000000000
PA
USD
1380968.290000000000
0.1949265946
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.746000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEU9
2525000.000000000000
PA
USD
2634983.670000000000
0.3719335174
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.300000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGQ6
625000.000000000000
PA
USD
640506.160000000000
0.0904087990
Long
DBT
CORP
US
N
2
2023-07-21
Variable
2.816000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJC4
2000000.000000000000
PA
USD
2033916.140000000000
0.2870915644
Long
DBT
CORP
US
N
2
2024-05-19
Variable
1.486000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
3495000.000000000000
PA
USD
3503939.480000000000
0.4945884676
Long
DBT
CORP
US
N
2
2026-06-19
Variable
1.319000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJH3
2035000.000000000000
PA
USD
2043194.520000000000
0.2884012274
Long
DBT
CORP
US
N
2
2024-10-24
Variable
.810000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJK6
250000.000000000000
PA
USD
247704.330000000000
0.0349639900
Long
DBT
CORP
US
N
2
2026-10-24
Variable
1.197000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJR1
2175000.000000000000
PA
USD
2182131.020000000000
0.3080124082
Long
DBT
CORP
US
N
2
2025-04-22
Variable
.976000000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WJM6
845000.000000000000
PA
USD
861656.140000000000
0.1216245864
Long
DBT
CORP
CA
N
2
2022-03-26
Fixed
2.900000000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAL1
650000.000000000000
PA
USD
682067.510000000000
0.0962752714
Long
DBT
CORP
US
N
2
2024-10-24
Fixed
2.100000000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBQ7
1150000.000000000000
PA
USD
1154454.270000000000
0.1629536616
Long
DBT
CORP
GB
N
2
2024-12-10
Variable
1.007000000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAC5
1100000.000000000000
PA
USD
1100957.000000000000
0.1554024088
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
.950000000000
N
N
N
N
N
N
BIRMINGHAM AL WTRWKS BRD WTR R
N/A
Water Works Board of the City of Birmingham/The
091096ND5
270000.000000000000
PA
USD
280652.770000000000
0.0396147320
Long
DBT
MUN
US
N
2
2024-01-01
Fixed
2.201000000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2J2
1150000.000000000000
PA
USD
1210067.180000000000
0.1708035415
Long
DBT
CORP
FR
N
2
2025-11-19
Variable
2.819000000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DT2
745000.000000000000
PA
USD
745844.920000000000
0.1052775877
Long
DBT
CORP
US
N
2
2023-11-13
Fixed
.537000000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAF0
650000.000000000000
PA
USD
700370.260000000000
0.0988587433
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.650000000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAT8
715000.000000000000
PA
USD
772835.800000000000
0.1090874075
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.400000000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-FOX
12433AAA7
1964822.520000000000
PA
USD
1970977.920000000000
0.2782077016
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
1.073000000000
N
N
N
N
N
N
CDP FINANCIAL INC
549300OXMGVYFCBFV096
CDP Financial Inc
125094AR3
990000.000000000000
PA
USD
1007016.690000000000
0.1421425354
Long
DBT
NUSS
CA
N
2
2022-03-07
Fixed
2.750000000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Comm 2014-UBS2 Mortgage Trust
12591UAF0
1150000.000000000000
PA
USD
1236745.650000000000
0.1745692639
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Fixed
3.961000000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Comm 2014-UBS2 Mortgage Trust
12591UAH6
1150000.000000000000
PA
USD
1231930.830000000000
0.1738896419
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Fixed
4.199000000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-3BP Mortgage Trust
12592TAA3
1030000.000000000000
PA
USD
1099159.760000000000
0.1551487246
Long
ABS-MBS
CORP
US
N
2
2035-02-10
Fixed
3.178000000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-CCRE6 Mortgage Trust
12624XAD0
440000.000000000000
PA
USD
451413.640000000000
0.0637179899
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
3.101000000000
N
N
N
N
N
N
COMM Mortgage Trust
549300C72XVZH4MIKU63
COMM 2013-CCRE9 Mortgage Trust
12625UBF9
946086.000000000000
PA
USD
1005493.860000000000
0.1419275847
Long
ABS-MBS
CORP
US
N
2
2045-07-10
Variable
4.388764000000
N
N
N
N
N
N
COMM Mortgage Trust
549300YJIXJB9DCDOI21
COMM 2013-CCRE10 Mortgage Trust
12626BAD6
200000.000000000000
PA
USD
213452.220000000000
0.0301292323
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
4.210000000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE27 Mortgage Trust
12635QBJ8
1000000.000000000000
PA
USD
1095780.200000000000
0.1546716925
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.984000000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CF5
1690000.000000000000
PA
USD
1816746.110000000000
0.2564375554
Long
DBT
CORP
US
N
2
2024-08-12
Fixed
3.375000000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
Camden Property Trust
133131AT9
375000.000000000000
PA
USD
385725.740000000000
0.0544460039
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.950000000000
N
N
N
N
N
N
Capital One Multi-Asset Execut
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NEX5
1210000.000000000000
PA
USD
1242293.930000000000
0.1753524154
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
2.750000000000
N
N
N
N
N
N
CAPITAL ONE BANK USA NA
LKE37K2B8CFZUR7F9816
Capital One Bank USA NA
140420NB2
799000.000000000000
PA
USD
836122.090000000000
0.1180204012
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.375000000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2018-4
14315EAC4
467170.720000000000
PA
USD
473501.960000000000
0.0668358030
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.360000000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust
14687TAC1
2630000.000000000000
PA
USD
2625908.770000000000
0.3706525761
Long
ABS-O
CORP
US
N
2
2026-03-10
Fixed
.490000000000
N
N
N
N
N
N
Chase Issuance Trust
5493008SHVCX2Y068L12
Chase Issuance Trust
161571HP2
1050000.000000000000
PA
USD
1070456.630000000000
0.1510972171
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
1.530000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967FT3
1270000.000000000000
PA
USD
1298903.420000000000
0.1833429646
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
4.500000000000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust
30227FAA8
1200000.000000000000
PA
USD
1203372.840000000000
0.1698586212
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
1.155000000000
N
N
N
N
N
N
2021-08-18
LoCorr Investment Trust
Jon Essen
Jon Essen
Treasurer