0001752724-24-072798.txt : 20240328
0001752724-24-072798.hdr.sgml : 20240328
20240328103932
ACCESSION NUMBER: 0001752724-24-072798
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240131
FILED AS OF DATE: 20240328
DATE AS OF CHANGE: 20240328
PERIOD START: 20240131
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI DAILY INCOME TRUST /MA/
CENTRAL INDEX KEY: 0000701939
ORGANIZATION NAME:
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: 24794594
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
2024-01-31
N
237485846.24
2946238.80
234539607.44
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
703439.91000000
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
252387.73000000
0.107609854367
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
288660.17000000
0.123075233710
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
422953.93000000
0.180333690593
Long
DBT
NUSS
AU
N
2
2025-10-14
Floating
6.05620440
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
92572.52000000
PA
USD
91553.90000000
0.039035581665
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
244479.31000000
PA
USD
244711.39000000
0.104336914635
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
189489.87000000
PA
USD
147573.37000000
0.062920447258
Long
ABS-MBS
US
Y
2
2056-03-25
Floating
0.83000160
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2004-9 IMM 2004-9 1A1
45254NKX4
10470.41000000
PA
USD
9661.52000000
0.004119355406
Long
ABS-MBS
US
N
2
2035-01-25
Floating
6.21033840
N
N
N
N
N
N
SYMPHONY STATIC CLO LTD
N/A
SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A
87190TAA1
375886.30000000
PA
USD
376067.85000000
0.160343003087
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-25
Floating
6.41628000
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
1326071.32000000
0.565393339945
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
2.75000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2022-2 DEFT 2022-2 A2
24702CAC8
97763.19000000
PA
USD
97484.54000000
0.041564212144
Long
ABS-MBS
US
Y
2
2027-07-22
Fixed
4.03000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 4.255000% 09/01/2024
65339KBL3
1600000.00000000
PA
USD
1587454.62000000
0.676838610470
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25500000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1
69360GAA1
99772.77000000
PA
USD
90303.73000000
0.038502550160
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
232627.16000000
PA
USD
230010.10000000
0.098068766512
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
6.54847920
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2021-B B
69335PEE1
400000.00000000
PA
USD
388849.80000000
0.165792807553
Long
ABS-MBS
US
Y
2
2026-08-15
Fixed
1.09000000
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
389775.89000000
0.166187661970
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.10000000
N
N
N
N
N
N
VMWARE LLC
549300BUDHS3LRWBE814
VMWARE LLC 1.000000% 08/15/2024
928563AH8
1445000.00000000
PA
USD
1409172.97000000
0.600825159290
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
24592.28000000
PA
USD
23317.07000000
0.009941634274
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
12728.07000000
PA
USD
11901.82000000
0.005074545885
Long
ABS-MBS
US
N
2
2035-04-25
Floating
5.97034080
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST
N/A
HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A
43285HAA6
62459.65000000
PA
USD
59240.35000000
0.025258143239
Long
ABS-MBS
US
N
2
2039-02-25
Fixed
2.74000000
N
N
N
N
N
N
BRIDGECREST LENDING AUTO SECURITIZATION TRUST
N/A
BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024 BLAST 2024-1 A2
107933AB9
180000.00000000
PA
USD
180000.07000000
0.076746129135
Long
ABS-MBS
US
N
2
2026-09-15
Fixed
5.82000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2 EFMT 2019-2 A1
31573TAA6
18606.27000000
PA
USD
17555.28000000
0.007484995899
Long
ABS-MBS
US
N
2
2059-11-25
Floating
2.73899880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ4793
3138YWKF3
80700.08000000
PA
USD
77665.59000000
0.033114061564
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
622534.72000000
PA
USD
501000.75000000
0.213610296132
Long
ABS-MBS
US
Y
2
2066-07-25
Floating
1.26200160
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.250000% 09/15/2024
25179MBC6
930000.00000000
PA
USD
928160.13000000
0.395737052743
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
5.25000000
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
316899.23000000
0.135115443169
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
160203.84000000
PA
USD
136859.47000000
0.058352391518
Long
ABS-MBS
US
Y
2
2064-11-25
Floating
1.02899880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.125000% 01/27/2025
3134GYFG2
275000.00000000
PA
USD
274850.96000000
0.117187439255
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
341405.87000000
0.145564271095
Long
ABS-MBS
US
Y
2
2026-11-13
Fixed
5.79000000
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
335248.69000000
PA
USD
335868.10000000
0.143203147505
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
197529.33000000
PA
USD
163954.38000000
0.069904772924
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
224843.23000000
PA
USD
225799.44000000
0.096273479121
Long
ABS-MBS
US
Y
2
2027-08-16
Fixed
6.29000000
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
2030000.00000000
PA
USD
2030000.00000000
0.865525453102
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
5.75190000
N
N
N
N
N
N
KKR FINANCIAL CLO, LTD.
N/A
KKR CLO 21 LTD KKR 21 A
48252KAA7
430560.35000000
PA
USD
430571.98000000
0.183581777380
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.57560160
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
210480.74000000
PA
USD
210268.66000000
0.089651663655
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
1221247.32000000
0.520699822656
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
374135.92000000
PA
USD
374794.77000000
0.159800203509
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
6.55941960
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD NEUB 2017-26A AR
64131QAJ9
563969.52000000
PA
USD
563664.98000000
0.240328269562
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-18
Floating
6.47952120
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST
N/A
NISSAN AUTO LEASE TRUST 2023-A NALT 2023-A A2A
65480VAB9
338297.79000000
PA
USD
337744.94000000
0.144003370554
Long
ABS-MBS
US
N
2
2025-03-17
Fixed
5.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2015-M13 A2
3136AQHL7
200472.36650000
PA
USD
194582.73000000
0.082963697314
Long
DBT
USGA
US
N
2
2025-06-25
Floating
2.78898840
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2021-2 DEFT 2021-2 A3
24702VAE2
160421.17000000
PA
USD
159370.40000000
0.067950314123
Long
ABS-MBS
US
N
2
2026-12-22
Fixed
0.53000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2023-P5 CRVNA 2023-P5 A2
14687RAB7
125000.00000000
PA
USD
125350.04000000
0.053445147865
Long
ABS-MBS
US
Y
2
2027-04-12
Fixed
5.77000000
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
50920.00000000
PA
USD
47980.55000000
0.020457333634
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
1920000.00000000
PA
USD
1905277.65000000
0.812347931676
Long
DBT
CORP
US
N
2
2025-06-14
Fixed
3.84500000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2023-2 A2
35104AAB4
338649.07000000
PA
USD
340685.60000000
0.145257171579
Long
ABS-MBS
US
Y
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
1935000.00000000
PA
USD
1936183.89000000
0.825525339252
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.55000000
N
N
N
N
N
N
USAA AUTO OWNER TRUST
N/A
USAA AUTO OWNER TRUST 2023-A USAOT 2023-A A2
90291VAB6
215000.00000000
PA
USD
215462.96000000
0.091866342896
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
5.83000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2002-64 FG
31392EP61
104.77000000
PA
USD
105.04000000
0.000044785612
Long
DBT
USGA
US
N
2
2032-10-18
Floating
5.70974040
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R2 VERUS 2021-R2 A1
92538DAA7
181622.98000000
PA
USD
159245.12000000
0.067896898838
Long
ABS-MBS
US
Y
2
2064-02-25
Floating
0.91800000
N
N
N
N
N
N
SBNA AUTO LEASE TRUST
N/A
SBNA AUTO LEASE TRUST 2023-A SBALT 2023-A A2
78436TAB2
1070000.00000000
PA
USD
1077082.01000000
0.459232460460
Long
ABS-MBS
US
Y
2
2026-04-20
Fixed
6.27000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2013-2 LTD INGIM 2013-2A A1R
92916WAA7
381189.16000000
PA
USD
380770.23000000
0.162347943767
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.55628040
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM3 IMPRL 2021-NQM3 A1
452762AA5
203693.51000000
PA
USD
169108.29000000
0.072102231194
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
309834.13000000
0.132103116135
Long
ABS-MBS
US
N
2
2027-09-14
Fixed
3.63000000
N
N
N
N
N
N
LENDBUZZ SECURITIZATION TRUST
N/A
LENDBUZZ SECURITIZATION TRUST 2021-1 LBZZ 2021-1A A
52607BAA1
161825.48000000
PA
USD
157006.45000000
0.066942403338
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
407872.32000000
PA
USD
331918.91000000
0.141519342350
Long
ABS-MBS
US
Y
2
2061-07-25
Floating
1.15999920
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2023-N3 CRVNA 2023-N3 A
14686RAA0
212142.86000000
PA
USD
213340.24000000
0.090961284675
Long
ABS-MBS
US
Y
2
2027-09-10
Fixed
6.41000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2021-A MMAF 2021-A A3
55317JAC4
73720.71000000
PA
USD
70854.66000000
0.030210104286
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
212991.67000000
PA
USD
212954.01000000
0.090796608864
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
2189.84000000
PA
USD
2165.29000000
0.000923208674
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
395344.52000000
0.168561943253
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
75.09000000
PA
USD
75.00000000
0.000031977541
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
349265.00000000
0.148915146491
Long
DBT
CORP
US
N
2
2026-01-25
Floating
6.04001160
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
411304.99000000
0.175366964449
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
841936.06000000
PA
USD
840645.54000000
0.358423700446
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
411420.61000000
0.175416261027
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
294.60000000
PA
USD
293.73000000
0.000125236843
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
143949.42000000
PA
USD
133763.39000000
0.057032324501
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.69099920
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-2 A
02529YAA1
83403.35000000
PA
USD
83421.06000000
0.035568005297
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
306067.41000000
PA
USD
303121.51000000
0.129241075018
Long
DBT
USGA
US
N
2
2024-06-25
Floating
3.05600040
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2023-3 DEFT 2023-3 A2
24702EAB6
215000.00000000
PA
USD
216511.21000000
0.092313282333
Long
ABS-MBS
US
N
2
2029-04-23
Fixed
6.10000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2 AMCAR 2020-2 C
03066EAF1
513814.23000000
PA
USD
505774.58000000
0.215645700749
Long
ABS-MBS
US
N
2
2026-02-18
Fixed
1.48000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1 SDART 2024-1 A2
80288AAB8
155000.00000000
PA
USD
155026.86000000
0.066098371056
Long
ABS-MBS
US
N
2
2027-02-16
Fixed
5.71000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 5.000000% 02/20/2026
126650DS6
275000.00000000
PA
USD
275906.47000000
0.117637474118
Long
DBT
CORP
US
N
2
2026-02-20
Fixed
5.00000000
N
N
N
N
N
N
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK NA 5.550000% 08/01/2025
94988J6B8
325000.00000000
PA
USD
328404.34000000
0.140020844915
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
5.55000000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-2 A2
34660DAB7
81927.56000000
PA
USD
81781.52000000
0.034868959188
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
4.49000000
N
N
N
N
N
N
AUXILIOR TERM FUNDING LLC
N/A
AUXILIOR TERM FUNDING 2023-1 LLC XCAP 2023-1A A2
05335JAB9
190000.00000000
PA
USD
191647.55000000
0.081712232783
Long
ABS-MBS
US
Y
2
2028-12-15
Fixed
6.18000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2024-1 CARMX 2024-1 A2A
14318WAB3
555000.00000000
PA
USD
555648.07000000
