0001752724-23-221960.txt : 20230928
0001752724-23-221960.hdr.sgml : 20230928
20230928155037
ACCESSION NUMBER: 0001752724-23-221960
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230731
FILED AS OF DATE: 20230928
DATE AS OF CHANGE: 20230928
PERIOD START: 20240131
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: 231289294
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
2024-01-31
2023-07-31
N
259624309.09
1538233.36
258086075.73
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
1440189.42000000
USD
N
PENSKE TRUCK LEASING CO., L.P.
549300ZX07JYMI8GHQ39
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 144A 5.750000% 05/24/2026
709599BU7
250000.00000000
PA
USD
248753.23000000
0.096383824387
Long
DBT
CORP
US
N
2
2026-05-24
Fixed
5.75000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 2.125000% 03/17/2024
609207AZ8
290000.00000000
PA
USD
283440.23000000
0.109823914055
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
422372.96000000
0.163655849625
Long
DBT
NUSS
AU
N
2
2025-10-14
Floating
6.00496200
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
206132.22000000
PA
USD
201211.84000000
0.077963074695
Long
ABS-MBS
US
Y
2
2030-05-15
Fixed
1.00000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2023-3 MFT 2023-3A A
57109RAA8
413000.00000000
PA
USD
412897.12000000
0.159984268361
Long
ABS-MBS
US
Y
2
2033-09-15
Fixed
6.49000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-AFC1 TRUST CSMC 2021-AFC1 A1
12657LAA2
199774.60000000
PA
USD
153422.74000000
0.059446345396
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
2010.35000000
PA
USD
2004.71000000
0.000776760231
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
11389.73000000
PA
USD
10379.96000000
0.004021898496
Long
ABS-MBS
US
N
2
2035-01-25
Floating
6.17247000
N
N
N
N
N
N
SYMPHONY STATIC CLO LTD
N/A
SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A
87190TAA1
431571.06000000
PA
USD
428490.94000000
0.166026368833
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-25
Floating
6.44281920
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY COMPANY LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC DELIVERY CO LLC 2.750000% 06/01/2024
68233JBM5
1340000.00000000
PA
USD
1306969.59000000
0.506408409017
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K726 A2
3137BYPQ7
683200.23000000
PA
USD
671000.87000000
0.259991116569
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
248744.61000000
PA
USD
245962.65000000
0.095302564969
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
47600.46000000
PA
USD
47349.67000000
0.018346464398
Long
ABS-MBS
US
N
2
2025-02-20
Fixed
0.47000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1
69360GAA1
108983.66000000
PA
USD
94876.29000000
0.036761491193
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
239754.79000000
PA
USD
235545.30000000
0.091266179058
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
6.43647960
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 3.100000% 02/01/2025
958667AB3
400000.00000000
PA
USD
382342.00000000
0.148145148442
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.10000000
N
N
N
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
1445000.00000000
PA
USD
1374596.19000000
0.532611527418
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
26590.32000000
PA
USD
24790.05000000
0.009605341911
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
14119.62000000
PA
USD
13318.35000000
0.005160429504
Long
ABS-MBS
US
N
2
2035-04-25
Floating
5.93246880
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST
N/A
HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A
43285HAA6
74510.84000000
PA
USD
69441.64000000
0.026906387647
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
21557.23000000
PA
USD
19930.79000000
0.007722535957
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
574793.00000000
0.222713681229
Long
DBT
NUSS
CA
N
2
2023-12-14
Floating
5.61500280
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ4793
3138YWKF3
94973.17000000
PA
USD
90312.92000000
0.034993333036
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
660408.02000000
PA
USD
516893.50000000
0.200279499208
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
308744.13000000
0.119628356208
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
171948.52000000
PA
USD
142829.66000000
0.055341869799
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
47156.29000000
PA
USD
46690.30000000
0.018090979867
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.75000040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.125000% 01/27/2025
3134GYFG2
725000.00000000
PA
USD
717608.05000000
0.278049890126
Long
DBT
USGA
US
N
2
2025-01-27
Fixed
5.12500000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2023-A MMAF 2023-A A2
55317WAB7
340000.00000000
PA
USD
339897.93000000
0.131699445248
Long
ABS-MBS
US
Y
2
2026-11-13
Fixed
5.79000000
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
663851.59000000
0.257221001994
Long
DBT
CORP
US
N
2
2024-08-23
Floating
5.53772160
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2020-Z2 AFFRM 2020-Z2 A
00834AAA7
23785.27000000
PA
USD
23506.10000000
0.009107852848
Long
ABS-MBS
US
Y
2
2025-01-15
Fixed
1.90000000
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TRUST
N/A
WORLD OMNI SELECT AUTO TRUST 2023-A WOSAT 2023-A A2A
98163UAB6
475000.00000000
PA
USD
474386.44000000
0.183809389428
Long
ABS-MBS
US
N
2
2027-03-15
Fixed
5.92000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM3 TRUST GCAT 2021-NQM3 A1
36167HAA3
210903.20000000
PA
USD
170482.93000000
0.066056616777
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.09100160
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2023-3 DTAOT 2023-3A A
23345WAA3
325000.00000000
PA
USD
325115.08000000
0.125971569400
Long
ABS-MBS
US
Y
2
2027-08-16
Fixed
6.29000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K043 A2
3137BGK24
1750000.00000000
PA
USD
1693833.93000000
0.656305817820
Long
DBT
USGA
US
N
2
2024-12-25
Fixed
3.06200000
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
3275.53000000
0.001269161844
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
344430.60000000
0.133455708149
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
3.25000000
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
2272037.15000000
0.880340848910
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
5.72527080
N
N
N
N
N
N
KKR FINANCIAL CLO, LTD.
N/A
KKR CLO 21 LTD KKR 21 A
48252KAA7
462963.22000000
PA
USD
459711.37000000
0.178123274841
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.56957160
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST
N/A
NISSAN AUTO RECEIVABLES 2023-A OWNER TRUST NAROT 2023-A A2A
65480WAB7
235000.00000000
PA
USD
234182.39000000
0.090738095551
Long
ABS-MBS
US
N
2
2026-02-17
Fixed
5.34000000
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
1202194.62000000
0.465811499748
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
402460.35000000
PA
USD
398450.64000000
0.154386724999
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
6.56775000
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD NEUB 2017-26A AR
64131QAJ9
584464.29000000
PA
USD
581654.19000000
0.225372170255
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-18
Floating
6.49149840
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
518052.03000000
0.200728392081
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
592291.30000000
PA
USD
580873.58000000
0.225069709149
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
1336938.29000000
0.518020310169
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
60460.58000000
PA
USD
55856.96000000
0.021642763888
Long
ABS-MBS
US
N
2
2060-05-24
Floating
1.65017160
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.845000% 06/14/2025
46647PDE3
2090000.00000000
PA
USD
2050752.60000000
0.794600248850
Long
DBT
CORP
US
N
2
2025-06-14
Fixed
3.84500000
N
N
N
N
N
N
N/A
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2023-2 A2
35104AAB4
340000.00000000
PA
USD
340051.17000000
0.131758820788
Long
ABS-MBS
US
N
2
2028-05-15
Fixed
5.99000000
N
N
N
N
N
N
GE HEALTHCARE TECHNOLOGIES INC.
549300OI9J7XOWZMUN85
GE HEALTHCARE TECHNOLOGIES INC 5.550000% 11/15/2024
36267VAB9
375000.00000000
PA
USD
374578.87000000
0.145137186863
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2002-64 FG
31392EP61
190.59000000
PA
USD
191.52000000
0.000074207800
Long
DBT
USGA
US
N
2
2032-10-18
Floating
5.43274920
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R2 VERUS 2021-R2 A1
92538DAA7
196166.32000000
PA
USD
168697.66000000
0.065364882441
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
42670.72000000
PA
USD
42523.07000000
0.016476313136
Long
ABS-MBS
US
Y
2
2024-03-15
Fixed
0.38000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2013-2 LTD INGIM 2013-2A A1R
92916WAA7
453091.14000000
PA
USD
449045.94000000
0.173990765960
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.58281960
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.875000% 01/15/2024
29278NAM5
1370000.00000000
PA
USD
1368388.62000000
0.530206294984
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
219757.50000000
PA
USD
180983.95000000
0.070125422105
Long
ABS-MBS
US
Y
2
2056-11-25
Floating
1.59500160
N
N
N
N
N
N
ONEMAIN DIRECT AUTO RECEIVABLES TRUST
N/A
ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2019-1 ODART 2019-1A A
68267EAA2
315000.00000000
PA
USD
303921.64000000
0.117759797439
Long
ABS-MBS
US
N
2
2027-09-14
Fixed
3.63000000
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
87768.54000000
PA
USD
87355.90000000
0.033847583505
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
252366.68000000
PA
USD
242147.62000000
0.093824364338
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
431701.15000000
PA
USD
332616.45000000
0.128878107452
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
95162.97000000
PA
USD
90075.29000000
0.034901259103
Long
ABS-MBS
US
Y
2
2028-06-13
Fixed
0.56000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2023-1 MFT 2023-1A A
57110PAA9
399521.14000000
PA
USD
398492.21000000
0.154402832029
Long
ABS-MBS
US
Y
2
2033-04-15
Fixed
6.07000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 493805
31382VR22
2428.61000000
PA
USD
2360.19000000
0.000914497224
Long
DBT
USGA
US
N
2
2029-01-01
Floating
4.46500080
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
391431.72000000
0.151667120704
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
58736.69000000
PA
USD
58009.22000000
0.022476694969
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
349231.10000000
0.135315746505
Long
DBT
CORP
US
N
2
2026-01-25
Floating
6.02325000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-2 LLC EFF 2023-2 A2
29375NAB1
410000.00000000
PA
USD
408356.97000000
0.158225107203
Long
ABS-MBS
US
Y
2
2030-04-22
Fixed
5.56000000
N
N
N
N
N
N
GTE AUTO RECEIVABLES TRUST
N/A
GTE AUTO RECEIVABLES TRUST 2023-1 GTE 2023-1 A2
362304AB3
1155000.00000000
PA
USD
1149174.76000000
0.445268020271
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
5.65000000
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
401814.30000000
0.155690034366
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
47876.76000000
PA
USD
47314.65000000
0.018332895281
Long
DBT
USGA
US
N
2
2040-04-16
Fixed
1.50000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-3 AOMT 2020-3 A1
03465LAA3
157739.90000000
PA
USD
143079.71000000
0.055438756079
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
648053.09000000
0.251099594647
Long
DBT
NUSS
CA
N
2
2024-07-31
Floating
5.72507640
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-2 A
02529YAA1
159297.59000000
PA
USD
158830.27000000
0.061541588228
Long
ABS-MBS
US
Y
2
2026-10-13
Fixed
5.89000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2014-M8 A2
3136AKQM8
364121.27000000
PA
USD
355066.74000000
0.137576868103
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
217487.14000000
0.084269226607
Long
ABS-MBS
US
N
2
2025-02-20
Fixed
0.68000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2 AMCAR 2020-2 C
03066EAF1
675000.00000000
PA
USD
653249.34000000
0.253112973318
Long
ABS-MBS
US
N
2
2026-02-18
Fixed
1.48000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 0.550000% 01/22/2024
63859UBG7
400000.00000000
PA
USD
390027.16000000
0.151122899171
Long
DBT
NUSS
GB
N
2
2024-01-22
Fixed
0.55000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 5.000000% 02/20/2026
126650DS6
275000.00000000
PA
USD
274057.85000000
0.106188545517
Long
DBT
CORP
US
N
2
2026-02-20
Fixed
5.00000000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-2 A2
34660DAB7
287363.65000000
PA
USD
285615.30000000
0.110666683273
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
279288.86000000
0.108215392562
Long
ABS-MBS
US
N
2
2025-06-15
Fixed
5.19000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.300000% 01/27/2026
3134GYEA6
1475000.00000000
PA
USD
1466694.32000000
0.568296571541
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
312504.07000000
PA
USD
311093.43000000
0.120538633911
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
6.45172920
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-J TRUST BOAMS 2005-J 2A1
05949CKQ8
3967.17000000
PA
USD
3559.58000000
0.001379222025
Long
ABS-MBS
US
N
2
2035-11-25
Floating
3.89991240
N
N
N
N
N
N
GMACM MORTGAGE LOAN TRUST
N/A
GMACM MORTGAGE LOAN TRUST 2005-AR6 GMACM 2005-AR6 2A1
36185MBJ0
63417.56000000
PA
USD
55058.19000000
0.021333266370
Long
ABS-MBS
US
N
2
2035-11-19
Floating
3.35146680
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.505000% 07/26/2024
3135G07C1
800000.00000000
PA
USD
796479.79000000
0.308610136268
Long
DBT
USGA
US
N
2
2024-07-26
Fixed
5.50500000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A
00834CAA3
137480.22000000
PA
USD
133930.70000000
0.051893810861
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
1.07000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST
N/A
FORD CREDIT AUTO LEASE TRUST 2021-B FORDL 2021-B B
345329AE6
500000.00000000
PA
USD
490208.90000000
0.189940080499
Long
ABS-MBS
US
N
2
2025-01-15
Fixed
0.66000000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-1 A2
35105JAB4
19529.21000000
PA
USD
19420.38000000
0.007524768604
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
139032.99000000
PA
USD
121491.99000000
0.047074213382
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
1837.74000000
PA
USD
1817.55000000
0.000704241790
Long
DBT
USGA
US
N
2
2024-09-01
Floating
4.43099880
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
443159.10000000
0.171709806019
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
62566.66000000
PA
USD
56300.21000000
0.021814508915
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
68437.61000000
PA
USD
37555.94000000
0.014551711049
Long
ABS-MBS
US
N
2
2035-07-25
Floating
5.13365760
N
N
N
N
N
N
TRK TRUST
N/A
TRK 2021-INV1 TRUST TRK 2021-INV1 A1
89688WAA9
188983.29000000
PA
USD
158891.06000000
0.061565142385
Long
ABS-MBS
US
Y
2
2056-07-25
Floating
1.15300080
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2023-1 A2
35105NAB5
297509.04000000
PA
USD
295807.62000000
0.114615877343
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
5.43000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2014-5 JPMMT 2014-5 A1
46643KAA9
828496.82000000
PA
USD
780158.01000000
0.302285974860
Long
ABS-MBS
US
N
2
2029-10-25
Floating
2.76374520
N
N
N
N
N
N
HARLEY DAVIDSON MOTORCYCLE TRUST
N/A
HARLEY-DAVIDSON MOTORCYCLE TRUST 2022-A HDMOT 2022-A A2A
41284YAB2
46835.41000000
PA
USD
46667.45000000
0.018082126231
Long
ABS-MBS
US
N
2
2025-05-15
Fixed
2.45000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 6.051000% 03/01/2025
65339KBP4
200000.00000000
PA
USD
201450.48000000
0.078055539970
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.05100000
N
N
N
N
N
N
DLLAA LLC
N/A
DLLAA 2023-1 LLC DLLAA 2023-1A A2
23292HAB7
200000.00000000
PA
USD
200404.20000000
0.077650140339
Long
ABS-MBS
US
Y
2
2026-07-20
Fixed
5.93000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM3 TRUST MFRA 2020-NQM3 A1
552757AA4
64913.22000000
PA
USD
58445.63000000
0.022645789717
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
226551.21000000
PA
USD
225360.00000000
0.087319705010
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-17
Floating
6.54957000
N
N
N
N
N
N
STRYKER CORPORATION
5493002F0SC4JTBU5137
STRYKER CORP 0.600000% 12/01/2023
863667BB6
230000.00000000
PA
USD
226020.60000000
0.087575666126
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
2879613.39000000
1.115756974433
Long
DBT
CORP
US
N
2
2024-10-15
Floating
5.92481520
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC
N/A
VOLVO FINANCIAL EQUIPMENT LLC SERIES 2020-1 VFET 2020-1A A3
92888EAC7
59052.41000000
PA
USD
58627.69000000
0.022716332074
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
3467.88000000
PA
USD
3488.59000000
0.001351715698
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
31017.45000000
PA
USD
30994.62000000
0.012009411942
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
347164.34000000
PA
USD
282368.79000000
0.109408765738
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.15611840
N
N
N
N
N
N
HOWARD UNIVERSITY (THE)
5493000EDHIQDJSTOF89
HOWARD UNIVERSITY 2.801000% 10/01/2023
442851AE1
380000.00000000
PA
USD
377722.74000000
0.146355334719
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
43755.63000000
PA
USD
43450.97000000
0.016835844350
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
53397.13000000
PA
USD
50510.17000000
0.019571055841
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
505068.57000000
0.195697721611
Long
DBT
CORP
US
N
2
2026-03-20
Floating
6.02292960
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
275721.11000000
0.106833004926
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
0.93000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-3 CARMX 2023-3 A2A
14319BAB8
780000.00000000
PA
USD
780885.92000000
0.302568016422
Long
ABS-MBS
US
N
2
2026-11-16
Fixed
5.72000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C03 2M2
30711XCT9
213177.17000000
PA
USD
226942.83000000
0.087933000398
Long
DBT
USGA
US
N
2
2028-10-25
Floating
11.08348920
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2005-A6 JPMMT 2005-A6 7A1
466247UG6
13104.09000000
PA
USD
10907.97000000
0.004226485279
Long
ABS-MBS
US
N
2
2035-08-25
Floating
4.18067280
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B
30227FAE0
240205.86000000
PA
USD
235389.80000000
0.091205927841
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
6.71648040
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1
92536PAA2
23000.76000000
PA
USD
22181.19000000
0.008594493111
Long
ABS-MBS
US
N
2
2060-01-25
Floating
2.41700040
N
N
N
N
N
N
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
BANK OF NEW YORK MELLON/THE MTN 5.148000% 05/22/2026
06405LAD3
250000.00000000
PA
USD
249296.20000000
0.096594207686
Long
DBT
CORP
US
N
2
2026-05-22
Fixed
5.14800000
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
298846.08000000
0.115793182237
Long
ABS-MBS
US
N
2
2053-03-15
Fixed
2.21080000
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
163279.70000000
PA
USD
162928.83000000
0.063129647556
Long
ABS-MBS
US
Y
2
2025-07-10
Fixed
5.57000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.300000% 05/22/2024
3130AVT51
700000.00000000
PA
USD
696600.15000000
0.269910008910
Long
DBT
USGA
US
N
2
2024-05-22
Fixed
5.30000000
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
400161.97000000
0.155049809978
Long
DBT
NUSS
CA
N
2
2023-10-26
Floating
5.77756080
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
960308.45000000
0.372088438821
Long
DBT
CORP
US
N
2
2024-04-01
Floating
6.09160680
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1
89173UAA5
134678.59000000
PA
USD
126823.39000000
0.049139958303
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
249455.35000000
0.096655873159
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2018-RP2 CMLTI 2018-RP2 A1
17326UAA2
94777.89000000
PA
USD
90214.05000000
0.034955024111
Long
ABS-MBS
US
N
2
2058-02-25
Floating
3.49999920
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) SEP23 FINANCIAL COMMODITY FUTURE.
N/A
-6.00000000
NC
USD
-640921.88000000
-0.24833648161
N/A
DIR
US
N
1
US 5YR NOTE (CBT) SEP23
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Sep 2023
2023-10-02
-654275.39000000
USD
13353.51000000
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-B AFFRM 2021-B A
00834DAA1
355000.00000000
PA
USD
348903.90000000
0.135188967096
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
312511.65000000
PA
USD
311919.85000000
0.120858844909
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
464.73000000
PA
USD
461.04000000
0.000178638075
Long
DBT
USGA
US
N
2
2024-09-01
Floating
4.09600080
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
46400.59000000
PA
USD
45671.75000000
0.017696324712
Long
ABS-MBS
US
N
2
2047-12-15
Fixed
3.32600000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST
N/A
ALLY AUTO RECEIVABLES TRUST 2023-1 ALLYA 2023-1 A2
02007WAB4
585000.00000000
PA
USD
585558.50000000
0.226884963996
Long
ABS-MBS
US
N
2
2026-11-15
Fixed
5.76000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2022-1 CARMX 2022-1 A3
14317CAC6
1700000.00000000
PA
USD
1632655.52000000
0.632601164313
Long
ABS-MBS
US
N
2
2026-12-15
Fixed
1.47000000
N
N
N
N
N
N
BFLD TRUST
N/A
BFLD TRUST 2020-OBRK BFLD 2020-OBRK A
05553JAA6
325000.00000000
PA
USD
323689.34000000
0.125419141301
Long
ABS-MBS
US
Y
2
2028-11-15
Floating
7.38648000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS, L.P.
549300PDHUGWPWGOT525
KINDER MORGAN ENERGY PARTNERS LP 4.300000% 05/01/2024
28370TAG4
1350000.00000000
PA
USD
1333714.45000000
0.516771176526
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
4.30000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3 CGCMT 2016-P3 AAB
29429CAE5
386200.26000000
PA
USD
371436.83000000
0.143919748072
Long
ABS-MBS
US
N
2
2049-04-15
Fixed
3.12700000
N
N
N
N
N
N
GRAY OAK PIPELINE, LLC
N/A
GRAY OAK PIPELINE LLC 144A 2.000000% 09/15/2023
38937LAA9
212000.00000000
PA
USD
210721.83000000
0.081647887978
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
2.00000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1
19688EAA6
188861.52000000
PA
USD
151959.09000000
0.058879228400
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
932925.66000000
0.361478494088
Long
DBT
USGA
US
N
2
2024-12-30
Fixed
4.00000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.600000% 11/21/2024
00287YBZ1
1735000.00000000
PA
USD
1670253.58000000
0.647169195500
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A B
96042RAD0
192130.91000000
PA
USD
190039.43000000
0.073634127475
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
0.62000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2020-REV1 FORDR 2020-1 A
34531NAA4
1400000.00000000
PA
USD
1322731.62000000
0.512515685419
Long
ABS-MBS
US
N
2
2031-08-15
Fixed
2.04000000
N
N
N
N
N
N
Keybank National Association
HUX2X73FUCYHUVH1BK78
KEYBANK NA/CLEVELAND OH VARIABLE RATE 01/03/2024
49327M3B8
575000.00000000
PA
USD
573735.00000000
0.222303740477
Long
DBT
CORP
US
N
2
2024-01-03
Floating
5.60160720
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1
85573MAA7
33205.05000000
PA
USD
30654.03000000
0.011877444342
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
319076.10000000
PA
USD
315852.95000000
0.122382793843
Long
ABS-MBS
US
N
2
2059-10-25
Floating
6.41247120
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-B BHG 2022-B A
05553DAA9
263632.39000000
PA
USD
260216.22000000
0.100825361951
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
416483.16000000
0.161373742780
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
1.95000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2018-2 TPMT 2018-2 A1
89175VAA1
168481.12000000
PA
USD
160430.13000000
0.062161482190
Long
ABS-MBS
US
N
2
2058-03-25
Floating
3.25000080
N
N
N
N
N
N
CHASE MORTGAGE REFERENCE NOTES
N/A
CHASE MORTGAGE FINANCE CORP CHASE 2021-CL1 M1
46591HBX7
253155.56000000
PA
USD
235004.05000000
0.091056462203
Long
ABS-MBS
US
N
2
2050-02-25
Floating
6.26901120
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1 EART 2023-1A A2
30168BAB6
113639.41000000
PA
USD
113529.46000000
0.043988990757
Long
ABS-MBS
US
N
2
2025-06-16
Fixed
5.61000000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A2
00217FAB1
31099.31000000
PA
USD
30813.20000000
0.011939117564
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
11551.71000000
PA
USD
11360.98000000
0.004402011990
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
611832.62000000
PA
USD
605713.68000000
0.234694443815
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-15
Floating
6.36957000
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
343171.40000000
0.132967808910
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
29165.67000000
PA
USD
27597.74000000
0.010693230900
Long
ABS-MBS
US
N
2
2060-01-26
Floating
2.37600000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2
29374EAB2
41377.71000000
PA
USD
40620.41000000
0.015739093976
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
537857.50000000
PA
USD
533730.52000000
0.206803299438
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
6.51957120
N
N
N
N
N
N
NATIONAL SECURITIES CLEARING CORPORATION
549300RYC9NELN2ICA34
NATIONAL SECURITIES CLEARING CORP 144A 5.150000% 05/30/2025
637639AJ4
250000.00000000
PA
USD
249740.26000000
0.096766266561
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
5.15000000
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
98270.06000000
PA
USD
95593.87000000
0.037039530214
Long
ABS-MBS
US
N
2
2048-03-15
Fixed
3.15000000
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
380100.86000000
0.147276779239
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
1073726.60000000
PA
USD
1046816.97000000
0.405607690007
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
138961.22000000
PA
USD
138543.09000000
0.053680962681
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.53775120
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2021-LGCY BX 2021-LGCY A
12434DAA0
600000.00000000
PA
USD
582720.78000000
0.225785439354
Long
ABS-MBS
US
Y
2
2036-10-15
Floating
5.84247960
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021-3R A1
19688DAA8
127435.40000000
PA
USD
109499.35000000
0.042427453588
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
1059632.26000000
0.410573200046
Long
DBT
CORP
US
N
2
2023-11-01
Floating
5.77914120
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
156041.55000000
PA
USD
150504.04000000
0.058315443626
Long
ABS-MBS
US
N
2
2058-07-15
Fixed
3.02000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST
N/A
TESLA AUTO LEASE TRUST 2023-A TESLA 2023-A A2
88167PAB4
185000.00000000
PA
USD
184911.94000000
0.071647391079
Long
ABS-MBS
US
Y
2
2025-08-20
Fixed
5.86000000
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
196803.20000000
0.076254869404
Long
DBT
NUSS
SA
N
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 4.990000% 05/01/2026
025816DE6
275000.00000000
PA
USD
271803.94000000
0.105315228352
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
4.99000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM1 TRUST MFRA 2020-NQM1 A1
552754AA1
51512.91000000
PA
USD
46993.93000000
0.018208626663
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
345112.13000000
PA
USD
278454.79000000
0.107892217436
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
914989.54000000
0.354528828187
Long
ABS-MBS
US
Y
2
2038-09-15
Floating
6.38647920
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
422892.91000000
0.163857313419
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
273617.19000000
0.106017804031
Long
ABS-MBS
US
N
2
2036-01-10
Fixed
4.14900000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 0.613000% 03/15/2024
125523CN8
190000.00000000
PA
USD
183833.12000000
0.071229383251
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
649283.70000000
0.251576416187
Long
DBT
CORP
US
N
2
2025-04-22
Floating
6.02620920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 2.940000% 11/24/2023
3134GXTV6
535000.00000000
PA
USD
530522.00000000
0.205560101799
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
1925312.50000000
0.745996270645
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
599946.60000000
0.232459886998
Long
DBT
CORP
CA
N
2
2023-12-08
Floating
5.54848560
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
393596.13000000
PA
USD
349845.56000000
0.135553829864
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
6.36900840
N
N
N
N
N
N
DLLST LLC
N/A
DLLST 2022-1 LLC DLLST 2022-1A A3
23292GAC7
400000.00000000
PA
USD
394213.72000000
0.152745055650
Long
ABS-MBS
US
Y
2
2025-01-21
Fixed
3.40000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A1
92537QAA9
107590.71000000
PA
USD
91148.12000000
0.035316946000
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
90677.57000000
PA
USD
82492.83000000
0.031963301300
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
418744.72000000
0.162250024072
Long
DBT
CORP
US
N
2
2023-11-22
Fixed
1.12500000
N
N
N
N
N
N
CONAGRA BRANDS, INC.
54930035UDEIH090K650
CONAGRA BRANDS INC 0.500000% 08/11/2023
205887CG5
325000.00000000
PA
USD
324556.81000000
0.125755257846
Long
DBT
CORP
US
N
2
2023-08-11
Fixed
0.50000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.300000% 05/28/2024
3130AVVB5
700000.00000000
PA
USD
696414.90000000
0.269838230532
Long
DBT
USGA
US
N
2
2024-05-28
Fixed
5.30000000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2023-2 DTAOT 2023-2A A
23346CAA6
366282.23000000
PA
USD
365148.44000000
0.141483200504
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
5.88000000
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
779247.36000000
0.301933127463
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
56287.40000000
PA
USD
56067.94000000
0.021724511809
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
621855.46000000
PA
USD
617823.29000000
0.239386525697
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
662532.06000000
PA
USD
660678.96000000
0.255991710568
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.54957000
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
189061.14000000
PA
USD
187893.93000000
0.072802815676
Long
ABS-MBS
US
N
2
2026-02-17
Fixed
0.75000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-H3 MSC 2018-H3 ASB
61767YAW0
96927.91000000
PA
USD
92970.23000000
0.036022954642
Long
ABS-MBS
US
N
2
2051-07-15
Fixed
4.12000000
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
317902.56000000
0.123176951372
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
10856.72000000
PA
USD
9901.98000000
0.003836696719
Long
ABS-MBS
US
N
2
2035-08-25
Floating
6.05247120
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1
89173FAA8
58657.98000000
PA
USD
57861.06000000
0.022419287765
Long
ABS-MBS
US
N
2
2056-10-25
Floating
2.75000040
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2018-CH3 SEMT 2018-CH3 A1
81746WAA6
6103.86000000
PA
USD
5928.23000000
0.002296997225
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
95459.41000000
PA
USD
94450.84000000
0.036596643090
Long
ABS-MBS
US
Y
2
2035-10-17
Fixed
5.32000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-C CPS 2023-C A
223928AA0
125000.00000000
PA
USD
125024.13000000
0.048442803295
Long
ABS-MBS
US
Y
2
2026-09-15
Fixed
6.13000000
N
N
N
N
N
N
SONY CAPITAL CORPORATION
549300U02ZVT5SS1W359
SONY CAPITAL CORP COMMERCIAL PAPER (ISITC)
83570YV32
1000000.00000000
PA
USD
999541.58000000
0.387290006705
Long
ABS-APCP
US
N
2
2023-08-03
None
0.00000000
N
N
N
N
N
N
TRICOLOR AUTO SECURITIZATION TRUST
N/A
TRICOLOR AUTO SECURITIZATION TRUST 2022-1 TAST 2022-1A A
89616BAA2
45006.76000000
PA
USD
44772.99000000
0.017348084306
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
480762.86000000
PA
USD
416709.86000000
0.161461581691
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
161424.05000000
PA
USD
160524.11000000
0.062197896397
Long
ABS-CBDO
CORP
KY
Y
2
2029-06-20
Floating
6.45999840
N
N
N
N
N
N
Morgan Stanley Bank, National Association
G1MLHIS0N32I3QPILB75
MORGAN STANLEY BANK NA 4.754000% 04/21/2026
61690U4T4
250000.00000000
PA
USD
246920.89000000
0.095673851950
Long
DBT
CORP
US
N
2
2026-04-21
Fixed
4.75400000
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-A BHG 2022-A A
054977AA1
337508.78000000
PA
USD
324922.74000000
0.125897043876
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
237745.16000000
PA
USD
233480.63000000
0.090466186267
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
134148.49000000
PA
USD
133325.62000000
0.051659361948
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
6.69224880
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-6 BSARM 2005-6 3A1
07387ADJ1
27513.77000000
PA
USD
25129.20000000
0.009736751558
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.31217800
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
321304.93000000
0.124495259611
Long
DBT
NUSS
JP
N
2
2025-07-18
Fixed
4.78800000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST
N/A
KUBOTA CREDIT OWNER TRUST 2020-2 KCOT 2020-2A A3
50116YAC5
28288.62000000
PA
USD
27971.82000000
0.010838174791
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
54464.75000000
PA
USD
48165.91000000
0.018662730975
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
109138.93000000
PA
USD
95351.11000000
0.036945468572
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
63335.95000000
PA
USD
63019.02000000
0.024417830300
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
28963.17000000
PA
USD
27602.81000000
0.010695195361
Long
ABS-MBS
US
N
2
2035-12-25
Floating
5.93246880
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
90028.01000000
PA
USD
84456.40000000
0.032724121113
Long
ABS-MBS
US
N
2
2057-04-25
Floating
3.99999960
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2021-INV1 TRUST MFRA 2021-INV1 A1
552747AA5
119744.49000000
PA
USD
105531.86000000
0.040890179643
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
60040.52000000
PA
USD
54388.74000000
0.021073876165
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.71499960
N
N
N
N
N
N
COREBRIDGE FINANCIAL, INC.
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 3.500000% 04/04/2025
21871XAB5
230000.00000000
PA
USD
220723.09000000
0.085523052483
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 06/23/2025
46647PCL8
325000.00000000
PA
USD
324085.35000000
0.125572582357
Long
DBT
CORP
US
N
2
2025-06-23
Floating
5.82519960
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1
89180FCD1
586502.44000000
PA
USD
543023.37000000
0.210403977999
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
249409.13000000
0.096637964405
Long
DBT
CORP
US
N
2
2024-09-10
Floating
5.70618000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-F TRUST BOAMS 2005-F 2A2
05949CCA2
23047.58000000
PA
USD
21172.58000000
0.008203689385
Long
ABS-MBS
US
N
2
2035-07-25
Floating
5.23866240
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2
03237KAB0
113633.72000000
PA
USD
111024.81000000
0.043018519959
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
398659.79000000
0.154467763854
Long
DBT
CORP
US
N
2
2025-06-01
Floating
5.71886640
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A
00834HAA2
112123.12000000
PA
USD
109686.89000000
0.042500119268
Long
ABS-MBS
US
Y
2
2027-02-15
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KW07 A1
3137FJYG8
781173.04000000
PA
USD
757381.01000000
0.293460624660
Long
DBT
USGA
US
N
2
2028-07-25
Fixed
3.60000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC VARIABLE RATE 03/22/2024
92343VGD0
500000.00000000
PA
USD
500255.80000000
0.193832929027
Long
DBT
CORP
US
N
2
2024-03-22
Floating
5.73693840
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
498215.00000000
0.193042185089
Long
DBT
NUSS
CA
N
2
2024-09-10
Floating
5.55617880
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024
63906YAC2
490000.00000000
PA
USD
487844.04000000
0.189023773801
Long
DBT
NUSS
GB
N
2
2024-08-12
Floating
5.65736400
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A 4.351000% 06/13/2025
83368RBN1
500000.00000000
PA
USD
485880.36000000
0.188262911366
Long
DBT
NUSS
FR
N
2
2025-06-13
Fixed
4.35100000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDING II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FUNDING II 144A 2.750000% 06/22/2024
57629WCE8
705000.00000000
PA
USD
686694.98000000
0.266072076169
Long
DBT
CORP
US
N
2
2024-06-22
Fixed
2.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.875000% 09/01/2025
674599EB7
375000.00000000
PA
USD
375635.48000000
0.145546589035
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.87500000
N
N
N
N
N
N
NORDSTROM, INC.
549300S3IZB5P35KNV16
NORDSTROM INC 2.300000% 04/08/2024
655664AX8
210000.00000000
PA
USD
202803.30000000
0.078579713929
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
56678.05000000
PA
USD
51845.84000000
0.020088584730
Long
ABS-MBS
US
N
2
2055-04-25
Floating
2.99999880
N
N
N
N
N
N
TAMPA ELECTRIC COMPANY
WS423EPRKJIIJUITXD73
TAMPA ELECTRIC CO 3.875000% 07/12/2024
875127BK7
325000.00000000
PA
USD
319698.36000000
0.123872765741
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
4850000.00000000
PA
USD
4757925.76000000
1.843542216116
Long
SN
UST
US
N
2
2023-12-15
Fixed
0.12500000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST
N/A
KUBOTA CREDIT OWNER TRUST 2023-2 KCOT 2023-2A A2
500945AB6
650000.00000000
PA
USD
649125.69000000
0.251515192427
Long
ABS-MBS
US
N
2
2026-07-15
Fixed
5.61000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 3.428000% 03/15/2024
55903VAW3
750000.00000000
PA
USD
738315.09000000
0.286073197832
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.42800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4379 CB
3137BCZG6
157654.01000000
PA
USD
152153.10000000
0.058954400995
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
2.25000000
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2021-1A A2
165183CT9
110137.80000000
PA
USD
109829.20000000
0.042555259786
Long
ABS-MBS
US
Y
2
2033-04-15
Floating
5.41242000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.375000% 05/03/2024
025816CV9
350000.00000000
PA
USD
343973.58000000
0.133278627693
Long
DBT
CORP
US
N
2
2024-05-03
Fixed
3.37500000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-1 GMALT 2023-1 A2A
362541AB0
190838.68000000
PA
USD
190259.31000000
0.073719323858
Long
ABS-MBS
US
N
2
2025-06-20
Fixed
5.27000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-2 CARMX 2021-2 A3
14314QAC8
384250.61000000
PA
USD
372061.07000000
0.144161620865
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
430000.00000000
PA
USD
429939.40000000
0.166587600196
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
0.65000000
N
N
N
N
N
N
SEMPRA
PBBKGKLRK5S5C0Y4T545
SEMPRA 5.400000% 08/01/2026
816851BQ1
370000.00000000
PA
USD
369988.42000000
0.143358536082
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.40000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM1 IMPRL 2021-NQM1 A1
452764AA1
288119.72000000
PA
USD
240569.19000000
0.093212773807
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
396940.93000000
0.153801761244
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
124586.21000000
PA
USD
106807.66000000
0.041384510845
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
1952421.88000000
0.756500277854
Long
SN
UST
US
N
2
2024-05-31
Fixed
2.50000000
N
N
N
N
N
N
HARLEY DAVIDSON MOTORCYCLE TRUST
N/A
HARLEY-DAVIDSON MOTORCYCLE TRUST 2023-A HDMOT 2023-A A2A
41285JAB4
750000.00000000
PA
USD
746708.78000000
0.289325481000
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
5.32000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1
03465CAA3
241652.47000000
PA
USD
199295.48000000
0.077220547228
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
146728.01000000
PA
USD
143613.72000000
0.055645667668
Long
ABS-MBS
US
N
2
2048-01-15
Fixed
3.28840000
N
N
N
N
N
N
MIAMI-DADE CNTY FLA AVIATION REV
N/A
MIAMI-DADE CNTY FL AVIATION RE COUNTY OF MIAMI-DADE FL AVIATION REVENUE
59333PV39
350000.00000000
PA
USD
338160.94000000
0.131026417850
Long
DBT
MUN
US
N
2
2024-10-01
Fixed
2.50400000
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
419521.05000000
0.162550826817
Long
DBT
NUSS
CA
N
2
2026-09-10
Floating
5.79618000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2474
31418BXC5
373149.62000000
PA
USD
354584.96000000
0.137390193948
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
324420.70000000
0.125702519627
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
353306.37000000
0.136894781712
Long
ABS-MBS
US
Y
2
2029-08-20
Fixed
5.43000000
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
49534.13000000
PA
USD
49421.41000000
0.019149196584
Long
ABS-MBS
US
N
2
2026-01-15
Fixed
1.01000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST
N/A
BMW VEHICLE OWNER TRUST 2023-A BMWOT 2023-A A2A
05592XAB6
115000.00000000
PA
USD
115012.06000000
0.044563450265
Long
ABS-MBS
US
N
2
2026-04-27
Fixed
5.72000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R1 VERUS 2021-R1 A1
92538BAA1
189051.96000000
PA
USD
168568.61000000
0.065314879744
Long
ABS-MBS
US
Y
2
2063-10-25
Floating
0.82000080
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 5.029000% 01/15/2025
05578AAZ1
345000.00000000
PA
USD
339543.97000000
0.131562297206
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
35312.30000000
PA
USD
27417.58000000
0.010623424732
Long
ABS-MBS
US
N
2
2036-03-25
Floating
4.41692640
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.460000% 07/19/2024
3130AWGZ7
650000.00000000
PA
USD
646967.70000000
0.250679041157
Long
DBT
USGA
US
N
2
2024-07-19
Fixed
5.46000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 7.776000% 11/16/2025
853254CL2
300000.00000000
PA
USD
307023.00000000
0.118961474047
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
1335000.00000000
PA
USD
1335000.00000000
0.517269285537
Long
DBT
CORP
US
N
2
2024-10-18
Floating
5.83185960
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
362281.30000000
PA
USD
359918.50000000
0.139456768049
Long
ABS-CBDO
CORP
KY
Y
2
2030-11-20
Floating
6.49775160
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
83366.70000000
PA
USD
80371.73000000
0.031141443711
Long
ABS-MBS
US
N
2
2048-08-15
Fixed
3.53950000
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
347021.50000000
0.134459598030
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
346202.43000000
PA
USD
345085.23000000
0.133709356083
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
6.65775000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 6.170000% 01/09/2027
853254CQ1
350000.00000000
PA
USD
353010.56000000
0.136780164912
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
272244.69000000
0.105486004709
Long
DBT
CORP
US
N
2
2027-01-28
Fixed
5.05000000
N
N
N
N
N
N
Cooperatieve Rabobank UA (New York Branch)
N/A
COOPERATIEVE RABOBANK UA/NY 5.500000% 07/18/2025
21688AAW2
250000.00000000
PA
USD
250456.48000000
0.097043778627
Long
DBT
CORP
NL
N
2
2025-07-18
Fixed
5.50000000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING LLC
N/A
WHEELS FLEET LEASE FUNDING 1 LLC WFLF 2023-1A A
96328GAS6
545000.00000000
PA
USD
542380.78000000
0.210154995175
Long
ABS-MBS
US
Y
2
2038-04-18
Fixed
5.80000000
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
271505.54000000
0.105199608011
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
1027439.84000000
0.398099679377
Long
DBT
MUN
US
N
2
2023-10-15
Fixed
2.07800000
N
N
N
N
N
N
BROOKFIELD CORPORATE TREASURY LTD.
N/A
BROOKFIELD CORPORATE TREASURY LTD COMMERCIAL PAPER (ISITC)
11271GV18
1000000.00000000
PA
USD
999846.94000000
0.387408323820
Long
ABS-APCP
US
N
2
2023-08-01
None
0.00000000
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2022-1 FHF 2022-1A A
30327CAA4
237590.71000000
PA
USD
231977.68000000
0.089883841793
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
599076.39000000
0.232122708792
Long
DBT
CORP
DE
N
2
2024-12-13
Floating
5.97238200
N
N
N
N
N
N
OBX TRUST
N/A
ONSLOW BAY MORTGAGE LOAN TRUST OBX 2021-NQM4 A1
67115DAA0
477031.32000000
PA
USD
383162.15000000
0.148462930019
Long
ABS-MBS
US
Y
2
2061-10-25
Floating
1.95699960
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST
N/A
TOYOTA LEASE OWNER TRUST 2023-A TLOT 2023-A A2
89239MAB3
240000.00000000
PA
USD
238907.02000000
0.092568736738
Long
ABS-MBS
US
Y
2
2025-08-20
Fixed
5.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 06/15/2024
91282CCG4
1700000.00000000
PA
USD
1626488.28000000
0.630211558449
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
30604.29000000
PA
USD
30561.42000000
0.011841560965
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
38723.34000000
PA
USD
34572.77000000
0.013395829241
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
475000.00000000
PA
USD
475022.70000000
0.184055919582
Long
DBT
CORP
US
N
2
2023-09-15
Floating
6.08199840
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2023-1A A1
165183CU6
381977.23000000
PA
USD
378928.86000000
0.146822667177
Long
ABS-MBS
US
N
2
2035-05-15
Fixed
5.65000000
N
N
N
N
N
N
Pfizer Investment Enterprises PTE Ltd
5493000FQO8XF9C0RT95
PFIZER INVESTMENT ENTERPRISES PTE LTD 4.650000% 05/19/2025
716973AA0
1730000.00000000
PA
USD
1715191.94000000
0.664581355328
Long
DBT
NUSS
US
N
2
2025-05-19
Fixed
4.65000000
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
297350.45000000
0.115213674026
Long
DBT
CORP
US
N
2
2025-12-02
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.875000% 03/31/2025
91282CGU9
2500000.00000000
PA
USD
2451953.13000000
0.950052467210
Long
SN
UST
US
N
2
2025-03-31
Fixed
3.87500000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024
04685A2X8
825000.00000000
PA
USD
817401.14000000
0.316716482161
Long
DBT
CORP
US
N
2
2024-05-24
Floating
5.85929160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4721 HV
3137FAUM8
35118.30000000
PA
USD
34986.73000000
0.013556225341
Long
DBT
USGA
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2021-2 FHF 2021-2A A
30322JAA4
92936.27000000
PA
USD
88724.90000000
0.034378026690
Long
ABS-MBS
US
Y
2
2026-12-15
Fixed
0.83000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)SEP23 FINANCIAL COMMODITY FUTURE.
N/A
-15.00000000
NC
USD
-1671093.75000000
-0.64749473417
N/A
DIR
US
N
1
US 10YR NOTE (CBT)SEP23
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Sep 2023
2023-09-23
-1715825.18000000
USD
44731.43000000
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
649108.84000000
0.251508663597
Long
DBT
NUSS
CH
N
2
2023-08-09
Fixed
0.52000000
N
N
N
N
N
N
CCG RECEIVABLES TRUST
N/A
CCG RECEIVABLES TRUST 2023-1 CCG 2023-1 A2
12512XAB9
375000.00000000
PA
USD
375220.61000000
0.145385840339
Long
ABS-MBS
US
Y
2
2030-09-16
Fixed
5.82000000
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP MTN VARIABLE RATE 06/09/2025
89788MAF9
400000.00000000
PA
USD
391128.38000000
0.151549586274
Long
DBT
CORP
US
N
2
2025-06-09
Floating
5.60520360
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2014-2 LTD VOYA 2014-2A A1RR
92912VAY1
378609.30000000
PA
USD
376772.29000000
0.145987066111
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
6.58956960
N
N
N
N
N
N
N/A
N/A
NYCTL 2021-A TRUST NYCTL 2021-A A
62955UAA6
202793.30000000
PA
USD
196098.30000000
0.075981743472
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
44787.37000000
0.017353656090
Long
ABS-MBS
US
Y
2
2036-08-15
Floating
5.95263960
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST
N/A
HYUNDAI AUTO RECEIVABLES TRUST 2023-B HART 2023-B A2A
44933XAB3
430000.00000000
PA
USD
430025.41000000
0.166620926287
Long
ABS-MBS
US
N
2
2026-05-15
Fixed
5.77000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2021-B A
69335PED3
700000.00000000
PA
USD
662886.56000000
0.256847084107
Long
ABS-MBS
US
Y
2
2026-08-15
Fixed
0.77000000
N
N
N
N
N
N
Morgan Stanley Bank, National Association
G1MLHIS0N32I3QPILB75
MORGAN STANLEY BANK NA 5.479000% 07/16/2025
61690U7U8
375000.00000000
PA
USD
375658.83000000
0.145555636404
Long
DBT
CORP
US
N
2
2025-07-16
Fixed
5.47900000
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
699333.31000000
0.270969019937
Long
DBT
NUSS
IE
N
2
2023-09-29
Floating
5.94237960
N
N
N
N
N
N
AQUA FINANCE TRUST
N/A
AQUA FINANCE TRUST 2021-A AQFIT 2021-A A
03842VAA5
150301.60000000
PA
USD
132996.13000000
0.051531695239
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
76944.44000000
PA
USD
69212.09000000
0.026817444453
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
260760.80000000
PA
USD
255613.33000000
0.099041891073
Long
ABS-MBS
US
Y
2
2038-05-15
Floating
5.98880880
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2019-3 AMCAR 2019-3 C
03066NAF1
192798.57000000
PA
USD
191291.08000000
0.074119101334
Long
ABS-MBS
US
N
2
2025-07-18
Fixed
2.32000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-3 BSARM 2005-3 2A1
07387AAW5
10179.64000000
PA
USD
9548.53000000
0.003699746285
Long
ABS-MBS
US
N
2
2035-06-25
Floating
4.77685800
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR 2023-3 A2A
36267KAB3
270000.00000000
PA
USD
270069.28000000
0.104643103753
Long
ABS-MBS
US
N
2
2026-09-16
Fixed
5.74000000
N
N
N
N
N
N
GENERAL MILLS, INC.
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC 5.241000% 11/18/2025
370334CS1
320000.00000000
PA
USD
318527.28000000
0.123419010149
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
163582.40000000
PA
USD
162083.17000000
0.062801981680
Long
ABS-MBS
US
Y
2
2028-06-21
Fixed
5.30000000
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
46350.11000000
PA
USD
42269.29000000
0.016377981601
Long
ABS-MBS
US
N
2
2036-03-25
Floating
3.88248840
N
N
N
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC VARIABLE RATE 02/16/2024
29250NBM6
775000.00000000
PA
USD
775343.37000000
0.300420457712
Long
DBT
NUSS
CA
N
2
2024-02-16
Floating
5.76691920
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
684491.36000000
PA
USD
649516.86000000
0.251666758139
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
105924.82000000
PA
USD
105314.90000000
0.040806114666
Long
ABS-MBS
US
Y
2
2032-11-15
Fixed
5.18000000
N
N
N
N
N
N
OHA CREDIT FUNDING LTD
N/A
OHA CREDIT FUNDING 10 LTD OAKC 2021-10A X
67707LAA6
158571.43000000
PA
USD
158462.97000000
0.061399271367
Long
ABS-CBDO
CORP
KY
Y
2
2036-01-18
Floating
6.32149920
N
N
N
N
N
N
LENDBUZZ SECURITIZATION TRUST
N/A
LENDBUZZ SECURITIZATION TRUST 2023-1 LBZZ 2023-1A A1
52608LAA8
35584.82000000
PA
USD
35580.88000000
0.013786439233
Long
ABS-MBS
US
N
2
2024-03-15
Fixed
5.38300000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1
92538EAA5
104264.12000000
PA
USD
91976.71000000
0.035637997803
Long
ABS-MBS
US
Y
2
2064-04-25
Floating
1.01999880
N
N
N
N
N
N
VOLKSWAGEN AUTO LEASE TRUST
N/A
VOLKSWAGEN AUTO LEASE TRUST 2022-A VWALT 2022-A A3
92868AAC9
1055000.00000000
PA
USD
1035727.37000000
0.401310828982
Long
ABS-MBS
US
N
2
2025-07-21
Fixed
3.44000000
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
464883.97000000
0.180127489902
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
6.41592000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1
92538LAA9
73149.91000000
PA
USD
66775.93000000
0.025873511312
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
574221.01000000
0.222492053620
Long
DBT
NUSS
CA
N
2
2024-03-04
Floating
5.54205960
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
335385.46000000
PA
USD
334589.46000000
0.129642584960
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
279296.33000000
0.108218286945
Long
ABS-MBS
US
Y
2
2029-10-22
Fixed
5.76000000
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
598720.82000000
0.231984936927
Long
DBT
NUSS
DE
N
2
2023-11-08
Floating
5.61085200
N
N
N
N
N
N
CITIZENS BANK, NATIONAL ASSOCIATION
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA/PROVIDENCE RI 5.284000% 01/26/2026
75524KQB3
250000.00000000
PA
USD
237437.45000000
0.091999325933
Long
DBT
CORP
US
N
2
2026-01-26
Fixed
5.28400000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 A
33844WAA8
38543.63000000
PA
USD
38270.98000000
0.014828765903
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
306691.91000000
PA
USD
281916.63000000
0.109233568375
Long
ABS-MBS
US
N
2
2049-07-25
Fixed
2.57300000
N
N
N
N
N
N
COREBRIDGE GLOBAL FUNDING
54930057MDZ7KOVOTV71
COREBRIDGE GLOBAL FUNDING 144A 5.750000% 07/02/2026
00138CAU2
180000.00000000
PA
USD
179799.45000000
0.069666466697
Long
DBT
CORP
US
N
2
2026-07-02
Fixed
5.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-137 UE
3136AAL29
96503.62000000
PA
USD
88749.68000000
0.034387628138
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
189160.20000000
0.073293454311
Long
ABS-MBS
US
N
2
2036-05-15
Floating
6.21801000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST
N/A
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2023-1 COPAR 2023-1 A2
14043KAD7
300000.00000000
PA
USD
298926.12000000
0.115824195146
Long
ABS-MBS
US
N
2
2026-05-15
Fixed
5.20000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.740000% 04/08/2024
3130AVDM1
2050000.00000000
PA
USD
2044511.49000000
0.792182020752
Long
DBT
USGA
US
N
2
2024-04-08
Fixed
5.74000000
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XV APID 2013-15A A1RR
03764QBC5
528302.86000000
PA
USD
525136.21000000
0.203473282514
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.59774880
N
N
N
N
N
N
JOHN DEERE OWNER TRUST
N/A
JOHN DEERE OWNER TRUST 2023 JDOT 2023-A A2
47800CAB2
320000.00000000
PA
USD
318912.45000000
0.123568251056
Long
ABS-MBS
US
N
2
2026-03-16
Fixed
5.28000000
N
N
N
N
N
N
BMO MORTGAGE TRUST
N/A
BMO 2022-C3 MORTGAGE TRUST BMO 2022-C3 A1
05602QAU7
414632.13150000
PA
USD
407169.79000000
0.157765113382
Long
ABS-MBS
US
N
2
2054-09-15
Floating
5.25216960
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
399533.24000000
0.154806197455
Long
DBT
NUSS
CH
N
2
2024-02-09
Floating
5.47923960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2017-M13 FA
3136AYP31
21789.99000000
PA
USD
21580.82000000
0.008361869170
Long
DBT
USGA
US
N
2
2024-10-25
Floating
5.55657120
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
351481.94000000
0.136187874144
Long
DBT
NUSS
DK
N
2
2026-01-09
Fixed
6.46600000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.843000% 02/04/2025
06051GKG3
1830000.00000000
PA
USD
1792551.85000000
0.694555816283
Long
DBT
CORP
US
N
2
2025-02-04
Fixed
1.84300000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2023-A CNH 2023-A A2
12664QAB0
695000.00000000
PA
USD
691959.65000000
0.268111965375
Long
ABS-MBS
US
N
2
2026-09-15
Fixed
5.34000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
28639.62000000
PA
USD
28774.29000000
0.011149105940
Long
DBT
USGA
US
N
2
2024-11-25
Floating
10.18348920
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XVIII LTD SYMP 2016-18A X
87154GAS4
149999.98000000
PA
USD
149400.13000000
0.057887714235
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-23
Floating
6.35717880
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2023-A AFFRM 2023-A 1A
00834JAE0
265000.00000000
PA
USD
262874.17000000
0.101855231537
Long
ABS-MBS
US
Y
2
2028-01-18
Fixed
6.61000000
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
272053.49000000
0.105411920899
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
5.08000000
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
49094.42000000
PA
USD
48458.25000000
0.018776003262
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
213589.69000000
PA
USD
169360.73000000
0.065621800603
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
78044.45000000
PA
USD
77732.74000000
0.030118920511
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
75293.59000000
PA
USD
73786.20000000
0.028589764012
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
1642809.90000000
0.636535657862
Long
ABS-MBS
US
N
2
2038-04-15
Floating
6.43744080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4272 YG
3137B6DF5
44651.30000000
PA
USD
43749.95000000
0.016951689422
Long
DBT
USGA
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-2 WLAKE 2023-2A A3
959926AD8
715000.00000000
PA
USD
715274.85000000
0.277145850653
Long
ABS-MBS
US
Y
2
2027-02-16
Fixed
5.80000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN VARIABLE RATE 09/15/2026
06368FAD1
675000.00000000
PA
USD
666349.12000000
0.258188714023
Long
DBT
NUSS
CA
N
2
2026-09-15
Floating
5.83775640
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
38715.20000000
PA
USD
37131.96000000
0.014387432524
Long
ABS-MBS
US
N
2
2062-05-25
Floating
3.25000080
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
267764.34000000
0.103750014115
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
6.03612000
N
N
N
N
N
N
DLLST LLC
N/A
DLLST 2022-1 LLC DLLST 2022-1A A2
23292GAB9
51484.99000000
PA
USD
51372.82000000
0.019905304792
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
441837.52000000
0.171197736549
Long
DBT
CORP
US
N
2
2024-03-21
Fixed
2.94000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.550000% 07/19/2024
3130AWH29
650000.00000000
PA
USD
647156.09000000
0.250752036183
Long
DBT
USGA
US
N
2
2024-07-19
Fixed
5.55000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A
33846QAA9
75620.49000000
PA
USD
74004.11000000
0.028674197083
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
128043.94000000
PA
USD
118234.94000000
0.045812211939
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
1644987.37000000
0.637379357002
Long
DBT
USGA
US
N
2
2025-07-21
Fixed
4.05000000
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST
N/A
ONEMAIN FINANCIAL ISSUANCE TRUST 2018-2 OMFIT 2018-2A A
68269CAA4
248540.84000000
PA
USD
245279.96000000
0.095038044693
Long
ABS-MBS
US
N
2
2033-03-14
Fixed
3.57000000
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
1834958.63000000
0.710987070809
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
13273.44000000
PA
USD
12277.13000000
0.004756990459
Long
ABS-MBS
US
N
2
2050-02-25
Floating
2.27499840
N
N
N
N
N
N
SANTANDER BANK, N.A.
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2023-A B
80290CBU7
754253.11000000
PA
USD
753016.29000000
0.291769436948
Long
ABS-MBS
US
Y
2
2033-06-15
Fixed
6.49300000
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TRUST
N/A
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1 SFAST 2023-1A A2A
78398AAB9
195000.00000000
PA
USD
194893.49000000
0.075514918597
Long
ABS-MBS
US
Y
2
2027-03-22
Fixed
5.89000000
N
N
N
N
N
N
BWAY MORTGAGE TRUST
N/A
BWAY 2013-1515 MORTGAGE TRUST BWAY 2013-1515 A1
05604FAA3
105318.58000000
PA
USD
100880.86000000
0.039088067697
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
409290.89000000
PA
USD
407876.34000000
0.158038878636
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
481875.21000000
PA
USD
466084.50000000
0.180592656415
Long
ABS-MBS
US
N
2
2061-01-25
Fixed
2.75000000
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
499873.02000000
0.193684614168
Long
DBT
CORP
US
N
2
2024-03-08
Floating
5.96234160
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
423893.79000000
0.164245122020
Long
DBT
CORP
US
N
2
2025-01-24
Floating
6.02535960
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2021-4 UPST 2021-4 A
91682NAA1
86883.24000000
PA
USD
85626.13000000
0.033177353624
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
1022852.20000000
PA
USD
1008173.86000000
0.390634735775
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
11.48000000
PA
USD
11.43000000
0.000004428755
Long
DBT
USGA
US
N
2
2028-05-01
Floating
4.04499960
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2022-5 EART 2022-5A A2
30167FAB8
139083.91000000
PA
USD
139017.98000000
0.053864967184
Long
ABS-MBS
US
N
2
2025-01-15
Fixed
5.29000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.500000% 11/01/2024
92343VCR3
1680000.00000000
PA
USD
1639693.91000000
0.635328312603
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.50000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-2 LLC EFF 2023-2 A1
29375NAA3
170183.99000000
PA
USD
170209.96000000
0.065950849738
Long
ABS-MBS
US
Y
2
2024-06-20
Fixed
5.79300000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 B
14686KAC1
65395.14000000
PA
USD
60343.26000000
0.023381059915
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
174227.51000000
0.067507520313
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
269516.59000000
0.104428954269
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
367677.49000000
0.142463125513
Long
ABS-MBS
US
Y
2
2039-01-15
Floating
6.22163880
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
399894.74000000
0.154946267003
Long
DBT
CORP
US
N
2
2024-04-12
Floating
5.65727400
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2
46650AAD5
83031.48000000
PA
USD
80171.63000000
0.031063911438
Long
ABS-MBS
US
N
2
2046-04-25
Floating
6.16246920
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST
N/A
CITIZENS AUTO RECEIVABLES TRUST 2023-1 CITZN 2023-1 A2A
17331KAB5
1250000.00000000
PA
USD
1251409.63000000
0.484880723014
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
6.13000000
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
40623.23000000
PA
USD
25941.41000000
0.010051456641
Long
ABS-MBS
US
N
2
2037-06-25
Floating
3.93749280
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3 SDART 2023-3 A2
80285XAB1
140000.00000000
PA
USD
139998.21000000
0.054244774579
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
6.08000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2023-2 FCAT 2023-2 A2
33843EAC5
280000.00000000
PA
USD
278725.38000000
0.107997062302
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
5.76000000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CFMT 2022-EBO2 LLC CFMT 2022-EBO2 A
12527QAA9
52127.43000000
PA
USD
49921.11000000
0.019342814159
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
422291.14000000
0.163624147023
Long
DBT
NUSS
AU
N
2
2026-06-15
Floating
5.73775560
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 04/30/2024
912828X70
2575000.00000000
PA
USD
2511429.69000000
0.973097708931
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
423400.68000000
0.164054057857
Long
DBT
NUSS
GB
N
2
2024-11-22
Floating
5.72718240
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1
12656YAA5
74282.35000000
PA
USD
63362.54000000
0.024550933180
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
2.99000000
PA
USD
2.97000000
0.000001150778
Long
DBT
USGA
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2015-GS1 GSMS 2015-GS1 AAB
36252AAD8
65428.11000000
PA
USD
62921.08000000
0.024379881720
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
497334.91000000
PA
USD
487669.50000000
0.188956145201
Long
ABS-MBS
US
Y
2
2034-01-15
Floating
6.28647840
N
N
N
N
N
N
TD SYNNEX CORPORATION
5493004HI6PFLF46NS53
TD SYNNEX CORP 1.250000% 08/09/2024
87162WAD2
650000.00000000
PA
USD
617722.92000000
0.239347635571
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
1.25000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2 MORTGAGE LOAN TRUST COLT 2021-2 A1
19685WAA9
258188.58000000
PA
USD
198246.07000000
0.076813934823
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
32846.68000000
PA
USD
32799.01000000
0.012708554658
Long
ABS-MBS
US
Y
2
2025-06-16
Fixed
0.51000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1
10569EAA9
91778.71000000
PA
USD
85305.01000000
0.033052930019
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
265741.09000000
PA
USD
254136.43000000
0.098469640131
Long
DBT
USGA
US
N
2
2032-08-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 2.852000% 05/07/2026
06738EBL8
235000.00000000
PA
USD
221715.60000000
0.085907617980
Long
DBT
NUSS
GB
N
2
2026-05-07
Fixed
2.85200000
N
N
N
N
N
N
HALEON US CAPITAL LLC
549300N8C3A3L0UVQB07
HALEON US CAPITAL LLC 3.024000% 03/24/2024
36264FAH4
420000.00000000
PA
USD
412313.74000000
0.159758227495
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
89228.78000000
PA
USD
82278.19000000
0.031880135248
Long
ABS-MBS
US
N
2
2065-06-25
Floating
1.46900160
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2015-K49 MORTGAGE TRUST FREMF 2015-K49 B
30287TAN7
300000.00000000
PA
USD
286202.82000000
0.110894328254
Long
ABS-MBS
US
N
2
2048-10-25
Floating
3.72134520
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS MORTGAGE TRUST 2020-C8 BBCMS 2020-C8 A1
05552AAY4
202493.71000000
PA
USD
193571.29000000
0.075002608898
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
323214.16000000
0.125235024433
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
23358.94000000
PA
USD
23298.96000000
0.009027592803
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.77000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2022-3 GCAR 2022-3A A2
38014QAB2
115246.74000000
PA
USD
114368.13000000
0.044313948234
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
1092857.04000000
0.423446726797
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
210589.02000000
PA
USD
196263.30000000
0.076045675631
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
888074.97000000
PA
USD
882819.34000000
0.342063917048
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-18
Floating
6.50149920
N
N
N
N
N
N
SCF EQUIPMENT LEASING LLC
N/A
SCF EQUIPMENT LEASING 2022-1 LLC SCFET 2022-1A A2
784033AC6
178001.42000000
PA
USD
175265.77000000
0.067909812454
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
45265.89000000
PA
USD
33927.69000000
0.013145881622
Long
ABS-MBS
US
N
2
2037-07-27
Floating
4.96585440
N
N
N
N
N
N
PARAGON MORTGAGES PLC
N/A
PARAGON MORTGAGES NO 12 PLC PARGN 12A A2C
69913BAB2
47792.04000000
PA
USD
46215.86000000
0.017907149724
Long
ABS-MBS
GB
N
2
2038-11-15
Floating
5.54070960
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-2 EART 2023-2A A3
30168CAC2
170000.00000000
PA
USD
169082.15000000
0.065513859870
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
5.60000000
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
509101.22000000
0.197260242948
Long
DBT
CORP
US
N
2
2025-02-04
Floating
5.69540880
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-B CPS 2023-B A
12664WAA9
269975.22000000
PA
USD
269599.06000000
0.104460908724
Long
ABS-MBS
US
Y
2
2027-08-16
Fixed
5.91000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.050000% 08/28/2025
3134GXR63
860000.00000000
PA
USD
839276.06000000
0.325192305561
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
205767.45000000
PA
USD
205032.72000000
0.079443542012
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
16301.73000000
PA
USD
14837.75000000
0.005749147821
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.89246920
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A VARIABLE RATE 01/21/2026
83368RBF8
425000.00000000
PA
USD
424043.75000000
0.164303226665
Long
DBT
NUSS
FR
N
2
2026-01-21
Floating
6.37249680
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
416951.35000000
0.161555151249
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-15
Floating
6.56794080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.000000% 02/28/2025
3134GXS88
1700000.00000000
PA
USD
1660256.26000000
0.643295557617
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
494095.60000000
0.191446050935
Long
ABS-MBS
CA
Y
2
2026-07-15
Fixed
5.61000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER COMPANY, INC.
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER CO INC 5.699000% 08/15/2025
02557TAD1
350000.00000000
PA
USD
350412.80000000
0.135773617003
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.69900000
N
N
N
N
N
N
Keybank National Association
HUX2X73FUCYHUVH1BK78
KEYBANK NA/CLEVELAND OH VARIABLE RATE 06/14/2024
49327M3D4
400000.00000000
PA
USD
391317.46000000
0.151622848653
Long
DBT
CORP
US
N
2
2024-06-14
Floating
5.40200880
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-SOAR BX 2021-SOAR B
05608WAG9
580253.04000000
PA
USD
566436.58000000
0.219475838980
Long
ABS-MBS
US
Y
2
2038-06-15
Floating
6.20647920
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2021-1 LADAR 2021-1A A
501683AA4
179337.05000000
PA
USD
175237.93000000
0.067899025355
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
1.30000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A A
12659WAA6
87773.51000000
PA
USD
87447.68000000
0.033883145285
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
444604.27000000
PA
USD
424835.16000000
0.164609872422
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
200651.97000000
0.077746143193
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
5525.41000000
PA
USD
4924.28000000
0.001907999099
Long
ABS-MBS
US
N
2
2035-02-25
Floating
5.95247040
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VII LTD OZLM 2014-7RA A1R
67108WBE8
208897.46000000
PA
USD
207556.96000000
0.080421603301
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
6.57956880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 846789
3128HDRJ0
3126.70000000
PA
USD
3070.40000000
0.001189680609
Long
DBT
USGA
US
N
2
2030-02-01
Floating
5.28500160
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2021-STOR MHP 2021-STOR A
55293BAB1
155000.00000000
PA
USD
151989.57000000
0.058891038414
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
6.03648000
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIV LTD LCM 24A AR
50188YAE4
419306.33000000
PA
USD
415748.94000000
0.161089256297
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-20
Floating
6.56775000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 CGCMT 2015-GC31 AAB
17323YAE9
637664.78000000
PA
USD
620358.37000000
0.240368787136
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
76535.42000000
PA
USD
65663.46000000
0.025442465198
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
253815.33000000
PA
USD
203601.67000000
0.078889056460
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
482707.79000000
PA
USD
480795.78000000
0.186292801205
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-21
Floating
6.59513160
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
294185.42000000
0.113987327354
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
373527.00000000
0.144729621287
Long
ABS-MBS
US
N
2
2025-06-16
Fixed
2.60000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.352000% 04/24/2025
172967MF5
1695000.00000000
PA
USD
1661631.59000000
0.643828453472
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
3.35200000
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XXX LTD MDPK 2018-30A A
55821TAA5
826830.06000000
PA
USD
820815.70000000
0.318039513630
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
6.31956960
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
CREDIT AGRICOLE SA 144A 5.589000% 07/05/2026
22534PAE3
420000.00000000
PA
USD
420386.16000000
0.162886028938
Long
DBT
NUSS
FR
N
2
2026-07-05
Fixed
5.58900000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 5.400000% 03/02/2026
969457CH1
110000.00000000
PA
USD
110217.83000000
0.042705841331
Long
DBT
CORP
US
N
2
2026-03-02
Fixed
5.40000000
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
212120.14000000
PA
USD
204230.20000000
0.079132591490
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
345016.08000000
0.133682562697
Long
DBT
CORP
US
N
2
2024-02-14
Floating
5.54649120
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
NUTRIEN LTD 5.900000% 11/07/2024
67077MAZ1
175000.00000000
PA
USD
175362.88000000
0.067947439436
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
42170.44000000
PA
USD
35117.02000000
0.013606708498
Long
ABS-MBS
US
Y
2
2066-02-25
Floating
0.79700040
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 5.812000% 06/12/2026
693475BQ7
200000.00000000
PA
USD
200097.19000000
0.077531183902
Long
DBT
CORP
US
N
2
2026-06-12
Fixed
5.81200000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM1 TRUST GCAT 2021-NQM1 A1
36167TAA7
109671.03000000
PA
USD
91572.38000000
0.035481333016
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
866904.84000000
0.335897563457
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
320900.97000000
PA
USD
319410.38000000
0.123761182813
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
6.71717880
N
N
N
N
N
N
U.S. Bank National Association
6BYL5QZYBDK8S7L73M02
US BANK NA/CINCINNATI OH 2.050000% 01/21/2025
90331HPL1
1495000.00000000
PA
USD
1418049.73000000
0.549448367560
Long
DBT
CORP
US
N
2
2025-01-21
Fixed
2.05000000
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
30591.43000000
PA
USD
28243.19000000
0.010943321882
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.49188040
N
N
N
N
N
N
MASTER CREDIT CARD TRUST II
N/A
MASTER CREDIT CARD TRUST MCCT 2021-1A A
576339CJ2
370000.00000000
PA
USD
354262.94000000
0.137265421622
Long
ABS-MBS
CA
Y
2
2025-11-21
Fixed
0.53000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0630
31418MVY5
8.63000000
PA
USD
8.57000000
0.000003320597
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
30.92000000
PA
USD
30.84000000
0.000011949501
Long
DBT
USGA
US
N
2
2032-01-15
Fixed
3.00000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-2 GMALT 2023-2 A2A
362548AB5
520000.00000000
PA
USD
517896.96000000
0.200668307476
Long
ABS-MBS
US
N
2
2025-10-20
Fixed
5.44000000
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
371411.77000000
0.143910038133
Long
ABS-MBS
US
N
2
2036-10-15
Floating
6.41612160
N
N
N
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP 1.300000% 10/01/2023
448579AL6
175000.00000000
PA
USD
173676.32000000
0.067293952030
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
161425.55000000
PA
USD
147709.74000000
0.057232742828
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
465345.83000000
PA
USD
365480.57000000
0.141611890128
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
221835.65000000
0.085954133469
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
1687785.53000000
0.653962258609
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
131465.10000000
PA
USD
119989.55000000
0.046492066517
Long
ABS-MBS
US
N
2
2065-01-26
Floating
2.53100160
N
N
N
N
N
N
COLT TRUST
N/A
COLT 2020-2R MORTGAGE LOAN TRUST COLT 2020-2R A1
12656GAA4
86833.42000000
PA
USD
77152.80000000
0.029894212534
Long
ABS-MBS
US
Y
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
699545.11000000
PA
USD
697005.90000000
0.270067223901
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
23784.39000000
PA
USD
23607.07000000
0.009146975455
Long
ABS-MBS
US
N
2
2035-01-25
Floating
5.28030000
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
645732.41000000
PA
USD
641431.19000000
0.248533822751
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.53956920
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2022-MHIL MHP 2022-MHIL A
55293DAA9
199190.00000000
PA
USD
194761.21000000
0.075463664379
Long
ABS-MBS
US
Y
2
2027-01-15
Floating
6.03623880
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
441696.52000000
0.171143103614
Long
DBT
CORP
US
N
2
2024-04-12
Floating
6.05727000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-A CPS 2023-A A
12664LAA3
450187.79000000
PA
USD
448441.92000000
0.173756727762
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
34061.90000000
PA
USD
32756.02000000
0.012691897425
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
257937.68000000
0.099942501458
Long
ABS-MBS
US
Y
2
2026-01-15
Fixed
5.05000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2004-12 SEMT 2004-12 A1
81744FFY8
4793.44000000
PA
USD
4342.73000000
0.001682667299
Long
ABS-MBS
US
N
2
2035-01-20
Floating
5.90905080
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2023-1S TRUST SCLP 2023-1S A
83407EAA2
892474.45000000
PA
USD
890814.18000000
0.345161658752
Long
ABS-MBS
US
Y
2
2031-05-15
Fixed
5.81000000
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
419102.81000000
0.162388772356
Long
DBT
CORP
US
N
2
2024-12-06
Floating
5.89233960
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XII APID 2013-12A AR
03764DAH4
598240.57000000
PA
USD
595596.94000000
0.230774534548
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.64957080
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 5.539000% 02/20/2026
00206RMP4
300000.00000000
PA
USD
299407.87000000
0.116010857677
Long
DBT
CORP
US
N
2
2026-02-20
Fixed
5.53900000
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-1 B
46591HAN0
18129.03000000
PA
USD
18046.94000000
0.006992605063
Long
ABS-MBS
US
N
2
2028-01-25
Fixed
0.99100000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 4.300000% 03/04/2024
96950FAM6
1365000.00000000
PA
USD
1351809.34000000
0.523782360662
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
4.30000000
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
170011.47000000
0.065873941288
Long
DBT
CORP
US
N
2
2024-04-12
Floating
5.74727400
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE COMPANY
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE CO 5.900000% 10/01/2024
42824CBL2
1500000.00000000
PA
USD
1501285.95000000
0.581699708422
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
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
520409.70000000
0.201641912888
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
6.03748080
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2023-2 MFT 2023-2A A
57109LAA1
394060.12000000
PA
USD
392758.38000000
0.152181158510
Long
ABS-MBS
US
Y
2
2033-06-15
Fixed
6.04000000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.950000% 08/01/2025
025816CY3
325000.00000000
PA
USD
315780.11000000
0.122354570701
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
362842.42000000
PA
USD
359798.10000000
0.139410116947
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
391306.17000000
PA
USD
323818.81000000
0.125469306735
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
498586.94000000
0.193186299799
Long
DBT
NUSS
JP
N
2
2024-09-16
Floating
5.65499880
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A
14687DAA0
463005.93000000
PA
USD
436875.82000000
0.169275238411
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
323774.78000000
0.125452246536
Long
DBT
NUSS
CA
N
2
2024-07-09
Floating
5.59812240
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-3 AOMT 2021-3 A1
03465EAA9
216560.69000000
PA
USD
176647.60000000
0.068445226849
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
93175.96000000
PA
USD
93155.20000000
0.036094624530
Long
ABS-MBS
US
N
2
2057-02-25
Floating
4.98398040
N
N
N
N
N
N
VULCAN MATERIALS COMPANY
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO 5.800000% 03/01/2026
929160BA6
275000.00000000
PA
USD
275118.61000000
0.106599555679
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.80000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-1 CARMX 2021-1 A3
14316NAC3
407623.46000000
PA
USD
396578.62000000
0.153661377847
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
155315.90000000
PA
USD
147924.73000000
0.057316044494
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
6282.08000000
PA
USD
5604.98000000
0.002171748314
Long
ABS-MBS
US
N
2
2034-09-25
Floating
4.41371160
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2007-A3 JPMMT 2007-A3 1A1
46630UAA2
30815.72000000
PA
USD
26898.45000000
0.010422278661
Long
ABS-MBS
US
N
2
2037-05-25
Floating
4.02814080
N
N
N
N
N
N
ATALAYA EQUIPMENT LEASING TRUST LLC.
N/A
ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A2
046497AB9
84015.96000000
PA
USD
82508.64000000
0.031969427163
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
1.23000000
N
N
N
N
N
N
KENVUE INC.
5493008HSF8L4M2LIJ82
KENVUE INC 144A 5.500000% 03/22/2025
49177JAA0
275000.00000000
PA
USD
276082.46000000
0.106973016354
Long
DBT
CORP
US
N
2
2025-03-22
Fixed
5.50000000
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
244657.60000000
0.094796900339
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
279137.99000000
PA
USD
268486.56000000
0.104029850986
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
100096.02000000
PA
USD
98233.16000000
0.038062169654
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
468964.24000000
0.181708462447
Long
DBT
NUSS
NL
N
2
2024-09-24
Fixed
0.80000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 7.336000% 11/03/2026
404280DQ9
300000.00000000
PA
USD
310232.01000000
0.120204861545
Long
DBT
NUSS
GB
N
2
2026-11-03
Fixed
7.33600000
N
N
N
N
N
N
AMGEN INC.
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.250000% 03/02/2025
031162DM9
275000.00000000
PA
USD
274234.35000000
0.106256933553
Long
DBT
CORP
US
N
2
2025-03-02
Fixed
5.25000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2018-1 TPMT 2018-1 A1
89176EAA8
32494.84000000
PA
USD
31138.32000000
0.012065091040
Long
ABS-MBS
US
N
2
2058-01-25
Floating
2.99999880
N
N
N
N
N
N
TRICOLOR AUTO SECURITIZATION TRUST
N/A
TRICOLOR AUTO SECURITIZATION TRUST 2023-1 TAST 2023-1A A
89616KAA2
151118.27000000
PA
USD
150653.49000000
0.058373350663
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
6.48000000
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS
N/A
200000.00000000
PA
USD
200000.00000000
0.077493525923
Long
RA
US
N
2
Repurchase
Y
5.29999920
N/A
200133.30000000
USD
204135.97000000
USD
AMBS
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED
JHE42UYNWWTJB8YTTU19
AUSTRALIA&NEW ZEALAND BKG GRP CP 12/12/2023 0% 12/12/23
05253CZC3
675000.00000000
PA
USD
661399.84000000
0.256271028233
Long
ABS-APCP
US
N
2
2023-12-12
None
0.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 3.550000% 11/15/2024
281020AQ0
275000.00000000
PA
USD
266501.62000000
0.103260750990
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.55000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2023-1 GCAR 2023-1A A2
36266XAB6
405000.00000000
PA
USD
403957.98000000
0.156520640975
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
5.98000000
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
345503.55000000
PA
USD
342700.72000000
0.132785435646
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
301169.13000000
0.116693288914
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
10075000.00000000
PA
USD
9727491.19000000
3.769087953499
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
598768.77000000
PA
USD
593220.58000000
0.229853771972
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
6.48956880
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
462623.14000000
0.179251491461
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
33685.45000000
PA
USD
30550.90000000
0.011837484805
Long
ABS-MBS
US
N
2
2036-02-25
Floating
5.93246880
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.620000% 04/17/2025
61747YEQ4
2130000.00000000
PA
USD
2094464.83000000
0.811537322994
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
3.62000000
N
N
N
N
N
N
OVINTIV INC.
2549003MEX7YMKLGI239
OVINTIV INC 5.650000% 05/15/2025
69047QAA0
400000.00000000
PA
USD
399156.85000000
0.154660358514
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
5.65000000
N
N
N
N
N
N
DEXT ABS LLC
N/A
DEXT ABS 2021-1 LLC DEXT 2021-1 A
23345CAA7
109406.21000000
PA
USD
105268.76000000
0.040788236909
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
1949036.58000000
0.755188583687
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.75000000
N
N
N
N
N
N
AUTOZONE, INC.
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 5.050000% 07/15/2026
053332BE1
450000.00000000
PA
USD
448784.73000000
0.173889555540
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.05000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-2 WLAKE 2023-2A A2A
959926AB2
720000.00000000
PA
USD
719667.07000000
0.278847693725
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
5.87000000
N
N
N
N
N
N
CENTERPOINT ENERGY, INC.
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC VARIABLE RATE 05/13/2024
15189TAZ0
325000.00000000
PA
USD
324570.92000000
0.125760725014
Long
DBT
CORP
US
N
2
2024-05-13
Floating
5.77738080
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2019-1 LTD VOYA 2019-1A AR
92917NAJ7
527007.40000000
PA
USD
524543.11000000
0.203243475463
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.62956920
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2018-1 TRUST OBX 2018-1 A2
67112FAD2
14773.02000000
PA
USD
14074.21000000
0.005453300787
Long
ABS-MBS
US
N
2
2057-06-25
Floating
6.06246840
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022- ACAR 2022-2 A
02530BAA8
5375.41000000
PA
USD
5368.09000000
0.002079961107
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
138362.81000000
PA
USD
116100.26000000
0.044985092540
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
428998.88000000
0.166223179141
Long
DBT
CORP
AE
N
2
2024-08-01
Fixed
1.55000000
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
363720.49000000
0.140929916103
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
5.51000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 1.757000% 01/24/2025
38141GZH0
2200000.00000000
PA
USD
2150821.46000000
0.833373692833
Long
DBT
CORP
US
N
2
2025-01-24
Fixed
1.75700000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
SPRINT LLC 7.125000% 06/15/2024
85207UAH8
1675000.00000000
PA
USD
1690763.43000000
0.655116098463
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-B HALST 2023-B A2A
448980AB8
165000.00000000
PA
USD
164218.31000000
0.063629279315
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
5.47000000
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
241116.81000000
0.093424958831
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
242597.40000000
0.093998639529
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
332745.25000000
0.128928013283
Long
ABS-MBS
US
Y
2
2026-04-20
Fixed
5.19000000
N
N
N
N
N
N
GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C.
N/A
GREATAMERICA LEASING RECEIVABLES GALC 2023-1 A2
39154TCB2
680000.00000000
PA
USD
674170.02000000
0.261219059607
Long
ABS-MBS
US
Y
2
2026-02-16
Fixed
5.35000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1 CGCMT 2015-P1 AAB
17324DAV6
228407.37000000
PA
USD
222383.77000000
0.086166512226
Long
ABS-MBS
US
N
2
2048-09-15
Fixed
3.47000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-2 CARMX 2023-2 A2A
142921AB1
920000.00000000
PA
USD
917455.65000000
0.355484365983
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
5.50000000
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
100167.82000000
PA
USD
91700.36000000
0.035530921124
Long
ABS-MBS
US
N
2
2057-09-25
Floating
3.90564360
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
507551.37000000
0.196659726242
Long
DBT
NUSS
DE
N
2
2027-11-16
Floating
6.35721120
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 0.972000% 02/15/2024
595017BB9
375000.00000000
PA
USD
364856.62000000
0.141370129701
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.620000% 07/30/2024
3130AWKF6
1325000.00000000
PA
USD
1324123.19000000
0.513054873748
Long
DBT
USGA
US
N
2
2024-07-30
Fixed
5.62000000
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
450797.82000000
0.174669562751
Long
DBT
CORP
DE
N
2
2024-04-05
Floating
6.27424920
N
N
N
N
N
N
MF1 LTD
N/A
MF1 2022-FL8 LTD MF1 2022-FL8 A
55284JAA7
400000.00000000
PA
USD
390600.00000000
0.151344856128
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-19
Floating
6.41793960
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.892000% 05/24/2024
05971KAM1
400000.00000000
PA
USD
393376.29000000
0.152420578633
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
57495.99000000
PA
USD
56295.92000000
0.021812846679
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
696918.24000000
0.270033258488
Long
DBT
NUSS
US
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM3 CSMC 2021-NQM3 A1
12660LAA7
320950.31000000
PA
USD
263078.41000000
0.101934367925
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
1.01499840
N
N
N
N
N
N
DLLMT LLC
N/A
DLLMT 2023-1 LLC DLLMT 2023-1A A2
232989AB9
365000.00000000
PA
USD
363420.43000000
0.140813652566
Long
ABS-MBS
US
Y
2
2025-11-20
Fixed
5.78000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) SEP23 FINANCIAL COMMODITY FUTURE.
N/A
23.00000000
NC
USD
4669718.75000000
1.809364855035
N/A
DIR
US
N
1
US 2YR NOTE (CBT) SEP23
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Sep 2023
2023-10-02
4742895.95000000
USD
-73177.20000000
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A2
92537QAE1
215191.81000000
PA
USD
183205.46000000
0.070986185318
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
4695.03000000
PA
USD
4681.05000000
0.001813755347
Long
ABS-MBS
US
N
2
2024-10-15
Fixed
3.46000000
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
88889.03000000
PA
USD
88758.72000000
0.034391130846
Long
ABS-MBS
US
Y
2
2025-03-10
Fixed
2.10000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2023-2 DEFT 2023-2 A2
24703GAB0
580000.00000000
PA
USD
579280.92000000
0.224452604954
Long
ABS-MBS
US
Y
2
2029-01-22
Fixed
5.84000000
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
244115.53000000
0.094586865761
Long
DBT
NUSS
FR
N
2
2025-07-13
Fixed
4.52400000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.406000% 10/30/2025
95000U2H5
2085000.00000000
PA
USD
1995213.21000000
0.773080533057
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
2.40600000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A
00834TAA6
82827.72000000
PA
USD
79967.80000000
0.030984933911
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
2051.20000000
PA
USD
2039.64000000
0.000790294476
Long
DBT
USGA
US
N
2
2031-07-25
Floating
5.63348880
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1
12597QAA4
37175.17000000
PA
USD
34552.67000000
0.013388041141
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
118597.90000000
PA
USD
115005.95000000
0.044561082838
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
170103.26000000
PA
USD
168254.31000000
0.065193098668
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
278210.67000000
PA
USD
216754.10000000
0.083985197336
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
249635.55000000
0.096725694826
Long
DBT
CORP
US
N
2
2025-05-01
Floating
5.74990920
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
419075.21000000
0.162378078249
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
282172.24000000
PA
USD
280914.18000000
0.108845151450
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
245980.58000000
0.095309512264
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
729781.95000000
0.282766882303
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
421812.19000000
0.163438569402
Long
DBT
CORP
US
N
2
2024-11-29
Floating
5.60755080
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 5.200000% 07/20/2026
78016FZZ0
250000.00000000
PA
USD
250102.89000000
0.096906773948
Long
DBT
NUSS
CA
N
2
2026-07-20
Fixed
5.20000000
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
553087.64000000
0.214303556840
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
74562.12000000
PA
USD
73998.86000000
0.028672162878
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
3.94000000
N
N
N
N
N
N
ETP HOLDCO CORPORATION
N/A
SOUTHERN UNION CO 7.600000% 02/01/2024
844030AA4
700000.00000000
PA
USD
701368.82000000
0.271757714171
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
7.60000000
N
N
N
N
N
N
CARBONE CLO
N/A
CARBONE CLO LTD CRBN 2017-1A A1
141312AA6
230383.23000000
PA
USD
229116.35000000
0.088775169040
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.72774840
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2
257812AD9
232445.38000000
PA
USD
226934.61000000
0.087929815414
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
297475.20000000
0.115262010613
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.62775120
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
244878.26000000
PA
USD
244259.04000000
0.094642471241
Long
ABS-MBS
US
Y
2
2032-12-15
Fixed
6.45100000
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
1712577.57000000
0.663568371581
Long
DBT
CORP
US
N
2
2024-09-13
Floating
5.71452480
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
462137.86000000
0.179063461170
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
46250.06000000
PA
USD
44353.88000000
0.017185692747
Long
ABS-MBS
US
N
2
2059-11-25
Floating
2.69200080
N
N
N
N
N
N
REVVITY, INC.
549300IKL1SDPFI7N655
REVVITY INC 0.550000% 09/15/2023
714046AK5
600000.00000000
PA
USD
596189.39000000
0.231004089745
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.55000000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST
N/A
NISSAN AUTO LEASE TRUST 2023-B NALT 2023-B A2A
65473FAB3
170000.00000000
PA
USD
170033.93000000
0.065882643811
Long
ABS-MBS
US
N
2
2025-08-15
Fixed
5.74000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-1 LLC EFF 2023-1 A2
29375CAB5
215000.00000000
PA
USD
213669.49000000
0.082790010811
Long
ABS-MBS
US
Y
2
2029-01-22
Fixed
5.51000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-4 VERUS 2019-4 A1
92537KAA2
32090.90000000
PA
USD
30807.49000000
0.011936905124
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
2.64200000
N
N
N
N
N
N
DLLAD LLC
N/A
DLLAD 2021-1 LLC DLLAD 2021-1A A3
233262AC8
346974.89000000
PA
USD
328688.48000000
0.127356146227
Long
ABS-MBS
US
Y
2
2026-09-21
Fixed
0.64000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1
31572LAA4
134672.42000000
PA
USD
106969.00000000
0.041447024872
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
403253.85000000
PA
USD
362306.97000000
0.140382222859
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
192828.15000000
PA
USD
188329.85000000
0.072971720565
Long
DBT
USGA
US
N
2
2040-06-25
Fixed
4.00000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.000000% 11/09/2023
3130AUUV4
915000.00000000
PA
USD
913284.15000000
0.353868044766
Long
DBT
USGA
US
N
2
2023-11-09
Fixed
5.00000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1 AMCAR 2023-1 A2A
03067BAB5
465000.00000000
PA
USD
464781.64000000
0.180087840339
Long
ABS-MBS
US
N
2
2026-10-19
Fixed
5.84000000
N
N
N
N
N
N
MISSISSIPPI POWER COMPANY
LNZ0J6YZ5SC6ILIRU850
MISSISSIPPI POWER CO VARIABLE RATE 06/28/2024
605417CC6
350000.00000000
PA
USD
347804.62000000
0.134763031680
Long
DBT
CORP
US
N
2
2024-06-28
Floating
5.55951600
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 995253
31416BTJ7
14.31000000
PA
USD
14.25000000
0.000005521413
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
200879.96000000
PA
USD
177579.17000000
0.068806180069
Long
ABS-MBS
US
Y
2
2060-04-25
Floating
1.69899840
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-HX1 MORTGAGE LOAN TRUST COLT 2021-HX1 A1
19688KAA2
425652.23000000
PA
USD
341471.46000000
0.132309137187
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
1170000.00000000
PA
USD
1154026.26000000
0.447147819476
Long
DBT
CORP
US
N
2
2023-11-08
Fixed
0.84100000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST
N/A
HONDA AUTO RECEIVABLES 2023-2 OWNER TRUST HAROT 2023-2 A2
437927AB2
425000.00000000
PA
USD
423844.51000000
0.164226027615
Long
ABS-MBS
US
N
2
2026-04-15
Fixed
5.41000000
N
N
N
N
N
N
BANK OF AMERICA AUTO TRUST
N/A
BANK OF AMERICA AUTO TRUST 2023-1 BAAT 2023-1A A2
06428AAB4
295000.00000000
PA
USD
295052.51000000
0.114323296661
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
5.83000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-CM1 TRUST GCAT 2021-CM1 A
36168AAA7
230303.20000000
PA
USD
209382.25000000
0.081128844091
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
21000.00000000
PA
USD
20631.00000000
0.007993844666
Long
DBT
CORP
US
N
2
2024-03-28
Fixed
3.30000000
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST VZMT 2022-7 A1A
92348KBC6
1325000.00000000
PA
USD
1317107.90000000
0.510336675961
Long
ABS-MBS
US
N
2
2027-11-22
Fixed
5.23000000
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
75374.34000000
PA
USD
67125.81000000
0.026009078486
Long
ABS-MBS
US
Y
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
65784.60000000
PA
USD
62535.37000000
0.024230431581
Long
ABS-MBS
US
N
2
2055-02-25
Floating
1.72400040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A
3137BJQ71
505000.00000000
PA
USD
482317.07000000
0.186882251836
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
601562.50000000
PA
USD
562037.44000000
0.217771314632
Long
ABS-MBS
US
N
2
2049-05-20
Fixed
4.02100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 344313
31375TN61
18.45000000
PA
USD
18.33000000
0.000007102281
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
56900.27000000
PA
USD
32568.46000000
0.012619223996
Long
ABS-MBS
US
N
2
2037-05-25
Floating
3.70279800
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 5.700000% 03/13/2026
444859BW1
275000.00000000
PA
USD
274977.76000000
0.106544980864
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
5.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0054
31418MBY7
0.06000000
PA
USD
0.06000000
0.000000023248
Long
DBT
USGA
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.222000% 08/15/2024
05526DAZ8
2080000.00000000
PA
USD
2024315.88000000
0.784356875617
Long
DBT
CORP
GB
N
2
2024-08-15
Fixed
3.22200000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1
105699AA0
63467.11000000
PA
USD
59390.43000000
0.023011869133
Long
ABS-MBS
US
N
2
2060-05-25
Floating
1.44900000
N
N
N
N
N
N
PRESTIGE AUTO RECEIVABLES TRUST
N/A
PRESTIGE AUTO RECEIVABLES TRUST 2023-1 PART 2023-1A B
74113GAG8
1360000.00000000
PA
USD
1343939.76000000
0.520733153153
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
5.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3.875000% 08/28/2024
3135G06W8
1700000.00000000
PA
USD
1668111.55000000
0.646339228213
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
434623.73000000
PA
USD
433109.72000000
0.167815996572
Long
ABS-MBS
US
N
2
2036-10-15
Floating
6.25611960
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
245778.54000000
0.095231228304
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
4.05000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 4.875000% 11/07/2023
3130AUST2
85000.00000000
PA
USD
84815.04000000
0.032863082504
Long
DBT
USGA
US
N
2
2023-11-07
Fixed
4.87500000
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
147504.54000000
PA
USD
147181.40000000
0.057028028181
Long
ABS-MBS
US
Y
2
2025-04-10
Fixed
4.39000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2021-2 LLC EFF 2021-2 A2
29374YAB8
115321.92000000
PA
USD
111409.34000000
0.043167512886
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
304931.67000000
PA
USD
302583.09000000
0.117241152644
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.74957160
N
N
N
N
N
N
2023-07-31
SEI DAILY INCOME TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO