0001752724-23-074965.txt : 20230331
0001752724-23-074965.hdr.sgml : 20230331
20230331100348
ACCESSION NUMBER: 0001752724-23-074965
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230131
FILED AS OF DATE: 20230331
DATE AS OF CHANGE: 20230331
PERIOD START: 20230131
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI DAILY INCOME TRUST /MA/
CENTRAL INDEX KEY: 0000701939
IRS NUMBER: 236756825
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0131
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03451
FILM NUMBER: 23783955
BUSINESS ADDRESS:
STREET 1: 2 OLIVER ST
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 8003425734
MAIL ADDRESS:
STREET 1: ONE FREEDOM VALLEY DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
FORMER COMPANY:
FORMER CONFORMED NAME: SEI CASH & PLUS TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: TRUSTFUNDS CASH & PLUS TRUST
DATE OF NAME CHANGE: 19890123
FORMER COMPANY:
FORMER CONFORMED NAME: CASH PLUS TRUST
DATE OF NAME CHANGE: 19860827
0000701939
S000008266
SDIT ULTRA SHORT DURATION BOND FUND
C000022551
SDIT ULTRA SHORT DURATION BOND FUND - CLASS F, effective 1-31-2017 (formerly Class A)
SECPX
C000158211
Class Y
SECYX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000701939
XXXXXXXX
S000008266
C000158211
C000022551
SEI DAILY INCOME TRUST
811-03451
0000701939
LTKY0J47NCTZPKTU4C46
2 OLIVER STREET
BOSTON
02109
8003455734
SDIT Ultra Short Duration Bond Fund
S000008266
QHE4BC1KQ4QI4DLFWQ86
2023-01-31
2023-01-31
N
280509864.55
1585830.08
278924034.47
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
533356.47000000
USD
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 4.250000% 05/15/2023
37045XAL0
525000.00000000
PA
USD
523932.06000000
0.187840413607
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 2.125000% 03/17/2024
609207AZ8
290000.00000000
PA
USD
281650.25000000
0.100977404308
Long
DBT
CORP
US
N
2
2024-03-17
Fixed
2.12500000
N
N
N
N
N
N
MACQUARIE GROUP LIMITED
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD MTN VARIABLE RATE 10/14/2025
55608JBB3
425000.00000000
PA
USD
418697.25000000
0.150111570985
Long
DBT
NUSS
AU
N
2
2025-10-14
Floating
5.03278920
N
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 CAALT 2021-3A A
22535GAA0
250000.00000000
PA
USD
240259.30000000
0.086137897889
Long
ABS-MBS
US
Y
2
2030-05-15
Fixed
1.00000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-AFC1 TRUST CSMC 2021-AFC1 A1
12657LAA2
213906.16000000
PA
USD
171412.46000000
0.061454890513
Long
ABS-MBS
US
Y
2
2056-03-25
Floating
0.83000160
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 A1
14686KAA5
11060.99000000
PA
USD
10906.67000000
0.003910265395
Long
ABS-MBS
US
N
2
2028-03-10
Fixed
0.32000000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2004-9 IMM 2004-9 1A1
45254NKX4
12121.43000000
PA
USD
10988.05000000
0.003939441798
Long
ABS-MBS
US
N
2
2035-01-25
Floating
5.26586040
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-P3 CRVNA 2021-P3 A2
14687JAD1
56288.24000000
PA
USD
55851.88000000
0.020024047087
Long
ABS-MBS
US
N
2
2025-01-10
Fixed
0.38000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FED HOME LN DISCOUNT NT ZERO COUPON 07/21/2023
313384JK6
1208000.00000000
PA
USD
1181001.43000000
0.423413289659
Long
DBT
USGA
US
N
2
2023-07-21
None
0.00000000
N
N
N
N
N
N
SYMPHONY STATIC CLO LTD
N/A
SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A
87190TAA1
476939.81000000
PA
USD
471455.48000000
0.169026480954
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-25
Floating
5.64770880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K726 A2
3137BYPQ7
688615.13000000
PA
USD
673400.25000000
0.241427832233
Long
DBT
USGA
US
N
2
2024-04-25
Fixed
2.90500000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2022-2 DEFT 2022-2 A2
24702CAC8
355000.00000000
PA
USD
351638.36000000
0.126069580439
Long
ABS-MBS
US
Y
2
2027-07-22
Fixed
4.03000000
N
N
N
N
N
N
VERIZON OWNER TRUST
N/A
VERIZON OWNER TRUST 2020-B VZOT 2020-B A
92290BAA9
259248.92000000
PA
USD
255285.26000000
0.091525013427
Long
ABS-MBS
US
N
2
2025-02-20
Fixed
0.47000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 08/15/2023
91282CAF8
2500000.00000000
PA
USD
2438574.23000000
0.874278989486
Long
SN
UST
US
N
2
2023-08-15
Fixed
0.12500000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1
69360GAA1
116714.28000000
PA
USD
104926.49000000
0.037618303564
Long
ABS-MBS
US
Y
2
2051-07-25
Fixed
1.31900000
N
N
N
N
N
N
TTAN MHC
N/A
TTAN 2021-MHC TTN 2021-MHC B
87303TAG2
271154.28000000
PA
USD
264360.97000000
0.094778842024
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
5.55999840
N
N
N
N
N
N
GE HEALTHCARE TECHNOLOGIES INC.
549300OI9J7XOWZMUN85
GE HEALTHCARE TECHNOLOGIES INC 144A 5.550000% 11/15/2024
36267VAA1
375000.00000000
PA
USD
378204.62000000
0.135594130752
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.55000000
N
N
N
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
1445000.00000000
PA
USD
1358629.94000000
0.487096761876
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-1 AOMT 2020-1 A1
03464RAA1
30530.91000000
PA
USD
28956.40000000
0.010381464636
Long
ABS-MBS
US
N
2
2059-12-25
Floating
2.46600000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-2 IMM 2005-2 1A1
45254NMY0
15542.00000000
PA
USD
14194.39000000
0.005088980598
Long
ABS-MBS
US
N
2
2035-04-25
Floating
5.02585920
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST
N/A
HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A
43285HAA6
88422.53000000
PA
USD
83979.87000000
0.030108509709
Long
ABS-MBS
US
N
2
2039-02-25
Fixed
2.74000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2 EFMT 2019-2 A1
31573TAA6
23217.04000000
PA
USD
21879.29000000
0.007844175221
Long
ABS-MBS
US
N
2
2059-11-25
Floating
2.73899880
N
N
N
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE VARIABLE RATE 12/14/2023
13607GRT3
575000.00000000
PA
USD
575002.18000000
0.206150101439
Long
DBT
NUSS
CA
N
2
2023-12-14
Floating
4.72443120
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-1 AOMT 2019-1 A1
03464MAA2
2802.41000000
PA
USD
2787.14000000
0.000999246983
Long
ABS-MBS
US
N
2
2048-11-25
Floating
3.92000040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ4793
3138YWKF3
107444.14000000
PA
USD
104760.87000000
0.037558925389
Long
DBT
USGA
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM5 TRUST GCAT 2021-NQM5 A1
36168KAA5
691219.95000000
PA
USD
559669.66000000
0.200653077840
Long
ABS-MBS
US
Y
2
2066-07-25
Floating
1.26200160
N
N
N
N
N
N
BANQUE NATIONALE DU CANADA
BSGEFEIOM18Y80CKCV46
NATIONAL BANK OF CANADA 0.750000% 08/06/2024
63307A2P9
325000.00000000
PA
USD
306099.49000000
0.109742959433
Long
DBT
CORP
CA
N
2
2024-08-06
Fixed
0.75000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2021-NQM2 TRUST MFRA 2021-NQM2 A1
55283WAA9
185169.24000000
PA
USD
154144.06000000
0.055263814139
Long
ABS-MBS
US
Y
2
2064-11-25
Floating
1.02899880
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1
89173HAA4
101244.33000000
PA
USD
100027.70000000
0.035861986648
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.75000040
N
N
N
N
N
N
Avid Automobile Receivables Trust
N/A
AVID AUTOMOBILE RECEIVABLES TRUST 2021-1 AVID 2021-1 A
05369LAA5
9468.91000000
PA
USD
9451.87000000
0.003388689690
Long
ABS-MBS
US
N
2
2025-01-15
Fixed
0.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.125000% 01/27/2025
3134GYFG2
350000.00000000
PA
USD
350134.31000000
0.125530347596
Long
DBT
USGA
US
N
2
2025-01-27
Fixed
5.12500000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 08/23/2024
74256LER6
665000.00000000
PA
USD
657737.52000000
0.235812421561
Long
DBT
CORP
US
N
2
2024-08-23
Floating
4.19806800
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2020-Z2 AFFRM 2020-Z2 A
00834AAA7
67635.01000000
PA
USD
66349.48000000
0.023787652478
Long
ABS-MBS
US
Y
2
2025-01-15
Fixed
1.90000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2020-1 DTAOT 2020-1A C
23344EAE6
229618.94000000
PA
USD
228796.72000000
0.082028327331
Long
ABS-MBS
US
N
2
2025-11-17
Fixed
2.29000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM3 TRUST GCAT 2021-NQM3 A1
36167HAA3
229924.70000000
PA
USD
190257.77000000
0.068211321538
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.09100160
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-UBS5 MORTGAGE TRUST COMM 2014-UBS5 A2
12592KAZ7
3345.50000000
PA
USD
3242.94000000
0.001162660652
Long
ABS-MBS
US
N
2
2047-09-10
Fixed
3.03100000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 3.250000% 02/16/2024
694308KA4
350000.00000000
PA
USD
343540.09000000
0.123166184173
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
3.25000000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2020-3 DTAOT 2020-3A B
26253AAB2
80900.76000000
PA
USD
80744.54000000
0.028948577397
Long
ABS-MBS
US
Y
2
2024-12-16
Fixed
0.91000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY VARIABLE RATE 02/02/2024
22550UAB7
2280000.00000000
PA
USD
2229206.16000000
0.799216232561
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
4.18339080
N
N
N
N
N
N
KKR FINANCIAL CLO, LTD.
N/A
KKR CLO 21 LTD KKR 21 A
48252KAA7
465000.00000000
PA
USD
461070.75000000
0.165303341777
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
5.79242880
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 2.875000% 04/16/2024
80414L2C8
1230000.00000000
PA
USD
1197528.00000000
0.429338404729
Long
DBT
NUSS
SA
N
2
2024-04-16
Fixed
2.87500000
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-1 LTD CGMS 2015-1A AR3
14311DBN5
415244.98000000
PA
USD
410938.89000000
0.147330039442
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
5.78770920
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD NEUB 2017-26A AR
64131QAJ9
600000.00000000
PA
USD
593456.40000000
0.212766318660
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-18
Floating
5.71470840
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2021-B SRT 2021-B A2
80286DAB4
11432.26000000
PA
USD
11404.21000000
0.004088643713
Long
ABS-MBS
US
N
2
2024-01-22
Fixed
0.31000000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST
N/A
NISSAN AUTO LEASE TRUST 2023-A NALT 2023-A A2A
65480VAB9
520000.00000000
PA
USD
519548.12000000
0.186268681000
Long
ABS-MBS
US
N
2
2025-03-17
Fixed
5.10000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2021-2 DEFT 2021-2 A3
24702VAE2
725000.00000000
PA
USD
699376.40000000
0.250740815982
Long
ABS-MBS
US
N
2
2026-12-22
Fixed
0.53000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP MTN 5.080000% 10/25/2024
3134GX4M3
1350000.00000000
PA
USD
1345464.90000000
0.482376824412
Long
DBT
USGA
US
N
2
2024-10-25
Fixed
5.08000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM NRZT 2020-NQM2 A1
64830UAA3
64759.92000000
PA
USD
59529.49000000
0.021342545870
Long
ABS-MBS
US
N
2
2060-05-24
Floating
1.65017160
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K33 MORTGAGE TRUST FREMF 2013-K33 B
30265AAN4
1100000.00000000
PA
USD
1087426.78000000
0.389864854086
Long
ABS-MBS
US
N
2
2046-08-25
Floating
3.49447320
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2002-64 FG
31392EP61
352.61000000
PA
USD
354.95000000
0.000127256871
Long
DBT
USGA
US
N
2
2032-10-18
Floating
4.70442960
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R2 VERUS 2021-R2 A1
92538DAA7
212931.45000000
PA
USD
189008.20000000
0.067763325006
Long
ABS-MBS
US
Y
2
2064-02-25
Floating
0.91800000
N
N
N
N
N
N
GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C.
N/A
GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIE GALC 2021-2 A2
39154TBP2
207256.04000000
PA
USD
204116.79000000
0.073180065098
Long
ABS-MBS
US
Y
2
2024-03-15
Fixed
0.38000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A A2A
96042RAB4
60666.52000000
PA
USD
60114.18000000
0.021552169254
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.32000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2013-2 LTD INGIM 2013-2A A1R
92916WAA7
475000.00000000
PA
USD
470281.35000000
0.168605531213
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
5.89107960
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.875000% 01/15/2024
29278NAM5
1370000.00000000
PA
USD
1376002.23000000
0.493325084951
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM3 IMPRL 2021-NQM3 A1
452762AA5
226659.17000000
PA
USD
191461.95000000
0.068643044821
Long
ABS-MBS
US
Y
2
2056-11-25
Floating
1.59500160
N
N
N
N
N
N
SANTANDER CONSUMER AUTO RECEIVABLES TRUST
N/A
SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B SCART 2020-BA B
802830AN9
175000.00000000
PA
USD
170698.55000000
0.061198939103
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
0.77000000
N
N
N
N
N
N
LENDBUZZ SECURITIZATION TRUST
N/A
LENDBUZZ SECURITIZATION TRUST 2021-1 LBZZ 2021-1A A
52607BAA1
374603.63000000
PA
USD
358310.06000000
0.128461522034
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
1.46000000
N
N
N
N
N
N
SG RESIDENTIAL MORTGAGE TRUST
N/A
SG RESIDENTIAL MORTGAGE TRUST 2021-1 SGR 2021-1 A1
784212AA0
445107.55000000
PA
USD
364466.84000000
0.130668854224
Long
ABS-MBS
US
Y
2
2061-07-25
Floating
1.15999920
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2021-A MMAF 2021-A A3
55317JAC4
110000.00000000
PA
USD
103725.16000000
0.037187602064
Long
ABS-MBS
US
Y
2
2028-06-13
Fixed
0.56000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 493805
31382VR22
2663.55000000
PA
USD
2600.38000000
0.000932289684
Long
DBT
USGA
US
N
2
2029-01-01
Floating
2.46499920
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A
5493001DTG5N7T8BG747
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2019-2 B
34528QGX6
400000.00000000
PA
USD
388360.68000000
0.139235287033
Long
ABS-MBS
US
N
2
2026-04-15
Fixed
3.25000000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A3
35105UAC7
129087.86000000
PA
USD
126167.29000000
0.045233566996
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
0.81000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC VARIABLE RATE 01/25/2026
17327CAP8
350000.00000000
PA
USD
345935.45000000
0.124024969973
Long
DBT
CORP
US
N
2
2026-01-25
Floating
5.01630480
N
N
N
N
N
N
ATMOS ENERGY CORPORATION
QVLWEGTD2S8GJMO8D383
ATMOS ENERGY CORP 0.625000% 03/09/2023
049560AU9
425000.00000000
PA
USD
423243.39000000
0.151741455627
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.62500000
N
N
N
N
N
N
DUKE ENERGY CORPORATION
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP VARIABLE RATE 06/10/2023
26441CBK0
500000.00000000
PA
USD
499471.11000000
0.179070660206
Long
DBT
CORP
US
N
2
2023-06-10
Floating
4.55199840
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP INC VARIABLE RATE 05/25/2024
60687YBC2
775000.00000000
PA
USD
773900.40000000
0.277459201918
Long
DBT
NUSS
JP
N
2
2024-05-25
Floating
5.38728840
N
N
N
N
N
N
CAPITAL ONE MULTI-ASSET EXECUTION TRUST
N/A
CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET 2021-A3 A3
14041NFY2
425000.00000000
PA
USD
399126.43000000
0.143095029712
Long
ABS-MBS
US
N
2
2026-11-15
Fixed
1.04000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-56 LB
38379LUL8
124366.76000000
PA
USD
121438.48000000
0.043538191404
Long
DBT
USGA
US
N
2
2040-04-16
Fixed
1.50000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.
N/A
23.00000000
NC
USD
4729914.06000000
1.695771419980
N/A
DIR
US
N
1
RBC CAPITAL
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2023
2023-04-03
4711627.58000000
USD
18286.48000000
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-3 AOMT 2020-3 A1
03465LAA3
180917.42000000
PA
USD
166905.13000000
0.059838920054
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.69099920
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE VARIABLE RATE 07/31/2024
0641596F8
650000.00000000
PA
USD
647520.56000000
0.232149431378
Long
DBT
NUSS
CA
N
2
2024-07-31
Floating
4.55899680
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2014-M8 A2
3136AKQM8
399781.46000000
PA
USD
389041.09000000
0.139479228005
Long
DBT
USGA
US
N
2
2024-06-25
Floating
3.05600040
N
N
N
N
N
N
VERIZON OWNER TRUST
N/A
VERIZON OWNER TRUST 2020-B VZOT 2020-B B
92290BAC5
220000.00000000
PA
USD
212892.11000000
0.076326197706
Long
ABS-MBS
US
N
2
2025-02-20
Fixed
0.68000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 0.550000% 01/22/2024
63859UBG7
400000.00000000
PA
USD
382458.27000000
0.137119151716
Long
DBT
NUSS
GB
N
2
2024-01-22
Fixed
0.55000000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-2 A2
34660DAB7
530000.00000000
PA
USD
525992.62000000
0.188579166725
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
4.49000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST
N/A
FORD CREDIT AUTO LEASE TRUST 2023-A FORDL 2023-A A2A
345287AB2
280000.00000000
PA
USD
279823.94000000
0.100322634631
Long
ABS-MBS
US
N
2
2025-06-15
Fixed
5.19000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-2 SDART 2020-2 C
80285RAF5
15569.98000000
PA
USD
15529.32000000
0.005567580445
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
1.46000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.300000% 01/27/2026
3134GYEA6
1475000.00000000
PA
USD
1476038.87000000
0.529190276773
Long
DBT
USGA
US
N
2
2026-01-27
Fixed
5.30000000
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-III LTD CIFC 2015-3A AR
12550MAJ9
327211.64000000
PA
USD
324283.10000000
0.116262157406
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
5.66757000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-J TRUST BOAMS 2005-J 2A1
05949CKQ8
4200.65000000
PA
USD
3678.87000000
0.001318950518
Long
ABS-MBS
US
N
2
2035-11-25
Floating
3.85241400
N
N
N
N
N
N
GMACM MORTGAGE LOAN TRUST
N/A
GMACM MORTGAGE LOAN TRUST 2005-AR6 GMACM 2005-AR6 2A1
36185MBJ0
63526.62000000
PA
USD
55433.67000000
0.019874110205
Long
ABS-MBS
US
N
2
2035-11-19
Floating
3.34842840
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2 EART 2022-2A A2
30166QAB5
94222.99000000
PA
USD
94062.50000000
0.033723339825
Long
ABS-MBS
US
N
2
2025-11-17
Fixed
2.19000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A
00834CAA3
247010.76000000
PA
USD
240501.95000000
0.086224892902
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
1.07000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-2 DTAOT 2021-2A A
23345EAA3
6704.53000000
PA
USD
6692.24000000
0.002399305607
Long
ABS-MBS
US
Y
2
2025-03-17
Fixed
0.41000000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-1 A2
35105JAB4
68814.61000000
PA
USD
67748.31000000
0.024289161788
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
1.15000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2021-NQM1 TRUST MFRA 2021-NQM1 A1
55283FAA6
157568.37000000
PA
USD
140797.14000000
0.050478668956
Long
ABS-MBS
US
Y
2
2065-04-25
Floating
1.15300080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 555561
31385XFA0
3076.45000000
PA
USD
3033.19000000
0.001087460966
Long
DBT
USGA
US
N
2
2024-09-01
Floating
3.42399960
N
N
N
N
N
N
MANUFACTURERS AND TRADERS TRUST COMPANY.
WWB2V0FCW3A0EE3ZJN75
MANUFACTURERS & TRADERS TRUST CO 4.650000% 01/27/2026
55279HAV2
460000.00000000
PA
USD
459093.08000000
0.164594306429
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
4.65000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2020-NQM2 TRUST GCAT 2020-NQM2 A1
36166RAA2
64610.64000000
PA
USD
58453.53000000
0.020956792092
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.55499840
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST 2005-AR4 GSR 2005-AR4 2A1
362341FH7
71931.57000000
PA
USD
40624.31000000
0.014564650219
Long
ABS-MBS
US
N
2
2035-07-25
Floating
3.50731080
N
N
N
N
N
N
TRK TRUST
N/A
TRK 2021-INV1 TRUST TRK 2021-INV1 A1
89688WAA9
206758.11000000
PA
USD
179639.24000000
0.064404360255
Long
ABS-MBS
US
Y
2
2056-07-25
Floating
1.15300080
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2014-5 JPMMT 2014-5 A1
46643KAA9
109139.33000000
PA
USD
102217.47000000
0.036647064206
Long
ABS-MBS
US
N
2
2029-10-25
Floating
2.78510760
N
N
N
N
N
N
HARLEY DAVIDSON MOTORCYCLE TRUST
N/A
HARLEY-DAVIDSON MOTORCYCLE TRUST 2022-A HDMOT 2022-A A2A
41284YAB2
173971.16000000
PA
USD
172489.55000000
0.061841049419
Long
ABS-MBS
US
N
2
2025-05-15
Fixed
2.45000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM3 TRUST MFRA 2020-NQM3 A1
552757AA4
73232.99000000
PA
USD
67702.91000000
0.024272884955
Long
ABS-MBS
US
Y
2
2065-01-26
Floating
1.01400120
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VIII LTD OZLM 2014-8A A1R3
67107FBL0
304200.90000000
PA
USD
301560.44000000
0.108115616702
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-17
Floating
5.77243080
N
N
N
N
N
N
STRYKER CORPORATION
5493002F0SC4JTBU5137
STRYKER CORP 0.600000% 12/01/2023
863667BB6
230000.00000000
PA
USD
221743.98000000
0.079499775062
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.60000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024
37045XDN3
2895000.00000000
PA
USD
2846843.93000000
1.020652069445
Long
DBT
CORP
US
N
2
2024-10-15
Floating
4.95237960
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC
N/A
VOLVO FINANCIAL EQUIPMENT LLC SERIES 2020-1 VFET 2020-1A A3
92888EAC7
182924.01000000
PA
USD
179858.99000000
0.064483145148
Long
ABS-MBS
US
Y
2
2024-10-15
Fixed
0.51000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 928005
31412LAE0
4057.18000000
PA
USD
4167.85000000
0.001494259900
Long
DBT
USGA
US
N
2
2027-01-01
Fixed
6.00000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SDART 2022-5 A2
80287HAB4
228719.90000000
PA
USD
227859.84000000
0.081692436592
Long
ABS-MBS
US
N
2
2025-01-15
Fixed
3.98000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1
64831TAA5
364703.34000000
PA
USD
306756.90000000
0.109978654432
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.15611840
N
N
N
N
N
N
HOWARD UNIVERSITY (THE)
N/A
HOWARD UNIVERSITY 2.801000% 10/01/2023
442851AE1
380000.00000000
PA
USD
374094.34000000
0.134120510880
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.80100000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2022-2 MFT 2022-2A A
57107LAA3
92248.64000000
PA
USD
91127.56000000
0.032671103504
Long
ABS-MBS
US
Y
2
2032-08-15
Fixed
4.25000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-6 TPMT 2017-6 A1
89175JAA8
60717.06000000
PA
USD
58003.55000000
0.020795465012
Long
ABS-MBS
US
N
2
2057-10-25
Floating
2.75000040
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC VARIABLE RATE 03/20/2026
92343VGE8
500000.00000000
PA
USD
498214.32000000
0.178620075156
Long
DBT
CORP
US
N
2
2026-03-20
Floating
5.11332120
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 B
33844WAC4
285000.00000000
PA
USD
272604.27000000
0.097734234526
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
0.93000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C03 2M2
30711XCT9
248659.23000000
PA
USD
259499.18000000
0.093035790369
Long
DBT
USGA
US
N
2
2028-10-25
Floating
10.40586120
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING
635400B4JJBON4TCHF02
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 144A VARIABLE RATE 04/06/2023
29449WAH0
575000.00000000
PA
USD
575058.65000000
0.206170347095
Long
DBT
CORP
US
N
2
2023-04-06
Floating
4.72278240
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2005-A6 JPMMT 2005-A6 7A1
466247UG6
15095.86000000
PA
USD
12455.33000000
0.004465491840
Long
ABS-MBS
US
N
2
2035-08-25
Floating
3.95929440
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B
30227FAE0
244048.05000000
PA
USD
238548.82000000
0.085524655648
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
5.83899840
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1
92536PAA2
25944.42000000
PA
USD
24627.73000000
0.008829547459
Long
ABS-MBS
US
N
2
2060-01-25
Floating
2.41700040
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2020-B17 MORTGAGE TRUST BMARK 2020-B17 A2
08162MAV0
320000.00000000
PA
USD
299298.14000000
0.107304535648
Long
ABS-MBS
US
N
2
2053-03-15
Fixed
2.21080000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 05/15/2023
912828ZP8
13050000.00000000
PA
USD
12881777.41000000
4.618382002998
Long
SN
UST
US
N
2
2023-05-15
Fixed
0.12500000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2023-1 UACST 2023-1 A
90945CAA0
327000.00000000
PA
USD
327063.11000000
0.117258848138
Long
ABS-MBS
US
Y
2
2025-07-10
Fixed
5.57000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-2 WLAKE 2019-2A E
96041LAG7
560000.00000000
PA
USD
557636.63000000
0.199924194793
Long
ABS-MBS
US
N
2
2025-04-15
Fixed
4.02000000
N
N
N
N
N
N
AMERISOURCEBERGEN CORPORATION
AI8GXW8LG5WK7E9UD086
AMERISOURCEBERGEN CORP 0.737000% 03/15/2023
03073EAS4
200000.00000000
PA
USD
199024.96000000
0.071354539374
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.73700000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2018-3 AOMT 2018-3 A1
03464NAA0
1106.51000000
PA
USD
1102.17000000
0.000395150601
Long
ABS-MBS
US
N
2
2048-09-25
Floating
3.64899960
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3 SDART 2021-3 B
80287EAD7
150508.30000000
PA
USD
149522.59000000
0.053606922144
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
0.60000000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN VARIABLE RATE 10/26/2023
78015K7K4
400000.00000000
PA
USD
400191.47000000
0.143476868445
Long
DBT
NUSS
CA
N
2
2023-10-26
Floating
4.77280440
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO VARIABLE RATE 04/01/2024
842400HC0
960000.00000000
PA
USD
958693.80000000
0.343711434484
Long
DBT
CORP
US
N
2
2024-04-01
Floating
5.16236400
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1
89173UAA5
150992.57000000
PA
USD
144036.75000000
0.051640135735
Long
ABS-MBS
US
N
2
2057-06-25
Floating
2.75000040
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE COMPANY
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE CO 4.450000% 10/02/2023
42824CBG3
250000.00000000
PA
USD
249032.92000000
0.089283421012
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
LOS ANGELES CALIF CMNTY COLLEGE DIST
N/A
LOS ANGELES CA CMNTY CLG DIST LOS ANGELES COMMUNITY COLLEGE DISTRICT/CA
54438CYY2
1190000.00000000
PA
USD
1190000.00000000
0.426639461981
Long
DBT
MUN
US
N
2
2023-02-01
Fixed
3.80000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2018-RP2 CMLTI 2018-RP2 A1
17326UAA2
111128.12000000
PA
USD
106978.83000000
0.038354109642
Long
ABS-MBS
US
N
2
2058-02-25
Floating
2.59137720
N
N
N
N
N
N
SIERRA TIMESHARE RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE 2018-2 RECEIVABLES FUNDING LLC SRFC 2018-2A A
82653DAA7
130693.41000000
PA
USD
128289.92000000
0.045994573484
Long
ABS-MBS
US
N
2
2035-06-20
Fixed
3.50000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-B AFFRM 2021-B A
00834DAA1
355000.00000000
PA
USD
339622.93000000
0.121761801791
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
1.03000000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
434380.11000000
PA
USD
433629.33000000
0.155465028613
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 374614
31377EDT3
989.21000000
PA
USD
976.74000000
0.000350181368
Long
DBT
USGA
US
N
2
2024-09-01
Floating
3.10799880
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2014-C19 ASB
61764PBS0
70647.97000000
PA
USD
69333.49000000
0.024857481404
Long
ABS-MBS
US
N
2
2047-12-15
Fixed
3.32600000
N
N
N
N
N
N
HSBC BANK CANADA
DMB80L5QKUQ124HSYW98
HSBC BANK CANADA 144A 0.950000% 05/14/2023
40427HTL7
2775000.00000000
PA
USD
2744415.73000000
0.983929454202
Long
DBT
NUSS
CA
N
2
2023-05-14
Fixed
0.95000000
N
N
N
N
N
N
BFLD TRUST
N/A
BFLD TRUST 2020-OBRK BFLD 2020-OBRK A
05553JAA6
325000.00000000
PA
USD
322219.43000000
0.115522289290
Long
ABS-MBS
US
Y
2
2028-11-15
Floating
6.64247880
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3 CGCMT 2016-P3 AAB
29429CAE5
470163.91000000
PA
USD
454705.58000000
0.163021297488
Long
ABS-MBS
US
N
2
2049-04-15
Fixed
3.12700000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1
19688EAA6
194582.58000000
PA
USD
158579.43000000
0.056853985459
Long
ABS-MBS
US
Y
2
2066-06-25
Floating
0.91000080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.000000% 12/30/2024
3134GXA61
950000.00000000
PA
USD
936982.32000000
0.335927422597
Long
DBT
USGA
US
N
2
2024-12-30
Fixed
4.00000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A B
96042RAD0
220000.00000000
PA
USD
213177.89000000
0.076428655710
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
0.62000000
N
N
N
N
N
N
Keybank National Association
HUX2X73FUCYHUVH1BK78
KEYBANK NA/CLEVELAND OH VARIABLE RATE 01/03/2024
49327M3B8
575000.00000000
PA
USD
573965.59000000
0.205778462616
Long
DBT
CORP
US
N
2
2024-01-03
Floating
4.67236440
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1
85573MAA7
37069.59000000
PA
USD
34840.01000000
0.012490859766
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.48600080
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY3 TPMT 2019-HY3 A1A
89177XAA5
362393.94000000
PA
USD
358795.08000000
0.128635411674
Long
ABS-MBS
US
N
2
2059-10-25
Floating
4.58556840
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-B BHG 2022-B A
05553DAA9
447330.55000000
PA
USD
440359.66000000
0.157877990269
Long
ABS-MBS
US
Y
2
2035-06-18
Fixed
3.75000000
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE 1.950000% 02/01/2024
097023CZ6
425000.00000000
PA
USD
412145.76000000
0.147762727146
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
1.95000000
N
N
N
N
N
N
CHASE MORTGAGE REFERENCE NOTES
N/A
CHASE MORTGAGE FINANCE CORP CHASE 2021-CL1 M1
46591HBX7
260631.19000000
PA
USD
238813.75000000
0.085619638498
Long
ABS-MBS
US
N
2
2050-02-25
Floating
5.51010960
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A2
00217FAB1
73484.35000000
PA
USD
72383.57000000
0.025950997782
Long
ABS-MBS
US
Y
2
2030-03-15
Fixed
0.37000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-97 KA
3136AGCX8
17924.20000000
PA
USD
17579.84000000
0.006302734016
Long
DBT
USGA
US
N
2
2031-11-25
Fixed
3.00000000
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD.
N/A
PALMER SQUARE LOAN FUNDING 2021-4 LTD PSTAT 2021-4A A1
69702HAA6
686482.21000000
PA
USD
680279.16000000
0.243894062873
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-15
Floating
5.59243080
N
N
N
N
N
N
BANQUE FEDERATIVE DU CREDIT MUTUEL SA
VBHFXSYT7OG62HNT8T76
BANQUE FEDERATIVE DU CREDIT MUTUEL SA 144A 4.935000% 01/26/2026
06675FAZ0
350000.00000000
PA
USD
349731.88000000
0.125386068168
Long
DBT
NUSS
FR
N
2
2026-01-26
Fixed
4.93500000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2020-1 RMLT 2020-1 A1
76119CAA9
38465.27000000
PA
USD
36825.92000000
0.013202849324
Long
ABS-MBS
US
N
2
2060-01-26
Floating
2.37600000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
CONOCOPHILLIPS CO 2.125000% 03/08/2024
20826FAT3
450000.00000000
PA
USD
437400.12000000
0.156816934342
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
2.12500000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2
29374EAB2
71230.93000000
PA
USD
69176.47000000
0.024801186506
Long
ABS-MBS
US
Y
2
2026-12-21
Fixed
0.44000000
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO LTD
N/A
BENEFIT STREET PARTNERS CLO XII LTD BSP 2017-12A A1R
08179HAE0
593073.58000000
PA
USD
586459.62000000
0.210257829202
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
5.74242840
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.486000% 05/19/2024
06051GJC4
300000.00000000
PA
USD
296702.35000000
0.106373891573
Long
DBT
CORP
US
N
2
2024-05-19
Fixed
1.48600000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C21 ASB
61764XBG9
134169.49000000
PA
USD
130700.67000000
0.046858876915
Long
ABS-MBS
US
N
2
2048-03-15
Fixed
3.15000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC VARIABLE RATE 11/03/2023
65339KBX7
705000.00000000
PA
USD
704013.00000000
0.252403132393
Long
DBT
CORP
US
N
2
2023-11-03
Floating
4.20161760
N
N
N
N
N
N
UBS AG LONDON BRANCH
N/A
UBS AG/LONDON 144A 0.700000% 08/09/2024
902674YK0
400000.00000000
PA
USD
375255.38000000
0.134536767587
Long
DBT
NUSS
CH
N
2
2024-08-09
Fixed
0.70000000
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2022-1 FIAOT 2022-1A A
32057KAA8
1584405.86000000
PA
USD
1539987.20000000
0.552117067618
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
2.03000000
N
N
N
N
N
N
BARINGS CLO LTD
N/A
BARINGS CLO LTD 2018-III BABSN 2018-3A A1
06760PAC5
184794.67000000
PA
USD
183585.19000000
0.065819064444
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
5.75771040
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2021-LGCY BX 2021-LGCY A
12434DAA0
600000.00000000
PA
USD
580683.18000000
0.208186856720
Long
ABS-MBS
US
Y
2
2036-10-15
Floating
4.96500120
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K32 MORTGAGE TRUST FREMF 2013-K32 B
30291NAE4
655000.00000000
PA
USD
648837.43000000
0.232621556343
Long
ABS-MBS
US
N
2
2046-10-25
Floating
3.52780920
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021-3R A1
19688DAA8
140770.87000000
PA
USD
122487.68000000
0.043914351171
Long
ABS-MBS
US
Y
2
2064-12-25
Floating
1.05099840
N
N
N
N
N
N
AMERICAN ELECTRIC POWER COMPANY, INC.
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER CO INC VARIABLE RATE 11/01/2023
025537AS0
1060000.00000000
PA
USD
1055884.14000000
0.378556169247
Long
DBT
CORP
US
N
2
2023-11-01
Floating
4.91956920
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2 WFCM 2015-NXS2 A2
94989MAB5
176294.67000000
PA
USD
171307.35000000
0.061417206418
Long
ABS-MBS
US
N
2
2058-07-15
Fixed
3.02000000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO 144A 1.250000% 11/24/2023
80414L2G9
200000.00000000
PA
USD
193494.00000000
0.069371576518
Long
DBT
NUSS
SA
N
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL FUNDING
635400EVYITCJYWL2I50
PROTECTIVE LIFE GLOBAL FUNDING 144A 1.082000% 06/09/2023
74368CAR5
255000.00000000
PA
USD
251534.60000000
0.090180324717
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
1.08200000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM1 TRUST MFRA 2020-NQM1 A1
552754AA1
58803.29000000
PA
USD
54383.06000000
0.019497444923
Long
ABS-MBS
US
N
2
2065-03-25
Floating
1.47899880
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM4 CSMC 2021-NQM4 A1
12659PAA1
381980.75000000
PA
USD
314103.00000000
0.112612382291
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.10099880
N
N
N
N
N
N
BPR TRUST
N/A
BPR TRUST 2021-TY BPR 2021-TY A
05592AAA8
960000.00000000
PA
USD
917644.61000000
0.328994456050
Long
ABS-MBS
US
Y
2
2038-09-15
Floating
5.50900080
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 5.671000% 10/28/2025
693475BH7
425000.00000000
PA
USD
430672.40000000
0.154404908425
Long
DBT
CORP
US
N
2
2025-10-28
Fixed
5.67100000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT CGCMT 2019-SMRT A
29429MAA1
275000.00000000
PA
USD
269605.41000000
0.096659081571
Long
ABS-MBS
US
N
2
2036-01-10
Fixed
4.14900000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 0.613000% 03/15/2024
125523CN8
190000.00000000
PA
USD
181126.04000000
0.064937408618
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.61300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP VARIABLE RATE 04/22/2025
06051GJU4
650000.00000000
PA
USD
646490.00000000
0.231779954433
Long
DBT
CORP
US
N
2
2025-04-22
Floating
5.01306480
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 2.940000% 11/24/2023
3134GXTV6
535000.00000000
PA
USD
526438.98000000
0.188739195960
Long
DBT
USGA
US
N
2
2023-11-24
Fixed
2.94000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 06/15/2025
91282CEU1
2000000.00000000
PA
USD
1948125.00000000
0.698442858716
Long
SN
UST
US
N
2
2025-06-15
Fixed
2.87500000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL VARIABLE RATE 12/08/2023
06368EA44
600000.00000000
PA
USD
598905.29000000
0.214719857734
Long
DBT
CORP
CA
N
2
2023-12-08
Floating
4.16767680
N
N
N
N
N
N
J.P. MORGAN WEALTH MANAGEMENT MORTGAGE TRUST
N/A
JPMORGAN CHASE BANK NA - JPMWM JPMWM 2021-CL1 M1
46591HBK5
409144.15000000
PA
USD
358191.79000000
0.128419119808
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
5.61011040
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A1
92537QAA9
121477.46000000
PA
USD
103315.72000000
0.037040809407
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.81500040
N
N
N
N
N
N
ARROYO MORTGAGE TRUST
N/A
ARROYO MORTGAGE TRUST 2019-3 ARRW 2019-3 A1
04285AAA3
99187.12000000
PA
USD
91660.42000000
0.032862144767
Long
ABS-MBS
US
N
2
2048-10-25
Floating
2.96200080
N
N
N
N
N
N
JACKSON FINANCIAL INC.
213800WXW2KG1N4CO374
JACKSON FINANCIAL INC 1.125000% 11/22/2023
46817MAJ6
425000.00000000
PA
USD
411337.89000000
0.147473089144
Long
DBT
CORP
US
N
2
2023-11-22
Fixed
1.12500000
N
N
N
N
N
N
WEC ENERGY GROUP, INC.
549300IGLYTZUK3PVP70
WEC ENERGY GROUP INC 4.750000% 01/09/2026
92939UAK2
275000.00000000
PA
USD
275661.88000000
0.098830450564
Long
DBT
CORP
US
N
2
2026-01-09
Fixed
4.75000000
N
N
N
N
N
N
CONAGRA BRANDS, INC.
54930035UDEIH090K650
CONAGRA BRANDS INC 0.500000% 08/11/2023
205887CG5
325000.00000000
PA
USD
317322.96000000
0.113766804141
Long
DBT
CORP
US
N
2
2023-08-11
Fixed
0.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-H6 MSC 2019-H6 A2
61769JAX9
800000.00000000
PA
USD
778531.44000000
0.279119524955
Long
ABS-MBS
US
N
2
2052-06-15
Fixed
3.22800000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2022-1 MFT 2022-1A A
57109KAA3
285643.33000000
PA
USD
281676.66000000
0.100986872836
Long
ABS-MBS
US
Y
2
2032-04-15
Fixed
1.36000000
N
N
N
N
N
N
SANTANDER BANK, N.A.
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2022-B B
80290CAX2
919663.95000000
PA
USD
916459.20000000
0.328569462198
Long
ABS-MBS
US
Y
2
2032-08-16
Fixed
5.72100000
N
N
N
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE VIII LTD MAGNE 2014-8A AR2
55952YAP2
675672.42000000
PA
USD
668254.89000000
0.239583114904
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
5.77243080
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2021-2 UPST 2021-2 A
91680FAA0
89358.28000000
PA
USD
88298.04000000
0.031656662419
Long
ABS-MBS
US
Y
2
2031-06-20
Fixed
0.91000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022- ACAR 2022-1 A
02530WAA2
134940.76000000
PA
USD
134117.62000000
0.048083923730
Long
ABS-MBS
US
Y
2
2025-12-15
Fixed
0.99000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-1 SDART 2021-1 C
80286NAF3
631587.37000000
PA
USD
622270.76000000
0.223096859036
Long
ABS-MBS
US
N
2
2026-02-17
Fixed
0.75000000
N
N
N
N
N
N
DISTRICT COLUMBIA WTR & SWR AUTH PUB UTIL REV
N/A
DIST OF COLUMBIA WTR & SWR AUT DISTRICT OF COLUMBIA WATER & SEWER AUTHORITY
254845SV3
320000.00000000
PA
USD
314062.18000000
0.112597747482
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
1.67200000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-5 IMM 2005-5 A1
45254NPU5
11790.82000000
PA
USD
10733.38000000
0.003848137368
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.14586160
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1
89173FAA8
108951.74000000
PA
USD
107327.60000000
0.038479150856
Long
ABS-MBS
US
N
2
2056-10-25
Floating
2.75000040
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-1 DTAOT 2021-1A B
23344GAC5
249054.31000000
PA
USD
247605.88000000
0.088771797837
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.62000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2018-CH3 SEMT 2018-CH3 A1
81746WAA6
7009.77000000
PA
USD
6826.39000000
0.002447401140
Long
ABS-MBS
US
N
2
2048-08-25
Floating
4.50000000
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-C BHG 2022-C A
08860DAA1
131257.28000000
PA
USD
130334.20000000
0.046727489887
Long
ABS-MBS
US
Y
2
2035-10-17
Fixed
5.32000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC VARIABLE RATE 03/25/2024
00206RMH2
650000.00000000
PA
USD
650031.85000000
0.233049780466
Long
DBT
CORP
US
N
2
2024-03-25
Floating
4.96289880
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K28 MORTGAGE TRUST FREMF 2013-K28 B
30291HAE7
125813.75000000
PA
USD
125337.39000000
0.044936030786
Long
ABS-MBS
US
N
2
2046-06-25
Floating
3.48887880
N
N
N
N
N
N
TRICOLOR AUTO SECURITIZATION TRUST
N/A
TRICOLOR AUTO SECURITIZATION TRUST 2022-1 TAST 2022-1A A
89616BAA2
127921.10000000
PA
USD
126635.06000000
0.045401272156
Long
ABS-MBS
US
Y
2
2025-02-18
Fixed
3.30000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A NAVSL 2021-A A
63942BAA2
534004.48000000
PA
USD
471924.70000000
0.169194705969
Long
ABS-MBS
US
Y
2
2069-05-15
Fixed
0.84000000
N
N
N
N
N
N
VIBRANT CLO LTD
N/A
VIBRANT CLO VI LTD VIBR 2017-6A AR
92558EAJ1
230916.57000000
PA
USD
228739.95000000
0.082007974119
Long
ABS-CBDO
CORP
KY
Y
2
2029-06-20
Floating
5.69585880
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-A BHG 2022-A A
054977AA1
460269.79000000
PA
USD
432255.61000000
0.154972521755
Long
ABS-MBS
US
Y
2
2035-02-20
Fixed
1.71000000
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST
N/A
AVANT LOANS FUNDING TRUST 2021-REV1 AVNT 2021-REV1 A
05353LAA3
275000.00000000
PA
USD
265093.98000000
0.095041641177
Long
ABS-MBS
US
Y
2
2030-07-15
Fixed
1.21000000
N
N
N
N
N
N
OCP CLO LTD
N/A
OCP CLO 2014-5 LTD OCP 2014-5A A1R
67102SAL8
135000.00000000
PA
USD
133971.17000000
0.048031418394
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
5.90186160
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-6 BSARM 2005-6 3A1
07387ADJ1
30331.74000000
PA
USD
27364.16000000
0.009810613865
Long
ABS-MBS
US
N
2
2035-08-25
Floating
4.22724240
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 4.788000% 07/18/2025
606822CH5
325000.00000000
PA
USD
323314.98000000
0.115915066485
Long
DBT
NUSS
JP
N
2
2025-07-18
Fixed
4.78800000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-1 EART 2021-2A B
30165XAD7
182683.47000000
PA
USD
181681.47000000
0.065136541691
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
0.57000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST
N/A
KUBOTA CREDIT OWNER TRUST 2020-2 KCOT 2020-2A A3
50116YAC5
68669.44000000
PA
USD
67333.53000000
0.024140454632
Long
ABS-MBS
US
N
2
2024-10-15
Fixed
0.59000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 STAR 2021-2 A1
85573HAA8
60071.80000000
PA
USD
55878.73000000
0.020033673364
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.94299840
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 BRAVO 2021-NQM1 A1
10569TAA6
124400.28000000
PA
USD
110229.89000000
0.039519681482
Long
ABS-MBS
US
Y
2
2049-02-25
Floating
0.94100040
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-2 DTAOT 2021-2A B
23345EAC9
220000.00000000
PA
USD
216884.69000000
0.077757619708
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
0.81000000
N
N
N
N
N
N
MORTGAGEIT TRUST
N/A
MORTGAGEIT TRUST 2005-5 MHL 2005-5 A1
61915RAU0
32942.15000000
PA
USD
31088.23000000
0.011145769513
Long
ABS-MBS
US
N
2
2035-12-25
Floating
5.02585920
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 NRZT 2017-3A A1
64828MAA5
97485.87000000
PA
USD
93005.17000000
0.033344265285
Long
ABS-MBS
US
N
2
2057-04-25
Floating
3.99999960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 1993-58 H
31358UC95
36.51000000
PA
USD
36.38000000
0.000013042977
Long
DBT
USGA
US
N
2
2023-04-25
Fixed
5.50000000
N
N
N
N
N
N
MFA LLC
N/A
MFA 2021-INV1 TRUST MFRA 2021-INV1 A1
552747AA5
139957.12000000
PA
USD
124043.39000000
0.044472105186
Long
ABS-MBS
US
Y
2
2056-01-25
Floating
0.85200120
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-1 DRMT 2021-1 A1
24380VAA9
66160.89000000
PA
USD
59642.56000000
0.021383083789
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.71499960
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 06/23/2025
46647PCL8
325000.00000000
PA
USD
322157.30000000
0.115500014407
Long
DBT
CORP
US
N
2
2025-06-23
Floating
4.90264200
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1
89180FCD1
674106.72000000
PA
USD
631644.87000000
0.226457670168
Long
ABS-MBS
US
Y
2
2068-07-25
Floating
2.25000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 09/10/2024
38141GYF5
250000.00000000
PA
USD
249187.00000000
0.089338661859
Long
DBT
CORP
US
N
2
2024-09-10
Floating
4.80197880
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-F TRUST BOAMS 2005-F 2A2
05949CCA2
25087.26000000
PA
USD
22718.66000000
0.008145106621
Long
ABS-MBS
US
N
2
2035-07-25
Floating
3.93325560
N
N
N
N
N
N
SKYWORKS SOLUTIONS, INC.
549300WZ3ORQ2BVKBD96
SKYWORKS SOLUTIONS INC 0.900000% 06/01/2023
83088MAJ1
855000.00000000
PA
USD
841795.76000000
0.301801084155
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.90000000
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2
03237KAB0
195122.51000000
PA
USD
188796.25000000
0.067687336574
Long
ABS-MBS
US
Y
2
2026-11-20
Fixed
0.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 06/01/2025
46647PCG9
400000.00000000
PA
USD
396546.40000000
0.142170035921
Long
DBT
CORP
US
N
2
2025-06-01
Floating
4.36299480
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-4 AOMT 2019-4 A1
03463UAA5
8508.53000000
PA
USD
8450.91000000
0.003029824954
Long
ABS-MBS
US
N
2
2049-07-26
Floating
2.99300040
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A
00834HAA2
294370.83000000
PA
USD
287698.00000000
0.103145647002
Long
ABS-MBS
US
Y
2
2027-02-15
Fixed
1.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC VARIABLE RATE 03/22/2024
92343VGD0
500000.00000000
PA
USD
498922.19000000
0.178873861102
Long
DBT
CORP
US
N
2
2024-03-22
Floating
4.82263920
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 09/10/2024
89114TZF2
500000.00000000
PA
USD
497885.00000000
0.178502007166
Long
DBT
NUSS
CA
N
2
2024-09-10
Floating
4.65198120
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-2 SDART 2021-2 B
80286XAD6
31393.47000000
PA
USD
31335.07000000
0.011234266727
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
0.59000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024
63906YAC2
490000.00000000
PA
USD
485808.05000000
0.174172172334
Long
DBT
NUSS
GB
N
2
2024-08-12
Floating
4.34698200
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A 4.351000% 06/13/2025
83368RBN1
500000.00000000
PA
USD
492102.18000000
0.176428747323
Long
DBT
NUSS
FR
N
2
2025-06-13
Fixed
4.35100000
N
N
N
N
N
N
NORDSTROM, INC.
549300S3IZB5P35KNV16
NORDSTROM INC 2.300000% 04/08/2024
655664AX8
210000.00000000
PA
USD
199315.20000000
0.071458596380
Long
DBT
CORP
US
N
2
2024-04-08
Fixed
2.30000000
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST
N/A
METLIFE SECURITIZATION TRUST MST 2017-1A A
59166BAA9
61570.01000000
PA
USD
58362.32000000
0.020924091432
Long
ABS-MBS
US
N
2
2055-04-25
Floating
2.99999880
N
N
N
N
N
N
CONNECTICUT ST
N/A
CONNECTICUT ST STATE OF CONNECTICUT
20772KJV2
510000.00000000
PA
USD
503970.98000000
0.180683956102
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
2.00000000
N
N
N
N
N
N
TAMPA ELECTRIC COMPANY
WS423EPRKJIIJUITXD73
TAMPA ELECTRIC CO 3.875000% 07/12/2024
875127BK7
325000.00000000
PA
USD
319083.90000000
0.114398137330
Long
DBT
CORP
US
N
2
2024-07-12
Fixed
3.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 12/15/2023
91282CBA8
7350000.00000000
PA
USD
7061455.10000000
2.531676810647
Long
SN
UST
US
N
2
2023-12-15
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4379 CB
3137BCZG6
198561.43000000
PA
USD
191512.42000000
0.068661139354
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
2.25000000
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1 GSMBS 2019-SL1 A1
36257EAA1
18003.53000000
PA
USD
17894.22000000
0.006415445708
Long
ABS-MBS
US
N
2
2059-01-25
Floating
2.62500120
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2021-1A A2
165183CT9
147228.05000000
PA
USD
146680.44000000
0.052587952945
Long
ABS-MBS
US
Y
2
2033-04-15
Floating
4.68443160
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.375000% 05/03/2024
025816CV9
350000.00000000
PA
USD
343975.97000000
0.123322456113
Long
DBT
CORP
US
N
2
2024-05-03
Fixed
3.37500000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.200000% 02/23/2023
38141GWT7
1315000.00000000
PA
USD
1313763.90000000
0.471011364257
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-2 CARMX 2021-2 A3
14314QAC8
568224.67000000
PA
USD
548062.81000000
0.196491783521
Long
ABS-MBS
US
N
2
2026-02-17
Fixed
0.52000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 0.650000% 08/03/2023
444859BP6
1700000.00000000
PA
USD
1662354.03000000
0.595988091581
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
0.65000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM1 IMPRL 2021-NQM1 A1
452764AA1
316278.66000000
PA
USD
267051.15000000
0.095743326855
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.07100000
N
N
N
N
N
N
PACIFIC LIFE GLOBAL FUNDING II
6354003EUPCHXTWUU869
PACIFIC LIFE GLOBAL FUNDING II 144A 0.500000% 09/23/2023
6944PL2C2
400000.00000000
PA
USD
388646.58000000
0.139337788060
Long
DBT
CORP
US
N
2
2023-09-23
Fixed
0.50000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STAR 2021-1 TRUST STAR 2021-1 A1
85573GAA0
140912.13000000
PA
USD
125517.54000000
0.045000618264
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
1.21899960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.500000% 05/31/2024
91282CER8
2000000.00000000
PA
USD
1945859.38000000
0.697630587373
Long
SN
UST
US
N
2
2024-05-31
Fixed
2.50000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK ABP 144A 1.000000% 06/09/2023
65557CBE2
300000.00000000
PA
USD
295923.56000000
0.106094679349
Long
DBT
NUSS
FI
N
2
2023-06-09
Fixed
1.00000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1
03465CAA3
266259.24000000
PA
USD
225724.97000000
0.080927041812
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.90900000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C26 ASB
46643TBB7
213787.22000000
PA
USD
209169.01000000
0.074991389823
Long
ABS-MBS
US
N
2
2048-01-15
Fixed
3.28840000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 09/10/2026
89114TZH8
425000.00000000
PA
USD
416237.87000000
0.149229832700
Long
DBT
NUSS
CA
N
2
2026-09-10
Floating
4.89197880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2474
31418BXC5
413882.03000000
PA
USD
403074.90000000
0.144510637373
Long
DBT
USGA
US
N
2
2030-12-01
Fixed
3.00000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CELANESE US HOLDINGS LLC 5.900000% 07/05/2024
15089QAR5
325000.00000000
PA
USD
326866.63000000
0.117188406019
Long
DBT
CORP
US
N
2
2024-07-05
Fixed
5.90000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST
N/A
HPEFS EQUIPMENT TRUST 2022-3 HPEFS 2022-3A A3
403951AC0
355000.00000000
PA
USD
357617.34000000
0.128213167674
Long
ABS-MBS
US
Y
2
2029-08-20
Fixed
5.43000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORMATION SERVICES INC 0.375000% 03/01/2023
31620MBP0
425000.00000000
PA
USD
423642.83000000
0.151884663078
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
0.37500000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4 SDART 2020-4 C
80286WAF3
359185.43000000
PA
USD
355247.00000000
0.127363352059
Long
ABS-MBS
US
N
2
2026-01-15
Fixed
1.01000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R1 VERUS 2021-R1 A1
92538BAA1
219173.53000000
PA
USD
197996.00000000
0.070985636062
Long
ABS-MBS
US
Y
2
2063-10-25
Floating
0.82000080
N
N
N
N
N
N
N/A
N/A
BPCE SA 144A 5.029000% 01/15/2025
05578AAZ1
345000.00000000
PA
USD
344886.35000000
0.123648846057
Long
DBT
NUSS
FR
N
2
2025-01-15
Fixed
5.02900000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2006-AR2 CMLTI 2006-AR2 1A1
17307G6K9
36867.26000000
PA
USD
28659.75000000
0.010275109513
Long
ABS-MBS
US
N
2
2036-03-25
Floating
3.59275680
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 7.776000% 11/16/2025
853254CL2
300000.00000000
PA
USD
312983.41000000
0.112210986261
Long
DBT
NUSS
GB
N
2
2025-11-16
Fixed
7.77600000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC.
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC VARIABLE RATE 10/18/2024
883556CQ3
1810000.00000000
PA
USD
1805364.21000000
0.647260180869
Long
DBT
CORP
US
N
2
2024-10-18
Floating
4.86249120
N
N
N
N
N
N
GOLDENTREE LOAN MANAGEMENT US CLO LTD
N/A
GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD GLM 2017-2A AR
38136MAU2
400000.00000000
PA
USD
396408.80000000
0.142120703493
Long
ABS-CBDO
CORP
KY
Y
2
2030-11-20
Floating
5.71771080
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C31 ASB
46644YAW0
102510.72000000
PA
USD
99687.48000000
0.035740010784
Long
ABS-MBS
US
N
2
2048-08-15
Fixed
3.53950000
N
N
N
N
N
N
CONSTELLATION BRANDS, INC.
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 3.600000% 05/09/2024
21036PBM9
350000.00000000
PA
USD
344950.80000000
0.123671952707
Long
DBT
CORP
US
N
2
2024-05-09
Fixed
3.60000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SDART 2022-5 A3
80287HAC2
350000.00000000
PA
USD
346133.94000000
0.124096132718
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
4.11000000
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIII LTD LCM 23A A1R
52111PAF8
487994.82000000
PA
USD
484413.43000000
0.173672172396
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
5.87770920
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 6.170000% 01/09/2027
853254CQ1
350000.00000000
PA
USD
358573.26000000
0.128555884644
Long
DBT
NUSS
GB
N
2
2027-01-09
Fixed
6.17000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.050000% 01/28/2027
61747YEZ4
275000.00000000
PA
USD
275954.97000000
0.098935529354
Long
DBT
CORP
US
N
2
2027-01-28
Fixed
5.05000000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 A
90944DAA9
35063.37000000
PA
USD
34971.04000000
0.012537836714
Long
ABS-MBS
US
Y
2
2024-07-10
Fixed
1.11000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 4.000000% 09/15/2025
437076CR1
45000.00000000
PA
USD
44790.84000000
0.016058436873
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.00000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2021-3 MFT 2021-3A A
57108QAA1
54659.78000000
PA
USD
54037.29000000
0.019373479271
Long
ABS-MBS
US
Y
2
2031-12-15
Fixed
0.65000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2021-A HALST 2021-A B
44891TAE6
550000.00000000
PA
USD
538595.42000000
0.193097529592
Long
ABS-MBS
US
Y
2
2025-10-15
Fixed
0.61000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 1.700000% 11/15/2023
694308JY4
275000.00000000
PA
USD
267856.91000000
0.096032208378
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.70000000
N
N
N
N
N
N
MASSACHUSETTS ST SCH BLDG AUTH DEDICATED SALES TAX REV
N/A
MASSACHUSETTS ST SCH BLDG AUTH MASSACHUSETTS SCHOOL BUILDING AUTHORITY
576000XC2
1035000.00000000
PA
USD
1018184.56000000
0.365040094854
Long
DBT
MUN
US
N
2
2023-10-15
Fixed
2.07800000
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2022-1 FHF 2022-1A A
30327CAA4
315140.97000000
PA
USD
308920.02000000
0.110754177418
Long
ABS-MBS
US
Y
2
2028-01-18
Fixed
4.43000000
N
N
N
N
N
N
DAIMLER TRUCK FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCK FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 12/13/2024
233853AE0
600000.00000000
PA
USD
596452.87000000
0.213840614751
Long
DBT
CORP
DE
N
2
2024-12-13
Floating
5.08117320
N
N
N
N
N
N
OBX TRUST
N/A
ONSLOW BAY MORTGAGE LOAN TRUST OBX 2021-NQM4 A1
67115DAA0
497935.33000000
PA
USD
416786.06000000
0.149426370083
Long
ABS-MBS
US
Y
2
2061-10-25
Floating
1.95699960
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-3 B
025286AB1
76080.55000000
PA
USD
75890.71000000
0.027208379566
Long
ABS-MBS
US
Y
2
2026-02-13
Fixed
0.66000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
WI TREASURY SEC. 0.250000% 06/15/2024
91282CCG4
4600000.00000000
PA
USD
4338734.35000000
1.555525452743
Long
SN
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-1 WLAKE 2021-1A B
96043FAD5
400000.00000000
PA
USD
394944.24000000
0.141595628627
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
0.64000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2 EFMT 2020-2 A1
31573WAA9
43442.72000000
PA
USD
39351.10000000
0.014108178262
Long
ABS-MBS
US
Y
2
2065-10-25
Floating
1.17799920
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC VARIABLE RATE 09/15/2023
25746UDH9
1445000.00000000
PA
USD
1446775.93000000
0.518698911246
Long
DBT
CORP
US
N
2
2023-09-15
Floating
5.29899840
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING
635400B4JJBON4TCHF02
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 144A 5.500000% 12/02/2025
29449WAP2
300000.00000000
PA
USD
302722.89000000
0.108532378923
Long
DBT
CORP
US
N
2
2025-12-02
Fixed
5.50000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024
04685A2X8
825000.00000000
PA
USD
817948.01000000
0.293251175559
Long
DBT
CORP
US
N
2
2024-05-24
Floating
4.51785960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4721 HV
3137FAUM8
158576.16000000
PA
USD
157376.82000000
0.056422825053
Long
DBT
USGA
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)MAR23 FINANCIAL COMMODITY FUTURE.
N/A
-15.00000000
NC
USD
-1717734.38000000
-0.61584308547
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Mar 2023
2023-03-25
-1689108.60000000
USD
-28625.78000000
N
N
N
FHF TRUST
N/A
FHF TRUST 2021-2 FHF 2021-2A A
30322JAA4
130371.20000000
PA
USD
124439.30000000
0.044614047059
Long
ABS-MBS
US
Y
2
2026-12-15
Fixed
0.83000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 0.520000% 08/09/2023
22550L2F7
650000.00000000
PA
USD
628875.00000000
0.225464614834
Long
DBT
NUSS
CH
N
2
2023-08-09
Fixed
0.52000000
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH BLDG AID REV
N/A
NEW YORK CITY NY TRANSITIONAL NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY BUILD
64972H5C2
2200000.00000000
PA
USD
2158261.16000000
0.773780991695
Long
DBT
MUN
US
N
2
2023-07-15
Fixed
0.38000000
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP MTN VARIABLE RATE 06/09/2025
89788MAF9
400000.00000000
PA
USD
395169.20000000
0.141676281411
Long
DBT
CORP
US
N
2
2025-06-09
Floating
4.21767360
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2014-2 LTD VOYA 2014-2A A1RR
92912VAY1
436609.15000000
PA
USD
432680.98000000
0.155125025644
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
5.81243040
N
N
N
N
N
N
N/A
N/A
NYCTL 2021-A TRUST NYCTL 2021-A A
62955UAA6
435998.92000000
PA
USD
418592.49000000
0.150074012372
Long
ABS-MBS
US
N
2
2034-11-10
Fixed
2.10000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORPORATION TRUST
N/A
GS MORTGAGE SECURITIES CORP TRUST 2022-SHIP GSMS 2022-SHIP A
36269CAA1
45000.00000000
PA
USD
44780.94000000
0.016054887519
Long
ABS-MBS
US
Y
2
2036-08-15
Floating
5.20904160
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO VARIABLE RATE 09/29/2023
00774MBA2
700000.00000000
PA
USD
695992.25000000
0.249527528641
Long
DBT
NUSS
IE
N
2
2023-09-29
Floating
5.00266080
N
N
N
N
N
N
AQUA FINANCE TRUST
N/A
AQUA FINANCE TRUST 2021-A AQFIT 2021-A A
03842VAA5
175734.58000000
PA
USD
157802.18000000
0.056575325356
Long
ABS-MBS
US
Y
2
2046-07-17
Fixed
1.54000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-R1 AOMT 2020-R1 A1
034651AA7
86473.94000000
PA
USD
79966.87000000
0.028669766716
Long
ABS-MBS
US
Y
2
2053-04-25
Floating
0.99000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO A
05608KAA8
345000.00000000
PA
USD
336755.54000000
0.120733783533
Long
ABS-MBS
US
Y
2
2038-05-15
Floating
5.11133040
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2019-3 AMCAR 2019-3 C
03066NAF1
421902.79000000
PA
USD
416493.53000000
0.149321492065
Long
ABS-MBS
US
N
2
2025-07-18
Fixed
2.32000000
N
N
N
N
N
N
COREBRIDGE GLOBAL FUNDING
54930057MDZ7KOVOTV71
COREBRIDGE GLOBAL FUNDING 144A 0.800000% 07/07/2023
00138CAM0
315000.00000000
PA
USD
309398.00000000
0.110925543074
Long
DBT
CORP
US
N
2
2023-07-07
Fixed
0.80000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERS INCOME TAX REV
N/A
NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY
64990FD27
590000.00000000
PA
USD
587156.97000000
0.210507843512
Long
DBT
MUN
US
N
2
2023-03-15
Fixed
0.26700000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-3 BSARM 2005-3 2A1
07387AAW5
14695.48000000
PA
USD
13999.71000000
0.005019183817
Long
ABS-MBS
US
N
2
2035-06-25
Floating
3.93852240
N
N
N
N
N
N
GENERAL MILLS, INC.
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC 5.241000% 11/18/2025
370334CS1
320000.00000000
PA
USD
321676.20000000
0.115327530168
Long
DBT
CORP
US
N
2
2025-11-18
Fixed
5.24100000
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES XI LLC AXIS 2022-2A A2
03236XAB3
185000.00000000
PA
USD
183950.11000000
0.065949895766
Long
ABS-MBS
US
Y
2
2028-06-21
Fixed
5.30000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4 EART 2022-4A A2
30166BAB8
134216.88000000
PA
USD
134006.52000000
0.048044092096
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
3.99000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2006-AR2 1A1
92925CDQ2
49075.39000000
PA
USD
43948.62000000
0.015756483690
Long
ABS-MBS
US
N
2
2036-03-25
Floating
3.49585560
N
N
N
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC VARIABLE RATE 02/16/2024
29250NBM6
775000.00000000
PA
USD
772291.16000000
0.276882256298
Long
DBT
NUSS
CA
N
2
2024-02-16
Floating
4.44809520
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2021-B CPS 2021-B B
12656QAB0
190543.19000000
PA
USD
189483.56000000
0.067933751338
Long
ABS-MBS
US
Y
2
2025-12-15
Fixed
0.81000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 03/23/2023
912796U31
1825000.00000000
PA
USD
1813733.16000000
0.650260621479
Long
DBT
UST
US
N
2
2023-03-23
None
0.00000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-4 MCMLT 2018-4 A1B
59980YAB1
333372.38000000
PA
USD
318904.72000000
0.114333897616
Long
ABS-MBS
US
N
2
2066-04-25
Floating
3.47253480
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2022-3 MFT 2022-3A A
57109NAA7
177160.94000000
PA
USD
175961.84000000
0.063085936762
Long
ABS-MBS
US
Y
2
2032-11-15
Fixed
5.18000000
N
N
N
N
N
N
SALESFORCE, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE INC 0.625000% 07/15/2024
79466LAG9
1560000.00000000
PA
USD
1472697.05000000
0.527992165608
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.62500000
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2021-1 FIAOT 2021-1A A
32059FAA7
219683.63000000
PA
USD
217552.50000000
0.077997043321
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
0.45000000
N
N
N
N
N
N
OHA CREDIT FUNDING LTD
N/A
OHA CREDIT FUNDING 10 LTD OAKC 2021-10A X
67707LAA6
317142.86000000
PA
USD
316791.15000000
0.113576139324
Long
ABS-CBDO
CORP
KY
Y
2
2036-01-18
Floating
5.54470920
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2019-2A A1
165183CD4
19508.58000000
PA
USD
19499.98000000
0.006991143677
Long
ABS-MBS
US
N
2
2031-09-15
Fixed
1.95000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1
92538EAA5
116852.06000000
PA
USD
105015.76000000
0.037650308694
Long
ABS-MBS
US
Y
2
2064-04-25
Floating
1.01999880
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2020-A A
69335PDP7
365000.00000000
PA
USD
358953.34000000
0.128692151137
Long
ABS-MBS
US
N
2
2025-06-15
Fixed
1.27000000
N
N
N
N
N
N
SREIT COMMERCIAL MORTGAGE TRUST
N/A
SREIT TRUST 2021-MFP SREIT 2021-MFP B
78472UAC2
475000.00000000
PA
USD
459411.78000000
0.164708566930
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
5.53880160
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1
92538LAA9
81731.80000000
PA
USD
75405.97000000
0.027034590311
Long
ABS-MBS
US
N
2
2065-05-25
Floating
1.50199920
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 03/04/2024
89114QCR7
575000.00000000
PA
USD
574045.50000000
0.205807111994
Long
DBT
NUSS
CA
N
2
2024-03-04
Floating
4.17354480
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-1 SDART 2023-1 A2
80287GAB6
400000.00000000
PA
USD
400010.76000000
0.143412080195
Long
ABS-MBS
US
N
2
2026-05-15
Fixed
5.36000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2022-4 LLC EFF 2022-4 A2
29374GAB7
280000.00000000
PA
USD
282938.60000000
0.101439304267
Long
ABS-MBS
US
Y
2
2029-10-22
Fixed
5.76000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.750000% 02/25/2023
61746BDJ2
2170000.00000000
PA
USD
2167893.97000000
0.777234552095
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
3.75000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2019-B CNH 2019-B B
12596TAE1
500000.00000000
PA
USD
498555.35000000
0.178742341421
Long
ABS-MBS
US
N
2
2026-11-16
Fixed
2.87000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 0.731000% 04/05/2024
61772BAA1
250000.00000000
PA
USD
247832.98000000
0.088853217855
Long
DBT
CORP
US
N
2
2024-04-05
Fixed
0.73100000
N
N
N
N
N
N
Deutsche Bank AG (New York Branch)
N/A
DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/08/2023
251526CL1
600000.00000000
PA
USD
598196.87000000
0.214465874601
Long
DBT
NUSS
DE
N
2
2023-11-08
Floating
4.29892560
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 A
33844WAA8
116547.42000000
PA
USD
114946.72000000
0.041210761997
Long
ABS-MBS
US
Y
2
2026-12-15
Fixed
0.37000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2019-AFC1 TRUST CSMC 2019-AFC1 A1
12596XAA0
328223.46000000
PA
USD
308077.33000000
0.110452055731
Long
ABS-MBS
US
N
2
2049-07-25
Fixed
2.57300000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K35 MORTGAGE TRUST FREMF 2013-K35 C
30291VAG1
475000.00000000
PA
USD
468832.17000000
0.168085970393
Long
ABS-MBS
US
N
2
2046-12-25
Floating
3.93227280
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-137 UE
3136AAL29
107381.74000000
PA
USD
100564.28000000
0.036054361608
Long
DBT
USGA
US
N
2
2041-09-25
Fixed
1.75000000
N
N
N
N
N
N
KNDL KNSQ MORTGAGE TRUST
N/A
KNDL 2019-KNSQ MORTGAGE TRUST KNDL 2019-KNSQ A
482598AA7
190000.00000000
PA
USD
188683.93000000
0.067647067546
Long
ABS-MBS
US
N
2
2036-05-15
Floating
5.25899880
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XV APID 2013-15A A1RR
03764QBC5
530000.00000000
PA
USD
525174.88000000
0.188285990125
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
5.81771160
N
N
N
N
N
N
UBS AG LONDON BRANCH
N/A
UBS AG/LONDON 144A VARIABLE RATE 02/09/2024
902674YC8
400000.00000000
PA
USD
399717.74000000
0.143307026502
Long
DBT
NUSS
CH
N
2
2024-02-09
Floating
4.15788840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2017-M13 FA
3136AYP31
33993.06000000
PA
USD
33604.35000000
0.012047850255
Long
DBT
USGA
US
N
2
2024-10-25
Floating
4.75286040
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 6.466000% 01/09/2026
23636ABF7
350000.00000000
PA
USD
355361.43000000
0.127404377566
Long
DBT
NUSS
DK
N
2
2026-01-09
Fixed
6.46600000
N
N
N
N
N
N
PPL ELECTRIC UTILITIES CORPORATION
549300GCZLSGYEYPIR35
PPL ELECTRIC UTILITIES CORP VARIABLE RATE 06/24/2024
69351UAY9
465000.00000000
PA
USD
459607.50000000
0.164778736573
Long
DBT
CORP
US
N
2
2024-06-24
Floating
4.65264360
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
78950.77000000
PA
USD
79854.80000000
0.028629587318
Long
DBT
USGA
US
N
2
2024-11-25
Floating
9.50586120
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XVIII LTD SYMP 2016-18A X
87154GAS4
225000.02000000
PA
USD
224077.52000000
0.080336397121
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-23
Floating
5.56529040
N
N
N
N
N
N
EQT CORPORATION
4NT01YGM4X7ZX86ISY52
EQT CORP 5.678000% 10/01/2025
26884LAP4
305000.00000000
PA
USD
305398.03000000
0.109491471604
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.67800000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 5.080000% 01/20/2027
06051GLE7
275000.00000000
PA
USD
276010.72000000
0.098955516875
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
5.08000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY 2.800000% 05/01/2023
664397AK2
810000.00000000
PA
USD
805966.20000000
0.288955450372
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
2.80000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A
83407CAA6
104937.90000000
PA
USD
102558.50000000
0.036769330471
Long
ABS-MBS
US
Y
2
2030-09-25
Fixed
0.49000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM2 IMPRL 2021-NQM2 A1
452761AA7
224179.39000000
PA
USD
184186.01000000
0.066034470765
Long
ABS-MBS
US
Y
2
2056-09-25
Floating
1.07300160
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-4 DTAOT 2021-4A A
26253WAA6
384571.60000000
PA
USD
379636.16000000
0.136107367269
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.56000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2022-3 LLC EFF 2022-3 A2
29374FAB9
80000.00000000
PA
USD
78660.72000000
0.028201485092
Long
ABS-MBS
US
Y
2
2029-07-20
Fixed
4.38000000
N
N
N
N
N
N
MHC COMMERCIAL MORTGAGE TRUST
N/A
MHC COMMERCIAL MORTGAGE TRUST 2021-MHC MHC 2021-MHC B
55316VAC8
1670000.00000000
PA
USD
1628213.59000000
0.583748042040
Long
ABS-MBS
US
N
2
2038-04-15
Floating
5.55996240
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4272 YG
3137B6DF5
73053.29000000
PA
USD
71463.27000000
0.025621051314
Long
DBT
USGA
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
PPL ELECTRIC UTILITIES CORPORATION
549300GCZLSGYEYPIR35
PPL ELECTRIC UTILITIES CORP VARIABLE RATE 09/28/2023
69351UAX1
875000.00000000
PA
USD
871643.67000000
0.312502173452
Long
DBT
CORP
US
N
2
2023-09-28
Floating
4.97386080
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN VARIABLE RATE 09/15/2026
06368FAD1
675000.00000000
PA
USD
660959.77000000
0.236967664423
Long
DBT
NUSS
CA
N
2
2026-09-15
Floating
4.93230960
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-1 MCMLT 2018-1 A1
59980VAA9
48158.00000000
PA
USD
46574.79000000
0.016698019619
Long
ABS-MBS
US
N
2
2062-05-25
Floating
3.25000080
N
N
N
N
N
N
CROSSROADS ASSET TRUST
N/A
CROSSROADS ASSET TRUST 2021-A XROAD 2021-A A2
22767CAB6
36344.64000000
PA
USD
36139.74000000
0.012956839688
Long
ABS-MBS
US
Y
2
2024-03-20
Fixed
0.82000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A
05609VAA3
275000.00000000
PA
USD
268029.71000000
0.096094160730
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
5.15900880
N
N
N
N
N
N
DLLST LLC
N/A
DLLST 2022-1 LLC DLLST 2022-1A A2
23292GAB9
345624.49000000
PA
USD
342977.91000000
0.122964631087
Long
ABS-MBS
US
Y
2
2024-01-22
Fixed
2.79000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 2.940000% 03/21/2024
65339KCD0
450000.00000000
PA
USD
440854.89000000
0.158055540404
Long
DBT
CORP
US
N
2
2024-03-21
Fixed
2.94000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A
33846QAA9
129198.42000000
PA
USD
125349.72000000
0.044940451344
Long
ABS-MBS
US
Y
2
2027-07-15
Fixed
0.36000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 MCMLT 2021-NMR1 A1
59982HAC4
144239.07000000
PA
USD
134090.57000000
0.048074225749
Long
ABS-MBS
US
Y
2
2060-11-25
Floating
1.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.050000% 07/21/2025
3134GXG24
1680000.00000000
PA
USD
1654434.67000000
0.593148838228
Long
DBT
USGA
US
N
2
2025-07-21
Fixed
4.05000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 SDART 2021-4 C
80285VAE9
1900000.00000000
PA
USD
1815177.73000000
0.650778529519
Long
ABS-MBS
US
N
2
2027-02-16
Fixed
1.26000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1 STAR 2020-1 A1
85573AAA3
14898.24000000
PA
USD
14338.88000000
0.005140783234
Long
ABS-MBS
US
N
2
2050-02-25
Floating
2.27499840
N
N
N
N
N
N
BWAY MORTGAGE TRUST
N/A
BWAY 2013-1515 MORTGAGE TRUST BWAY 2013-1515 A1
05604FAA3
136064.54000000
PA
USD
130087.31000000
0.046638974747
Long
ABS-MBS
US
N
2
2033-03-10
Fixed
2.80930000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2023-1 DTAOT 2023-1A A
23346KAA8
610000.00000000
PA
USD
609668.89000000
0.218578829593
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
5.48000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2017-3 MCMLT 2017-3 A1
59980CAA1
76115.64000000
PA
USD
73769.50000000
0.026447882177
Long
ABS-MBS
US
N
2
2061-01-25
Fixed
2.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 04/22/2027
46647PCF1
650000.00000000
PA
USD
640211.00000000
0.229528803861
Long
DBT
CORP
US
N
2
2027-04-22
Floating
5.20817760
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 03/08/2024
37045XDF0
500000.00000000
PA
USD
496486.03000000
0.178000447664
Long
DBT
CORP
US
N
2
2024-03-08
Floating
4.57767360
N
N
N
N
N
N
SEQUOIA INFRASTRUCTURE FUNDING LTD
N/A
SEQUOIA INFRASTRUCTURE FUNDING I LTD SEQI 2021-1A A
81742LAA4
448363.38000000
PA
USD
446666.77000000
0.160139218855
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Floating
6.19242840
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 01/24/2025
38141GZJ6
425000.00000000
PA
USD
422692.25000000
0.151543860608
Long
DBT
CORP
US
N
2
2025-01-24
Floating
5.02281000
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2021-4 UPST 2021-4 A
91682NAA1
195414.31000000
PA
USD
189927.58000000
0.068092941635
Long
ABS-MBS
US
Y
2
2031-09-20
Fixed
0.84000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2022-2 LLC EFF 2022-2 A2
29374JAB1
1250000.00000000
PA
USD
1239389.25000000
0.444346523366
Long
ABS-MBS
US
Y
2
2029-05-21
Fixed
4.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 313752
31374GQD2
77.18000000
PA
USD
76.63000000
0.000027473430
Long
DBT
USGA
US
N
2
2028-05-01
Floating
4.04499960
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C32 A2
46590JAT4
1383.35000000
PA
USD
1380.15000000
0.000494812145
Long
ABS-MBS
US
N
2
2048-11-15
Fixed
2.81640000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2022-5 EART 2022-5A A2
30167FAB8
550000.00000000
PA
USD
549568.58000000
0.197031633019
Long
ABS-MBS
US
N
2
2025-01-15
Fixed
5.29000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 B
14686KAC1
79989.06000000
PA
USD
73386.73000000
0.026310651263
Long
ABS-MBS
US
N
2
2028-03-10
Fixed
0.75000000
N
N
N
N
N
N
CARLISLE COMPANIES INCORPORATED
XR64VGX1ZPX6G7ZN7Z11
CARLISLE COS INC 0.550000% 09/01/2023
142339AK6
175000.00000000
PA
USD
170455.08000000
0.061111650103
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.55000000
N
N
N
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB BANK ASA 144A 2.968000% 03/28/2025
25601B2D6
275000.00000000
PA
USD
266625.17000000
0.095590604268
Long
DBT
NUSS
NO
N
2
2025-03-28
Fixed
2.96800000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2022-LBA6 BX 2022-LBA6 A
12433EAA9
375000.00000000
PA
USD
367029.00000000
0.131587441253
Long
ABS-MBS
US
Y
2
2039-01-15
Floating
5.47804080
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDING II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FUNDING II 144A VARIABLE RATE 04/12/2024
57629WDC1
400000.00000000
PA
USD
399702.88000000
0.143301698887
Long
DBT
CORP
US
N
2
2024-04-12
Floating
4.68279000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2
46650AAD5
102051.51000000
PA
USD
98394.06000000
0.035276293126
Long
ABS-MBS
US
N
2
2046-04-25
Floating
5.25585960
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST
N/A
MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST SER MLMBS 2007-3 2A1
59025JAB1
40829.75000000
PA
USD
25701.08000000
0.009214365498
Long
ABS-MBS
US
N
2
2037-06-25
Floating
3.37877640
N
N
N
N
N
N
SOUTHERN CALIFORNIA GAS COMPANY
XY0N0J73VHV5F4CUJV89
SOUTHERN CALIFORNIA GAS CO VARIABLE RATE 09/14/2023
842434CV2
970000.00000000
PA
USD
967967.15000000
0.347036121085
Long
DBT
CORP
US
N
2
2023-09-14
Floating
5.10270840
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CFMT 2022-EBO2 LLC CFMT 2022-EBO2 A
12527QAA9
96149.95000000
PA
USD
93708.68000000
0.033596488082
Long
ABS-MBS
US
Y
2
2054-07-25
Floating
3.16900080
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA 144A VARIABLE RATE 06/15/2026
2027A0KE8
425000.00000000
PA
USD
420376.00000000
0.150713437369
Long
DBT
NUSS
AU
N
2
2026-06-15
Floating
4.85117280
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 04/30/2024
912828X70
3350000.00000000
PA
USD
3242957.05000000
1.162666765580
Long
SN
UST
US
N
1
2024-04-30
Fixed
2.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC VARIABLE RATE 11/22/2024
404280CZ0
425000.00000000
PA
USD
418247.94000000
0.149950484114
Long
DBT
NUSS
GB
N
2
2024-11-22
Floating
4.38846120
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 03/16/2024
46647PCA2
500000.00000000
PA
USD
500103.50000000
0.179297385021
Long
DBT
CORP
US
N
2
2024-03-16
Floating
4.89792960
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1
12656YAA5
88802.69000000
PA
USD
76771.62000000
0.027524203909
Long
ABS-MBS
US
Y
2
2054-07-27
Fixed
0.79800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AE0285
31419AJ73
39.44000000
PA
USD
40.09000000
0.000014373089
Long
DBT
USGA
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
SSM HEALTH CARE CORPORATION
5493000QP6H63JFPC580
SSM HEALTH CARE CORP 3.688000% 06/01/2023
784710AB1
970000.00000000
PA
USD
966474.81000000
0.346501086518
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.68800000
N
N
N
N
N
N
MERCURY FINANCIAL CREDIT CARD MASTER TRUST
N/A
MERCURY FINANCIAL CREDIT CARD MASTER TRUST MFCC 2021-1A A
58940BAA4
510000.00000000
PA
USD
510000.00000000
0.182845483706
Long
ABS-MBS
US
Y
2
2026-03-20
Fixed
1.54000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2018-3 EART 2018-3A D
30166PAG6
29746.39000000
PA
USD
29717.34000000
0.010654277268
Long
ABS-MBS
US
N
2
2024-06-17
Fixed
4.35000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2015-GS1 GSMS 2015-GS1 AAB
36252AAD8
77871.57000000
PA
USD
75562.65000000
0.027090763312
Long
ABS-MBS
US
N
2
2048-11-10
Fixed
3.55300000
N
N
N
N
N
N
BX TRUST
N/A
BX 2021-MFM1 BX 2021-MFM1 B
05608VAE6
550000.00000000
PA
USD
534845.91000000
0.191753253181
Long
ABS-MBS
US
Y
2
2034-01-15
Floating
5.40900000
N
N
N
N
N
N
TD SYNNEX CORPORATION
5493004HI6PFLF46NS53
TD SYNNEX CORP 1.250000% 08/09/2024
87162WAD2
650000.00000000
PA
USD
610895.55000000
0.219018612419
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
1.25000000
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE 1.167000% 02/04/2023
097023DD4
475000.00000000
PA
USD
474919.86000000
0.170268532398
Long
DBT
CORP
US
N
2
2023-02-04
Fixed
1.16700000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2 MORTGAGE LOAN TRUST COLT 2021-2 A1
19685WAA9
267104.67000000
PA
USD
218290.89000000
0.078261771315
Long
ABS-MBS
US
Y
2
2066-08-25
Floating
0.92400120
N
N
N
N
N
N
UNIFY AUTO RECEIVABLES TRUST
N/A
UNIFY AUTO RECEIVABLES TRUST 2021-1 UART 2021-1A A3
90775QAC0
187562.69000000
PA
USD
185807.01000000
0.066615632587
Long
ABS-MBS
US
Y
2
2025-06-16
Fixed
0.51000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP MTN 0.875000% 07/07/2023
02665WDK4
300000.00000000
PA
USD
294927.42000000
0.105737542682
Long
DBT
CORP
US
N
2
2023-07-07
Fixed
0.87500000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1
10569EAA9
104043.55000000
PA
USD
98334.17000000
0.035254821330
Long
ABS-MBS
US
Y
2
2060-03-25
Floating
0.96999840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA3098
31418CNQ3
290200.28000000
PA
USD
285073.42000000
0.102204681121
Long
DBT
USGA
US
N
2
2032-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AE0381
31419AM79
916.15000000
PA
USD
913.21000000
0.000327404557
Long
DBT
USGA
US
N
2
2024-12-01
Fixed
5.50000000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE CAPITAL US LLC
549300N8C3A3L0UVQB07
GSK CONSUMER HEALTHCARE CAPITAL US LLC 3.024000% 03/24/2024
36264FAH4
420000.00000000
PA
USD
410407.96000000
0.147139690123
Long
DBT
CORP
US
N
2
2024-03-24
Fixed
3.02400000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-4 AOMT 2020-4 A1
03464LAA4
107255.62000000
PA
USD
97291.23000000
0.034880905901
Long
ABS-MBS
US
N
2
2065-06-25
Floating
1.46900160
N
N
N
N
N
N
COCA-COLA EUROPACIFIC PARTNERS PLC
549300LTH67W4GWMRF57
COCA-COLA EUROPACIFIC PARTNERS PLC 144A 0.500000% 05/05/2023
19123MAD5
975000.00000000
PA
USD
963955.12000000
0.345597725858
Long
DBT
NUSS
GB
N
2
2023-05-05
Fixed
0.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 03/02/2023
912796YB9
1800000.00000000
PA
USD
1793594.63000000
0.643040544500
Long
DBT
UST
US
N
2
2023-03-02
None
0.00000000
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS MORTGAGE TRUST 2020-C8 BBCMS 2020-C8 A1
05552AAY4
246027.20000000
PA
USD
233032.19000000
0.083546830391
Long
ABS-MBS
US
N
2
2053-10-15
Fixed
0.60100000
N
N
N
N
N
N
SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY
N/A
SYNCHRONY CARD FUNDING LLC SYNIT 2022-A1 A
87166PAG6
335000.00000000
PA
USD
326366.58000000
0.117009127815
Long
ABS-MBS
US
N
2
2028-04-15
Fixed
3.37000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2021-2 GCAR 2021-2A B
36261XAC9
272486.27000000
PA
USD
270580.39000000
0.097008631943
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.77000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN VARIABLE RATE 05/28/2024
06051GJX8
575000.00000000
PA
USD
571653.50000000
0.204949530823
Long
DBT
CORP
US
N
2
2024-05-28
Floating
4.96343160
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2022-3 GCAR 2022-3A A2
38014QAB2
190000.00000000
PA
USD
188912.16000000
0.067728892692
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
4.59000000
N
N
N
N
N
N
SOUTH CAROLINA ST PUB SVCS AUTH REV
N/A
SOUTH CAROLINA ST PUBLIC SVC A SOUTH CAROLINA PUBLIC SERVICE AUTHORITY
837151WF2
1100000.00000000
PA
USD
1088698.93000000
0.390320946012
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
3.72200000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6 NRZT 2017-6A A1
64830BAA5
229966.09000000
PA
USD
218298.92000000
0.078264650235
Long
ABS-MBS
US
N
2
2057-08-27
Floating
3.99999960
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD NEUB 2017-25A AR
64131JAL0
910000.00000000
PA
USD
902364.19000000
0.323516111372
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-18
Floating
5.72470920
N
N
N
N
N
N
SCF EQUIPMENT LEASING LLC
N/A
SCF EQUIPMENT LEASING 2022-1 LLC SCFET 2022-1A A2
784033AC6
491140.11000000
PA
USD
478454.01000000
0.171535597822
Long
ABS-MBS
US
Y
2
2028-02-22
Fixed
2.06000000
N
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED
N/A
RFMSI SERIES 2007-SA3 TRUST RFMSI 2007-SA3 2A1
74958TAB9
45527.60000000
PA
USD
35855.61000000
0.012854973243
Long
ABS-MBS
US
N
2
2037-07-27
Floating
4.53707640
N
N
N
N
N
N
PARAGON MORTGAGES PLC
N/A
PARAGON MORTGAGES NO 12 PLC PARGN 12A A2C
69913BAB2
53312.37000000
PA
USD
51020.20000000
0.018291790485
Long
ABS-MBS
GB
N
2
2038-11-15
Floating
4.82613840
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN VARIABLE RATE 02/04/2025
06051GKF5
510000.00000000
PA
USD
506612.67000000
0.181631056270
Long
DBT
CORP
US
N
2
2025-02-04
Floating
4.45892400
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 3.750000% 07/15/2023
125523AF7
1775000.00000000
PA
USD
1765230.29000000
0.632871345545
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-4 A
02530TAA9
7479.29000000
PA
USD
7467.08000000
0.002677101675
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.050000% 08/28/2025
3134GXR63
860000.00000000
PA
USD
846879.15000000
0.303623583965
Long
DBT
USGA
US
N
2
2025-08-28
Fixed
4.05000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-A HALST 2023-A A2A
44933VAB7
225000.00000000
PA
USD
224979.75000000
0.080659865123
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
5.20000000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-3 IMM 2005-3 A1
45254NNP8
17020.40000000
PA
USD
14890.05000000
0.005338389009
Long
ABS-MBS
US
N
2
2035-08-25
Floating
4.98585960
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A VARIABLE RATE 01/21/2026
83368RBF8
425000.00000000
PA
USD
417276.36000000
0.149602152712
Long
DBT
NUSS
FR
N
2
2026-01-21
Floating
5.37291720
N
N
N
N
N
N
PORT AUTH N Y & N J
N/A
PORT AUTH OF NEW YORK & NEW JE PORT AUTHORITY OF NEW YORK & NEW JERSEY
73358W4V3
1830000.00000000
PA
USD
1802254.64000000
0.646145336103
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
1.08600000
N
N
N
N
N
N
BSPRT ISSUER, LTD.
N/A
BSPRT 2022-FL8 ISSUER LTD BSPRT 2022-FL8 A
055983AA8
425000.00000000
PA
USD
417675.98000000
0.149745424697
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-15
Floating
5.77870920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.000000% 02/28/2025
3134GXS88
1700000.00000000
PA
USD
1675431.23000000
0.600676536600
Long
DBT
USGA
US
N
2
2025-02-28
Fixed
4.00000000
N
N
N
N
N
N
EVERGREEN CREDIT CARD TRUST
N/A
EVERGREEN CREDIT CARD TRUST SERIES 2022-CRT1 EVGRN 2022-CRT1 B
30023JBV9
500000.00000000
PA
USD
493209.25000000
0.176825654675
Long
ABS-MBS
CA
Y
2
2026-07-15
Fixed
5.61000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.
N/A
-6.00000000
NC
USD
-655453.13000000
-0.23499342078
N/A
DIR
US
N
1
MONTGOMERY/BANK OF AMERICA
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2023
2023-04-03
-648479.23000000
USD
-6973.90000000
N
N
N
PRESTIGE AUTO RECEIVABLES TRUST
N/A
PRESTIGE AUTO RECEIVABLES TRUST 2021-1 PART 2021-1A A2
74113XAB2
43739.77000000
PA
USD
43658.44000000
0.015652448195
Long
ABS-MBS
US
Y
2
2024-09-16
Fixed
0.55000000
N
N
N
N
N
N
Keybank National Association
HUX2X73FUCYHUVH1BK78
KEYBANK NA/CLEVELAND OH VARIABLE RATE 06/14/2024
49327M3D4
400000.00000000
PA
USD
398974.00000000
0.143040380424
Long
DBT
CORP
US
N
2
2024-06-14
Floating
4.13728200
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-SOAR BX 2021-SOAR B
05608WAG9
620301.09000000
PA
USD
597998.04000000
0.214394589959
Long
ABS-MBS
US
Y
2
2038-06-15
Floating
5.33000160
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2021-1 LADAR 2021-1A A
501683AA4
295440.75000000
PA
USD
286466.38000000
0.102704085915
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
1.30000000
N
N
N
N
N
N
ILLUMINA, INC.
SQ95QG8SR5Q56LSNF682
ILLUMINA INC 0.550000% 03/23/2023
452327AL3
400000.00000000
PA
USD
397610.71000000
0.142551612934
Long
DBT
CORP
US
N
2
2023-03-23
Fixed
0.55000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A A
12659WAA6
487916.22000000
PA
USD
480832.21000000
0.172388231409
Long
ABS-MBS
US
Y
2
2029-04-16
Fixed
0.98000000
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 CFCRE 2017-C8 ASB
12532CAY1
509780.24000000
PA
USD
491122.84000000
0.176077633802
Long
ABS-MBS
US
N
2
2050-06-15
Fixed
3.36740000
N
N
N
N
N
N
CNA FINANCIAL CORPORATION
549300YX2GSZD7YG1R84
CNA FINANCIAL CORP 7.250000% 11/15/2023
126117AE0
200000.00000000
PA
USD
203271.01000000
0.072876835582
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
7.25000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2004-29 CWHL 2004-29 1A1
12669GHY0
6375.75000000
PA
USD
5664.47000000
0.002030828935
Long
ABS-MBS
US
N
2
2035-02-25
Floating
5.04586080
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VII LTD OZLM 2014-7RA A1R
67108WBE8
366757.32000000
PA
USD
363514.82000000
0.130327535484
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
5.80242960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 846789
3128HDRJ0
3776.91000000
PA
USD
3713.21000000
0.001331262114
Long
DBT
USGA
US
N
2
2030-02-01
Floating
3.68200080
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2021-STOR MHP 2021-STOR A
55293BAB1
155000.00000000
PA
USD
151220.25000000
0.054215568151
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
5.15900160
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIV LTD LCM 24A AR
50188YAE4
512682.37000000
PA
USD
508072.33000000
0.182154374385
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-20
Floating
5.78770920
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 CGCMT 2015-GC31 AAB
17323YAE9
833503.68000000
PA
USD
814943.30000000
0.292173925258
Long
ABS-MBS
US
N
2
2048-06-10
Fixed
3.43100000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2 DRMT 2021-2 A1
24381WAA6
85716.21000000
PA
USD
74387.15000000
0.026669322398
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
0.89899920
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-3 STAR 2021-3 A1
85573JAA4
263900.71000000
PA
USD
214830.46000000
0.077021136026
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.12700160
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2
55818YBN0
489181.73000000
PA
USD
483092.89000000
0.173198731661
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-21
Floating
5.81528880
N
N
N
N
N
N
MARTIN MARIETTA MATERIALS, INC.
5299005MZ4WZECVATV08
MARTIN MARIETTA MATERIALS INC 0.650000% 07/15/2023
573284AY2
480000.00000000
PA
USD
470224.09000000
0.168585002326
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.65000000
N
N
N
N
N
N
MANUFACTURERS AND TRADERS TRUST COMPANY.
WWB2V0FCW3A0EE3ZJN75
MANUFACTURERS & TRADERS TRUST CO 5.400000% 11/21/2025
55279HAT7
300000.00000000
PA
USD
305104.74000000
0.109386321110
Long
DBT
CORP
US
N
2
2025-11-21
Fixed
5.40000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2019-3 CARMX 2019-3 C
14315PAG0
375000.00000000
PA
USD
368326.99000000
0.132052797350
Long
ABS-MBS
US
N
2
2025-06-16
Fixed
2.60000000
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XXX LTD MDPK 2018-30A A
55821TAA5
834585.59000000
PA
USD
826172.97000000
0.296199992793
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
5.54243040
N
N
N
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP 5.050000% 01/13/2026
756109BQ6
350000.00000000
PA
USD
350961.25000000
0.125826822585
Long
DBT
CORP
US
N
2
2026-01-13
Fixed
5.05000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLE TRUST
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2021-C WOART 2021-C A3
98164CAC3
265000.00000000
PA
USD
252888.76000000
0.090665818913
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
0.44000000
N
N
N
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP VARIABLE RATE 02/14/2024
855244BB4
345000.00000000
PA
USD
344158.08000000
0.123387746292
Long
DBT
CORP
US
N
2
2024-02-14
Floating
4.23719640
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
NUTRIEN LTD 5.900000% 11/07/2024
67077MAZ1
175000.00000000
PA
USD
177776.05000000
0.063736368340
Long
DBT
NUSS
CA
N
2
2024-11-07
Fixed
5.90000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1 EFMT 2021-1 A1
31574XAA6
50901.34000000
PA
USD
42445.48000000
0.015217577101
Long
ABS-MBS
US
Y
2
2066-02-25
Floating
0.79700040
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM1 TRUST GCAT 2021-NQM1 A1
36167TAA7
121537.16000000
PA
USD
103878.36000000
0.037242527413
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.87400080
N
N
N
N
N
N
CARDS II TRUST
N/A
CARDS II TRUST CARD2 2021-1A A
14161GBY5
900000.00000000
PA
USD
853083.45000000
0.305847953053
Long
ABS-MBS
CA
Y
2
2027-04-15
Fixed
0.60200000
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-I LTD CIFC 2015-1A ARR
12548MBF1
325000.00000000
PA
USD
322626.85000000
0.115668357735
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
5.92529040
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1
64828EAA3
33906.80000000
PA
USD
31632.26000000
0.011340815451
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.49188040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0630
31418MVY5
23.73000000
PA
USD
24.12000000
0.000008647515
Long
DBT
USGA
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4387 DA
3137BDY83
36998.38000000
PA
USD
36765.29000000
0.013181112222
Long
DBT
USGA
US
N
2
2032-01-15
Fixed
3.00000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL B
056054AE9
374000.00000000
PA
USD
370366.25000000
0.132783913979
Long
ABS-MBS
US
N
2
2036-10-15
Floating
5.67252000
N
N
N
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP 1.300000% 10/01/2023
448579AL6
175000.00000000
PA
USD
170327.67000000
0.061065970999
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
1.30000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N3 CRVNA 2021-N3 B
14687GAC9
195466.65000000
PA
USD
179141.98000000
0.064226082323
Long
ABS-MBS
US
N
2
2028-06-12
Fixed
0.66000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-4 MORTGAGE LOAN TRUST COLT 2021-4 A1
19688GAA1
485354.43000000
PA
USD
403748.78000000
0.144752237205
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.39700160
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST
N/A
HPEFS EQUIPMENT TRUST 2021-2 HPEFS 2021-2A B
40441JAD3
225000.00000000
PA
USD
217223.89000000
0.077879229881
Long
ABS-MBS
US
Y
2
2028-09-20
Fixed
0.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 2.250000% 03/25/2025
3134GXMT8
1775000.00000000
PA
USD
1698517.13000000
0.608953306310
Long
DBT
USGA
US
N
2
2025-03-25
Fixed
2.25000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-2 AOMT 2020-2 A1A
03464XAL4
140755.72000000
PA
USD
131053.30000000
0.046985302019
Long
ABS-MBS
US
N
2
2065-01-26
Floating
2.53100160
N
N
N
N
N
N
N/A
N/A
COLT 2020-2R MORTGAGE LOAN TRUST COLT 2020-2R A1
12656GAA4
95777.89000000
PA
USD
86613.56000000
0.031052741713
Long
ABS-MBS
US
N
2
2065-10-26
Floating
1.32500160
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST
N/A
MERCEDES-BENZ AUTO RECEIVABLES TRUST 2023-1 MBART 2023-1 A2
58770AAB9
700000.00000000
PA
USD
700299.67000000
0.251071827256
Long
ABS-MBS
US
N
2
2026-01-15
Fixed
5.09000000
N
N
N
N
N
N
ACCREDITED MORTGAGE LOAN TRUST
N/A
ACCREDITED MORTGAGE LOAN TRUST 2004-4 ACCR 2004-4 A1A
004375CA7
28839.71000000
PA
USD
28559.77000000
0.010239264627
Long
ABS-MBS
US
N
2
2035-01-25
Floating
5.18586120
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-1 LTD CGMS 2014-1A A1R2
14310MAW7
648029.75000000
PA
USD
641846.25000000
0.230115074600
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
5.76243000
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2022-MHIL MHP 2022-MHIL A
55293DAA9
199190.00000000
PA
USD
192954.66000000
0.069178212041
Long
ABS-MBS
US
Y
2
2027-01-15
Floating
5.29264080
N
N
N
N
N
N
BRIGHTHOUSE FINANCIAL GLOBAL FUNDING
549300BLFX3KJ2IFOA78
BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MTN VARIABLE RATE 04/12/2024
10921U2B3
445000.00000000
PA
USD
442741.22000000
0.158731828485
Long
DBT
CORP
US
N
2
2024-04-12
Floating
5.08278960
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-A CPS 2023-A A
12664LAA3
680000.00000000
PA
USD
679975.28000000
0.243785115647
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
5.54000000
N
N
N
N
N
N
FCI FUNDING LIMITED
N/A
FCI FUNDING 2021-1 LLC FCITL 2021-1A A
30260GAA4
58699.28000000
PA
USD
57651.72000000
0.020669326725
Long
ABS-MBS
US
Y
2
2033-04-15
Fixed
1.13000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-A HALST 2023-A A3
44933VAD3
260000.00000000
PA
USD
260162.50000000
0.093273604225
Long
ABS-MBS
US
Y
2
2026-01-15
Fixed
5.05000000
N
N
N
N
N
N
GOLDEN ST TOB SECURITIZATION CORP CALIF TOB SETTLEMENT REV
N/A
GOLDEN ST TOBACCO SECURITIZATI GOLDEN STATE TOBACCO SECURITIZATION CORP
38122NA51
985000.00000000
PA
USD
972014.55000000
0.348487197185
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
0.67200000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2004-12 SEMT 2004-12 A1
81744FFY8
5572.58000000
PA
USD
5041.35000000
0.001807427606
Long
ABS-MBS
US
N
2
2035-01-20
Floating
5.02571160
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP VARIABLE RATE 12/06/2024
14040HCL7
425000.00000000
PA
USD
420764.88000000
0.150852858843
Long
DBT
CORP
US
N
2
2024-12-06
Floating
4.50767880
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XII APID 2013-12A AR
03764DAH4
600000.00000000
PA
USD
596121.00000000
0.213721632534
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
5.87243160
N
N
N
N
N
N
OGE ENERGY CORP.
CE5OG6JPOZMDSA0LAQ19
OGE ENERGY CORP 0.703000% 05/26/2023
670837AC7
245000.00000000
PA
USD
241668.57000000
0.086643150153
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
0.70300000
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-1 B
46591HAN0
115402.09000000
PA
USD
113831.88000000
0.040811068940
Long
ABS-MBS
US
N
2
2028-01-25
Fixed
0.99100000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 04/12/2024
74256LEM7
170000.00000000
PA
USD
169273.73000000
0.060688111844
Long
DBT
CORP
US
N
2
2024-04-12
Floating
4.77279000
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS 2017-DELC MORTGAGE TRUST BBCMS 2017-DELC A
05552EAA8
320000.00000000
PA
USD
316982.88000000
0.113644878471
Long
ABS-MBS
US
N
2
2036-08-15
Floating
5.43399840
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP ELP 2021-ELP A
26863LAA2
530000.00000000
PA
USD
515241.73000000
0.184724751661
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
5.16099960
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDING II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FUNDING II MTN 0.850000% 06/09/2023
57629WCU2
448000.00000000
PA
USD
441791.28000000
0.158391255468
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.950000% 08/01/2025
025816CY3
325000.00000000
PA
USD
320009.40000000
0.114729948105
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.95000000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST
N/A
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2022-2 COPAR 2022-2 A2A
14043GAB0
565000.00000000
PA
USD
559593.46000000
0.200625758573
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
3.74000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-5 AOMT 2021-5 A1
03465HAA2
428165.38000000
PA
USD
358570.35000000
0.128554841350
Long
ABS-MBS
US
Y
2
2066-07-25
Floating
0.95100120
N
N
N
N
N
N
Sumitomo Mitsui Trust Bank, Limited
5493006GGLR4BTEL8O61
SUMITOMO MITSUI TRUST BANK LTD MTN VARIABLE RATE 09/16/2024
86563VAX7
500000.00000000
PA
USD
498023.72000000
0.178551741138
Long
DBT
NUSS
JP
N
2
2024-09-16
Floating
4.76443080
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A
14687DAA0
572528.92000000
PA
USD
535574.41000000
0.192014435406
Long
ABS-MBS
US
N
2
2028-01-10
Fixed
0.70000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN VARIABLE RATE 07/09/2024
06367WYQ0
325000.00000000
PA
USD
323739.00000000
0.116067086371
Long
DBT
NUSS
CA
N
2
2024-07-09
Floating
4.64360400
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-3 AOMT 2021-3 A1
03465EAA9
245585.81000000
PA
USD
208967.71000000
0.074919219635
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.06800120
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-5 TPMT 2017-5 A1
89169EAA7
118197.30000000
PA
USD
117653.16000000
0.042181076372
Long
ABS-MBS
US
N
2
2057-02-25
Floating
3.91065840
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-1 CARMX 2021-1 A3
14316NAC3
629542.44000000
PA
USD
607460.04000000
0.217786911462
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
0.34000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2016-GS3 GSMS 2016-GS3 AAB
36251PAE4
185267.07000000
PA
USD
177749.02000000
0.063726677529
Long
ABS-MBS
US
N
2
2049-10-10
Fixed
2.77700000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC CMLTI 2004-HYB3 1A
17307GJX7
6435.77000000
PA
USD
5709.74000000
0.002047059161
Long
ABS-MBS
US
N
2
2034-09-25
Floating
3.54163320
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2007-A3 JPMMT 2007-A3 1A1
46630UAA2
32450.27000000
PA
USD
28078.24000000
0.010066626224
Long
ABS-MBS
US
N
2
2037-05-25
Floating
3.42774720
N
N
N
N
N
N
ATALAYA EQUIPMENT LEASING TRUST LLC.
N/A
ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A2
046497AB9
146152.26000000
PA
USD
142230.70000000
0.050992629685
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
1.23000000
N
N
N
N
N
N
City of New York
549300ABYZD2SFD5JB29
NEW YORK NY CITY OF NEW YORK NY
64966QJD3
1055000.00000000
PA
USD
1052155.30000000
0.377219303456
Long
DBT
MUN
US
N
2
2023-03-01
Fixed
1.15000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 4.985000% 07/24/2026
14040HCU7
250000.00000000
PA
USD
247783.25000000
0.088835388628
Long
DBT
CORP
US
N
2
2026-07-24
Fixed
4.98500000
N
N
N
N
N
N
CFMT TRUST
N/A
CFMT 2021-AL1 LLC CFMT 2021-AL1 B
12529UAF7
382788.83000000
PA
USD
364603.64000000
0.130717899837
Long
ABS-MBS
US
Y
2
2031-09-22
Fixed
1.39000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2022-EBO1 TPMT 2022-EBO1 A
89180EAA2
218388.67000000
PA
USD
213617.03000000
0.076586096427
Long
ABS-MBS
US
Y
2
2052-01-25
Floating
2.16100080
N
N
N
N
N
N
JDE Peet's N.V.
724500EHG519SE5ZRT89
JDE PEET'S NV 144A 0.800000% 09/24/2024
47216QAA1
500000.00000000
PA
USD
461871.18000000
0.165590312386
Long
DBT
NUSS
NL
N
2
2024-09-24
Fixed
0.80000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAVISKA ENSKILDA BANKEN AB 144A 0.550000% 09/01/2023
83051GAN8
250000.00000000
PA
USD
243400.00000000
0.087263903400
Long
DBT
NUSS
SE
N
2
2023-09-01
Fixed
0.55000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 7.336000% 11/03/2026
404280DQ9
300000.00000000
PA
USD
316649.97000000
0.113525523392
Long
DBT
NUSS
GB
N
2
2026-11-03
Fixed
7.33600000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2018-1 TPMT 2018-1 A1
89176EAA8
38215.68000000
PA
USD
36987.34000000
0.013260721712
Long
ABS-MBS
US
N
2
2058-01-25
Floating
2.99999880
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2019-A CNH 2019-A B
12596JAE3
825000.00000000
PA
USD
824377.13000000
0.295556147237
Long
ABS-MBS
US
N
2
2026-07-15
Fixed
3.34000000
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS
N/A
1700000.00000000
PA
USD
1700000.00000000
0.609484945687
Long
RA
US
N
2
Repurchase
Y
4.29999840
N/A
1700000.20685910
USD
1734000.20000000
USD
AMBS
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 3.550000% 11/15/2024
281020AQ0
275000.00000000
PA
USD
267633.23000000
0.095952014500
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.55000000
N
N
N
N
N
N
SIERRA TIMESHARE RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE 2018-3 RECEIVABLES FUNDING LLC SRFC 2018-3A A
82653GAA0
442826.59000000
PA
USD
438969.84000000
0.157379711230
Long
ABS-MBS
US
N
2
2035-09-20
Fixed
3.69000000
N
N
N
N
N
N
ILLUMINA, INC.
SQ95QG8SR5Q56LSNF682
ILLUMINA INC 5.800000% 12/12/2025
452327AN9
300000.00000000
PA
USD
305889.66000000
0.109667731065
Long
DBT
CORP
US
N
2
2025-12-12
Fixed
5.80000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 04/15/2024
91282CBV2
8475000.00000000
PA
USD
8054891.62000000
2.887844224433
Long
SN
UST
US
N
2
2024-04-15
Fixed
0.37500000
N
N
N
N
N
N
DEWOLF PARK CLO, LTD.
N/A
DEWOLF PARK CLO LTD DWOLF 2017-1A AR
25211AAE9
600000.00000000
PA
USD
593550.00000000
0.212799876184
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
5.71242960
N
N
N
N
N
N
FIFTH THIRD BANK, NATIONAL ASSOCIATION
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK NA 5.852000% 10/27/2025
31677QBT5
470000.00000000
PA
USD
477384.65000000
0.171152210280
Long
DBT
CORP
US
N
2
2025-10-27
Fixed
5.85200000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-8 IMM 2005-8 1A
45254NRG4
36014.59000000
PA
USD
32057.33000000
0.011493211784
Long
ABS-MBS
US
N
2
2036-02-25
Floating
5.02585920
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.620000% 04/17/2025
61747YEQ4
350000.00000000
PA
USD
343669.64000000
0.123212630511
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
3.62000000
N
N
N
N
N
N
DEXT ABS LLC
N/A
DEXT ABS 2021-1 LLC DEXT 2021-1 A
23345CAA7
148650.92000000
PA
USD
142660.06000000
0.051146564071
Long
ABS-MBS
US
Y
2
2028-02-15
Fixed
1.12000000
N
N
N
N
N
N
KEURIG DR PEPPER INC.
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC 0.750000% 03/15/2024
49271VAL4
2010000.00000000
PA
USD
1920505.63000000
0.688540746819
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.75000000
N
N
N
N
N
N
CENTERPOINT ENERGY, INC.
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC VARIABLE RATE 05/13/2024
15189TAZ0
325000.00000000
PA
USD
321287.50000000
0.115188173228
Long
DBT
CORP
US
N
2
2024-05-13
Floating
4.46698080
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2019-1 LTD VOYA 2019-1A AR
92917NAJ7
575000.00000000
PA
USD
570350.55000000
0.204482396464
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
5.85243000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2018-1 TRUST OBX 2018-1 A2
67112FAD2
16335.53000000
PA
USD
15615.75000000
0.005598567376
Long
ABS-MBS
US
N
2
2057-06-25
Floating
5.15585880
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022- ACAR 2022-2 A
02530BAA8
236895.86000000
PA
USD
235365.70000000
0.084383441694
Long
ABS-MBS
US
Y
2
2026-02-13
Fixed
2.66000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-2 VERUS 2021-2 A1
92538FAA2
148017.12000000
PA
USD
128408.51000000
0.046037090437
Long
ABS-MBS
US
Y
2
2066-02-25
Floating
1.03100040
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC MTN 1.550000% 08/01/2024
23371DAJ3
450000.00000000
PA
USD
424960.94000000
0.152357232609
Long
DBT
CORP
AE
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
DLLMT LLC
N/A
DLLMT 2021-1 LLC DLLMT 2021-1A A2
23345FAB8
121912.56000000
PA
USD
120732.06000000
0.043284925312
Long
ABS-MBS
US
Y
2
2024-03-20
Fixed
0.60000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-1 WLAKE 2023-1A A2A
96042XAB1
365000.00000000
PA
USD
365238.35000000
0.130945456419
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
5.51000000
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE 4.508000% 05/01/2023
097023CS2
1245000.00000000
PA
USD
1243042.30000000
0.445656216884
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.50800000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 9.150000% 02/01/2023
00206RHN5
600000.00000000
PA
USD
600000.00000000
0.215112333772
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
9.15000000
N
N
N
N
N
N
CITIZENS BANK, NATIONAL ASSOCIATION
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA/PROVIDENCE RI 4.119000% 05/23/2025
75524KNQ3
250000.00000000
PA
USD
246287.70000000
0.088299203210
Long
DBT
CORP
US
N
2
2025-05-23
Fixed
4.11900000
N
N
N
N
N
N
The Huntington National Bank
2WHM8VNJH63UN14OL754
HUNTINGTON NATIONAL BANK/THE 4.008000% 05/16/2025
44644MAD3
250000.00000000
PA
USD
246156.36000000
0.088252115120
Long
DBT
CORP
US
N
2
2025-05-16
Fixed
4.00800000
N
N
N
N
N
N
DLLAD LLC
N/A
DLLAD 2023-1 LLC DLLAD 2023-1A A2
233258AB8
335000.00000000
PA
USD
334981.84000000
0.120097875622
Long
ABS-MBS
US
Y
2
2026-04-20
Fixed
5.19000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1 CGCMT 2015-P1 AAB
17324DAV6
294962.32000000
PA
USD
288458.19000000
0.103418190744
Long
ABS-MBS
US
N
2
2048-09-15
Fixed
3.47000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-1 NRZT 2019-1A A1
64830CAA3
109880.78000000
PA
USD
102991.01000000
0.036924394197
Long
ABS-MBS
US
N
2
2057-09-25
Floating
3.92389200
N
N
N
N
N
N
Deutsche Bank AG (New York Branch)
N/A
DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/16/2027
251526CN7
550000.00000000
PA
USD
519062.50000000
0.186094576247
Long
DBT
NUSS
DE
N
2
2027-11-16
Floating
5.03709480
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 0.972000% 02/15/2024
595017BB9
375000.00000000
PA
USD
358989.53000000
0.128705125996
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
DAIMLER TRUCK FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCK FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 04/05/2024
233853AK6
450000.00000000
PA
USD
450162.00000000
0.161392330659
Long
DBT
CORP
DE
N
2
2024-04-05
Floating
5.33266920
N
N
N
N
N
N
MF1 LTD
N/A
MF1 2022-FL8 LTD MF1 2022-FL8 A
55284JAA7
400000.00000000
PA
USD
384912.80000000
0.137999151177
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-19
Floating
5.65976880
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.892000% 05/24/2024
05971KAM1
400000.00000000
PA
USD
394085.82000000
0.141287867411
Long
DBT
NUSS
ES
N
2
2024-05-24
Fixed
3.89200000
N
N
N
N
N
N
CCG RECEIVABLES TRUST
N/A
CCG RECEIVABLES TRUST 2021-1 CCG 2021-1 A2
12510KAC7
107675.94000000
PA
USD
104315.62000000
0.037399294111
Long
ABS-MBS
US
Y
2
2027-06-14
Fixed
0.30000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
ROYALTY PHARMA PLC 0.750000% 09/02/2023
78081BAG8
700000.00000000
PA
USD
682311.20000000
0.244622590984
Long
DBT
NUSS
US
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2021-1 GCAR 2021-1A B
36261AAC9
10203.37000000
PA
USD
10185.75000000
0.003651800756
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.82000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM3 CSMC 2021-NQM3 A1
12660LAA7
348591.09000000
PA
USD
291433.03000000
0.104484732036
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
1.01499840
N
N
N
N
N
N
CENTERPOINT ENERGY RESOURCES CORP.
2JADVB0458J06WCD4N56
CENTERPOINT ENERGY RESOURCES CORP VARIABLE RATE 03/02/2023
15189WAN0
368000.00000000
PA
USD
368098.96000000
0.131971043907
Long
DBT
CORP
US
N
2
2023-03-02
Floating
5.27856840
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A2
92537QAE1
242966.67000000
PA
USD
203907.88000000
0.073105166568
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
1.05199920
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2020-Z1 AFFRM 2020-Z1 A
00832PAA6
23601.70000000
PA
USD
23426.05000000
0.008398720477
Long
ABS-MBS
US
N
2
2024-10-15
Fixed
3.46000000
N
N
N
N
N
N
CARGILL, INCORPORATED
QXZYQNMR4JZ5RIRN4T31
CARGILL INC 144A 1.375000% 07/23/2023
141781BL7
300000.00000000
PA
USD
295041.94000000
0.105778600456
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 B
90944DAC5
440000.00000000
PA
USD
434820.01000000
0.155891911869
Long
ABS-MBS
US
Y
2
2025-03-10
Fixed
2.10000000
N
N
N
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE XVI LTD MAGNE 2015-16A AR
55953RAL5
291653.16000000
PA
USD
290306.60000000
0.104080883725
Long
ABS-CBDO
CORP
KY
N
2
2028-01-18
Floating
5.59470960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 10/15/2023
91282CAP6
3915000.00000000
PA
USD
3789750.58000000
1.358703486130
Long
SN
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2021-3 GCAR 2021-3A A
36263LAA7
81649.05000000
PA
USD
81314.31000000
0.029152851655
Long
ABS-MBS
US
Y
2
2025-01-15
Fixed
0.42000000
N
N
N
N
N
N
7-ELEVEN, INC.
549300K23JPL0SS3LB18
7-ELEVEN INC 144A 0.625000% 02/10/2023
817826AA8
360000.00000000
PA
USD
359622.00000000
0.128931879493
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
0.62500000
N
N
N
N
N
N
BANQUE FEDERATIVE DU CREDIT MUTUEL SA
VBHFXSYT7OG62HNT8T76
BANQUE FEDERATIVE DU CREDIT MUTUEL SA 144A 4.524000% 07/13/2025
06675DCD2
250000.00000000
PA
USD
247321.71000000
0.088669917051
Long
DBT
NUSS
FR
N
2
2025-07-13
Fixed
4.52400000
N
N
N
N
N
N
COREBRIDGE FINANCIAL, INC.
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 144A 3.500000% 04/04/2025
21871XAA7
230000.00000000
PA
USD
222282.60000000
0.079692881404
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2021-C CPS 2021-C B
12598CAC0
495074.40000000
PA
USD
490470.01000000
0.175843580827
Long
ABS-MBS
US
Y
2
2025-07-15
Fixed
0.84000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A
00834TAA6
139059.51000000
PA
USD
133382.70000000
0.047820439803
Long
ABS-MBS
US
Y
2
2026-11-16
Fixed
1.17000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2001-33 FA
31359S6L9
2475.30000000
PA
USD
2460.63000000
0.000882186436
Long
DBT
USGA
US
N
2
2031-07-25
Floating
4.95586080
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1
12597QAA4
45556.89000000
PA
USD
42774.19000000
0.015335426393
Long
ABS-MBS
US
N
2
2065-04-27
Floating
1.50599880
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 WFCM 2016-C32 ASB
94989YBA0
149140.68000000
PA
USD
144975.15000000
0.051976571425
Long
ABS-MBS
US
N
2
2059-01-15
Fixed
3.32400000
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2022-1 LADAR 2022-1A A
501687AA5
229187.09000000
PA
USD
226188.09000000
0.081093079852
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
5.21000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1
670857AA9
293564.58000000
PA
USD
235475.99000000
0.084422982927
Long
ABS-MBS
US
Y
2
2061-05-25
Floating
1.10099880
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC VARIABLE RATE 05/01/2025
172967MW8
250000.00000000
PA
USD
247665.00000000
0.088792993572
Long
DBT
CORP
US
N
2
2025-05-01
Floating
4.47061680
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 0.537000% 11/13/2023
110122DT2
425000.00000000
PA
USD
411053.94000000
0.147371287232
Long
DBT
CORP
US
N
2
2023-11-13
Fixed
0.53700000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-1 A
02530UAA6
435000.00000000
PA
USD
434981.39000000
0.155949769917
Long
ABS-MBS
US
Y
2
2026-09-14
Fixed
5.45000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 4.750000% 08/09/2024
22550L2J9
250000.00000000
PA
USD
245014.70000000
0.087842806542
Long
DBT
NUSS
CH
N
2
2024-08-09
Fixed
4.75000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2020-G A
69335PDX0
750000.00000000
PA
USD
716930.48000000
0.257034314508
Long
ABS-MBS
US
Y
2
2026-02-15
Fixed
0.97000000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC.
J5OIVXX3P24RJRW5CK77
BAXTER INTERNATIONAL INC VARIABLE RATE 11/29/2024
071813DB2
425000.00000000
PA
USD
418195.62000000
0.149931726319
Long
DBT
CORP
US
N
2
2024-11-29
Floating
4.27707000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-1 CARMX 2023-1 A2A
14318DAB5
555000.00000000
PA
USD
554740.15000000
0.198885747172
Long
ABS-MBS
US
N
2
2026-01-15
Fixed
5.23000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2022-B CNH 2022-B A2
12663JAB7
140000.00000000
PA
USD
138845.92000000
0.049779116476
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
3.94000000
N
N
N
N
N
N
CARBONE CLO
N/A
CARBONE CLO LTD CRBN 2017-1A A1
141312AA6
250000.00000000
PA
USD
247973.00000000
0.088903417904
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
5.94771120
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 0.750000% 11/03/2023
025816CK3
2005000.00000000
PA
USD
1948305.32000000
0.698507507143
Long
DBT
CORP
US
N
2
2023-11-03
Fixed
0.75000000
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2
257812AD9
214019.63000000
PA
USD
207748.77000000
0.074482204588
Long
ABS-MBS
US
Y
2
2034-12-11
Fixed
0.56000000
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2018-II LTD CIFC 2018-2A A1
17180WAA3
300000.00000000
PA
USD
297257.10000000
0.106572780852
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
5.84771040
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-CCRE18 MORTGAGE TRUST COMM 2014-CR18 ASB
12632QAU7
133269.20000000
PA
USD
132550.37000000
0.047522032388
Long
ABS-MBS
US
N
2
2047-07-15
Fixed
3.45200000
N
N
N
N
N
N
SANTANDER BANK, N.A.
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2022-C B
80290CBF0
330516.93000000
PA
USD
330654.23000000
0.118546338478
Long
ABS-MBS
US
Y
2
2032-12-15
Fixed
6.45100000
N
N
N
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE VARIABLE RATE 03/17/2023
13607GKW3
500000.00000000
PA
USD
500317.42000000
0.179374079738
Long
DBT
NUSS
CA
N
2
2023-03-17
Floating
5.12214120
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST 144A VARIABLE RATE 09/13/2024
36143L2E4
1745000.00000000
PA
USD
1700746.80000000
0.609752688839
Long
DBT
CORP
US
N
2
2024-09-13
Floating
4.80782160
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2018-REV1 FORDR 2018-1 A
34532RAA4
480000.00000000
PA
USD
465360.82000000
0.166841420060
Long
ABS-MBS
US
N
2
2031-07-15
Fixed
3.19000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-INV3 VERUS 2019-INV3 A1
92537MAA8
59021.91000000
PA
USD
56359.61000000
0.020206078729
Long
ABS-MBS
US
N
2
2059-11-25
Floating
2.69200080
N
N
N
N
N
N
PERKINELMER, INC.
549300IKL1SDPFI7N655
PERKINELMER INC 0.550000% 09/15/2023
714046AK5
600000.00000000
PA
USD
581783.48000000
0.208581336888
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.55000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-4 VERUS 2019-4 A1
92537KAA2
36365.38000000
PA
USD
34703.06000000
0.012441760376
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
2.64200000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1
31572LAA4
142878.73000000
PA
USD
117033.41000000
0.041958883257
Long
ABS-MBS
US
Y
2
2066-06-25
Floating
0.93099960
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D NAVSL 2020-DA A
63941HAA0
453198.74000000
PA
USD
411482.93000000
0.147525088966
Long
ABS-MBS
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-63 MA
3136A6TC8
243998.40000000
PA
USD
240274.69000000
0.086143415520
Long
DBT
USGA
US
N
2
2040-06-25
Fixed
4.00000000
N
N
N
N
N
N
MISSISSIPPI POWER COMPANY
LNZ0J6YZ5SC6ILIRU850
MISSISSIPPI POWER CO VARIABLE RATE 06/28/2024
605417CC6
350000.00000000
PA
USD
345497.83000000
0.123868074207
Long
DBT
CORP
US
N
2
2024-06-28
Floating
4.62290400
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 3.125000% 05/12/2023
928668BD3
1275000.00000000
PA
USD
1268619.20000000
0.454826061300
Long
DBT
CORP
DE
N
2
2023-05-12
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 995253
31416BTJ7
63.73000000
PA
USD
63.54000000
0.000022780396
Long
DBT
USGA
US
N
2
2023-12-01
Fixed
5.50000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3 BRAVO 2021-NQM3 A1
105690AA9
220537.11000000
PA
USD
200100.24000000
0.071740049357
Long
ABS-MBS
US
Y
2
2060-04-25
Floating
1.69899840
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC VARIABLE RATE 03/01/2023
65339KBV1
375000.00000000
PA
USD
375010.67000000
0.134449034021
Long
DBT
CORP
US
N
2
2023-03-01
Floating
4.36799160
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 0.550000% 05/15/2023
723787AU1
830000.00000000
PA
USD
819799.23000000
0.293914875983
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.55000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-HX1 MORTGAGE LOAN TRUST COLT 2021-HX1 A1
19688KAA2
453641.80000000
PA
USD
377742.54000000
0.135428465574
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.10999880
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED
PUSS41EMO3E6XXNV3U28
PUBLIC SERVICE ENTERPRISE GROUP INC 0.841000% 11/08/2023
744573AT3
2370000.00000000
PA
USD
2292769.26000000
0.822004910532
Long
DBT
CORP
US
N
2
2023-11-08
Fixed
0.84100000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-CM1 TRUST GCAT 2021-CM1 A
36168AAA7
270681.77000000
PA
USD
255500.91000000
0.091602328385
Long
ABS-MBS
US
Y
2
2065-04-25
Floating
1.46900160
N
N
N
N
N
N
TAKE-TWO INTERACTIVE SOFTWARE, INC.
BOMSTHHJK882EWYX3334
TAKE-TWO INTERACTIVE SOFTWARE INC 3.300000% 03/28/2024
874054AE9
525000.00000000
PA
USD
514533.04000000
0.184470671728
Long
DBT
CORP
US
N
2
2024-03-28
Fixed
3.30000000
N
N
N
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP 144A 0.373000% 03/03/2023
62954WAA3
1950000.00000000
PA
USD
1942921.50000000
0.696577297001
Long
DBT
NUSS
JP
N
2
2023-03-03
Fixed
0.37300000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2022-3 CARMX 2022-3 A2A
14318MAB5
546616.52000000
PA
USD
542409.92000000
0.194465106253
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
3.81000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FED HOME LN DISCOUNT NT ZERO COUPON 07/14/2023
313384JC4
236000.00000000
PA
USD
230940.29000000
0.082796841239
Long
DBT
USGA
US
N
2
2023-07-14
None
0.00000000
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-2 B
46591HAU4
318815.27000000
PA
USD
311636.00000000
0.111727912079
Long
ABS-MBS
US
Y
2
2028-02-25
Fixed
0.84000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM2R NRZT 2021-NQ2R A1
64831EAA8
86310.82000000
PA
USD
77885.12000000
0.027923416548
Long
ABS-MBS
US
N
2
2058-10-25
Floating
0.94053960
N
N
N
N
N
N
BUNKER HILL LOAN DEPOSITARY TRUST
N/A
BUNKER HILL LOAN DEPOSITARY TRUST 2020-1 BHLD 2020-1 A1
12062RAA8
79153.66000000
PA
USD
75637.49000000
0.027117594990
Long
ABS-MBS
US
N
2
2055-02-25
Floating
1.72400040
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 07/13/2023
912796XQ7
1000000.00000000
PA
USD
979401.25000000
0.351135480978
Long
DBT
UST
US
N
2
2023-07-13
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A
3137BJQ71
300000.00000000
PA
USD
289449.33000000
0.103773534808
Long
DBT
USGA
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
DUNKIN BRANDS
N/A
DB MASTER FINANCE LLC DNKN 2019-1A A2II
233046AK7
604687.50000000
PA
USD
577449.96000000
0.207027680887
Long
ABS-MBS
US
N
2
2049-05-20
Fixed
4.02100000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA MTN 0.800000% 04/03/2023
44891ABU0
450000.00000000
PA
USD
446908.50000000
0.160225884029
Long
DBT
CORP
US
N
2
2023-04-03
Fixed
0.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 344313
31375TN61
40.13000000
PA
USD
39.83000000
0.000014279873
Long
DBT
USGA
US
N
2
2025-11-01
Floating
4.24500120
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST 2007-AR2 GSR 2007-AR2 1A1
3622N6AA7
57778.13000000
PA
USD
32761.15000000
0.011745545722
Long
ABS-MBS
US
N
2
2037-05-25
Floating
3.00098160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0054
31418MBY7
5.06000000
PA
USD
5.14000000
0.000001842795
Long
DBT
USGA
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1
105699AA0
78327.13000000
PA
USD
74593.87000000
0.026743435768
Long
ABS-MBS
US
N
2
2060-05-25
Floating
1.44900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3.875000% 08/28/2024
3135G06W8
1700000.00000000
PA
USD
1676055.93000000
0.600900504391
Long
DBT
USGA
US
N
2
2024-08-28
Fixed
3.87500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
526861.51000000
PA
USD
524561.71000000
0.188066156076
Long
ABS-MBS
US
N
2
2036-10-15
Floating
5.51252160
N
N
N
N
N
N
THE SHERWIN-WILLIAMS COMPANY
Z15BMIOX8DDH0X2OBP21
SHERWIN-WILLIAMS CO/THE 4.050000% 08/08/2024
824348BQ8
250000.00000000
PA
USD
247156.98000000
0.088610857959
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
4.05000000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 4.200000% 08/01/2023
14916RAF1
1115000.00000000
PA
USD
1108640.71000000
0.397470484071
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.20000000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-3 DTAOT 2021-3A A
23344QAA7
96397.72000000
PA
USD
95722.19000000
0.034318372807
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.33000000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2 UACST 2022-2 A
90944KAA3
399279.73000000
PA
USD
397642.92000000
0.142563160881
Long
ABS-MBS
US
Y
2
2025-04-10
Fixed
4.39000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-1 FCAT 2021-1 A
33843WAA9
28530.96000000
PA
USD
28415.69000000
0.010187608986
Long
ABS-MBS
US
Y
2
2025-06-16
Fixed
0.31000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2021-2 LLC EFF 2021-2 A2
29374YAB8
167896.24000000
PA
USD
160989.44000000
0.057718023585
Long
ABS-MBS
US
Y
2
2027-05-20
Fixed
0.48000000
N
N
N
N
N
N
KKR CLO LTD/LLC
N/A
KKR CLO 11 LTD KKR 11 AR
48250MAK3
325000.00000000
PA
USD
321831.90000000
0.115383351818
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
5.97242880
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 144A 3.428000% 03/15/2024
55903VAC7
750000.00000000
PA
USD
734051.97000000
0.263172720627
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.42800000
N
N
N
N
N
N
2023-01-31
SEI DAILY INCOME TRUST
Ankit Puri
Ankit Puri
CFO