0.236910121946
Long
ABS-MBS
US
Y
2
2027-03-15
Fixed
5.30000000
N
N
N
N
N
N
PRESTIGE AUTO RECEIVABLES TRUST
N/A
PRESTIGE AUTO RECEIVABLES TRUST 2023-2 PART 2023-2A A2
74113VAC4
805000.00000000
PA
USD
808134.83000000
0.344562199459
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
6.24000000
N
N
N
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 2.150000% 02/16/2024
29250NBK0
300000.00000000
PA
USD
299544.68000000
0.127716031961
Long
DBT
NUSS
CA
N
2
2024-02-16
Fixed
2.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.300000% 01/27/2026
3134GYEA6
1475000.00000000
PA
USD
1471766.90000000
0.627513159105
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
219726.33000000
PA
USD
219667.88000000
0.093659182940
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
6.44118120
N
N
N
N
N
N
BRIDGECREST LENDING AUTO SECURITIZATION TRUST
N/A
BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2023 BLAST 2023-1 A2
108056AB8
170000.00000000
PA
USD
170277.53000000
0.072600756801
Long
ABS-MBS
US
N
2
2026-07-15
Fixed
6.34000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-J TRUST BOAMS 2005-J 2A1
05949CKQ8
3812.69000000
PA
USD
3411.32000000
0.001454475019
Long
ABS-MBS
US
N
2
2035-11-25
Floating
5.21923680
N
N
N
N
N
N
GMACM MORTGAGE LOAN TRUST
N/A
GMACM MORTGAGE LOAN TRUST 2005-AR6 GMACM 2005-AR6 2A1
36185MBJ0
63235.95000000
PA
USD
50439.19000000
0.021505617132
Long
ABS-MBS
US
N
2
2035-11-19
Floating
3.64426200
N
N
N
N
N
N
DLLST LLC
N/A
DLLST 2024-1 LLC DLLST 2024-1A A2
23346HAB3
130000.00000000
PA
USD
130091.10000000
0.055466580429
Long
ABS-MBS
US
Y
2
2026-01-20
Fixed
5.33000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A
00834CAA3
49956.51000000
PA
USD
49480.15000000
0.021096713915
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
1.07000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 6.100000% 01/15/2027
00774MBD6
250000.00000000
PA
USD
255658.07000000
0.109004220135
Long
DBT
NUSS
IE
N
2
2027-01-15
Fixed
6.10000000
N
N
N
N
N
N
DAIMLER TRUCKS RETAIL TRUST
N/A
DAIMLER TRUCKS RETAIL TRUST 2023-1 DTRT 2023-1 A2
233868AB4
380000.00000000
PA
USD
380597.85000000
0.162274446586
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
6.03000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2021-NQM1 TRUST MFRA 2021-NQM1 A1
55283FAA6
117237.66000000
PA
USD
106299.56000000
0.045322647701
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
604.38000000
PA
USD
601.42000000
0.000256425772
Long
DBT
USGA
US
N
2
2024-09-01
Floating
5.48899920
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
453881.68000000
0.193520269328
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
55772.33000000
PA
USD
51279.55000000
0.021863919088
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
68469.41000000
PA
USD
36160.27000000
0.015417553732
Long
ABS-MBS
US
N
2
2035-07-25
Floating
5.09484240
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-1 CARMX 2023-1 A3
14318DAC3
300000.00000000
PA
USD
299332.50000000
0.127625565364
Long
ABS-MBS
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
TRK TRUST
N/A
TRK 2021-INV1 TRUST TRK 2021-INV1 A1
89688WAA9
173043.07000000
PA
USD
149975.22000000
0.063944517361
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
166568.13000000
PA
USD
166361.04000000
0.070930893854
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
713425.90000000
PA
USD
681125.33000000
0.290409512250
Long
ABS-MBS
US
N
2
2029-10-25
Floating
2.74544280
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.319000% 06/19/2026
06051GJD2
1815000.00000000
PA
USD
1717438.52000000
0.732259484334
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
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
201685.82000000
0.085992222039
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
200826.48000000
0.085625827633
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
57891.55000000
PA
USD
51828.96000000
0.022098169501
Long
ABS-MBS
US
Y
2
2065-01-26
Floating
1.01400120
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2018-5 TPMT 2018-5 A1A
89176VAK8
100931.79390000
PA
USD
97971.45000000
0.041771814607
Long
ABS-MBS
US
N
2
2058-07-25
Floating
3.25000080
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4 WLAKE 2023-4A A2
96041AAC0
515000.00000000
PA
USD
517888.17000000
0.220810538421
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
6.23000000
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VIII LTD OZLM 2014-8A A1R3
67107FBL0
152877.85000000
PA
USD
152983.79000000
0.065227272983
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-17
Floating
6.55814160
N
N
N
N
N
N
BRIDGECREST LENDING AUTO SECURITIZATION TRUST
N/A
BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2023 BLAST 2023-1 A3
108056AC6
1180000.00000000
PA
USD
1193072.63000000
0.508687058455
Long
ABS-MBS
US
N
2
2027-11-15
Fixed
6.51000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024
37045XDN3
2170000.00000000
PA
USD
2168909.18000000
0.924751773772
Long
DBT
CORP
US
N
2
2024-10-15
Floating
5.96620440
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 928005
31412LAE0
2811.77000000
PA
USD
2850.37000000
0.001215304327
Long
DBT
USGA
US
N
2
2027-01-01
Fixed
6.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO BANK NA 4.811000% 01/15/2026
94988J6H5
350000.00000000
PA
USD
350643.74000000
0.149502996030
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.81100000
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
320495.67000000
PA
USD
272208.73000000
0.116060879000
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.15611840
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2022-2 MFT 2022-2A A
57107LAA3
3879.01000000
PA
USD
3875.68000000
0.001652462900
Long
ABS-MBS
US
Y
2
2032-08-15
Fixed
4.25000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2023-P3 CRVNA 2023-P3 A2
14688GAB0
88549.50000000
PA
USD
88724.82000000
0.037829354695
Long
ABS-MBS
US
Y
2
2026-11-10
Fixed
6.09000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-6 TPMT 2017-6 A1
89175JAA8
47087.54000000
PA
USD
45125.30000000
0.019239948634
Long
ABS-MBS
US
N
2
2057-10-25
Floating
2.75000040
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 B
33844WAC4
187788.82000000
PA
USD
185599.50000000
0.079133542528
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
781140.75000000
0.333052808660
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
176296.87000000
PA
USD
187756.17000000
0.080053075917
Long
DBT
USGA
US
N
2
2028-10-25
Floating
11.35911960
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2005-A6 JPMMT 2005-A6 7A1
466247UG6
12259.90000000
PA
USD
10031.95000000
0.004277294615
Long
ABS-MBS
US
N
2
2035-08-25
Floating
4.98332160
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B
30227FAE0
229017.55000000
PA
USD
227013.65000000
0.096791178461
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
6.82747920
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1
92536PAA2
20119.89000000
PA
USD
19199.07000000
0.008185854069
Long
ABS-MBS
US
N
2
2060-01-25
Floating
2.41700040
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2023-P4 CRVNA 2023-P4 A2
14687NAB6
403527.40000000
PA
USD
404735.76000000
0.172566060128
Long
ABS-MBS
US
Y
2
2027-01-11
Fixed
6.23000000
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
306877.73000000
0.130842604091
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
22585.09000000
PA
USD
22576.72000000
0.009625973304
Long
ABS-MBS
US
Y
2
2025-07-10
Fixed
5.57000000
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO VARIABLE RATE 04/01/2024
842400HC0
620000.00000000
PA
USD
620198.40000000
0.264432266587
Long
DBT
CORP
US
N
2
2024-04-01
Floating
6.18201000
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2023-3 LADAR 2023-3A A2
50168BAB4
260791.28000000
PA
USD
261051.71000000
0.111303891419
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
6.09000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1
89173UAA5
116379.90000000
PA
USD
111587.27000000
0.047577153905
Long
ABS-MBS
US
N
2
2057-06-25
Floating
2.75000040
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2018-RP2 CMLTI 2018-RP2 A1
17326UAA2
85836.44000000
PA
USD
83331.08000000
0.035529640775
Long
ABS-MBS
US
N
2
2058-02-25
Floating
3.39908400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KBX1 A2
3137F4CZ3
520000.00000000
PA
USD
506751.86000000
0.216062380904
Long
DBT
USGA
US
N
2
2026-01-25
Fixed
2.92000000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
285621.38000000
PA
USD
284136.69000000
0.121146570125
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
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
24024.86000000
PA
USD
23856.01000000
0.010171420622
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
577554.96000000
PA
USD
578346.85000000
0.246588137633
Long
ABS-MBS
US
N
2
2026-11-15
Fixed
5.76000000
N
N
N
N
N
N
VOLKSWAGEN AUTO LEASE TRUST
N/A
VOLKSWAGEN AUTO LEASE TRUST 2023-A VWALT 2023-A A2A
92867UAB8
950000.00000000
PA
USD
953050.64000000
0.406349550254
Long
ABS-MBS
US
N
2
2026-01-20
Fixed
5.87000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2022-1 CARMX 2022-1 A3
14317CAC6
1339776.39000000
PA
USD
1300888.98000000
0.554656415689
Long
ABS-MBS
US
N
2
2026-12-15
Fixed
1.47000000
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
1345852.95000000
0.573827578501
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
281571.62000000
PA
USD
275827.95000000
0.117603995764
Long
ABS-MBS
US
N
2
2049-04-15
Fixed
3.12700000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2 SDART 2022-2 C
80286MAE8
585000.00000000
PA
USD
568577.59000000
0.242422845423
Long
ABS-MBS
US
N
2
2029-07-16
Fixed
3.76000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1
19688EAA6
178749.86000000
PA
USD
146936.48000000
0.062648898241
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
943088.55000000
0.402102041652
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
1698746.83000000
0.724289960464
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
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
1356349.40000000
0.578302920689
Long
ABS-MBS
US
N
2
2031-08-15
Fixed
2.04000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1
85573MAA7
29701.65000000
PA
USD
27581.99000000
0.011760056350
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
276155.61000000
PA
USD
278102.42000000
0.118573755211
Long
ABS-MBS
US
N
2
2059-10-25
Floating
6.45033960
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-B BHG 2022-B A
05553DAA9
95469.08000000
PA
USD
95122.49000000
0.040557111456
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
425000.00000000
0.181206067767
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
145132.37000000
PA
USD
140513.49000000
0.059910345861
Long
ABS-MBS
US
N
2
2058-03-25
Floating
3.25000080
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2022-A SRT 2022-A B
80287CAE9
550000.00000000
PA
USD
534642.24000000
0.227953924642
Long
ABS-MBS
US
Y
2
2026-01-20
Fixed
1.61000000
N
N
N
N
N
N
CHASE MORTGAGE REFERENCE NOTES
N/A
CHASE MORTGAGE FINANCE CORP CHASE 2021-CL1 M1
46591HBX7
243470.64000000
PA
USD
226974.53000000
0.096774498975
Long
ABS-MBS
US
N
2
2050-02-25
Floating
6.54464160
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1 EART 2023-1A A2
30168BAB6
17337.78000000
PA
USD
17334.47000000
0.007390849754
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
1796.92000000
PA
USD
1794.31000000
0.000765034963
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
4886.96000000
PA
USD
4841.03000000
0.002064056494
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
494860.49000000
PA
USD
493860.87000000
0.210566085357
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-15
Floating
6.37560000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2022-C A
69335PEK7
475000.00000000
PA
USD
467194.61000000
0.199196466259
Long
ABS-MBS
US
Y
2
2027-05-15
Fixed
3.89000000
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
349283.81000000
0.148923166458
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
24451.77000000
PA
USD
23290.19000000
0.009930173523
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
13334.95000000
PA
USD
13214.90000000
0.005634400152
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
407516.35000000
PA
USD
407792.24000000
0.173869243003
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
6.52560120
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
61736.20000000
PA
USD
60925.94000000
0.025976823558
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
390024.00000000
0.166293447941
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
660774.47000000
PA
USD
650340.78000000
0.277283989300
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
82107.78000000
PA
USD
82135.94000000
0.035020072258
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.52942080
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2021-LGCY BX 2021-LGCY A
12434DAA0
600000.00000000
PA
USD
589125.00000000
0.251183587467
Long
ABS-MBS
US
Y
2
2036-10-15
Floating
5.95347840
N
N
N
N
N
N
M&T EQUIPTMENT LLC
N/A
M&T EQUIPMENT 2023-LEAF1 NOTES MTLRF 2023-1A A2
551925AA8
640000.00000000
PA
USD
641516.03000000
0.273521405191
Long
ABS-MBS
US
Y
2
2030-07-15
Fixed
6.09000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021-3R A1
19688DAA8
116021.94000000
PA
USD
101819.83000000
0.043412637682
Long
ABS-MBS
US
Y
2
2064-12-25
Floating
1.05099840
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
117757.50000000
PA
USD
114717.96000000
0.048911977491
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
174912.54000000
PA
USD
175278.65000000
0.074733070423
Long
ABS-MBS
US
Y
2
2025-08-20
Fixed
5.86000000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 4.990000% 05/01/2026
025816DE6
275000.00000000
PA
USD
274744.18000000
0.117141911764
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
44785.98000000
PA
USD
41838.57000000
0.017838594707
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
329336.49000000
PA
USD
272257.11000000
0.116081506646
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
945031.49000000
0.402930447575
Long
ABS-MBS
US
Y
2
2038-09-15
Floating
6.49847880
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
424847.77000000
0.181141161886
Long
DBT
CORP
US
N
2
2025-10-28
Fixed
5.67100000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 0.613000% 03/15/2024
125523CN8
190000.00000000
PA
USD
188903.00000000
0.080542046634
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.61300000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C39 WFCM 2017-C39 ASB
95000XAD9
181033.11180000
PA
USD
175355.28000000
0.074765742943
Long
ABS-MBS
US
N
2
2050-09-15
Fixed
3.21200000
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
650274.22000000
0.277255610298
Long
DBT
CORP
US
N
2
2025-04-22
Floating
6.03600840
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
1957890.62000000
0.834780377340
Long
SN
UST
US
N
2
2025-06-15
Fixed
2.87500000
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
378788.32000000
PA
USD
357433.37000000
0.152397871686
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
6.64463880
N
N
N
N
N
N
DLLST LLC
N/A
DLLST 2022-1 LLC DLLST 2022-1A A3
23292GAC7
203761.97000000
PA
USD
202524.12000000
0.086349645678
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
98623.39000000
PA
USD
86117.89000000
0.036717845203
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
83597.87000000
PA
USD
77230.23000000
0.032928438332
Long
ABS-MBS
US
N
2
2048-10-25
Floating
2.96200080
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S MTN 6.259000% 09/22/2026
23636ABE0
305000.00000000
PA
USD
310283.15000000
0.132294563543
Long
DBT
NUSS
DK
N
2
2026-09-22
Fixed
6.25900000
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
700003.58000000
0.298458579188
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
232111.33000000
PA
USD
232363.73000000
0.099072277188
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
794008.48000000
0.338539186906
Long
ABS-MBS
US
N
2
2052-06-15
Fixed
3.22800000
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
374907.66000000
PA
USD
373604.33000000
0.159292638918
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
578214.99000000
PA
USD
578398.86000000
0.246610312992
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.55560000
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST
N/A
CITIZENS AUTO RECEIVABLES TRUST 2023-2 CITZN 2023-2 A2A
17295FAB0
425000.00000000
PA
USD
426448.66000000
0.181823728902
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
6.09000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST
N/A
TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST TAOT 2023-C A2A
89231FAB6
615000.00000000
PA
USD
616112.60000000
0.262690215407
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
5.60000000
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
87147.78000000
PA
USD
85226.88000000
0.036337947748
Long
ABS-MBS
US
N
2
2051-07-15
Fixed
4.12000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 6.557000% 10/18/2027
63861VAJ6
250000.00000000
PA
USD
258104.46000000
0.110047280635
Long
DBT
NUSS
GB
N
2
2027-10-18
Fixed
6.55700000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-5 IMM 2005-5 A1
45254NPU5
9943.49000000
PA
USD
9088.92000000
0.003875217537
Long
ABS-MBS
US
N
2
2035-08-25
Floating
6.09033960
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1
89173FAA8
15888.68000000
PA
USD
15802.15000000
0.006737518738
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
6007.95000000
PA
USD
5860.30000000
0.002498639809
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
60825.55000000
PA
USD
60491.31000000
0.025791511574
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
86781.80000000
PA
USD
86920.69000000
0.037060132806
Long
ABS-MBS
US
Y
2
2026-09-15
Fixed
6.13000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3 WLAKE 2023-3A A2A
96041CAC6
790000.00000000
PA
USD
791924.91000000
0.337650820961
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
5.96000000
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
433941.87000000
PA
USD
383159.91000000
0.163366824982
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
68479.54000000
PA
USD
68472.83000000
0.029194570054
Long
ABS-CBDO
CORP
KY
Y
2
2029-06-20
Floating
6.58199880
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
250268.68000000
0.106706360913
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
225238.13000000
PA
USD
220258.02000000
0.093910799290
Long
ABS-MBS
US
Y
2
2035-02-20
Fixed
1.71000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-1 WLAKE 2021-1A D
96043FAF0
275000.00000000
PA
USD
266859.20000000
0.113780014775
Long
ABS-MBS
US
Y
2
2026-04-15
Fixed
1.23000000
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST
N/A
AVANT LOANS FUNDING TRUST 2021-REV1 AVNT 2021-REV1 A
05353LAA3
57444.55000000
PA
USD
57163.23000000
0.024372527362
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
125041.23000000
PA
USD
125064.99000000
0.053323611890
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
6.66565920
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-6 BSARM 2005-6 3A1
07387ADJ1
25254.15000000
PA
USD
22782.77000000
0.009713826269
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.73016320
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
323624.12000000
0.137982715811
Long
DBT
NUSS
JP
N
2
2025-07-18
Fixed
4.78800000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 STAR 2021-2 A1
85573HAA8
48010.49000000
PA
USD
43410.00000000
0.018508600945
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
101175.14000000
PA
USD
89033.52000000
0.037960974255
Long
ABS-MBS
US
Y
2
2049-02-25
Floating
0.94100040
N
N
N
N
N
N
MORTGAGEIT TRUST
N/A
MORTGAGEIT TRUST 2005-5 MHL 2005-5 A1
61915RAU0
26873.03000000
PA
USD
25954.94000000
0.011066335568
Long
ABS-MBS
US
N
2
2035-12-25
Floating
5.97034080
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
82559.27000000
PA
USD
78070.82000000
0.033286838352
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
96349.20000000
PA
USD
88698.98000000
0.037818337366
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
49653.68000000
PA
USD
45976.16000000
0.019602727446
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
225038.68000000
0.095949115996
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
325042.90000000
0.138587637093
Long
DBT
CORP
US
N
2
2025-06-23
Floating
5.93408520
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1
89180FCD1
506003.10000000
PA
USD
476522.90000000
0.203173743318
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
249875.57000000
0.106538751696
Long
DBT
CORP
US
N
2
2024-09-10
Floating
5.85853920
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-F TRUST BOAMS 2005-F 2A2
05949CCA2
21320.25000000
PA
USD
19538.31000000
0.008330494884
Long
ABS-MBS
US
N
2
2035-07-25
Floating
5.21480880
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2
03237KAB0
43842.27000000
PA
USD
43437.89000000
0.018520492327
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
399696.61000000
0.170417531760
Long
DBT
CORP
US
N
2
2025-06-01
Floating
5.89398480
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A
00834HAA2
36686.11000000
PA
USD
36148.24000000
0.015412424534
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
770607.25000000
PA
USD
755301.22000000
0.322035680132
Long
DBT
USGA
US
N
2
2028-07-25
Fixed
3.60000000
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
500068.75000000
0.213212921884
Long
DBT
NUSS
CA
N
2
2024-09-10
Floating
5.70853800
N
N
N
N
N
N
GRANITE PARK EQUIPMENT LEASING LLC
N/A
GRANITE PARK EQUIPMENT LEASING 2023-1 LLC SCFGP 2023-1A A2
387422AB4
415000.00000000
PA
USD
418627.06000000
0.178488855067
Long
ABS-MBS
US
Y
2
2030-05-20
Fixed
6.51000000
N
N
N
N
N
N
BRIDGECREST LENDING AUTO SECURITIZATION TRUST
N/A
BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024 BLAST 2024-1 A3
107933AC7
1060000.00000000
PA
USD
1062029.58000000
0.452814597752
Long
ABS-MBS
US
N
2
2028-01-18
Fixed
5.53000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024
63906YAC2
490000.00000000
PA
USD
489823.37000000
0.208844627714
Long
DBT
NUSS
GB
N
2
2024-08-12
Floating
5.87500560
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A 4.351000% 06/13/2025
83368RBN1
500000.00000000
PA
USD
495302.35000000
0.211180685175
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
697609.88000000
0.297437983978
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
377538.64000000
0.160970099728
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
207900.00000000
0.088641744679
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
51844.44000000
PA
USD
48702.54000000
0.020765166502
Long
ABS-MBS
US
N
2
2055-04-25
Floating
2.99999880
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 3.766000% 06/06/2025
89115A2A9
1195000.00000000
PA
USD
1177250.57000000
0.501941050746
Long
DBT
NUSS
CA
N
2
2025-06-06
Fixed
3.76600000
N
N
N
N
N
N
TAMPA ELECTRIC COMPANY
WS423EPRKJIIJUITXD73
TAMPA ELECTRIC CO 3.875000% 07/12/2024
875127BK7
325000.00000000
PA
USD
322748.22000000
0.137609260765
Long
DBT
CORP
US
N
2
2024-07-12
Fixed
3.87500000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST
N/A
TESLA AUTO LEASE TRUST 2023-B TESLA 2023-B A2
88167QAB2
310000.00000000
PA
USD
311151.53000000
0.132664812308
Long
ABS-MBS
US
Y
2
2025-09-22
Fixed
6.02000000
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
651518.01000000
0.277785921581
Long
ABS-MBS
US
N
2
2026-07-15
Fixed
5.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4379 CB
3137BCZG6
119164.45000000
PA
USD
116027.29000000
0.049470232881
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
73024.76000000
PA
USD
72790.95000000
0.031035674867
Long
ABS-MBS
US
Y
2
2033-04-15
Floating
5.69048040
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.375000% 05/03/2024
025816CV9
350000.00000000
PA
USD
348018.59000000
0.148383718127
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
103306.47000000
PA
USD
103236.81000000
0.044016791503
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
225074.80000000
PA
USD
220548.68000000
0.094034727186
Long
ABS-MBS
US
N
2
2026-02-17
Fixed
0.52000000
N
N
N
N
N
N
SEMPRA
PBBKGKLRK5S5C0Y4T545
SEMPRA 5.400000% 08/01/2026
816851BQ1
370000.00000000
PA
USD
374452.35000000
0.159654206846
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
263871.30000000
PA
USD
225788.81000000
0.096268946837
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.07100000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STAR 2021-1 TRUST STAR 2021-1 A1
85573GAA0
112389.52000000
PA
USD
99100.93000000
0.042253387852
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
1.21899960
N
N
N
N
N
N
HARLEY DAVIDSON MOTORCYCLE TRUST
N/A
HARLEY-DAVIDSON MOTORCYCLE TRUST 2023-A HDMOT 2023-A A2A
41285JAB4
457520.45000000
PA
USD
456886.69000000
0.194801507083
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
5.32000000
N
N
N
N
N
N
SAN ANTONIO TEX
N/A
SAN ANTONIO TX CITY OF SAN ANTONIO TX
79623PQQ1
880000.00000000
PA
USD
890088.32000000
0.379504481019
Long
DBT
MUN
US
N
2
2026-02-01
Fixed
5.63500000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1
03465CAA3
217973.39000000
PA
USD
185302.23000000
0.079006796345
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
76562.08000000
PA
USD
75851.45000000
0.032340571738
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
410000.00000000
PA
USD
403329.55000000
0.171966498282
Long
DBT
MUN
US
N
2
2024-10-01
Fixed
2.50400000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 5.550000% 11/01/2026
682680BH5
450000.00000000
PA
USD
457587.21000000
0.195100185846
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.55000000
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 5.300000% 01/21/2028
693475BV6
90000.00000000
PA
USD
90796.85000000
0.038712800362
Long
DBT
CORP
US
N
2
2028-01-21
Fixed
5.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 12/31/2024
912828YY0
2675000.00000000
PA
USD
2602586.92000000
1.109657745404
Long
SN
UST
US
N
2
2024-12-31
Fixed
1.75000000
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
422016.50000000
0.179934001172
Long
DBT
NUSS
CA
N
2
2026-09-10
Floating
5.94853920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2474
31418BXC5
334936.97000000
PA
USD
322315.46000000
0.137424746087
Long
DBT
USGA
US
N
2
2030-12-01
Fixed
3.00000000
N
N
N
N
N
N
GECU AUTO RECEIVABLES TRUST
N/A
GECU AUTO RECEIVABLES TRUST 2023-1 GECU 2023-1A A2
36169EAB6
985000.00000000
PA
USD
985308.01000000
0.420103035369
Long
ABS-MBS
US
Y
2
2027-03-15
Fixed
5.95000000
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
355258.30000000
0.151470493140
Long
ABS-MBS
US
Y
2
2029-08-20
Fixed
5.43000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 MSC 2016-UB12 ASB
61691EAY1
670985.46640000
PA
USD
649753.88000000
0.277033754380
Long
ABS-MBS
US
N
2
2049-12-15
Fixed
3.43600000
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
115126.19000000
0.049086033381
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
166878.85000000
PA
USD
150966.60000000
0.064367209294
Long
ABS-MBS
US
Y
2
2063-10-25
Floating
0.82000080
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 5.203000% 01/18/2027
05571AAT2
300000.00000000
PA
USD
302303.34000000
0.128892234151
Long
DBT
NUSS
FR
N
2
2027-01-18
Fixed
5.20300000
N
N
N
N
N
N
CARRIER GLOBAL CORPORATION
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP 144A 5.800000% 11/30/2025
14448CAT1
260000.00000000
PA
USD
263738.47000000
0.112449437806
Long
DBT
CORP
US
N
2
2025-11-30
Fixed
5.80000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 5.029000% 01/15/2025
05578AAZ1
345000.00000000
PA
USD
343583.36000000
0.146492681449
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
33955.10000000
PA
USD
25727.23000000
0.010969247489
Long
ABS-MBS
US
N
2
2036-03-25
Floating
4.82147640
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 7.776000% 11/16/2025
853254CL2
300000.00000000
PA
USD
305176.17000000
0.130117114687
Long
DBT
NUSS
GB
N
2
2025-11-16
Fixed
7.77600000
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
240916.65000000
PA
USD
241107.22000000
0.102800214697
Long
ABS-CBDO
CORP
KY
Y
2
2030-11-20
Floating
6.48942120
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
59553.63000000
PA
USD
58532.45000000
0.024956317885
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
170613.85000000
PA
USD
169833.70000000
0.072411522238
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
217940.69000000
PA
USD
217918.90000000
0.092913475203
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
6.64941960
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 6.170000% 01/09/2027
853254CQ1
350000.00000000
PA
USD
355717.79000000
0.151666404613
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
275798.21000000
0.117591315603
Long
DBT
CORP
US
N
2
2027-01-28
Fixed
5.05000000
N
N
N
N
N
N
BANK OF AMERICA AUTO TRUST
N/A
BANK OF AMERICA AUTO TRUST 2023-2 BAAT 2023-2A A2
06054YAB3
220000.00000000
PA
USD
221099.98000000
0.094269783433
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
5.85000000
N
N
N
N
N
N
Cooperatieve Rabobank UA (New York Branch)
N/A
COOPERATIEVE RABOBANK UA/NY MTN 5.500000% 07/18/2025
21688AAW2
250000.00000000
PA
USD
252744.28000000
0.107761875599
Long
DBT
NUSS
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
546559.46000000
0.233035036583
Long
ABS-MBS
US
Y
2
2038-04-18
Fixed
5.80000000
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2023-1 FIAOT 2023-1A A
320986AA0
472195.21000000
PA
USD
477290.01000000
0.203500813875
Long
ABS-MBS
US
Y
2
2028-10-16
Fixed
6.44000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 1.650000% 10/29/2024
00774MAU9
1655000.00000000
PA
USD
1607091.09000000
0.685210957561
Long
DBT
NUSS
IE
N
2
2024-10-29
Fixed
1.65000000
N
N
N
N
N
N
VFI ABS LLC
N/A
VFI ABS 2023-1 LLC VFI 2023-1A A
92555QAA6
274056.92000000
PA
USD
275999.76000000
0.117677249916
Long
ABS-MBS
US
Y
2
2029-03-26
Fixed
7.27000000
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2022-1 FHF 2022-1A A
30327CAA4
177524.66000000
PA
USD
175257.94000000
0.074724240358
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
600374.47000000
0.255979992698
Long
DBT
CORP
DE
N
2
2024-12-13
Floating
6.10519680
N
N
N
N
N
N
CONSUMERS SECURITIZATION FUNDING LLC
N/A
CONSUMERS 2023 SECURITIZATION FUNDING LLC 5.550000% 03/01/2028
21071BAA3
225000.00000000
PA
USD
225904.01000000
0.096318064341
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.55000000
N
N
N
N
N
N
OBX TRUST
N/A
ONSLOW BAY MORTGAGE LOAN TRUST OBX 2021-NQM4 A1
67115DAA0
454008.28000000
PA
USD
373649.04000000
0.159311701796
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
173196.96000000
PA
USD
173023.05000000
0.073771356526
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
3175000.00000000
PA
USD
3117949.22000000
1.329391335660
Long
SN
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2 EFMT 2020-2 A1
31573WAA9
35731.53000000
PA
USD
32099.79000000
0.013686298169
Long
ABS-MBS
US
Y
2
2065-10-25
Floating
1.17799920
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2023-1A A1
165183CU6
329415.29000000
PA
USD
330337.49000000
0.140845076703
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
1530000.00000000
PA
USD
1526817.60000000
0.650984972928
Long
DBT
NUSS
US
N
2
2025-05-19
Fixed
4.65000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-4 CARMX 2023-4 A2A
14318XAB1
400000.00000000
PA
USD
402781.28000000
0.171732733927
Long
ABS-MBS
US
N
2
2026-12-15
Fixed
6.08000000
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
300930.10000000
0.128306729632
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
1640000.00000000
PA
USD
1626354.69000000
0.693424325107
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
825728.16000000
0.352063418632
Long
DBT
CORP
US
N
2
2024-05-24
Floating
6.06002040
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2021-2 FHF 2021-2A A
30322JAA4
62392.46000000
PA
USD
60429.31000000
0.025765076807
Long
ABS-MBS
US
Y
2
2026-12-15
Fixed
0.83000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 5.749000% 09/01/2025
65339KBS8
225000.00000000
PA
USD
227272.10000000
0.096901373068
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.74900000
N
N
N
N
N
N
CCG RECEIVABLES TRUST
N/A
CCG RECEIVABLES TRUST 2023-1 CCG 2023-1 A2
12512XAB9
355091.75000000
PA
USD
357477.22000000
0.152416567888
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
396654.59000000
0.169120514155
Long
DBT
CORP
US
N
2
2025-06-09
Floating
5.75853840
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2014-2 LTD VOYA 2014-2A A1RR
92912VAY1
263500.08000000
PA
USD
263460.29000000
0.112330830973
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
6.59814120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.320000% 03/21/2025
3134GXZ64
1275000.00000000
PA
USD
1264587.16000000
0.539178509678
Long
DBT
USGA
US
N
2
2025-03-21
Fixed
4.32000000
N
N
N
N
N
N
N/A
N/A
NYCTL 2021-A TRUST NYCTL 2021-A A
62955UAA6
109095.44000000
PA
USD
106826.52000000
0.045547326170
Long
ABS-MBS
US
N
2
2034-11-10
Fixed
2.10000000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2023-B ARIFL 2023-B A2
04033GAB3
110000.00000000
PA
USD
111163.75000000
0.047396578860
Long
ABS-MBS
US
Y
2
2032-07-15
Fixed
6.05000000
N
N
N
N
N
N
PROSPER MARKETPLACE ISSUANCE TRUST
N/A
PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2023-1 PMIT 2023-1A A
74390NAA0
98647.26000000
PA
USD
99211.41000000
0.042300492903
Long
ABS-MBS
US
Y
2
2029-07-16
Fixed
7.06000000
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
430757.92000000
0.183661056101
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
681762.69000000
0.290681261660
Long
ABS-MBS
US
Y
2
2026-08-15
Fixed
0.77000000
N
N
N
N
N
N
GLS AUTO SELECT RECEIVABLES TRUST
N/A
GLS AUTO SELECT RECEIVABLES TRUST 2023-2 GSAR 2023-2A A2
36269EAB5
295000.00000000
PA
USD
298283.03000000
0.127178105760
Long
ABS-MBS
US
Y
2
2028-06-15
Fixed
6.37000000
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
378881.67000000
0.161542723694
Long
DBT
CORP
US
N
2
2025-07-16
Fixed
5.47900000
N
N
N
N
N
N
ARES CAPITAL CORPORATION.
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 7.000000% 01/15/2027
04010LBE2
250000.00000000
PA
USD
256531.81000000
0.109376754229
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
7.00000000
N
N
N
N
N
N
AQUA FINANCE TRUST
N/A
AQUA FINANCE TRUST 2021-A AQFIT 2021-A A
03842VAA5
130472.34000000
PA
USD
117043.40000000
0.049903468875
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
62535.63000000
PA
USD
57099.17000000
0.024345214278
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
258071.70000000
0.110033312845
Long
ABS-MBS
US
Y
2
2038-05-15
Floating
6.09981120
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-3 BSARM 2005-3 2A1
07387AAW5
9779.98000000
PA
USD
9018.64000000
0.003845252449
Long
ABS-MBS
US
N
2
2035-06-25
Floating
4.86916200
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
260847.56000000
PA
USD
261231.55000000
0.111380569299
Long
ABS-MBS
US
N
2
2026-09-16
Fixed
5.74000000
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES XI LLC AXIS 2022-2A A2
03236XAB3
130129.39000000
PA
USD
129897.14000000
0.055383882243
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
45630.74000000
PA
USD
40547.40000000
0.017288082146
Long
ABS-MBS
US
N
2
2036-03-25
Floating
4.23388800
N
N
N
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC VARIABLE RATE 02/16/2024
29250NBM6
775000.00000000
PA
USD
775081.06000000
0.330469155491
Long
DBT
NUSS
CA
N
2
2024-02-16
Floating
5.99046480
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
593777.49000000
PA
USD
575445.92000000
0.245351276179
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
44924.26000000
PA
USD
44808.14000000
0.019104722007
Long
ABS-MBS
US
Y
2
2032-11-15
Fixed
5.18000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1
92538EAA5
96567.54000000
PA
USD
85765.16000000
0.036567452694
Long
ABS-MBS
US
Y
2
2064-04-25
Floating
1.01999880
N
N
N
N
N
N
SREIT COMMERCIAL MORTGAGE TRUST
N/A
SREIT TRUST 2021-MFP SREIT 2021-MFP B
78472UAC2
454509.87000000
PA
USD
449254.60000000
0.191547434100
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
6.52744080
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1
92538LAA9
63900.95000000
PA
USD
59990.47000000
0.025577969817
Long
ABS-MBS
US
N
2
2065-05-25
Floating
1.50199920
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2022-4 LLC EFF 2022-4 A2
29374GAB7
233979.99000000
PA
USD
235162.22000000
0.100265461585
Long
ABS-MBS
US
Y
2
2029-10-22
Fixed
5.76000000
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
246222.85000000
0.104981351630
Long
DBT
CORP
US
N
2
2026-01-26
Fixed
5.28400000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2019-AFC1 TRUST CSMC 2019-AFC1 A1
12596XAA0
279150.09000000
PA
USD
259081.52000000
0.110463866989
Long
ABS-MBS
US
N
2
2049-07-25
Fixed
3.57300000
N
N
N
N
N
N
COREBRIDGE GLOBAL FUNDING
54930057MDZ7KOVOTV71
COREBRIDGE GLOBAL FUNDING 144A 5.750000% 07/02/2026
00138CAU2
180000.00000000
PA
USD
182418.31000000
0.077777187397
Long
DBT
CORP
US
N
2
2026-07-02
Fixed
5.75000000
N
N
N
N
N
N
INTERNATIONAL FLAVORS & FRAGRANCES INC.
BZLRL03D3GPGMOGFO832
INTERNATIONAL FLAVORS & FRAGRANCES INC 144A 1.230000% 10/01/2025
459506AN1
375000.00000000
PA
USD
349455.45000000
0.148996348128
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
1.23000000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2019-3A A
05377RDQ4
385000.00000000
PA
USD
374207.33000000
0.159549738351
Long
ABS-MBS
US
N
2
2026-03-20
Fixed
2.36000000
N
N
N
N
N
N
BOF URSA FUNDING TRUST
N/A
BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-CAR BVABS 2024-CAR1F A
07336MAA9
500000.00000000
PA
USD
503712.50000000
0.214766497436
Long
ABS-MBS
US
Y
2
2032-07-29
Fixed
6.97100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-137 UE
3136AAL29
88190.87000000
PA
USD
82386.13000000
0.035126745072
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 6.35801 05/15/2036 19KNSQ 1
482598AA7
190000.00000000
PA
USD
189613.22000000
0.080844861159
Long
ABS-MBS
US
N
2
2036-05-15
Floating
6.32900880
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
195767.28000000
PA
USD
195404.74000000
0.083314175431
Long
ABS-MBS
US
N
2
2026-05-15
Fixed
5.20000000
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XV APID 2013-15A A1RR
03764QBC5
476619.42000000
PA
USD
476874.41000000
0.203323615659
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.58941840
N
N
N
N
N
N
JOHN DEERE OWNER TRUST
N/A
JOHN DEERE OWNER TRUST 2023 JDOT 2023-A A2
47800CAB2
234162.38000000
PA
USD
233779.78000000
0.099676034488
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
367085.27150000
PA
USD
366031.15000000
0.156063683228
Long
ABS-MBS
US
N
2
2054-09-15
Floating
5.25216960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2017-M13 FA
3136AYP31
21640.78000000
PA
USD
21503.68000000
0.009168464224
Long
DBT
USGA
US
N
2
2024-10-25
Floating
5.85225000
N
N
N
N
N
N
VANTAGE DATA CENTERS ISSUER LLC
N/A
VANTAGE DATA CENTERS ISSUER LLC VDC 2019-1A A2
92212KAA4
310645.81000000
PA
USD
305897.99000000
0.130424875072
Long
ABS-MBS
US
N
2
2044-07-15
Fixed
3.18800000
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
352759.55000000
0.150405108054
Long
DBT
NUSS
DK
N
2
2026-01-09
Fixed
6.46600000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2023-A CNH 2023-A A2
12664QAB0
638365.04000000
PA
USD
637802.77000000
0.271938192854
Long
ABS-MBS
US
N
2
2026-09-15
Fixed
5.34000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST
N/A
HPEFS EQUIPMENT TRUST 2024-1 HPEFS 2024-1A A3
403963AC5
740000.00000000
PA
USD
739800.50000000
0.315426681265
Long
ABS-MBS
US
Y
2
2031-05-20
Fixed
5.18000000
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XVIII LTD SYMP 2016-18A X
87154GAS4
75000.08000000
PA
USD
74800.80000000
0.031892609020
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-23
Floating
6.32741040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM7649
3138L8QB3
90619.31100000
PA
USD
88678.72000000
0.037809699166
Long
DBT
USGA
US
N
2
2025-01-01
Fixed
2.88500000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-D CPS 2023-D A
12598VAA2
246378.50000000
PA
USD
247256.57000000
0.105422095951
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
6.40000000
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
266366.00000000
0.113569730463
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
275044.03000000
0.117269757974
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
5.08000000
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 6.615000% 10/20/2027
693475BT1
175000.00000000
PA
USD
181903.92000000
0.077557868364
Long
DBT
CORP
US
N
2
2027-10-20
Fixed
6.61500000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2024-A MMAF 2024-A A2
55318CAB0
995000.00000000
PA
USD
994916.92000000
0.424199959597
Long
ABS-MBS
US
Y
2
2027-09-13
Fixed
5.20000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM2 IMPRL 2021-NQM2 A1
452761AA7
199725.52000000
PA
USD
164074.41000000
0.069955949782
Long
ABS-MBS
US
Y
2
2056-09-25
Floating
1.07300160
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2022-3 LLC EFF 2022-3 A2
29374FAB9
58773.72000000
PA
USD
58260.17000000
0.024840226619
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
1400924.04000000
PA
USD
1388228.17000000
0.591894983176
Long
ABS-MBS
US
N
2
2038-04-15
Floating
6.54844320
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4272 YG
3137B6DF5
15728.67000000
PA
USD
15603.33000000
0.006652748407
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
717162.09000000
0.305774405367
Long
ABS-MBS
US
Y
2
2027-02-16
Fixed
5.80000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-3 A
02530EAA2
150669.30000000
PA
USD
150810.99000000
0.064300862291
Long
ABS-MBS
US
Y
2
2027-03-12
Fixed
6.00000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN VARIABLE RATE 09/15/2026
06368FAD1
675000.00000000
PA
USD
669431.09000000
0.285423471671
Long
DBT
NUSS
CA
N
2
2026-09-15
Floating
5.97453120
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
31708.33000000
PA
USD
30990.92000000
0.013213512352
Long
ABS-MBS
US
N
2
2062-05-25
Floating
3.25000080
N
N
N
N
N
N
O'Reilly Automotive, Inc.
549300K2RLMQL149Q332
O'REILLY AUTOMOTIVE INC 5.750000% 11/20/2026
67103HAM9
210000.00000000
PA
USD
215193.91000000
0.091751628796
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
5.75000000
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
271304.69000000
0.115675425980
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
6.14764080
N
N
N
N
N
N
JOHN DEERE OWNER TRUST
N/A
JOHN DEERE OWNER TRUST 2023-C JDOT 2023-C A2
47787CAB9
825000.00000000
PA
USD
827645.86000000
0.352881063046
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
5.76000000
N
N
N
N
N
N
OCCU AUTO RECEIVABLES TRUST
N/A
OCCU AUTO RECEIVABLES TRUST 2023-1 OCCU 2023-1A A2
674921AB7
600000.00000000
PA
USD
602406.84000000
0.256846528641
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
6.23000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A
33846QAA9
31236.61000000
PA
USD
30950.48000000
0.013196270061
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
111187.26000000
PA
USD
104040.73000000
0.044359556637
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
1660795.06000000
0.708108569860
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
118224.71000000
PA
USD
117404.40000000
0.050057387441
Long
ABS-MBS
US
N
2
2033-03-14
Fixed
3.57000000
N
N
N
N
N
N
COLUMBIA PIPELINES HOLDING COMPANY LLC
N/A
COLUMBIA PIPELINES HOLDING CO LLC 144A 6.055000% 08/15/2026
19828AAA5
55000.00000000
PA
USD
56235.52000000
0.023976982230
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.05500000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1 STAR 2020-1 A1
85573AAA3
12145.40000000
PA
USD
11367.89000000
0.004846895636
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
545321.04000000
PA
USD
548155.46000000
0.233715518663
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
164352.23000000
PA
USD
164747.04000000
0.070242737164
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
74725.18000000
PA
USD
73191.26000000
0.031206353928
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
244914.18000000
PA
USD
244475.17000000
0.104236198170
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
319628.51000000
PA
USD
313658.30000000
0.133733616860
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
500135.29000000
0.213241292359
Long
DBT
CORP
US
N
2
2024-03-08
Floating
6.11519760
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2022-2 LLC EFF 2022-2 A2
29374JAB1
768608.55000000
PA
USD
763376.17000000
0.325478574101
Long
ABS-MBS
US
Y
2
2029-05-21
Fixed
4.65000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.500000% 11/01/2024
92343VCR3
1680000.00000000
PA
USD
1652867.50000000
0.704728518155
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
35639.47000000
PA
USD
35643.60000000
0.015197262581
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
52757.64000000
PA
USD
49496.41000000
0.021103646646
Long
ABS-MBS
US
N
2
2028-03-10
Fixed
0.75000000
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TRUST
N/A
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1 SFAST 2024-1A A2
78435VAB8
190000.00000000
PA
USD
190265.35000000
0.081122908014
Long
ABS-MBS
US
Y
2
2027-06-21
Fixed
5.35000000
N
N
N
N
N
N
KENVUE INC.
5493008HSF8L4M2LIJ82
KENVUE INC 5.500000% 03/22/2025
49177JAB8
275000.00000000
PA
USD
277191.98000000
0.118185573441
Long
DBT
CORP
US
N
2
2025-03-22
Fixed
5.50000000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2022-LBA6 BX 2022-LBA6 A
12433EAA9
375000.00000000
PA
USD
371953.13000000
0.158588621367
Long
ABS-MBS
US
Y
2
2039-01-15
Floating
6.33315960
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
400088.31000000
0.170584539799
Long
DBT
CORP
US
N
2
2024-04-12
Floating
5.70620520
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2
46650AAD5
75261.22000000
PA
USD
71980.91000000
0.030690300365
Long
ABS-MBS
US
N
2
2046-04-25
Floating
6.20034120
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST
N/A
CITIZENS AUTO RECEIVABLES TRUST 2023-1 CITZN 2023-1 A2A
17331KAB5
1113045.17000000
PA
USD
1116177.50000000
0.475901495778
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
40157.04000000
PA
USD
24720.58000000
0.010540044928
Long
ABS-MBS
US
N
2
2037-06-25
Floating
4.02440040
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
97294.12000000
PA
USD
97449.05000000
0.041549080372
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
220868.14000000
PA
USD
220554.57000000
0.094037238489
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
16042.36000000
PA
USD
15757.88000000
0.006718643461
Long
ABS-MBS
US
Y
2
2054-07-25
Floating
3.16900080
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC MTN 4.389000% 01/08/2026
345397XU2
1220000.00000000
PA
USD
1188966.09000000
0.506936164419
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
4.38900000
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
424192.50000000
0.180861776239
Long
DBT
NUSS
AU
N
2
2026-06-15
Floating
5.87864880
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1
12656YAA5
72898.24000000
PA
USD
63718.28000000
0.027167385797
Long
ABS-MBS
US
Y
2
2054-07-27
Fixed
0.79800000
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES XIII LLC AXIS 2024-1A A2
03237CAB8
655000.00000000
PA
USD
655503.56000000
0.279485229447
Long
ABS-MBS
US
Y
2
2031-01-21
Fixed
5.38000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2015-GS1 GSMS 2015-GS1 AAB
36252AAD8
53392.15000000
PA
USD
52319.58000000
0.022307353786
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
421444.01000000
PA
USD
417229.57000000
0.177893011143
Long
ABS-MBS
US
Y
2
2034-01-15
Floating
6.39748080
N
N
N
N
N
N
TD SYNNEX CORPORATION
5493004HI6PFLF46NS53
TD SYNNEX CORP 1.250000% 08/09/2024
87162WAD2
650000.00000000
PA
USD
634787.16000000
0.270652435607
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
1.25000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2024-A CPS 2024-A A
22411CAA8
130000.00000000
PA
USD
130112.45000000
0.055475683369
Long
ABS-MBS
US
Y
2
2027-09-15
Fixed
5.71000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2 MORTGAGE LOAN TRUST COLT 2021-2 A1
19685WAA9
248717.11000000
PA
USD
199385.64000000
0.085011500691
Long
ABS-MBS
US
Y
2
2066-08-25
Floating
0.92400120
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1
10569EAA9
80099.32000000
PA
USD
74401.72000000
0.031722454391
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
238864.11000000
PA
USD
232026.71000000
0.098928582908
Long
DBT
USGA
US
N
2
2032-08-01
Fixed
3.50000000
N
N
N
N
N
N
TAPESTRY, INC.
549300LJNVY5SW3VTN33
TAPESTRY INC 7.050000% 11/27/2025
876030AB3
150000.00000000
PA
USD
153438.96000000
0.065421342550
Long
DBT
CORP
US
N
2
2025-11-27
Fixed
7.05000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 2.852000% 05/07/2026
06738EBL8
235000.00000000
PA
USD
227483.12000000
0.096991345079
Long
DBT
NUSS
GB
N
2
2026-05-07
Fixed
2.85200000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4 WLAKE 2023-4A A3
96041AAG1
480000.00000000
PA
USD
485492.02000000
0.206997882063
Long
ABS-MBS
US
Y
2
2027-07-15
Fixed
6.24000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2024-1 LLC EFF 2024-1 A2
29375PAB6
245000.00000000
PA
USD
246366.61000000
0.105042646182
Long
ABS-MBS
US
Y
2
2030-03-20
Fixed
5.23000000
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
418357.03000000
0.178373723127
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
76417.74000000
PA
USD
71168.62000000
0.030343966538
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
291969.27000000
0.124486125472
Long
ABS-MBS
US
N
2
2048-10-25
Floating
3.84823800
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS MORTGAGE TRUST 2020-C8 BBCMS 2020-C8 A1
05552AAY4
140554.11000000
PA
USD
137188.92000000
0.058492858198
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
328101.48000000
0.139891715340
Long
ABS-MBS
US
N
2
2028-04-15
Fixed
3.37000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-15.00000000
NC
USD
-1684921.88000000
-0.71839545498
N/A
DIR
US
N
1
J.P. MORGAN SECURITIES
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Mar 2024
2024-03-22
-1637877.14000000
USD
-47044.74000000
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST VZMT 2022-4 A
92348KAS2
685000.00000000
PA
USD
671067.37000000
0.286121127823
Long
ABS-MBS
US
N
2
2028-11-20
Fixed
3.40000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2022-3 GCAR 2022-3A A2
38014QAB2
51035.79000000
PA
USD
50872.06000000
0.021690178710
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
4.59000000
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
188723.24000000
PA
USD
179379.34000000
0.076481470212
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
839088.31000000
PA
USD
839340.88000000
0.357867436191
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-18
Floating
6.48951840
N
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED
N/A
RFMSI SERIES 2007-SA3 TRUST RFMSI 2007-SA3 2A1
74958TAB9
41953.27000000
PA
USD
30933.52000000
0.013189038873
Long
ABS-MBS
US
N
2
2037-07-27
Floating
4.87668960
N
N
N
N
N
N
PARAGON MORTGAGES PLC
N/A
PARAGON MORTGAGES NO 12 PLC PARGN 12A A2C
69913BAB2
41663.89000000
PA
USD
40458.68000000
0.017250254846
Long
ABS-MBS
GB
N
2
2038-11-15
Floating
5.86132920
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
169814.11000000
0.072403169704
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
510003.97000000
0.217448973999
Long
DBT
CORP
US
N
2
2025-02-04
Floating
6.02111880
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-B CPS 2023-B A
12664WAA9
194462.20000000
PA
USD
194779.37000000
0.083047538164
Long
ABS-MBS
US
Y
2
2027-08-16
Fixed
5.91000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA 5.650000% 08/18/2025
06428CAC8
325000.00000000
PA
USD
328932.18000000
0.140245898588
Long
DBT
CORP
US
N
2
2025-08-18
Fixed
5.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.050000% 08/28/2025
3134GXR63
860000.00000000
PA
USD
852568.72000000
0.363507353536
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
126793.21000000
PA
USD
126688.26000000
0.054015721004
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
15432.33000000
PA
USD
13923.30000000
0.005936438690
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.93034120
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A VARIABLE RATE 01/21/2026
83368RBF8
425000.00000000
PA
USD
424291.87000000
0.180904144349
Long
DBT
NUSS
FR
N
2
2026-01-21
Floating
6.39600840
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
422946.40000000
0.180330480048
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-15
Floating
6.84600120
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 5.798000% 08/10/2026
38145GAM2
1535000.00000000
PA
USD
1549428.45000000
0.660625498145
Long
DBT
CORP
US
N
2
2026-08-10
Fixed
5.79800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.000000% 02/28/2025
3134GXS88
1000000.00000000
PA
USD
991979.72000000
0.422947633803
Long
DBT
USGA
US
N
2
2025-02-28
Fixed
4.00000000
N
N
N
N
N
N
SCF EQUIPMENT LEASING LLC
N/A
SCF EQUIPMENT LEASING 2023-1 LLC SCFET 2023-1A A2
784024AB7
420000.00000000
PA
USD
423222.11000000
0.180448033754
Long
ABS-MBS
US
Y
2
2030-01-22
Fixed
6.56000000
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
497575.95000000
0.212150073683
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
352691.50000000
0.150376093764
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
397437.52000000
0.169454329841
Long
DBT
CORP
US
N
2
2024-06-14
Floating
5.65489080
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
572093.23000000
0.243921799070
Long
ABS-MBS
US
Y
2
2038-06-15
Floating
6.31847880
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2021-1 LADAR 2021-1A A
501683AA4
85056.97000000
PA
USD
84156.58000000
0.035881606914
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
1.30000000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A 5.000000% 01/16/2027
74256LEX3
235000.00000000
PA
USD
236756.14000000
0.100945056821
Long
DBT
CORP
US
N
2
2027-01-16
Fixed
5.00000000
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 CFCRE 2017-C8 ASB
12532CAY1
380542.92000000
PA
USD
370461.88000000
0.157952801253
Long
ABS-MBS
US
N
2
2050-06-15
Fixed
3.36740000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41 WFCM 2017-C41 ASB
95001ABB1
260866.40000000
PA
USD
252985.03000000
0.107864523506
Long
ABS-MBS
US
N
2
2050-11-15
Fixed
3.39000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2004-29 CWHL 2004-29 1A1
12669GHY0
3891.64000000
PA
USD
3558.15000000
0.001517078517
Long
ABS-MBS
US
N
2
2035-02-25
Floating
5.99033880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 846789
3128HDRJ0
2206.53000000
PA
USD
2187.43000000
0.000932648444
Long
DBT
USGA
US
N
2
2030-02-01
Floating
5.66300160
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2021-STOR MHP 2021-STOR A
55293BAB1
155000.00000000
PA
USD
153207.81000000
0.065322787768
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
6.14847960
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIV LTD LCM 24A AR
50188YAE4
313141.56000000
PA
USD
313257.11000000
0.133562562596
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-20
Floating
6.55941960
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 CGCMT 2015-GC31 AAB
17323YAE9
443529.28000000
PA
USD
437613.53000000
0.186584063466
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
70986.14000000
PA
USD
61696.03000000
0.026305164689
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
242590.39000000
PA
USD
199418.01000000
0.085025302198
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
476078.70000000
PA
USD
477054.66000000
0.203400468350
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-21
Floating
6.57942120
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
299356.10000000
0.127635627631
Long
DBT
CORP
US
N
2
2025-11-21
Fixed
5.40000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.352000% 04/24/2025
172967MF5
1535000.00000000
PA
USD
1526693.76000000
0.650932171612
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
753195.08000000
PA
USD
752992.47000000
0.321051304817
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
6.32559960
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
CREDIT AGRICOLE SA 144A 5.589000% 07/05/2026
22534PAE3
420000.00000000
PA
USD
428027.99000000
0.182497103441
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
485000.00000000
PA
USD
489978.07000000
0.208910586722
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
142660.75000000
PA
USD
138334.02000000
0.058981091300
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
0.44000000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
NUTRIEN LTD 5.900000% 11/07/2024
67077MAZ1
175000.00000000
PA
USD
175357.60000000
0.074766732115
Long
DBT
NUSS
CA
N
2
2024-11-07
Fixed
5.90000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2020-B MMAF 2020-BA A4
60700KAD4
250000.00000000
PA
USD
238125.03000000
0.101528706643
Long
ABS-MBS
US
N
2
2027-11-15
Fixed
0.66000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1 EFMT 2021-1 A1
31574XAA6
39305.34000000
PA
USD
33168.27000000
0.014141863014
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
201114.54000000
0.085748646974
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
100803.12000000
PA
USD
82545.24000000
0.035194584360
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.87400080
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST
N/A
CITIZENS AUTO RECEIVABLES TRUST 2024-1 CITZN 2024-1 A2A
17331QAB2
310000.00000000
PA
USD
310697.38000000
0.132471177636
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
5.43000000
N
N
N
N
N
N
PACIFIC LIFE GLOBAL FUNDING II
6354003EUPCHXTWUU869
PACIFIC LIFE GLOBAL FUNDING II 144A 5.500000% 08/28/2026
6944PL2W8
250000.00000000
PA
USD
254190.25000000
0.108378389805
Long
DBT
CORP
US
N
2
2026-08-28
Fixed
5.50000000
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-I LTD CIFC 2015-1A ARR
12548MBF1
277613.33000000
PA
USD
277759.08000000
0.118427366290
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
6.68941920
N
N
N
N
N
N
U.S. Bank National Association
6BYL5QZYBDK8S7L73M02
US BANK NA/CINCINNATI OH 2.050000% 01/21/2025
90331HPL1
1245000.00000000
PA
USD
1208585.59000000
0.515301276058
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
27781.06000000
PA
USD
25792.53000000
0.010997089268
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.49188040
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST
N/A
NISSAN AUTO LEASE TRUST 2024-A NALT 2024-A A2A
65481CAB0
495000.00000000
PA
USD
496000.79000000
0.211478477095
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
5.11000000
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
364318.76000000
0.155333576267
Long
ABS-MBS
CA
Y
2
2025-11-21
Fixed
0.53000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 6.150000% 11/10/2026
161175CM4
425000.00000000
PA
USD
434131.48000000
0.185099431494
Long
DBT
CORP
US
N
2
2026-11-10
Fixed
6.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0630
31418MVY5
2.66000000
PA
USD
2.67000000
0.000001138400
Long
DBT
USGA
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST SERIES 2023- WLAKE 2023-P1 A2
96042UAB7
1162000.00000000
PA
USD
1165873.41000000
0.497090202684
Long
ABS-MBS
US
Y
2
2027-02-16
Fixed
5.89000000
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
403945.20000000
PA
USD
403604.11000000
0.172083561665
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
373065.00000000
0.159062686286
Long
ABS-MBS
US
N
2
2036-10-15
Floating
6.52763880
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N3 CRVNA 2021-N3 B
14687GAC9
130767.02000000
PA
USD
122443.78000000
0.052206013873
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
439272.32000000
PA
USD
353511.56000000
0.150725740466
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.39700160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 2.250000% 03/25/2025
3134GXMT8
1775000.00000000
PA
USD
1728251.10000000
0.736869613991
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
121233.52000000
PA
USD
112520.27000000
0.047974954519
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
84105.22000000
PA
USD
75588.38000000
0.032228407314
Long
ABS-MBS
US
Y
2
2065-10-26
Floating
1.32500160
N
N
N
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 144A 6.339000% 09/18/2027
00084DBA7
300000.00000000
PA
USD
306753.41000000
0.130789598118
Long
DBT
NUSS
NL
N
2
2027-09-18
Fixed
6.33900000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 2.760000% 10/01/2024
20268JAA1
1065000.00000000
PA
USD
1045222.07000000
0.445648426467
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.76000000
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
370574.89000000
PA
USD
369950.36000000
0.157734705893
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
19840.28000000
PA
USD
19813.31000000
0.008447745869
Long
ABS-MBS
US
N
2
2035-01-25
Floating
6.13033920
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
546453.82000000
PA
USD
546624.86000000
0.233062920999
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.54814080
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2022-MHIL MHP 2022-MHIL A
55293DAA9
186880.85000000
PA
USD
184311.24000000
0.078584270696
Long
ABS-MBS
US
Y
2
2027-01-15
Floating
6.14775960
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
444729.84000000
0.189618224765
Long
DBT
CORP
US
N
2
2024-04-12
Floating
6.10620840
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-A CPS 2023-A A
12664LAA3
165108.89120000
PA
USD
164938.94000000
0.070324557033
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
18776.82000000
PA
USD
18515.67000000
0.007894474712
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
259313.34000000
0.110562707437
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
4523.09000000
PA
USD
4171.71000000
0.001778680388
Long
ABS-MBS
US
N
2
2035-01-20
Floating
5.99114160
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
426415.79000000
PA
USD
426029.12000000
0.181644850799
Long
ABS-MBS
US
Y
2
2031-05-15
Fixed
5.81000000
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XII APID 2013-12A AR
03764DAH4
555821.16000000
PA
USD
555922.88000000
0.237027291922
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.65560080
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 5.539000% 02/20/2026
00206RMP4
300000.00000000
PA
USD
300109.45000000
0.127956831375
Long
DBT
CORP
US
N
2
2026-02-20
Fixed
5.53900000
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
1363534.95000000
0.581366603655
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
170057.80000000
0.072507071132
Long
DBT
CORP
US
N
2
2024-04-12
Floating
5.79620520
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 5.875000% 08/24/2026
808513CG8
375000.00000000
PA
USD
383950.83000000
0.163704047342
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
5.87500000
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
1502001.44000000
0.640404175821
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
529383.81000000
PA
USD
522104.78000000
0.222608362697
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
6.14948040
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2023-2 MFT 2023-2A A
57109LAA1
225420.11000000
PA
USD
225082.75000000
0.095967905999
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
320125.04000000
0.136490822805
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.95000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-5 AOMT 2021-5 A1
03465HAA2
366594.27000000
PA
USD
310306.07000000
0.132304335880
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
499692.86000000
0.213052654711
Long
DBT
NUSS
JP
N
2
2024-09-16
Floating
5.79453120
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A
14687DAA0
351785.50000000
PA
USD
336863.22000000
0.143627434051
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
325013.71000000
0.138575191434
Long
DBT
NUSS
CA
N
2
2024-07-09
Floating
5.66620560
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-3 AOMT 2021-3 A1
03465EAA9
202833.41000000
PA
USD
171378.80000000
0.073070302227
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
69299.13000000
PA
USD
70161.20000000
0.029914435674
Long
ABS-MBS
US
N
2
2057-02-25
Floating
5.88827160
N
N
N
N
N
N
GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C.
N/A
GREATAMERICA LEASING RECEIVABLES GALC 2024-1 A2
39154TCH9
850000.00000000
PA
USD
850051.17000000
0.362433952746
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
5.32000000
N
N
N
N
N
N
VULCAN MATERIALS COMPANY
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO 5.800000% 03/01/2026
929160BA6
275000.00000000
PA
USD
275165.13000000
0.117321391044
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
214662.50000000
PA
USD
211075.19000000
0.089995541607
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
125860.51000000
PA
USD
122335.36000000
0.052159787140
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
6144.88000000
PA
USD
5393.45000000
0.002299590273
Long
ABS-MBS
US
N
2
2034-09-25
Floating
4.64817600
N
N
N
N
N
N
DISCOVER CARD EXECUTION NOTE TRUST
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NOTE TRUST DCENT 2022-A2 A
254683CS2
340000.00000000
PA
USD
333430.15000000
0.142163685545
Long
ABS-MBS
US
N
2
2027-05-15
Fixed
3.32000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2007-A3 JPMMT 2007-A3 1A1
46630UAA2
27969.40000000
PA
USD
23900.10000000
0.010190219153
Long
ABS-MBS
US
N
2
2037-05-25
Floating
4.24991520
N
N
N
N
N
N
ATALAYA EQUIPMENT LEASING TRUST LLC.
N/A
ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A2
046497AB9
28444.97000000
PA
USD
28243.46000000
0.012042085474
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
1.23000000
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
248541.64000000
0.105970007672
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
197529.22000000
PA
USD
192043.04000000
0.081880856754
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
4986.43000000
PA
USD
4965.33000000
0.002117053939
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
483639.10000000
0.206207857717
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
311371.47000000
0.132758587514
Long
DBT
NUSS
GB
N
2
2026-11-03
Fixed
7.33600000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA 144A 1.000000% 09/17/2024
44891ABY2
1250000.00000000
PA
USD
1213655.56000000
0.517462945063
Long
DBT
CORP
US
N
2
2024-09-17
Fixed
1.00000000
N
N
N
N
N
N
AMGEN INC.
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.250000% 03/02/2025
031162DM9
275000.00000000
PA
USD
275609.43000000
0.117510826000
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
26565.80000000
PA
USD
25851.47000000
0.011022219352
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
82514.13000000
PA
USD
82496.17000000
0.035173662521
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
6.48000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 GMALT 2023-3 A2A
379929AB8
293202.19000000
PA
USD
293669.91000000
0.125211222618
Long
ABS-MBS
US
Y
2
2026-01-20
Fixed
5.58000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 3.550000% 11/15/2024
281020AQ0
275000.00000000
PA
USD
270516.88000000
0.115339529622
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.55000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
5.00000000
NC
USD
1028281.25000000
0.438425416169
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2024
2024-03-31
1018680.92000000
USD
9600.33000000
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2023-1 GCAR 2023-1A A2
36266XAB6
236842.49000000
PA
USD
236940.26000000
0.101023559554
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
5.98000000
N
N
N
N
N
N
ILLUMINA, INC.
SQ95QG8SR5Q56LSNF682
ILLUMINA INC 5.800000% 12/12/2025
452327AN9
300000.00000000
PA
USD
303115.19000000
0.129238380377
Long
DBT
CORP
US
N
2
2025-12-12
Fixed
5.80000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-3 LLC EFF 2023-3 A2
29374LAB6
905000.00000000
PA
USD
925010.73000000
0.394394251826
Long
ABS-MBS
US
Y
2
2030-03-20
Fixed
6.40000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 5.462000% 01/05/2028
53944YAZ6
200000.00000000
PA
USD
201173.84000000
0.085773930550
Long
DBT
NUSS
GB
N
2
2028-01-05
Fixed
5.46200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 04/15/2024
91282CBV2
80000.00000000
PA
USD
79196.88000000
0.033766953421
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
517514.83000000
PA
USD
517385.45000000
0.220596195093
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
6.49559880
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
470604.53000000
0.200650344364
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
32037.34000000
PA
USD
29092.50000000
0.012404088297
Long
ABS-MBS
US
N
2
2036-02-25
Floating
5.97034080
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-2 AMCAR 2021-2 C
03066RAE5
492000.00000000
PA
USD
462772.30000000
0.197310938246
Long
ABS-MBS
US
N
2
2027-01-19
Fixed
1.01000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.620000% 04/17/2025
61747YEQ4
1955000.00000000
PA
USD
1946587.73000000
0.829961195572
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
401930.47000000
0.171369976434
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
72775.92000000
PA
USD
71145.24000000
0.030333998072
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
325000.00000000
PA
USD
323147.86000000
0.137779654160
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
452084.82000000
0.192754147128
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
493670.23000000
PA
USD
493808.21000000
0.210543632860
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
163000.00000000
PA
USD
163007.97000000
0.069501254725
Long
DBT
CORP
US
N
2
2024-05-13
Floating
6.01101000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2018-1 TRUST OBX 2018-1 A2
67112FAD2
13516.50000000
PA
USD
12830.40000000
0.005470461957
Long
ABS-MBS
US
N
2
2057-06-25
Floating
6.10034040
N
N
N
N
N
N
LENDBUZZ SECURITIZATION TRUST
N/A
LENDBUZZ SECURITIZATION TRUST 2023-3 LBZZ 2023-3A A2
525931AB7
300000.00000000
PA
USD
304250.58000000
0.129722473453
Long
ABS-MBS
US
Y
2
2028-12-15
Fixed
7.50000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-6.00000000
NC
USD
-650343.75000000
-0.27728525561
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2024
2024-03-31
-636406.45000000
USD
-13937.30000000
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-2 VERUS 2021-2 A1
92538FAA2
123262.59000000
PA
USD
107167.92000000
0.045692887938
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
438414.44000000
0.186925545235
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
219516.05000000
PA
USD
219342.50000000
0.093520451574
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
5.51000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA 144A 6.250000% 11/03/2025
44891ACQ8
250000.00000000
PA
USD
254074.88000000
0.108329199819
Long
DBT
CORP
US
N
2
2025-11-03
Fixed
6.25000000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
SPRINT LLC 7.125000% 06/15/2024
85207UAH8
1675000.00000000
PA
USD
1682204.18000000
0.717236716800
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
136721.77000000
PA
USD
136619.56000000
0.058250101759
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
5.47000000
N
N
N
N
N
N
FIRSTKEY HOMES TRUST
N/A
FIRSTKEY HOMES 2020-SFR2 TRUST FKH 2020-SFR2 A
33767JAA0
465282.90740000
PA
USD
434923.06000000
0.185436935256
Long
ABS-MBS
US
Y
2
2037-10-19
Fixed
1.26600000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2022-3A A
05377RFK5
215000.00000000
PA
USD
212523.33000000
0.090612981031
Long
ABS-MBS
US
Y
2
2027-02-20
Fixed
4.62000000
N
N
N
N
N
N
FIFTH THIRD AUTO TRUST
N/A
FIFTH THIRD AUTO TRUST 2023-1 FITAT 2023-1 A2A
31680EAB7
495000.00000000
PA
USD
495569.70000000
0.211294674451
Long
ABS-MBS
US
N
2
2026-11-16
Fixed
5.80000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4 SDART 2022-4 B
80286FAD5
825000.00000000
PA
USD
813743.95000000
0.346953744351
Long
ABS-MBS
US
N
2
2027-11-15
Fixed
4.42000000
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
248325.96000000
0.105878048791
Long
DBT
CORP
US
N
2
2025-05-23
Fixed
4.11900000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.000000% 12/15/2025
91282CGA3
3565000.00000000
PA
USD
3547871.28000000
1.512696008458
Long
SN
UST
US
N
2
2025-12-15
Fixed
4.00000000
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
247728.16000000
0.105623166468
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
261989.99000000
PA
USD
261250.65000000
0.111388712913
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
679625.59000000
0.289770072278
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
162622.08000000
PA
USD
160391.33000000
0.068385605207
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
755902.17000000
PA
USD
755698.38000000
0.322205016137
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
5.50000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4 EART 2023-4A A2
30166TAB9
106254.96000000
PA
USD
106315.63000000
0.045329499422
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
6.07000000
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
91996.31000000
PA
USD
86166.49000000
0.036738566650
Long
ABS-MBS
US
N
2
2057-09-25
Floating
3.87350280
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
537974.59000000
0.229374729442
Long
DBT
NUSS
DE
N
2
2027-11-16
Floating
6.57946080
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 0.972000% 02/15/2024
595017BB9
375000.00000000
PA
USD
374309.62000000
0.159593351453
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
DAIMLER TRUCK FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCK FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 04/05/2024
233853AK6
450000.00000000
PA
USD
450324.99000000
0.192003813306
Long
DBT
CORP
DE
N
2
2024-04-05
Floating
6.34720680
N
N
N
N
N
N
MF1 LTD
N/A
MF1 2022-FL8 LTD MF1 2022-FL8 A
55284JAA7
400000.00000000
PA
USD
397474.80000000
0.169470224811
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-19
Floating
6.68666160
N
N
N
N
N
N
Banco Santander, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.892000% 05/24/2024
05971KAM1
400000.00000000
PA
USD
398082.59000000
0.169729366542
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
24589.38000000
PA
USD
24342.88000000
0.010379006030
Long
ABS-MBS
US
Y
2
2027-06-14
Fixed
0.30000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2023-X1 AFFRM 2023-X1 A
00834KAA5
521920.75000000
PA
USD
523408.75000000
0.223164332759
Long
ABS-MBS
US
Y
2
2028-11-15
Fixed
7.11000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM3 CSMC 2021-NQM3 A1
12660LAA7
303673.36000000
PA
USD
250049.66000000
0.106612977965
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
365200.97000000
0.155709721691
Long
ABS-MBS
US
Y
2
2025-11-20
Fixed
5.78000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A2
92537QAE1
197256.29000000
PA
USD
173136.54000000
0.073819744941
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
1.05199920
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C HALST 2023-C A2A
44935VAB5
795000.00000000
PA
USD
798488.46000000
0.340449303516
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
5.85000000
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
581181.11000000
0.247796573185
Long
ABS-MBS
US
Y
2
2029-01-22
Fixed
5.84000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KVAD A
3137BLVK1
300000.00000000
PA
USD
292164.66000000
0.124569433363
Long
DBT
USGA
US
N
2
2025-07-25
Fixed
3.11600000
N
N
N
N
N
N
TESLA ELECTRIC VEHICLE TRUST
N/A
TESLA ELECTRIC VEHICLE TRUST 2023-1 TEVT 2023-1 A2A
881943AB0
500000.00000000
PA
USD
501382.95000000
0.213773253683
Long
ABS-MBS
US
Y
2
2026-12-21
Fixed
5.54000000
N
N
N
N
N
N
DEXT ABS LLC
N/A
DEXT ABS 2023-2 LLC DEXT 2023-2 A2
25216CAB6
545000.00000000
PA
USD
547879.73000000
0.233597956430
Long
ABS-MBS
US
Y
2
2034-05-15
Fixed
6.56000000
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
248325.79000000
0.105877976308
Long
DBT
NUSS
FR
N
2
2025-07-13
Fixed
4.52400000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C4 UBSCM 2017-C4 ASB
90276RBC1
622395.38000000
PA
USD
606415.88000000
0.258555851874
Long
ABS-MBS
US
N
2
2050-10-15
Fixed
3.36600000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.406000% 10/30/2025
95000U2H5
1610000.00000000
PA
USD
1572630.18000000
0.670517955225
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
46308.30000000
PA
USD
45147.01000000
0.019249205067
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
1895.09000000
PA
USD
1882.50000000
0.000802636288
Long
DBT
USGA
US
N
2
2031-07-25
Floating
5.90911920
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1
12597QAA4
32502.42000000
PA
USD
30395.94000000
0.012959832384
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
90501.33000000
PA
USD
88876.35000000
0.037893962120
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
122166.94000000
PA
USD
121973.88000000
0.052005663918
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
266890.48000000
PA
USD
212597.38000000
0.090644553523
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
249852.50000000
0.106528915404
Long
DBT
CORP
US
N
2
2025-05-01
Floating
6.03078480
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-1 A
02530UAA6
117211.42000000
PA
USD
117105.98000000
0.049930150936
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
248648.53000000
0.106015582064
Long
DBT
NUSS
CH
N
2
2024-08-09
Fixed
4.75000000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC.
J5OIVXX3P24RJRW5CK77
BAXTER INTERNATIONAL INC VARIABLE RATE 11/29/2024
071813DB2
425000.00000000
PA
USD
424517.14000000
0.181000192092
Long
DBT
CORP
US
N
2
2024-11-29
Floating
5.79945240
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
252691.28000000
0.107739278136
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
312356.90000000
PA
USD
311836.23000000
0.132956745943
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
40704.67000000
PA
USD
40537.46000000
0.017283844056
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
700000.00000000
0.298457052793
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
202353.82000000
PA
USD
202337.83000000
0.086270217729
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.71942160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3786 ED
3137A5R97
408069.46000000
PA
USD
403085.95000000
0.171862635228
Long
DBT
USGA
US
N
2
2039-09-15
Fixed
4.00000000
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2
257812AD9
84317.92000000
PA
USD
83403.06000000
0.035560330687
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
285247.81000000
PA
USD
286350.86000000
0.122090619629
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.61942080
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
174491.22000000
PA
USD
174692.25000000
0.074483048687
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
1740360.05000000
0.742032473319
Long
DBT
CORP
US
N
2
2024-09-13
Floating
5.85464040
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2023-3 FCAT 2023-3 A2
33846BAC8
282005.69000000
PA
USD
282663.16000000
0.120518305238
Long
ABS-MBS
US
Y
2
2027-07-15
Fixed
5.89000000
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
471177.89000000
0.200894806272
Long
ABS-MBS
US
N
2
2031-07-15
Fixed
3.19000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST
N/A
HPEFS EQUIPMENT TRUST 2023-2 HPEFS 2023-2A A2
44328UAB2
230000.00000000
PA
USD
231811.96000000
0.098837020548
Long
ABS-MBS
US
Y
2
2031-01-21
Fixed
6.04000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-INV3 VERUS 2019-INV3 A1
92537MAA8
41390.42000000
PA
USD
40196.51000000
0.017138474153
Long
ABS-MBS
US
N
2
2059-11-25
Floating
3.69200160
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST
N/A
NISSAN AUTO LEASE TRUST 2023-B NALT 2023-B A2A
65473FAB3
161111.32000000
PA
USD
161274.64000000
0.068762219635
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
198543.28000000
PA
USD
198924.26000000
0.084814783384
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
28210.40000000
PA
USD
27312.12000000
0.011644992629
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
3.64200000
N
N
N
N
N
N
SODEXO, INC.
549300WSZGQGJQXRFU84
SODEXO INC 144A 1.634000% 04/16/2026
833794AA8
500000.00000000
PA
USD
464761.98000000
0.198159272573
Long
DBT
CORP
FR
N
2
2026-04-16
Fixed
1.63400000
N
N
N
N
N
N
NEXTGEAR FLOORPLAN MASTER OWNER TRUST
N/A
NEXTGEAR FLOORPLAN MASTER OWNER TRUST NFMOT 2022-1A A2
65341KBT2
175000.00000000
PA
USD
170356.55000000
0.072634448338
Long
ABS-MBS
US
Y
2
2027-03-15
Fixed
2.80000000
N
N
N
N
N
N
DLLAD LLC
N/A
DLLAD 2021-1 LLC DLLAD 2021-1A A3
233262AC8
244792.02000000
PA
USD
236724.56000000
0.100931592145
Long
ABS-MBS
US
Y
2
2026-09-21
Fixed
0.64000000
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
BAYER US FINANCE LLC 144A 6.125000% 11/21/2026
07274EAH6
200000.00000000
PA
USD
203012.73000000
0.086557972964
Long
DBT
CORP
DE
N
2
2026-11-21
Fixed
6.12500000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-3 AMCAR 2020-3 D
03066PAF6
500000.00000000
PA
USD
475666.65000000
0.202808666387
Long
ABS-MBS
US
N
2
2026-09-18
Fixed
1.49000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1
31572LAA4
130231.61000000
PA
USD
105827.98000000
0.045121581448
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
356319.76000000
PA
USD
326184.44000000
0.139074352328
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
154040.04000000
PA
USD
151607.29000000
0.064640378507
Long
DBT
USGA
US
N
2
2040-06-25
Fixed
4.00000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST
N/A
FORD CREDIT AUTO LEASE TRUST 2024-A FORDL 2024-A A2A
345290AB6
310000.00000000
PA
USD
310330.89000000
0.132314918314
Long
ABS-MBS
US
N
2
2026-07-15
Fixed
5.24000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1 AMCAR 2023-1 A2A
03067BAB5
298803.70000000
PA
USD
299207.56000000
0.127572295044
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
349687.84000000
0.149095431606
Long
DBT
CORP
US
N
2
2024-06-28
Floating
5.65366680
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3 BRAVO 2021-NQM3 A1
105690AA9
181063.28000000
PA
USD
166613.96000000
0.071038730651
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
409697.06000000
PA
USD
342536.53000000
0.146046347454
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.10999880
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
418723.70000000
PA
USD
418685.51000000
0.178513776231
Long
ABS-MBS
US
N
2
2026-04-15
Fixed
5.41000000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING LLC
N/A
WHEELS FLEET LEASE FUNDING 1 LLC WFLF 2023-2A A
96328GBG1
420000.00000000
PA
USD
424918.28000000
0.181171225038
Long
ABS-MBS
US
Y
2
2038-08-18
Fixed
6.46000000
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
279648.16000000
PA
USD
280049.43000000
0.119403896449
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
214654.09000000
PA
USD
198353.60000000
0.084571472667
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
20919.49000000
0.008919384759
Long
DBT
CORP
US
N
2
2024-03-28
Fixed
3.30000000
N
N
N
N
N
N
OCTANE RECEIVABLES TRUST
N/A
OCTANE RECEIVABLES TRUST 2023-3 OCTL 2023-3A A2
67571CAB7
1230000.00000000
PA
USD
1241962.00000000
0.529531883145
Long
ABS-MBS
US
N
2
2029-03-20
Fixed
6.44000000
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST VZMT 2022-7 A1A
92348KBC6
1325000.00000000
PA
USD
1324016.45000000
0.564517210739
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
64915.22000000
PA
USD
58964.14000000
0.025140376349
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
54037.25000000
PA
USD
51496.62000000
0.021956470620
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
490881.21000000
0.209295656012
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
598437.50000000
PA
USD
578639.75000000
0.246713020592
Long
ABS-MBS
US
N
2
2049-05-20
Fixed
4.02100000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST 2007-AR2 GSR 2007-AR2 1A1
3622N6AA7
56218.63000000
PA
USD
30737.42000000
0.013105428262
Long
ABS-MBS
US
N
2
2037-05-25
Floating
3.67794000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 5.700000% 03/13/2026
444859BW1
275000.00000000
PA
USD
275088.25000000
0.117288611933
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
5.70000000
N
N
N
N
N
N
SBNA AUTO LEASE TRUST
N/A
SBNA AUTO LEASE TRUST 2024-A SBALT 2024-A A3
78414SAE4
545000.00000000
PA
USD
547009.42000000
0.233226884776
Long
ABS-MBS
US
Y
2
2026-11-20
Fixed
5.39000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLE TRUST
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C WOART 2023-C A2A
98164FAB8
1025000.00000000
PA
USD
1026218.32000000
0.437545850443
Long
ABS-MBS
US
N
2
2026-12-15
Fixed
5.57000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1
105699AA0
52536.70000000
PA
USD
49832.29000000
0.021246854867
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
1357754.50000000
0.578902009268
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
1688508.58000000
0.719924706291
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
235192.37000000
PA
USD
234898.38000000
0.100152968858
Long
ABS-MBS
US
N
2
2036-10-15
Floating
6.36764040
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
248261.63000000
0.105850620588
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
4.05000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2021-2 LLC EFF 2021-2 A2
29374YAB8
69391.02000000
PA
USD
68050.55000000
0.029014523705
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
264036.05000000
PA
USD
264471.18000000
0.112761841331
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.75560160
N
N
N
N
N
N
2024-01-31
SEI DAILY INCOME TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO