0001752724-20-012231.txt : 20200127
0001752724-20-012231.hdr.sgml : 20200127
20200127121754
ACCESSION NUMBER: 0001752724-20-012231
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191129
FILED AS OF DATE: 20200127
PERIOD START: 20200531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price Short-Term Bond Fund, Inc.
CENTRAL INDEX KEY: 0000731890
IRS NUMBER: 521332477
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03894
FILM NUMBER: 20548120
BUSINESS ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
BUSINESS PHONE: 410-345-2000
MAIL ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE SHORT TERM BOND FUND INC
DATE OF NAME CHANGE: 19920703
0000731890
S000002141
T. Rowe Price Short-Term Bond Fund, Inc.
C000005536
T. Rowe Price Short-Term Bond Fund, Inc.
PRWBX
C000005537
T. Rowe Price Short-Term Bond Fund-Advisor Class
PASHX
C000166333
T. Rowe Price Short-Term Bond Fund-I Class
TBSIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000731890
XXXXXXXX
S000002141
C000166333
C000005536
C000005537
T. ROWE PRICE SHORT-TERM BOND FUND, INC.
811-03894
0000731890
549300C2B2KYI619RG43
100 East Pratt Street
Baltimore
21202
410-345-2000
T. Rowe Price Short-Term Bond Fund, Inc.
S000002141
O3EF15Z749ITOPZMGX97
2020-05-31
2019-11-29
N
5550367381.76
84808672.58
5465558709.18
0
0
0
0
0
0
0
0
0
0
51269226.7
17652045.88
0
111.52
USD
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CVW9
911980.24000000
PA
USD
1028468.48000000
0.018817261596
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
362163B55
103.66000000
PA
USD
103.93000000
0.000001901543
Long
ABS-MBS
USGA
US
N
2
2020-05-15
Fixed
10.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TM85
27240.63000000
PA
USD
27874.29000000
0.000509998912
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AE0
3090000.00000000
PA
USD
3151058.40000000
0.057652997024
Long
DBT
CORP
US
N
2
2021-09-17
Fixed
3.40000000
N
N
N
N
N
N
CHASE SECURITIES
5493004Y7YRMGRIO5W15
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-2534.27000000
-0.00004636799
N/A
DCR
CORP
US
N
2
CHASE SECURITIES
5493004Y7YRMGRIO5W15
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-14396.89
USD
1000000
USD
11862.62
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EAU8
1621602.20000000
PA
USD
1623229.48000000
0.029699241493
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
2.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297EJ72
25000.24000000
PA
USD
28452.67000000
0.000520581179
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAA0
7229223.60000000
PA
USD
7232951.71000000
0.132336913659
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
2.45800000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAL4
6880000.00000000
PA
USD
6965439.97000000
0.127442414227
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
3.16800000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAB8
4470000.00000000
PA
USD
4633803.15000000
0.084781874947
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
3.50000000
N
N
N
N
N
N
World Omni Auto Receivables Tr
N/A
World Omni Auto Receivables Trust 2019-C
98162RAG3
5370000.00000000
PA
USD
5381176.58000000
0.098456111558
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
2.40000000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160AX7
12040000.00000000
PA
USD
12076505.28000000
0.220956464335
Long
DBT
CORP
US
N
2
2021-03-01
Floating
2.55688000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY77
17849.67000000
PA
USD
18466.34000000
0.000337867379
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2016-3 Receivables Funding LLC
82652YAA2
2629887.53000000
PA
USD
2626446.85000000
0.048054498903
Long
ABS-O
CORP
US
N
2
2033-10-20
Fixed
2.43000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBU8
5589000.00000000
PA
USD
5744698.36000000
0.105107248237
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
3.20000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-3
43800KAA5
5450000.00000000
PA
USD
5450000.00000000
0.099715331771
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.67500000
N
N
N
N
N
N
JD.COM INC
549300HVTWB0GJZ16V92
JD.com Inc
47215PAB2
17700000.00000000
PA
USD
17795406.72000000
0.325591722034
Long
DBT
CORP
CN
N
2
2021-04-29
Fixed
3.12500000
N
N
N
N
N
N
Ally Master Owner Trust
N/A
Ally Master Owner Trust
02005AHE1
9205000.00000000
PA
USD
9388412.39000000
0.171774065371
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.30000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BP3
9179000.00000000
PA
USD
9180624.68000000
0.167972300152
Long
DBT
CORP
US
N
2
2021-01-22
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XGK4
2072912.22000000
PA
USD
2077452.52000000
0.038009883902
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
2.85800000
N
N
N
N
N
N
Fontainebleau Miami Beach Trus
N/A
Fontainebleau Miami Beach Trust 2019-FBLU
34461LAJ3
7590000.00000000
PA
USD
7817700.00000000
0.143035697098
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAJ1
7880000.00000000
PA
USD
7755496.00000000
0.141897588383
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
3.17709000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KLN2
997976.19000000
PA
USD
1124330.00000000
0.020571181462
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CHG2
1385863.73000000
PA
USD
1609525.15000000
0.029448501711
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
7.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAB8
4865000.00000000
PA
USD
4926060.62000000
0.090129131935
Long
DBT
CORP
FR
N
2
2022-05-22
Floating
3.11875000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4T22
2464286.64000000
PA
USD
2635563.98000000
0.048221309480
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YJ3
52900000.00000000
PA
USD
52759484.38000000
0.965308163123
Long
DBT
UST
US
N
2
2021-09-30
Fixed
1.50000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAC4
3075000.00000000
PA
USD
3224137.50000000
0.058990080823
Long
DBT
CORP
IE
N
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BY3
3380000.00000000
PA
USD
3435337.36000000
0.062854276073
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2017-WOLF
39153AAJ9
7700000.00000000
PA
USD
7699833.68000000
0.140879168804
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
3.08538000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GJ95
39488.93000000
PA
USD
44493.37000000
0.000814068101
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DB3
481000.00000000
PA
USD
481595.48000000
0.008811459278
Long
DBT
CORP
US
N
2
2020-03-09
Floating
2.73213000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAH8
6400000.00000000
PA
USD
6439961.60000000
0.117828056428
Long
DBT
CORP
ES
N
2
2023-04-12
Floating
3.12088000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAA3
139147.56000000
PA
USD
139051.01000000
0.002544131668
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
1.59300000
N
N
N
N
N
N
CAPITAL ONE NA
207ALC1P1YM0OVDV0K75
Capital One NA
14042RFH9
14055000.00000000
PA
USD
14054578.35000000
0.257148062949
Long
DBT
CORP
US
N
2
2020-01-31
Fixed
2.35000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAY2
13567000.00000000
PA
USD
13638375.99000000
0.249533061772
Long
DBT
CORP
US
N
2
2020-07-13
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USV5
2885163.23000000
PA
USD
3013028.93000000
0.055127555851
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
LYONDELLBASELL IND NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
552081AD3
5369000.00000000
PA
USD
5703762.52000000
0.104358270096
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
6.00000000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389AW3
1075000.00000000
PA
USD
1100812.90000000
0.020140903402
Long
DBT
CORP
US
N
2
2020-09-30
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFV6
721826.20000000
PA
USD
796645.97000000
0.014575746275
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128NC3S1
136076.36000000
PA
USD
143059.87000000
0.002617479339
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
4.48000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YCM5
860000.00000000
PA
USD
864376.54000000
0.015814971277
Long
DBT
CORP
US
N
2
2020-01-26
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FEJ1
302423.55000000
PA
USD
334206.41000000
0.006114771202
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283H6N0
544494.84000000
PA
USD
620460.67000000
0.011352191111
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2014-A LLC
284157AA2
782476.27000000
PA
USD
782593.09000000
0.014318629286
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
2.53000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2016-2 Receivables Funding LLC
82652WAA6
828388.95000000
PA
USD
826841.19000000
0.015128209831
Long
ABS-O
CORP
US
N
2
2033-07-20
Fixed
2.33000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BG8
8685000.00000000
PA
USD
8882931.15000000
0.162525582884
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
3.21800000
N
N
N
N
N
N
USAA Auto Owner Trust
N/A
USAA Auto Owner Trust 2017-1
90290AAE7
3149500.00000000
PA
USD
3152481.63000000
0.057679036997
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
2.20000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAL3
12900000.00000000
PA
USD
13122860.40000000
0.240100986893
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
2.90000000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AY6
3485000.00000000
PA
USD
3534309.27000000
0.064665104851
Long
DBT
CORP
US
N
2
2022-09-25
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128287C8
67395000.00000000
PA
USD
67626670.31000000
1.237324012207
Long
DBT
UST
US
N
2
2022-07-15
Fixed
1.75000000
N
N
N
N
N
N
MOLSON COORS BREWING CO
54930073LBBH6ZCBE225
Molson Coors Brewing Co
60871RAP5
5090000.00000000
PA
USD
5092020.73000000
0.093165603023
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CS4
2397341.31000000
PA
USD
2403661.18000000
0.043978325142
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Variable
3.81430200
N
N
N
N
N
N
T. ROWE PRICE GOVERNMENT RESERVE FUND
5493002Y0IYARJVQ5N24
T. ROWE PRICE GOVERNMENT RESERVE FUND
000000000
52322897.27000000
NS
USD
52322897.27000000
0.957320194587
Long
STIV
RF
US
N
1
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QSD29
136355.11000000
PA
USD
143905.85000000
0.002632957720
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Floating
4.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSH9
4473915.93000000
PA
USD
4677993.61000000
0.085590400888
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
EMD FINANCE LLC
529900C8KS5G529A0B76
EMD Finance LLC
26867LAG5
3170000.00000000
PA
USD
3218019.16000000
0.058878137281
Long
DBT
CORP
US
N
2
2022-03-19
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LDJ8
1355816.48000000
PA
USD
1415125.18000000
0.025891683820
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAU2
4980000.00000000
PA
USD
5104500.00000000
0.093393928628
Long
DBT
CORP
NL
N
2
2021-06-01
Fixed
4.12500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBS4
2955000.00000000
PA
USD
3012858.90000000
0.055124444916
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
3.45000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
6209.36000000
0.000113608879
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
-13101.22
USD
2155000
USD
19310.58
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M1NN5
35922.29000000
PA
USD
36710.36000000
0.000671667105
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
6.00000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAE4
4410000.00000000
PA
USD
4482416.61000000
0.082012047596
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
3.93300000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AW0
20680000.00000000
PA
USD
20871269.32000000
0.381868907289
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
3.50000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29372JAB3
435524.54000000
PA
USD
435321.89000000
0.007964819575
Long
ABS-O
CORP
US
N
2
2023-01-20
Fixed
1.97000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HCK2
6186712.12000000
PA
USD
6187871.51000000
0.113215717536
Long
ABS-MBS
CORP
US
N
2
2039-07-25
Floating
2.45800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ANJ2
538337.75000000
PA
USD
604501.31000000
0.011060192418
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBX6
159040.74000000
PA
USD
179193.53000000
0.003278594916
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
6945000.00000000
PA
USD
6970660.80000000
0.127537936575
Long
DBT
CORP
HK
N
2
2020-07-19
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAC0
12365000.00000000
PA
USD
12377018.78000000
0.226454776877
Long
DBT
CORP
US
N
2
2021-03-09
Floating
2.65213000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABA4
7780000.00000000
PA
USD
7849459.84000000
0.143616787553
Long
DBT
CORP
US
N
2
2022-06-20
Fixed
3.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-2
92537GAA1
6740203.11000000
PA
USD
6789126.20000000
0.124216508526
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
3.21100000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-E
63941MAA9
8817160.78000000
PA
USD
8847802.18000000
0.161882849508
Long
ABS-O
CORP
US
N
2
2068-05-15
Fixed
2.39000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PRZ8
5711.27000000
PA
USD
5795.42000000
0.000106035271
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286C9
40595000.00000000
PA
USD
41356156.25000000
0.756668411237
Long
DBT
UST
US
N
2
2022-02-15
Fixed
2.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCU8
2750000.00000000
PA
USD
2820397.25000000
0.051603091286
Long
DBT
CORP
US
N
2
2022-07-08
Fixed
3.55000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGX1
6470000.00000000
PA
USD
6477065.24000000
0.118506919139
Long
DBT
CORP
US
N
2
2022-01-23
Floating
2.31400000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523BQ2
4130000.00000000
PA
USD
4264638.00000000
0.078027484963
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.90000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
2230000.00000000
PA
USD
2309820.62000000
0.042261381551
Long
DBT
CORP
IE
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
CAMPBELL SOUP CO
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429BB4
7800000.00000000
PA
USD
7801918.80000000
0.142746958090
Long
DBT
CORP
US
N
2
2020-03-16
Floating
2.61850000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QP7
4311208.93000000
PA
USD
4313719.78000000
0.078925504409
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
2.45800000
N
N
N
N
N
N
JABIL INC
5493000CGCQY2OQU7669
Jabil Inc
466313AF0
4068000.00000000
PA
USD
4194274.79000000
0.076740092151
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DC73
1034605.16000000
PA
USD
1164803.55000000
0.021311701364
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EGN3
150622.72000000
PA
USD
166634.43000000
0.003048808710
Long
ABS-MBS
USGA
US
N
2
2036-01-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGZ6
186585.46000000
PA
USD
210186.77000000
0.003845659358
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DCB3
7507.49000000
PA
USD
7505.24000000
0.000137318806
Long
ABS-MBS
USGSE
US
N
2
2020-07-01
Fixed
5.50000000
N
N
N
N
N
N
Synchrony Credit Card Master N
549300G1V1M796QIYC04
Synchrony Credit Card Master Note Trust
87165LBY6
8841763.00000000
PA
USD
8841803.67000000
0.161773098423
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
2.95000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAJ7
705000.00000000
PA
USD
705876.32000000
0.012914989254
Long
DBT
CORP
US
N
2
2020-10-20
Fixed
2.12500000
N
N
N
N
N
N
WPP FINANCE 2010
549300OJB3S151W7KN44
WPP Finance 2010
92936MAC1
2255000.00000000
PA
USD
2334520.32000000
0.042713296923
Long
DBT
CORP
GB
N
2
2022-09-07
Fixed
3.62500000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AU8
11323000.00000000
PA
USD
11375991.64000000
0.208139592771
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.20000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAA0
540000.00000000
PA
USD
542873.88000000
0.009932632853
Long
DBT
CORP
IE
N
2
2021-07-15
Fixed
2.65000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RAY8
3554000.00000000
PA
USD
3640344.43000000
0.066605165614
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.00000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-2
13976CAE6
3810000.00000000
PA
USD
3867376.70000000
0.070759036830
Long
ABS-O
CORP
US
N
2
2023-12-20
Fixed
3.69000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-5
89176VAK8
13533006.69000000
PA
USD
13794779.70000000
0.252394685228
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
3.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286U9
72125000.00000000
PA
USD
72981484.38000000
1.335297784971
Long
DBT
UST
US
N
2
2022-05-15
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XEK6
638380.50000000
PA
USD
639202.73000000
0.011695103172
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
3.00800000
N
N
N
N
N
N
CK HUTCH INTL 17 II LTD
254900F7C0PB6TKONV55
CK Hutchison International 17 II Ltd
000000000
5617000.00000000
PA
USD
5627335.28000000
0.102959927418
Long
DBT
CORP
KY
N
2
2023-03-29
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KLP7
1039825.48000000
PA
USD
1073033.93000000
0.019632648501
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31342A6S3
535.66000000
PA
USD
553.42000000
0.000010125588
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Floating
3.96900000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-1542.00000000
NC
USD
206683.26000000
0.003781557769
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
-183656495.76
USD
206683.26
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AV6
1580000.00000000
PA
USD
1601331.58000000
0.029298588949
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
3.30000000
N
N
N
N
N
N
OMNICOM GP/OMNICOM CAP
N/A
Omnicom Group Inc / Omnicom Capital Inc
682134AC5
5229000.00000000
PA
USD
5318912.66000000
0.097316906523
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128S4GD3
156919.00000000
PA
USD
166511.56000000
0.003046560632
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
5.21900000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AN4
15880000.00000000
PA
USD
16204126.68000000
0.296477039991
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
3.92200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414YEC0
453914.89000000
PA
USD
477100.94000000
0.008729225416
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
4.56500000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-2 Mortgage Loan Trust
19687VAA9
8127991.07000000
PA
USD
8156359.38000000
0.149231941581
Long
ABS-MBS
CORP
US
N
2
2048-07-27
Variable
3.47000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2016-3
03065DAG2
10015000.00000000
PA
USD
10077692.90000000
0.184385411194
Long
ABS-O
CORP
US
N
2
2022-09-08
Fixed
2.71000000
N
N
N
N
N
N
AMERICA MOVIL SAB DE CV
5493000FNR3UCEAONM59
America Movil SAB de CV
02364WAV7
3721000.00000000
PA
USD
3754125.38000000
0.068686946381
Long
DBT
CORP
MX
N
2
2020-03-30
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH7G1
2011183.74000000
PA
USD
2117052.69000000
0.038734424102
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GMT6
53960.02000000
PA
USD
54921.10000000
0.001004857928
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
6.00000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BL3
7600000.00000000
PA
USD
7637316.00000000
0.139735320877
Long
DBT
CORP
GB
N
2
2023-01-20
Floating
3.11588000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407Y5W5
85.47000000
PA
USD
88.42000000
0.000001617766
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MBK30
210723.55000000
PA
USD
218691.11000000
0.004001258089
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BU2
6861000.00000000
PA
USD
6873967.29000000
0.125768794294
Long
DBT
CORP
US
N
2
2020-08-20
Fixed
2.95000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBH0
5115000.00000000
PA
USD
5215213.08000000
0.095419578445
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.07900000
N
N
N
N
N
N
AMERICAN EXPRESS CREDIT
9ET6B8VCXWW51H8Z3M54
American Express Credit Corp
0258M0EE5
12825000.00000000
PA
USD
12829937.63000000
0.234741557316
Long
DBT
CORP
US
N
2
2020-03-03
Fixed
2.20000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-C
63940YAA4
9383836.33000000
PA
USD
9418770.48000000
0.172329508860
Long
ABS-O
CORP
US
N
2
2068-02-15
Fixed
2.82000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BD3
495000.00000000
PA
USD
525456.86000000
0.009613964243
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.85000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BJ0
1360000.00000000
PA
USD
1385524.48000000
0.025350097834
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.90000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVAB
N/A
GreatAmerica Leasing Receivables Funding LLC Series 2018-1
39154TAQ1
2746767.80000000
PA
USD
2753398.50000000
0.050377255949
Long
ABS-O
CORP
US
N
2
2021-06-15
Fixed
2.60000000
N
N
N
N
N
N
PANASONIC CORP
254900GE1G59KGWPHX32
Panasonic Corp
69832AAA4
5560000.00000000
PA
USD
5596573.68000000
0.102397101152
Long
DBT
CORP
JP
N
2
2022-07-19
Fixed
2.53600000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CG3
6607000.00000000
PA
USD
6710135.27000000
0.122771259573
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
4.12500000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886BZ6
5910000.00000000
PA
USD
5988978.29000000
0.109576689386
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
2.70000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-2
03065GAG5
4910000.00000000
PA
USD
4996058.55000000
0.091409841442
Long
ABS-O
CORP
US
N
2
2023-04-18
Fixed
3.42000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4GD2
11114504.55000000
PA
USD
12769737.92000000
0.233640119875
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0PT0
850827.20000000
PA
USD
850931.43000000
0.015568974285
Long
ABS-MBS
CORP
US
N
2
2029-12-25
Floating
2.50800000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBH2
5530000.00000000
PA
USD
5814053.98000000
0.106376205789
Long
DBT
CORP
GB
N
2
2024-01-16
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BUP8
81.18000000
PA
USD
81.41000000
0.000001489509
Long
ABS-MBS
USGA
US
N
2
2020-10-20
Fixed
10.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AK0
7060000.00000000
PA
USD
7112321.66000000
0.130129819080
Long
DBT
CORP
JP
N
2
2022-02-22
Floating
2.81875000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QWA5
2254853.80000000
PA
USD
2540285.23000000
0.046478052202
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS NORDSTROM INC
000000000
1.00000000
NC
USD
-261586.46000000
-0.00478608819
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
NORDSTROM INC
NORDSTROM INC
Y
Default Event
2024-12-20
0
USD
-1008953.05
USD
16500000
USD
747366.59
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DE21
17673.91000000
PA
USD
17811.17000000
0.000325880133
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BW93
1443982.83000000
PA
USD
1504393.19000000
0.027524966248
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LL62
123907.66000000
PA
USD
131272.98000000
0.002401821789
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
4.52100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UD90
780234.47000000
PA
USD
812514.41000000
0.014866081460
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.00000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIAL
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AR7
2645000.00000000
PA
USD
2647816.93000000
0.048445494246
Long
DBT
CORP
US
N
2
2020-05-22
Floating
2.54875000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAD7
2092275.04000000
PA
USD
2109424.58000000
0.038594857218
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
3.63963000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
61765LAQ3
1519659.89000000
PA
USD
1515930.04000000
0.027736048968
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
1.70600000
N
N
N
N
N
N
Verizon Owner Trust
N/A
Verizon Owner Trust 2017-1
92348NAC1
2670000.00000000
PA
USD
2676668.33000000
0.048973370746
Long
ABS-O
CORP
US
N
2
2021-09-20
Fixed
2.65000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891AAH0
5395000.00000000
PA
USD
5391255.87000000
0.098640526190
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
2.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSK2
11713276.24000000
PA
USD
12531104.57000000
0.229273990762
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128NGAT2
182873.40000000
PA
USD
191691.04000000
0.003507254247
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
4.69100000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAA0
1000000.00000000
PA
USD
1024752.00000000
0.018749263424
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
5.25000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAL7
5150000.00000000
PA
USD
5352101.45000000
0.097924141607
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q2N0
10183.03000000
PA
USD
10666.27000000
0.000195154248
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Floating
4.59700000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AB6
5600000.00000000
PA
USD
5600470.40000000
0.102468397066
Long
DBT
CORP
US
N
2
2021-09-17
Floating
2.78938000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MMD1
371727.59000000
PA
USD
390536.45000000
0.007145407647
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22546QAD9
5249000.00000000
PA
USD
5270704.62000000
0.096434873367
Long
DBT
CORP
US
N
2
2020-01-14
Fixed
5.40000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAD3
11630000.00000000
PA
USD
11644130.45000000
0.213045565322
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
2.25000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-A
80285JAG1
6050000.00000000
PA
USD
6124369.63000000
0.112053862301
Long
ABS-O
CORP
US
N
2
2022-06-20
Fixed
2.77000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7K5
147637.61000000
PA
USD
153841.64000000
0.002814746820
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XQS6
1300473.55000000
PA
USD
1300472.90000000
0.023793960859
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
2.45800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UXU1
164409.12000000
PA
USD
171446.39000000
0.003136850212
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EA58
3074000.00000000
PA
USD
3100746.87000000
0.056732477592
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
5.37500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-2
89173HAA4
3341503.55000000
PA
USD
3368710.74000000
0.061635249372
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-1
13976MAF1
15835000.00000000
PA
USD
16001669.71000000
0.292772808077
Long
ABS-O
CORP
US
N
2
2022-11-21
Fixed
3.36000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ82
169330.16000000
PA
USD
186872.96000000
0.003419100771
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS3
36251PAA2
636814.06000000
PA
USD
634532.36000000
0.011609652256
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
1.42900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388RNM5
19084.80000000
PA
USD
20020.57000000
0.000366304179
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Floating
3.59000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CHF4
1356376.08000000
PA
USD
1579572.32000000
0.028900473017
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
7.00000000
N
N
N
N
N
N
REGIONS BANK
EQTWLK1G7ODGC2MGLV11
Regions Bank/Birmingham AL
759187CC9
10315000.00000000
PA
USD
10305128.55000000
0.188546662808
Long
DBT
CORP
US
N
2
2021-04-01
Floating
2.47863000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-3
89169DAA9
7328592.15000000
PA
USD
7363084.90000000
0.134717881405
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.75000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29373EAC1
3445000.00000000
PA
USD
3456497.00000000
0.063241421123
Long
ABS-O
CORP
US
N
2
2023-05-20
Fixed
2.36000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032419
8515000.00000000
PA
USD
8823336.15000000
0.161435209454
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
ARI Fleet Lease Trust
N/A
ARI Fleet Lease Trust 2018-A
00217EAB4
3296055.57000000
PA
USD
3302168.43000000
0.060417765240
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
2.55000000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886BJ2
2125000.00000000
PA
USD
2128965.25000000
0.038952380960
Long
ABS-O
CORP
US
N
2
2022-03-15
Fixed
3.50000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAE1
3054000.00000000
PA
USD
3054067.19000000
0.055878407908
Long
DBT
CORP
US
N
2
2019-12-01
Fixed
3.05000000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493003EWUCLH0O45S72
Sequoia Mortgage Trust 2018-CH4
81747LAB7
3892420.39000000
PA
USD
3988956.31000000
0.072983504930
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.00000000
N
N
N
N
N
N
KKR Financial CLO Ltd
635400ZS4BDP68TETX94
KKR CLO 13 Ltd
48250VAU1
12130000.00000000
PA
USD
12062626.58000000
0.220702534211
Long
ABS-CBDO
CORP
KY
N
2
2028-01-16
Floating
2.80088000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAB5
5826951.72000000
PA
USD
5824227.04000000
0.106562336074
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Fixed
3.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ETV9
72228.41000000
PA
USD
80701.98000000
0.001476554992
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITD
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
714295AC6
11867000.00000000
PA
USD
12231162.63000000
0.223786135705
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
3.90000000
N
N
N
N
N
N
HSBC USA INC
549300LBOHZ4QSIWU288
HSBC USA Inc
40428HPR7
7720000.00000000
PA
USD
7720331.96000000
0.141254213353
Long
DBT
CORP
US
N
2
2020-03-05
Fixed
2.35000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFW4
7010000.00000000
PA
USD
7063044.67000000
0.129228227996
Long
DBT
CORP
US
N
2
2021-04-19
Fixed
2.62500000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564AAA9
720229.82000000
PA
USD
720266.84000000
0.013178283837
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
2.55800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MKT8
32072.67000000
PA
USD
33180.72000000
0.000607087431
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
5.00000000
N
N
N
N
N
N
SUMITOMO MITSUI BANKING
5U0XI89JRFVHWIBS4F54
Sumitomo Mitsui Banking Corp
865622CJ1
10345000.00000000
PA
USD
10352138.05000000
0.189406767008
Long
DBT
CORP
JP
N
2
2020-01-17
Fixed
2.51400000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2005-4
64031QCJ8
5975523.56000000
PA
USD
5755825.07000000
0.105310826875
Long
ABS-O
CORP
US
N
2
2032-03-22
Floating
2.33888000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36180MYW1
6907887.49000000
PA
USD
7248239.24000000
0.132616620288
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
3.50000000
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
Crown Castle Towers LLC
22822RBF6
1785000.00000000
PA
USD
1845724.99000000
0.033770106373
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.72000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV3
92537MAE0
5280000.00000000
PA
USD
5280000.00000000
0.096604945275
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.10000000
N
N
N
N
N
N
Ascentium Equipment Receivable
N/A
Ascentium Equipment Receivables 2017-1 Trust
04365JAC3
1347978.87000000
PA
USD
1349073.43000000
0.024683175166
Long
ABS-O
CORP
US
N
2
2021-06-10
Fixed
2.29000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BD5
3145000.00000000
PA
USD
3214768.68000000
0.058818665228
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
3.65000000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST
59166BAA9
3600259.99000000
PA
USD
3654326.17000000
0.066860980998
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
3.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAC1
3065135.91000000
PA
USD
3065135.91000000
0.056080925539
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
2.91600000
N
N
N
N
N
N
SMB Private Education Loan Tru
5493008SQ2WS8HE83M61
SMB Private Education Loan Trust 2016-B
78449GAB5
7367559.05000000
PA
USD
7364880.94000000
0.134750742456
Long
ABS-O
CORP
US
N
2
2032-02-17
Fixed
2.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DVP6
26966.41000000
PA
USD
28308.91000000
0.000517950890
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
4.34000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300O0S47F5VVOH518
Neuberger Berman CLO XIX Ltd
64130CAN2
9260000.00000000
PA
USD
9245255.30000000
0.169154807256
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.80088000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAY4
10385000.00000000
PA
USD
10493803.65000000
0.191998736238
Long
DBT
CORP
US
N
2
2022-05-20
Floating
2.84400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407QC61
2252.61000000
PA
USD
2330.43000000
0.000042638458
Long
ABS-MBS
USGSE
US
N
2
2021-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGQS6
101054.71000000
PA
USD
103618.12000000
0.001895837653
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BLD8
1301213.81000000
PA
USD
1461513.89000000
0.026740429803
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAB3
1787557.81000000
PA
USD
1798090.82000000
0.032898572967
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.77900000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-1 Receivables Funding LLC
82653EAA5
3104654.88000000
PA
USD
3142084.60000000
0.057488808870
Long
ABS-O
CORP
US
N
2
2036-01-20
Fixed
3.20000000
N
N
N
N
N
N
REGIONS BANK
EQTWLK1G7ODGC2MGLV11
Regions Bank/Birmingham AL
759187CE5
4050000.00000000
PA
USD
4048610.85000000
0.074074967728
Long
DBT
CORP
US
N
2
2021-08-13
Floating
2.40463000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369622SM8
925000.00000000
PA
USD
955993.05000000
0.017491222780
Long
DBT
CORP
US
N
2
2021-02-11
Fixed
5.30000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAU8
11220000.00000000
PA
USD
11220157.08000000
0.205288382707
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.12500000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891AAY3
3995000.00000000
PA
USD
4111402.32000000
0.075223825024
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MB6P7
1642406.32000000
PA
USD
1708276.16000000
0.031255288816
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2019-3 Mortgage Loan Trust
19688CAA0
11601191.86000000
PA
USD
11599321.75000000
0.212225727820
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
2.76400000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-3
24381FAB1
231036.35000000
PA
USD
230737.60000000
0.004221665382
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
2.71100000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AM7
4780000.00000000
PA
USD
4876618.14000000
0.089224512981
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
3.60000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAV7
25800000.00000000
PA
USD
26023737.60000000
0.476140482331
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.76400000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ET1
10145000.00000000
PA
USD
10333423.09000000
0.189064350779
Long
DBT
CORP
US
N
2
2021-06-08
Fixed
3.20000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AZ5
4755000.00000000
PA
USD
4798541.54000000
0.087795992968
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
2.70000000
N
N
N
N
N
N
EDP FINANCE BV
5299007L43AQDFOW5739
EDP Finance BV
26835PAE0
3550000.00000000
PA
USD
3607687.50000000
0.066007661649
Long
DBT
CORP
NL
N
2
2020-01-15
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0UC1
3504188.06000000
PA
USD
3504556.70000000
0.064120740192
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Floating
2.40800000
N
N
N
N
N
N
SUNTRUST BANK
IYDOJBGJWY9T8XKCSX06
SunTrust Bank/Atlanta GA
86787EAU1
11460000.00000000
PA
USD
11467517.76000000
0.209814190463
Long
DBT
CORP
US
N
2
2021-01-29
Floating
2.59000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564AAK7
5840000.00000000
PA
USD
5851955.06000000
0.107069658773
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
2.95800000
N
N
N
N
N
N
STATE GRID OVERSEAS INV
3003006V8BHG5158QO96
State Grid Overseas Investment 2016 Ltd
857006AD2
18240000.00000000
PA
USD
18236031.16000000
0.333653559138
Long
DBT
CORP
VG
N
2
2020-05-04
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMP4
1291869.52000000
PA
USD
1368585.56000000
0.025040176728
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
5.50000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2019-1
36256UAG3
7185000.00000000
PA
USD
7298035.86000000
0.133527718726
Long
ABS-O
CORP
US
N
2
2022-12-20
Fixed
3.56000000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
STACR Trust 2018-DNA2
35563TAA9
10823783.41000000
PA
USD
10832329.87000000
0.198192544374
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
2.50800000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2019-2 Mortgage Loan Trust
19685TAA6
4416005.66000000
PA
USD
4424956.90000000
0.080960742267
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
3.33700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UC69
97381.50000000
PA
USD
102489.79000000
0.001875193286
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAD1
13070000.00000000
PA
USD
13215181.56000000
0.241790130948
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AX0
2030000.00000000
PA
USD
2041083.80000000
0.037344467576
Long
DBT
CORP
US
N
2
2021-09-24
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C7G3
4858994.05000000
PA
USD
5186929.21000000
0.094902085696
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFPR1
6215362.48000000
PA
USD
6595492.43000000
0.120673709330
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AB0
13190000.00000000
PA
USD
13429635.92000000
0.245713871803
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
4.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-2 Mortgage Loan Trust
19687VAB7
2928769.91000000
PA
USD
2939339.55000000
0.053779306131
Long
ABS-MBS
CORP
US
N
2
2048-07-27
Variable
3.54200000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-1
85571KAC9
4943485.80000000
PA
USD
4956442.18000000
0.090685004840
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
3.29900000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM3
64829PAA7
8869488.62000000
PA
USD
8891565.66000000
0.162683563257
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.80181000
N
N
N
N
N
N
Bank
N/A
Bank 2019-BNK19
06540WBA0
3661924.39000000
PA
USD
3683323.94000000
0.067391535540
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
2.26300000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBD6
4030000.00000000
PA
USD
4183728.38000000
0.076547130908
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
4755000.00000000
PA
USD
4874778.45000000
0.089190853293
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AQ3
3003000.00000000
PA
USD
3085582.50000000
0.056455024347
Long
DBT
CORP
GB
N
2
2022-04-10
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CK1
6594263.99000000
PA
USD
6633778.80000000
0.121374211731
Long
ABS-MBS
USGSE
US
N
2
2048-02-25
Variable
3.73849700
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286H8
76235000.00000000
PA
USD
77545289.06000000
1.418798940531
Long
DBT
UST
US
N
2
2022-03-15
Fixed
2.37500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MBHP5
58245.39000000
PA
USD
59677.20000000
0.001091877393
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2016-3
80284RAF6
5387963.67000000
PA
USD
5393879.65000000
0.098688531895
Long
ABS-O
CORP
US
N
2
2022-03-15
Fixed
2.46000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-2 Receivables Funding LLC
82652MAA8
10583834.91000000
PA
USD
10622238.35000000
0.194348627747
Long
ABS-O
CORP
US
N
2
2036-05-20
Fixed
2.59000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BA9
2548000.00000000
PA
USD
2609289.59000000
0.047740582963
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LAE2
1099165.20000000
PA
USD
1137975.32000000
0.020820841574
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
5.50000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-B
80281GAG1
4715000.00000000
PA
USD
4746674.90000000
0.086847020635
Long
ABS-O
CORP
US
N
2
2023-08-21
Fixed
2.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388RNR4
62792.28000000
PA
USD
65405.99000000
0.001196693576
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Floating
4.69600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQS7
5198530.27000000
PA
USD
5566693.46000000
0.101850400959
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C2N0
36266.11000000
PA
USD
37458.66000000
0.000685358295
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
4.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BQ2
6285000.00000000
PA
USD
6314300.67000000
0.115528914901
Long
DBT
CORP
GB
N
2
2022-09-10
Floating
2.74400000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XX25
4932872.66000000
PA
USD
4935476.23000000
0.090301403618
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Floating
2.42800000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AE6
2210000.00000000
PA
USD
2323861.41000000
0.042518277337
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
3.65000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
2460000.00000000
PA
USD
2479069.92000000
0.045358032946
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.62500000
N
N
N
N
N
N
Homeward Opportunities Fund Tr
N/A
Homeward Opportunities Fund I Trust 2018-1
43789AAA2
5528954.96000000
PA
USD
5570793.67000000
0.101925420005
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.76600000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329QHU8
6736419.39000000
PA
USD
7077729.17000000
0.129496901352
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAG0
10770000.00000000
PA
USD
10769429.19000000
0.197041688929
Long
DBT
CORP
HK
N
2
2021-09-20
Floating
2.67588000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851CA0
5000000.00000000
PA
USD
5020585.00000000
0.091858586965
Long
DBT
CORP
US
N
2
2020-08-03
Fixed
2.70000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAD4
5935000.00000000
PA
USD
5906666.31000000
0.108070677204
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.25000000
N
N
N
N
N
N
PERNOD RICARD SA
52990097YFPX9J0H5D87
Pernod Ricard SA
714264AD0
8946000.00000000
PA
USD
9373413.04000000
0.171499631396
Long
DBT
CORP
FR
N
2
2022-01-15
Fixed
4.45000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC23 Mortgage Trust
12636FBF9
14350000.00000000
PA
USD
14433864.27000000
0.264087626499
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.22100000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVa Trust 2017-SPL5
07331UAA6
8322764.41000000
PA
USD
8461121.21000000
0.154807983231
Long
ABS-MBS
CORP
US
N
2
2057-06-28
Variable
3.50000000
N
N
N
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAD7
5768000.00000000
PA
USD
5825292.22000000
0.106581825023
Long
DBT
CORP
PE
N
2
2020-04-16
Fixed
5.37500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EA66
940000.00000000
PA
USD
959906.38000000
0.017562822596
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
6.00000000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EAV7
9105000.00000000
PA
USD
9115798.53000000
0.166786215555
Long
DBT
CORP
US
N
2
2021-04-12
Floating
2.41088000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAP8
4985000.00000000
PA
USD
4990363.86000000
0.091305649166
Long
DBT
CORP
GB
N
2
2020-11-03
Fixed
2.12500000
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
Boral Finance Pty Ltd
09952AAA4
1070000.00000000
PA
USD
1074712.28000000
0.019663356249
Long
DBT
CORP
AU
N
2
2022-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDX4
269690.51000000
PA
USD
303752.48000000
0.005557574187
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-1
80285HAE0
3090000.00000000
PA
USD
3118567.36000000
0.057058528248
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.21000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285R7
79020000.00000000
PA
USD
80588053.13000000
1.474470542135
Long
DBT
UST
US
N
2
2021-12-15
Fixed
2.62500000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
4470000.00000000
PA
USD
4599451.20000000
0.084153358233
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AABW3
5031635.66000000
PA
USD
5637310.15000000
0.103142431541
Long
ABS-MBS
USGA
US
N
2
2045-09-15
Fixed
5.50000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-1
43789EAC0
5772537.00000000
PA
USD
5831733.79000000
0.106699682508
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.60600000
N
N
N
N
N
N
GM Financial Securitized Term
N/A
GM Financial Consumer Automobile Receivables Trust 2017-3
36254MAG3
1895000.00000000
PA
USD
1902595.35000000
0.034810628725
Long
ABS-O
CORP
US
N
2
2023-03-16
Fixed
2.52000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJS4
4173514.23000000
PA
USD
4179579.60000000
0.076471223206
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
2.65800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MTM5
83518.91000000
PA
USD
87182.24000000
0.001595120364
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAD6
21613000.00000000
PA
USD
21804318.28000000
0.398940336024
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XC28
422380.63000000
PA
USD
422377.25000000
0.007727979379
Long
ABS-MBS
CORP
US
N
2
2030-08-25
Floating
2.35800000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G0T60
55150000.00000000
PA
USD
55092699.70000000
1.007997583256
Long
DBT
USGSE
US
N
2
2020-07-30
Fixed
1.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBQ1
20100000.00000000
PA
USD
20187636.00000000
0.369360884662
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AX5
8695000.00000000
PA
USD
8677340.46000000
0.158764015203
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RF87
264318.53000000
PA
USD
291739.72000000
0.005337784031
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
BB&T CORPORATION
549300DRQQI75D2JP341
BB&T Corp
05531FAZ6
9285000.00000000
PA
USD
9295334.21000000
0.170071070582
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
2.15000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABC0
3740000.00000000
PA
USD
3768435.22000000
0.068948764811
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQR9
6156775.51000000
PA
USD
6463331.83000000
0.118255647298
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
4.50000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JX0
6190000.00000000
PA
USD
6305901.56000000
0.115375241499
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.85000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAF4
5525000.00000000
PA
USD
5566785.58000000
0.101852086423
Long
DBT
CORP
GB
N
2
2023-04-24
Floating
2.95600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A3K1
2146413.49000000
PA
USD
2464714.25000000
0.045095375992
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZU0
8210000.00000000
PA
USD
8242511.60000000
0.150808216297
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
3.35000000
N
N
N
N
N
N
DOLLAR TREE INC
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AE8
10330000.00000000
PA
USD
10328657.10000000
0.188977150362
Long
DBT
CORP
US
N
2
2020-04-17
Floating
2.70213000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WRN3
262.07000000
PA
USD
265.89000000
0.000004864827
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCH7
6085000.00000000
PA
USD
6088060.76000000
0.111389541013
Long
DBT
CORP
US
N
2
2021-04-09
Floating
2.86200000
N
N
N
N
N
N
Volvo Financial Equipment Mast
N/A
Volvo Financial Equipment Master Owner Trust
92887MAA4
1890000.00000000
PA
USD
1892950.86000000
0.034634169363
Long
ABS-O
CORP
US
N
2
2022-11-15
Floating
2.26538000
N
N
N
N
N
N
SMB Private Education Loan Tru
54930027GONY06ZX8P67
SMB Private Education Loan Trust 2016-C
78449KAC4
11203962.99000000
PA
USD
11257811.48000000
0.205977322338
Long
ABS-O
CORP
US
N
2
2034-09-15
Floating
2.86538000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-3
80286HAE9
8005000.00000000
PA
USD
8017382.93000000
0.146689174091
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
2.28000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAB7
3195000.00000000
PA
USD
3195000.00000000
0.058456969726
Long
DBT
CORP
US
N
2
2019-12-04
Fixed
2.45000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740BJ7
2395000.00000000
PA
USD
2446755.95000000
0.044766803911
Long
DBT
CORP
US
N
2
2021-09-21
Fixed
3.65000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WCZ4
10540000.00000000
PA
USD
10574982.26000000
0.193484011840
Long
DBT
CORP
US
N
2
2021-08-06
Floating
2.22825000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2018-2
36255KAG6
3970000.00000000
PA
USD
4010956.51000000
0.073386029195
Long
ABS-O
CORP
US
N
2
2022-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNU5
6433002.23000000
PA
USD
6897699.67000000
0.126203011202
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
5.00000000
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
Conagra Brands Inc
205887BX9
3870000.00000000
PA
USD
3868877.70000000
0.070786499713
Long
DBT
CORP
US
N
2
2020-10-22
Floating
2.70325000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWD2
9220000.00000000
PA
USD
9311342.54000000
0.170363965249
Long
DBT
CORP
US
N
2
2022-04-26
Floating
3.04563000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M1AN9
10441.33000000
PA
USD
10564.21000000
0.000193286918
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005LAQ76UDHPEE03
Freddie Mac Stacr Remic Trust 2019-Hqa4
35565CAA4
4465000.00000000
PA
USD
4465000.00000000
0.081693386487
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Floating
2.53538000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-MS1
61765DAQ1
1145332.31000000
PA
USD
1142669.64000000
0.020906730689
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
1.63800000
N
N
N
N
N
N
CAPITAL ONE NA
207ALC1P1YM0OVDV0K75
Capital One NA
14042RNW7
8840000.00000000
PA
USD
8811835.76000000
0.161224793820
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
2.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EBU2
312520.30000000
PA
USD
346011.77000000
0.006330766686
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUE3
1092967.38000000
PA
USD
1167597.31000000
0.021362817090
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GJG3
13265.91000000
PA
USD
14026.45000000
0.000256633415
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
4.77000000
N
N
N
N
N
N
AMERISOURCEBERGEN CORP
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073EAJ4
5125000.00000000
PA
USD
5251121.13000000
0.096076566173
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAE6
8520000.00000000
PA
USD
8530676.41000000
0.156080592376
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
3.19538000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RHH7
57280.98000000
PA
USD
60450.73000000
0.001106030201
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGH6
12500000.00000000
PA
USD
12687612.50000000
0.232137521067
Long
DBT
CORP
US
N
2
2023-01-20
Floating
3.12588000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZL5
2200000.00000000
PA
USD
2204171.20000000
0.040328378438
Long
DBT
CORP
US
N
2
2020-12-04
Fixed
2.60000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBF4
1650000.00000000
PA
USD
1665024.90000000
0.030463946845
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.61600000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCA1
4115000.00000000
PA
USD
4336312.93000000
0.079338877518
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DE70
28471.89000000
PA
USD
32712.37000000
0.000598518316
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404NBE5
6985.51000000
PA
USD
7268.92000000
0.000132995003
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
4.67600000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YF1
61425000.00000000
PA
USD
61252242.19000000
1.120694981962
Long
DBT
UST
US
N
2
2022-09-15
Fixed
1.50000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AC5
869224.99000000
PA
USD
867361.28000000
0.015869581247
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.99000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21685WDF1
11540000.00000000
PA
USD
12037374.00000000
0.220240503130
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
3.95000000
N
N
N
N
N
N
GOLUB CAPITAL PARTNERS CLO 39(
254900UTQO35BUTIHC49
Golub Capital Partners CLO 39B Ltd
38176LAA9
7835000.00000000
PA
USD
7821664.67000000
0.143108236251
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.11588000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAD6
7690000.00000000
PA
USD
7713646.75000000
0.141131898135
Long
DBT
CORP
NL
N
2
2020-04-24
Fixed
3.69800000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22550L2A8
10525000.00000000
PA
USD
10545450.08000000
0.192943679523
Long
DBT
CORP
US
N
2
2021-11-12
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413VJY4
225778.30000000
PA
USD
238798.95000000
0.004369158995
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Floating
4.71900000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-1
13976MAG9
15125000.00000000
PA
USD
15324532.03000000
0.280383632221
Long
ABS-O
CORP
US
N
2
2025-06-20
Fixed
3.70000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AN2
8190000.00000000
PA
USD
8319778.74000000
0.152221926113
Long
DBT
CORP
US
N
2
2020-11-13
Fixed
3.87500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CU7
7150000.00000000
PA
USD
7190397.50000000
0.131558325188
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128LU7A8
280174.32000000
PA
USD
296824.04000000
0.005430808738
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Floating
5.20700000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAL3
5922442.07000000
PA
USD
6047722.45000000
0.110651495515
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-1
03065FAF9
4115000.00000000
PA
USD
4142188.63000000
0.075787103394
Long
ABS-O
CORP
US
N
2
2022-08-18
Fixed
2.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MJ78
13133.73000000
PA
USD
13587.47000000
0.000248601665
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2017-2
02007HAG6
1700000.00000000
PA
USD
1710726.32000000
0.031300117902
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
2.93000000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAA2
1865000.00000000
PA
USD
1861244.08000000
0.034054049714
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
2.46538000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-NQM1
64828JAA2
9209764.89000000
PA
USD
9326850.47000000
0.170647704402
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
3.98600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RRN1
12351.67000000
PA
USD
13637.05000000
0.000249508800
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MC6H3
3692.64000000
PA
USD
3821.83000000
0.000069925696
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DPZ6
1838840.31000000
PA
USD
2029471.34000000
0.037132001465
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q6L0
1.07000000
PA
USD
1.11000000
0.000000020308
Long
ABS-MBS
USGSE
US
N
2
2020-01-01
Fixed
5.00000000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2T5
8635000.00000000
PA
USD
8820712.95000000
0.161387214360
Long
DBT
CORP
US
N
2
2022-02-26
Fixed
2.95000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AB7
345845.49000000
PA
USD
346460.16000000
0.006338970605
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.75000000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAP8
11653000.00000000
PA
USD
11657591.28000000
0.213291849933
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409HR30
303.04000000
PA
USD
313.51000000
0.000005736101
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335APZ5
5717498.31000000
PA
USD
6042284.63000000
0.110552003034
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Cole Park CLO Limited
N/A
Cole Park CLO Ltd 2015-1
19329LAN7
13540000.00000000
PA
USD
13499434.30000000
0.246990930265
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.01588000
N
N
N
N
N
N
Nissan Master Owner Trust Rece
N/A
Nissan Master Owner Trust Receivables
65474VAS0
12890000.00000000
PA
USD
12890000.00000000
0.235840481931
Long
ABS-O
CORP
US
N
2
2023-11-15
Floating
2.19000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QBW7
12240000.00000000
PA
USD
12240575.28000000
0.223958353231
Long
DBT
CORP
CA
N
2
2021-01-25
Floating
2.17963000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PFAQ8
1425.80000000
PA
USD
1449.47000000
0.000026520070
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AZ7
5645000.00000000
PA
USD
5680924.78000000
0.103940421872
Long
DBT
CORP
JP
N
2
2023-07-26
Floating
2.79563000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAA8
5530154.21000000
PA
USD
5552513.18000000
0.101590953010
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JPP46
295408.73000000
PA
USD
311254.61000000
0.005694836092
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Floating
4.31500000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-1
03065FAG7
15265000.00000000
PA
USD
15480699.03000000
0.283240924738
Long
ABS-O
CORP
US
N
2
2023-01-18
Fixed
3.13000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-5
80286AAE4
6725000.00000000
PA
USD
6769642.57000000
0.123860028410
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
3.52000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523BU3
5195000.00000000
PA
USD
5272005.49000000
0.096458674593
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.00000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAM5
12625000.00000000
PA
USD
13102376.50000000
0.239726205447
Long
DBT
CORP
BR
N
2
2022-01-11
Fixed
4.37500000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886BN3
8315000.00000000
PA
USD
8430590.97000000
0.154249390018
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.44000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CB3
9080000.00000000
PA
USD
9186581.04000000
0.168081280044
Long
DBT
CORP
US
N
2
2021-02-22
Fixed
3.00000000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAC1
3280000.00000000
PA
USD
3406283.28000000
0.062322691260
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30
61766NAW5
1348650.96000000
PA
USD
1340086.22000000
0.024518741656
Long
ABS-MBS
CORP
US
N
2
2049-09-15
Fixed
1.38900000
N
N
N
N
N
N
UBS GROUP AG
506700Q800G1L95S7805
UBS Group AG
90351DAD9
14810000.00000000
PA
USD
14980048.42000000
0.274080825347
Long
DBT
CORP
CH
N
2
2021-04-15
Fixed
3.00000000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
549300K13TUMZQMZ9684
Hyundai Auto Receivables Trust 2017-A
44931PAF3
2830000.00000000
PA
USD
2839555.50000000
0.051953618121
Long
ABS-O
CORP
US
N
2
2023-04-17
Fixed
2.38000000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AK1
7825000.00000000
PA
USD
7825727.73000000
0.143182575586
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414SED1
141216.72000000
PA
USD
155540.32000000
0.002845826534
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739FJJ1
7025000.00000000
PA
USD
7061410.58000000
0.129198330047
Long
DBT
CORP
GB
N
2
2021-01-11
Fixed
2.65000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
549300GZMOJI10UAGZ40
Santander Drive Auto Receivables Trust 2015-4
80284MAG5
2922422.63000000
PA
USD
2928046.83000000
0.053572690109
Long
ABS-O
CORP
US
N
2
2021-08-16
Fixed
3.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410X7L4
7469.89000000
PA
USD
7575.31000000
0.000138600834
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XLS1
1889176.21000000
PA
USD
1889947.37000000
0.034579216335
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
2.55800000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-6
89175JAA8
13772909.98000000
PA
USD
13882349.52000000
0.253996896907
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
2.75000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding
549300NL4H585I318G08
Halcyon Loan Advisors Funding 2014-3 Ltd
40538FAS2
6000000.00000000
PA
USD
6001009.32000000
0.109796813817
Long
ABS-CBDO
CORP
KY
N
2
2025-10-22
Floating
3.65325000
N
N
N
N
N
N
CGDB Commercial Mortgage Trust
N/A
CGDB Commercial Mortgage Trust 2019-MOB
125284AG4
10831000.00000000
PA
USD
10830987.00000000
0.198167974699
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
3.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAJ3
1605000.00000000
PA
USD
1637472.36000000
0.029959834796
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJ2R6
13214.85000000
PA
USD
13871.12000000
0.000253791437
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Floating
4.56000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403VLM9
14740.61000000
PA
USD
15370.98000000
0.000281233462
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Floating
4.65500000
N
N
N
N
N
N
VENTAS REALTY LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAK3
1455000.00000000
PA
USD
1487840.81000000
0.027222117429
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.10000000
N
N
N
N
N
N
FANNIE MAE
N/A
Fannie Mae REMICS
3136B13K8
15478504.68000000
PA
USD
15992356.98000000
0.292602418726
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MB2H9
173010.11000000
PA
USD
180166.98000000
0.003296405538
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31360FC60
751.10000000
PA
USD
756.38000000
0.000013839024
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Floating
4.78600000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAU9
9385000.00000000
PA
USD
9698055.45000000
0.177439415913
Long
DBT
CORP
US
N
2
2022-02-04
Fixed
4.05000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QTE91
423374.23000000
PA
USD
443916.80000000
0.008122075411
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Floating
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJY1
40379.58000000
PA
USD
46385.62000000
0.000848689447
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHQ39
76213.30000000
PA
USD
78846.32000000
0.001442603111
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HMPA6
3372196.65000000
PA
USD
3604574.22000000
0.065950699860
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAB5
13905000.00000000
PA
USD
13907113.56000000
0.254449989470
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN53
43337.67000000
PA
USD
48814.34000000
0.000893126258
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2015-3
80284LAG7
4588430.62000000
PA
USD
4591131.83000000
0.084001143785
Long
ABS-O
CORP
US
N
2
2021-05-17
Fixed
3.49000000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BM1
2505000.00000000
PA
USD
2535330.54000000
0.046387399256
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
3.50000000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAL8
1495000.00000000
PA
USD
1491225.72000000
0.027284049067
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
3.01538000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AL5
1500000.00000000
PA
USD
1546639.50000000
0.028297921261
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
3.65000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AS3
5230000.00000000
PA
USD
5232055.39000000
0.095727731937
Long
DBT
CORP
US
N
2
2021-02-26
Floating
2.51725000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886AU8
11842000.00000000
PA
USD
11851943.73000000
0.216847798379
Long
ABS-O
CORP
US
N
2
2022-01-18
Fixed
2.97000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-INV1
92536MAB7
1085212.33000000
PA
USD
1090754.29000000
0.019956867139
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.84900000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVAB
N/A
GreatAmerica Leasing Receivables Funding LLC Series 2017-1
39154TAJ7
17926.74000000
PA
USD
17925.87000000
0.000327978729
Long
ABS-O
CORP
US
N
2
2020-06-22
Fixed
2.06000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QS3L8
323456.42000000
PA
USD
339891.65000000
0.006218790577
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
4.51800000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-3
89172YAA8
1216547.69000000
PA
USD
1209947.31000000
0.022137669255
Long
ABS-MBS
CORP
US
N
2
2056-04-25
Variable
2.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KK6
4019000.00000000
PA
USD
4054306.92000000
0.074179185253
Long
DBT
CORP
US
N
2
2021-03-30
Fixed
2.70000000
N
N
N
N
N
N
UNITED AIR 2019-2 B PTT
N/A
United Airlines 2019-2 Class B Pass Through Trust
90932KAA7
2985000.00000000
PA
USD
2998723.30000000
0.054865814449
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MMN9
118576.81000000
PA
USD
122673.41000000
0.002244480693
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAA9
8425000.00000000
PA
USD
8536690.23000000
0.156190623580
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XM0
24598118.03000000
PA
USD
26311534.62000000
0.481406129181
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XVR4
7158.59000000
PA
USD
7270.70000000
0.000133027571
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
5.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAZ7
2110000.00000000
PA
USD
2118144.60000000
0.038754402115
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
2.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBR5
4815000.00000000
PA
USD
4832232.89000000
0.088412423086
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
2.40000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAQ4
1630000.00000000
PA
USD
1666675.00000000
0.030494137721
Long
DBT
CORP
IE
N
2
2020-10-30
Fixed
4.62500000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAT2
7520000.00000000
PA
USD
7604945.92000000
0.139143065231
Long
DBT
CORP
GB
N
2
2023-01-10
Floating
3.63450000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2015-3
03065NAG0
5765000.00000000
PA
USD
5776605.52000000
0.105691034116
Long
ABS-O
CORP
US
N
2
2021-08-08
Fixed
3.34000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AP2
4775000.00000000
PA
USD
4791893.95000000
0.087674366061
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
292863.02000000
PA
USD
328111.22000000
0.006003251222
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Homeward Opportunities Fund Tr
N/A
Homeward Opportunities Fund I Trust 2018-1
43789AAB0
4405287.44000000
PA
USD
4439969.83000000
0.081235424706
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.89700000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AJ0
3525000.00000000
PA
USD
3562417.88000000
0.065179390974
Long
DBT
CORP
US
N
2
2020-09-25
Fixed
3.40000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCA0
10093000.00000000
PA
USD
10132458.58000000
0.185387425497
Long
ABS-O
CORP
US
N
2
2021-12-20
Fixed
2.63000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGR5
715000.00000000
PA
USD
717419.56000000
0.013126188888
Long
DBT
CORP
US
N
2
2020-12-07
Fixed
2.55000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAK7
13340000.00000000
PA
USD
13339679.84000000
0.244068000177
Long
DBT
CORP
DK
N
2
2020-03-02
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JALB2
4544325.05000000
PA
USD
4712490.21000000
0.086221564175
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
3.50000000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAC7
5535000.00000000
PA
USD
5574237.62000000
0.101988431862
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
2.90000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
9940.74000000
0.000181879667
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
-17824.96
USD
3450000
USD
27765.7
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 2 YEAR NOTE
000000000
7731.00000000
NC
USD
-1631829.36000000
-0.02985658826
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
1668326716.04
USD
-1631829.36
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAG3
3320000.00000000
PA
USD
3495186.44000000
0.063949298250
Long
DBT
CORP
IT
N
2
2023-09-12
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1157.00000000
NC
USD
576857.06000000
0.010554402407
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
-150245659.72
USD
576857.06
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM5
64830PAA4
5435000.00000000
PA
USD
5429781.86000000
0.099345412773
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.70986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ5F1
657196.09000000
PA
USD
691634.81000000
0.012654421017
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WX48
85553.15000000
PA
USD
87157.48000000
0.001594667345
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
6.00000000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust 2019-A
44932NAF7
5280000.00000000
PA
USD
5373947.57000000
0.098323846763
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
2.94000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
8155000.00000000
PA
USD
8521730.35000000
0.155916911763
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AP0
5125000.00000000
PA
USD
5140149.50000000
0.094046185824
Long
DBT
CORP
US
N
2
2021-08-15
Floating
2.77988000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2015-3
80284LAH5
5260000.00000000
PA
USD
5265031.72000000
0.096331079769
Long
ABS-O
CORP
US
N
2
2023-06-17
Fixed
4.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RBV5
12205000.05000000
PA
USD
12209110.69000000
0.223382664785
Long
ABS-O
CORP
US
N
2
2021-02-20
Fixed
2.50000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAD1
14680000.00000000
PA
USD
14640275.92000000
0.267864214785
Long
DBT
CORP
US
N
2
2020-10-01
Floating
2.86863000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-1
92536FAA4
1169625.57000000
PA
USD
1170437.17000000
0.021414776279
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
2.92900000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BD1
9385000.00000000
PA
USD
9582995.35000000
0.175334231318
Long
DBT
CORP
US
N
2
2021-11-30
Fixed
2.90000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-1
24380TAC0
482295.44000000
PA
USD
482489.71000000
0.008827820460
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Variable
3.48500000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AX2
3496000.00000000
PA
USD
3509267.32000000
0.064206927538
Long
DBT
CORP
JP
N
2
2021-07-26
Floating
2.58563000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAC9
5820000.00000000
PA
USD
5862881.76000000
0.107269577950
Long
DBT
CORP
GB
N
2
2020-10-16
Fixed
2.87500000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-1
24380PAA2
2336096.63000000
PA
USD
2336216.47000000
0.042744330347
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
2.97600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH7F3
385731.57000000
PA
USD
442946.72000000
0.008104326448
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
6.00000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G6F6
4010000.00000000
PA
USD
4084164.95000000
0.074725479448
Long
DBT
CORP
US
N
2
2022-09-07
Fixed
3.15000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGS7
6341000.00000000
PA
USD
6806562.56000000
0.124535530989
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KGP3
138563.97000000
PA
USD
159200.93000000
0.002912802486
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV1
92537FAA3
3774842.39000000
PA
USD
3811903.79000000
0.069744082770
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
3.40200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409CUR4
3129.08000000
PA
USD
3237.18000000
0.000059228711
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.00000000
N
N
N
N
N
N
KANSAS CITY SOUTHERN
5493008C12PZMWP3WY03
Kansas City Southern
485170AU8
19244000.00000000
PA
USD
19286529.24000000
0.352873882913
Long
DBT
CORP
US
N
2
2020-05-15
Fixed
2.35000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
3111.89000000
0.000056936356
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
0
USD
1080000
USD
3111.89
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128NC6J8
45174.27000000
PA
USD
47108.45000000
0.000861914627
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
3.84100000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAH1
8005000.00000000
PA
USD
8111354.43000000
0.148408513412
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TWC8
417200.95000000
PA
USD
433460.33000000
0.007930759745
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
9321.25000000
0.000170545236
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
-7610.23
USD
3235000
USD
16931.48
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MWZ1
23842.44000000
PA
USD
26274.67000000
0.000480731639
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412VCC0
371181.68000000
PA
USD
387190.43000000
0.007084187557
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-5930.21000000
-0.00010850144
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-37989.25
USD
2340000
USD
32059.04
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-1
85571KAA3
7313835.42000000
PA
USD
7326888.42000000
0.134055616449
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
2.94100000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2019-A LLC
28416TAA3
7000899.44000000
PA
USD
6977945.59000000
0.127671221942
Long
ABS-O
CORP
US
N
2
2034-01-25
Fixed
2.61000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBC0
8565000.00000000
PA
USD
8521185.06000000
0.155906934924
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
3.17213000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410UDP4
8944.87000000
PA
USD
8988.75000000
0.000164461685
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CFF8
968254.45000000
PA
USD
994423.75000000
0.018194365899
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BYZ5
118086.99000000
PA
USD
120014.63000000
0.002195834614
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC46
9430000.00000000
PA
USD
9446210.17000000
0.172831556161
Long
DBT
CORP
US
N
2
2022-11-04
Floating
2.31200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408BQC5
23813.96000000
PA
USD
25165.84000000
0.000460444052
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
4.53300000
N
N
N
N
N
N
MARATHON OIL CORP
1FRVQX2CRLGC1XLP5727
Marathon Oil Corp
565849AK2
14075000.00000000
PA
USD
14280354.25000000
0.261278947127
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.80000000
N
N
N
N
N
N
PNM RESOURCES INC
5493003JOBJGLZSDDQ28
PNM Resources Inc
69349HAC1
7620000.00000000
PA
USD
7717063.56000000
0.141194413428
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.25000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCR3
4535000.00000000
PA
USD
4623584.42000000
0.084594909066
Long
ABS-O
CORP
US
N
2
2023-09-20
Fixed
3.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GGR8
150276.39000000
PA
USD
172449.43000000
0.003155202224
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EGC7
200143.07000000
PA
USD
221594.12000000
0.004054372696
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
5.00000000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189TAT4
3885000.00000000
PA
USD
3978049.64000000
0.072783952230
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
3.60000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AG5
3646000.00000000
PA
USD
3787282.50000000
0.069293602018
Long
DBT
CORP
GB
N
2
2022-09-27
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R04
20753TAA1
4378630.85000000
PA
USD
4380053.47000000
0.080139171547
Long
ABS-MBS
CORP
US
N
2
2039-06-25
Floating
2.45800000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAB7
17285000.00000000
PA
USD
17582232.86000000
0.321691409708
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDF3
248276.19000000
PA
USD
285229.16000000
0.005218664278
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BE8
4105000.00000000
PA
USD
4105673.22000000
0.075119003169
Long
DBT
CORP
US
N
2
2019-12-15
Fixed
2.67500000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BE5
2201000.00000000
PA
USD
2214503.14000000
0.040517415653
Long
DBT
CORP
US
N
2
2020-06-12
Fixed
3.25000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BQ4
5765000.00000000
PA
USD
5842389.36000000
0.106894640984
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.55000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-5
89171VAK3
3188243.61000000
PA
USD
3192857.00000000
0.058417760560
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Variable
2.75000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AE6
20505000.00000000
PA
USD
21094518.75000000
0.385953566184
Long
DBT
CORP
US
N
2
2021-02-01
Variable
5.62500000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851CZ5
2870000.00000000
PA
USD
2874330.83000000
0.052589881162
Long
DBT
CORP
US
N
2
2021-02-12
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M1TU3
1243.68000000
PA
USD
1248.20000000
0.000022837555
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
5.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAD1
8224204.41000000
PA
USD
7998245.22000000
0.146339023063
Long
ABS-O
CORP
US
N
2
2022-01-25
Floating
2.26963000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-2
03463WAD5
4490000.00000000
PA
USD
4584364.09000000
0.083877318567
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
4.06500000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2019-3
24381NAA6
4588463.30000000
PA
USD
4617951.06000000
0.084491838908
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.96400000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAM0
9510000.00000000
PA
USD
9514793.04000000
0.174086375177
Long
DBT
CORP
US
N
2
2021-02-10
Floating
2.45063000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
313617NN8
3222.57000000
PA
USD
3222.39000000
0.000058958107
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Floating
2.75000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAD9
7055000.00000000
PA
USD
7019753.22000000
0.128436150694
Long
DBT
CORP
US
N
2
2021-02-04
Floating
3.19225000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-3
24381FAC9
216174.36000000
PA
USD
215884.15000000
0.003949900851
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
2.81300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFT1
1258595.92000000
PA
USD
1389100.73000000
0.025415530303
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGXV1
3888.52000000
PA
USD
3992.82000000
0.000073054196
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
BRE Grand Islander Timeshare I
N/A
BRE Grand Islander Timeshare Issuer 2019-A LLC
05588UAA0
2811219.94000000
PA
USD
2876208.88000000
0.052624242699
Long
ABS-O
CORP
US
N
2
2033-09-26
Fixed
3.28000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
6775000.00000000
PA
USD
6826008.98000000
0.124891330295
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephave Residential Mortgage Trust 2019-2
24381PAC7
4801965.91000000
PA
USD
4856737.13000000
0.088860762246
Long
ABS-MBS
CORP
US
N
2
2059-04-25
Variable
3.76300000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-1 Mortgage Loan Trust
19687UAC7
306628.87000000
PA
USD
306955.22000000
0.005616172770
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.08400000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JRBQ8
10990.31000000
PA
USD
11622.99000000
0.000212658771
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Floating
5.03400000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BT5
5655000.00000000
PA
USD
5734322.69000000
0.104917410920
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
2.89400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402A5W2
1730.57000000
PA
USD
1808.04000000
0.000033080607
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Floating
4.50000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2012-C6
92936QAJ7
6351000.00000000
PA
USD
6640883.14000000
0.121504195515
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
4.69700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414NB45
123922.76000000
PA
USD
128958.80000000
0.002359480647
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AH6
9735000.00000000
PA
USD
10235223.24000000
0.187267647913
Long
DBT
CORP
US
N
2
2022-07-02
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413AUH4
14316.18000000
PA
USD
14645.92000000
0.000267967481
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
6.00000000
N
N
N
N
N
N
XEROX CORPORATION
4KF48RN45X1OO8UBLY20
Xerox Corp
984121CA9
8905000.00000000
PA
USD
8913050.12000000
0.163076651340
Long
DBT
CORP
US
N
2
2019-12-15
Fixed
5.62500000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BW8
905000.00000000
PA
USD
908573.85000000
0.016623622548
Long
DBT
CORP
US
N
2
2021-05-12
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ6B9
494270.15000000
PA
USD
520436.53000000
0.009522110321
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36417JAS8
4078180.08000000
PA
USD
4108519.29000000
0.075171075979
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
3.50000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CS4
2695000.00000000
PA
USD
2705270.65000000
0.049496689980
Long
DBT
CORP
US
N
2
2021-07-01
Fixed
2.35000000
N
N
N
N
N
N
Capital One Multi-Asset Execut
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NFU0
13100000.00000000
PA
USD
13052955.28000000
0.238821975474
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
1.72000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JRZ33
120432.92000000
PA
USD
126869.09000000
0.002321246495
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
4.61100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FCP9
1635177.94000000
PA
USD
1806728.27000000
0.033056607130
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5.00000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JQ5
3715000.00000000
PA
USD
3753119.62000000
0.068668544602
Long
DBT
CORP
US
N
2
2022-01-27
Fixed
2.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2019-2
63941RAA8
5493601.86000000
PA
USD
5489578.90000000
0.100439482806
Long
ABS-O
CORP
US
N
2
2068-02-27
Floating
1.97800000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XVIII Ltd
55819BAL4
10775000.00000000
PA
USD
10775590.47000000
0.197154418118
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
3.15588000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414NGE8
383409.75000000
PA
USD
398993.45000000
0.007300140227
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2014-A
43284AAA2
1166787.52000000
PA
USD
1163537.43000000
0.021288535937
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
1.77000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAA3
2125000.00000000
PA
USD
2193414.38000000
0.040131567451
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
3.66600000
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAA8
9240000.00000000
PA
USD
9391776.24000000
0.171835611686
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
3.76600000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-H1
36418XAD9
7916000.00000000
PA
USD
7916000.00000000
0.144834232348
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.33900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26L1
2369793.08000000
PA
USD
2480565.86000000
0.045385403249
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128L5AC5
16233.20000000
PA
USD
17943.68000000
0.000328304587
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LE9
13000000.00000000
PA
USD
13001976.00000000
0.237889238627
Long
DBT
CORP
US
N
2
2020-01-10
Floating
2.79950000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAC7
10390000.00000000
PA
USD
10410582.59000000
0.190476091172
Long
DBT
CORP
US
N
2
2021-06-25
Floating
2.73625000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
46591JAJ5
3975000.00000000
PA
USD
3976073.25000000
0.072747791425
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
3.36538000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AL7
6771073.82000000
PA
USD
6783718.80000000
0.124117572620
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
3.61538000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410K4E1
112907.98000000
PA
USD
116950.56000000
0.002139773191
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
CIFC Funding Ltd
549300H3BLEZ8XSDXO87
CIFC Funding 2015-V Ltd
12547UAL2
7495000.00000000
PA
USD
7472351.98000000
0.136717074641
Long
ABS-CBDO
CORP
KY
N
2
2027-10-25
Floating
2.79963000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH70
558271.33000000
PA
USD
594200.12000000
0.010871717817
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.50000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2018-1
38014BAG4
3075000.00000000
PA
USD
3092083.78000000
0.056573974309
Long
ABS-O
CORP
US
N
2
2021-12-20
Fixed
3.11000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2015-4
14313XAG5
1985000.00000000
PA
USD
1985667.16000000
0.036330543054
Long
ABS-O
CORP
US
N
2
2022-05-16
Fixed
3.00000000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AT0
4624000.00000000
PA
USD
4709544.00000000
0.086167659165
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
3.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286M7
53630000.00000000
PA
USD
54409310.94000000
0.995494035195
Long
DBT
UST
US
N
2
2022-04-15
Fixed
2.25000000
N
N
N
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AJ0
5095000.00000000
PA
USD
5350697.67000000
0.097898457499
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MZ9
1949791.74000000
PA
USD
1952376.77000000
0.035721449057
Long
ABS-MBS
CORP
US
N
2
2029-08-25
Floating
2.90800000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-2
03463WAA1
7112269.55000000
PA
USD
7187619.78000000
0.131507502937
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
3.62800000
N
N
N
N
N
N
SUNTRUST BANK
IYDOJBGJWY9T8XKCSX06
SunTrust Bank/Atlanta GA
86787EBE6
8110000.00000000
PA
USD
8247026.56000000
0.150890823771
Long
DBT
CORP
US
N
2
2022-05-17
Fixed
2.80000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BU3
12140000.00000000
PA
USD
12531575.70000000
0.229282610741
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.70000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-4
89173UAA5
3822535.71000000
PA
USD
3857605.18000000
0.070580253278
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409FMN5
539.96000000
PA
USD
558.61000000
0.000010220547
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.00000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2019-1 LLC
29374AAB0
4485000.00000000
PA
USD
4531472.67000000
0.082909596458
Long
ABS-O
CORP
US
N
2
2024-10-22
Fixed
2.98000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41284VAA0
6720000.00000000
PA
USD
6722338.56000000
0.122994535740
Long
DBT
CORP
US
N
2
2020-05-21
Floating
2.39463000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJV2
1946423.92000000
PA
USD
2148231.02000000
0.039304875023
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust
36250BAE6
860769.87000000
PA
USD
859948.01000000
0.015733945160
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Variable
2.45289900
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAS0
5060000.00000000
PA
USD
5182983.30000000
0.094829889784
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAN53
3007216.09000000
PA
USD
3134590.22000000
0.057351688762
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
EXPRESS SCRIPTS HOLDING
5493003UA6VMND084504
Express Scripts Holding Co
30219GAS7
10405000.00000000
PA
USD
10410119.26000000
0.190467613905
Long
DBT
CORP
US
N
2
2020-11-30
Floating
2.66375000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C6L0
353977.69000000
PA
USD
390812.23000000
0.007150453426
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CB71
71048.46000000
PA
USD
74001.58000000
0.001353961853
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
4.34200000
N
N
N
N
N
N
Volvo Financial Equipment LLC
N/A
Volvo Financial Equipment LLC Series 2018-1
92888CAE7
3360000.00000000
PA
USD
3390956.02000000
0.062042257716
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
2.91000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286Y1
60580000.00000000
PA
USD
60797709.38000000
1.112378671880
Long
DBT
UST
US
N
2
2022-06-15
Fixed
1.75000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAU8
12651000.00000000
PA
USD
13194689.38000000
0.241415198007
Long
DBT
CORP
LU
N
2
2021-03-01
Variable
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GFD0
32376.15000000
PA
USD
33494.68000000
0.000612831766
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCCH7
2275632.29000000
PA
USD
2368688.29000000
0.043338447467
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Carlyle Global Market Strategi
549300XYKYPK3H877P92
Carlyle Global Market Strategies CLO 2015-3 Ltd
14311MAN6
13980000.00000000
PA
USD
13962147.96000000
0.255456920379
Long
ABS-CBDO
CORP
KY
N
2
2028-07-28
Floating
2.93563000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2017-1
80284TAK1
636808.86000000
PA
USD
637445.29000000
0.011662948362
Long
ABS-O
CORP
US
N
2
2022-05-16
Fixed
2.58000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVb Trust 2017-SPL4
07331YAA8
2919555.64000000
PA
USD
2965450.76000000
0.054257047042
Long
ABS-MBS
CORP
US
N
2
2055-01-28
Variable
3.50000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AR5
7993000.00000000
PA
USD
7998635.07000000
0.146346155912
Long
DBT
CORP
US
N
2
2020-01-09
Fixed
3.05000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2A2
13480000.00000000
PA
USD
13603007.70000000
0.248885949704
Long
DBT
CORP
SA
N
2
2022-04-16
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415AY70
9918.06000000
PA
USD
10386.96000000
0.000190043883
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
4.68300000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833AK6
5325000.00000000
PA
USD
5402883.45000000
0.098853268942
Long
DBT
CORP
US
N
2
2023-05-03
Fixed
2.40000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AC2
9835000.00000000
PA
USD
9927724.38000000
0.181641528492
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
3.35000000
N
N
N
N
N
N
Synchrony Credit Card Master N
549300G1V1M796QIYC04
Synchrony Credit Card Master Note Trust
87165LBN0
3660000.00000000
PA
USD
3666199.67000000
0.067078223198
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
2.62000000
N
N
N
N
N
N
FREDDIE MAC
N/A
Freddie Mac REMICS
3137BGYN3
1388799.32000000
PA
USD
1413992.00000000
0.025870950715
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Fixed
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-1
89176EAA8
3035903.05000000
PA
USD
3067623.99000000
0.056126448424
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367T4X5
8510000.00000000
PA
USD
8542065.68000000
0.156288974915
Long
DBT
CORP
CA
N
2
2021-04-13
Floating
2.46088000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAB1
2485000.00000000
PA
USD
2641535.12000000
0.048330559793
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MC0
1516349.71000000
PA
USD
1520152.41000000
0.027813303101
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
2.90800000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-INV1
92536MAA9
2453411.33000000
PA
USD
2463230.86000000
0.045068235308
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.62600000
N
N
N
N
N
N
Planet Fitness Master Issuer L
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAA1
10271250.00000000
PA
USD
10471539.38000000
0.191591380445
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.26200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408AHV5
154.05000000
PA
USD
159.37000000
0.000002915895
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414DPA8
271183.57000000
PA
USD
286324.50000000
0.005238705048
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
4.78500000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2017-A
80285AAN5
2540000.00000000
PA
USD
2551972.80000000
0.046691892554
Long
ABS-O
CORP
US
N
2
2022-11-21
Fixed
2.96000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740BB4
13270000.00000000
PA
USD
13269761.14000000
0.242788740293
Long
DBT
CORP
US
N
2
2020-09-28
Fixed
2.15000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BE1
6340000.00000000
PA
USD
6444362.74000000
0.117908581407
Long
DBT
CORP
US
N
2
2020-12-29
Fixed
3.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-2
89175VAA1
18432190.16000000
PA
USD
18717361.95000000
0.342460175545
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.25000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAE3
27071000.00000000
PA
USD
27069077.96000000
0.495266438443
Long
DBT
CORP
US
N
2
2020-02-03
Fixed
2.70000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CF4
3315000.00000000
PA
USD
3318460.86000000
0.060715857912
Long
DBT
CORP
US
N
2
2020-12-29
Floating
2.97938000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLV5
1824641.52000000
PA
USD
1956910.48000000
0.035804399588
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
5.00000000
N
N
N
N
N
N
Synchrony Card Issuance Trust
N/A
Synchrony Card Funding LLC
87166PAF8
13765000.00000000
PA
USD
13874382.20000000
0.253851123704
Long
ABS-O
CORP
US
N
2
2025-06-15
Fixed
2.34000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFC9
4030000.00000000
PA
USD
4152842.46000000
0.075982030035
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.50000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AN6
12285000.00000000
PA
USD
12686584.37000000
0.232118709999
Long
DBT
CORP
JP
N
2
2021-11-26
Fixed
4.00000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AH9
2640000.00000000
PA
USD
2640694.32000000
0.048315176188
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.35000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007OD9MH69ES1S63
Wells Fargo Commercial Mortgage Trust 2016-LC24
95000HBC5
39850.59000000
PA
USD
39814.09000000
0.000728454163
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Fixed
1.44100000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS APACHE CORP
000000000
1.00000000
NC
USD
-295425.91000000
-0.00540522800
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
APACHE CORP
Apache Corp
Y
Default Event
2024-12-20
0
USD
-380289.95
USD
9320000
USD
84864.04
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAH8
6715000.00000000
PA
USD
6991993.75000000
0.127928252572
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45000000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
Synchrony Bank
87166FAA1
3013000.00000000
PA
USD
3051964.12000000
0.055839929317
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
3.00000000
N
N
N
N
N
N
Barings CLO Ltd
N/A
Barings CLO Ltd 2013-I
06760EAA4
12115000.00000000
PA
USD
12060482.50000000
0.220663305285
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Floating
2.76588000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CA63
301825.89000000
PA
USD
341283.04000000
0.006244247992
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
FREDDIE MAC
N/A
Freddie Mac REMICS
312904RS6
28.11000000
PA
USD
28.09000000
0.000000513945
Long
ABS-MBS
USGSE
US
N
2
2020-11-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JNNV3
52571.43000000
PA
USD
55110.91000000
0.001008330766
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Floating
4.78100000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BF9
4705000.00000000
PA
USD
4716851.90000000
0.086301367362
Long
DBT
CORP
US
N
2
2021-08-23
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJX8
2451397.86000000
PA
USD
2538326.27000000
0.046442210303
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAS6
10350000.00000000
PA
USD
10331163.00000000
0.189022999289
Long
DBT
CORP
FR
N
2
2022-11-21
Fixed
2.12500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAE9
13080000.00000000
PA
USD
13550880.00000000
0.247932200915
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
4.75000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-1
80285TAF1
1975000.00000000
PA
USD
1986941.64000000
0.036353861438
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
2.96000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-4
80285MAF6
5615000.00000000
PA
USD
5641284.94000000
0.103215155854
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
3.27000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQLC4
9291695.36000000
PA
USD
10068444.58000000
0.184216200314
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.50000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAM5
17363000.00000000
PA
USD
19123191.49000000
0.349885391549
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAC0
12145000.00000000
PA
USD
12161365.51000000
0.222509100296
Long
DBT
CORP
CN
N
2
2020-02-11
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MCG25
153413.81000000
PA
USD
157130.88000000
0.002874928042
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.50000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2015-3 Receivables Funding LLC
82652JAA5
1552234.59000000
PA
USD
1552201.37000000
0.028399683410
Long
ABS-O
CORP
US
N
2
2032-09-20
Fixed
2.58000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513AV7
8405000.00000000
PA
USD
8402503.72000000
0.153735494705
Long
DBT
CORP
US
N
2
2021-05-21
Floating
2.21463000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-IMC1
85572TAA3
4431011.90000000
PA
USD
4486330.87000000
0.082083664428
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
3.46800000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
13851000.00000000
PA
USD
14406480.50000000
0.263586602332
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
693483AF6
8335000.00000000
PA
USD
8299012.89000000
0.151841985999
Long
DBT
CORP
KR
N
2
2022-11-12
Fixed
2.37500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BK3
1570000.00000000
PA
USD
1624846.80000000
0.029728832612
Long
DBT
CORP
US
N
2
2023-02-20
Fixed
3.25000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP2 Trust
67113KAL2
2380267.90000000
PA
USD
2383886.38000000
0.043616517667
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Floating
2.90800000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AK9
4810000.00000000
PA
USD
4978527.97000000
0.091089095093
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.37500000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae REMIC Trust 2001-W4
3139216U7
4588.71000000
PA
USD
4886.63000000
0.000089407693
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Variable
5.61000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAE1
11115000.00000000
PA
USD
11327529.92000000
0.207252918187
Long
DBT
CORP
IE
N
2
2022-05-01
Fixed
3.62500000
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
DR Horton Inc
23331ABL2
3925000.00000000
PA
USD
3935413.03000000
0.072003856136
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
2.55000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CE5
479232.26000000
PA
USD
481488.39000000
0.008809499917
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Variable
3.98010900
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAR2
4399000.00000000
PA
USD
4493609.29000000
0.082216833248
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
SAN DIEGO G & E
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co
797440BT0
2033957.86000000
PA
USD
2025449.81000000
0.037058421979
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
1.91400000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BF4
4640000.00000000
PA
USD
4657901.12000000
0.085222780832
Long
DBT
CORP
US
N
2
2021-05-11
Floating
2.28063000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NW5
6926633.65000000
PA
USD
6946075.33000000
0.127088111199
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
2.90800000
N
N
N
N
N
N
PACKAGING CORP OF AMERIC
549300XZP8MFZFY8TJ84
Packaging Corp of America
695156AS8
4385000.00000000
PA
USD
4418282.15000000
0.080838618430
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
2.45000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
27810000.00000000
PA
USD
27746926.92000000
0.507668628156
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.87500000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAX2
9315000.00000000
PA
USD
10041942.60000000
0.183731309721
Long
DBT
CORP
LU
N
2
2022-02-25
Variable
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XVQ6
4350.60000000
PA
USD
4413.85000000
0.000080757526
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XF5
4325000.00000000
PA
USD
4326509.43000000
0.079159508848
Long
DBT
CORP
US
N
2
2020-03-27
Fixed
2.45900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KC36
397980.39000000
PA
USD
411324.45000000
0.007525753027
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
6.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-1 Mortgage Loan Trust
19687UAA1
853684.37000000
PA
USD
854486.06000000
0.015634011186
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
2.93000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29373LAB7
5402483.27000000
PA
USD
5427484.88000000
0.099303386328
Long
ABS-O
CORP
US
N
2
2023-10-20
Fixed
2.87000000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493003EWUCLH0O45S72
Sequoia Mortgage Trust 2018-CH4
81747LAU5
2524225.10000000
PA
USD
2600015.21000000
0.047570895279
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV1
92537FAD7
1795000.00000000
PA
USD
1831031.39000000
0.033501266520
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
4.03400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MUF2
33152.79000000
PA
USD
34661.97000000
0.000634188961
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Floating
4.27900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DC26
2698255.82000000
PA
USD
2833261.54000000
0.051838461367
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJUV6
62129.24000000
PA
USD
65213.88000000
0.001193178656
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
4.85800000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-3
24381FAA3
2738658.97000000
PA
USD
2734780.21000000
0.050036608433
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
2.57700000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187BD0
2025000.00000000
PA
USD
2149298.55000000
0.039324406970
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CME3
1261802.57000000
PA
USD
1313367.70000000
0.024029889163
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
5.00000000
N
N
N
N
N
N
Octagon Investment Partners Lt
549300EY2ULL20U3RR38
Octagon Investment Partners XXIII Ltd
67590WCE2
5090000.00000000
PA
USD
5073035.79000000
0.092818247135
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.85088000
N
N
N
N
N
N
TRINITY ACQUISITION PLC
549300FJZWZN6MJNGB63
Trinity Acquisition PLC
89641UAD3
5535000.00000000
PA
USD
5626515.69000000
0.102944931879
Long
DBT
CORP
GB
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZH9
3610000.00000000
PA
USD
3661045.40000000
0.066983918658
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
3.81300000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2017-3
80284YAE4
2258180.86000000
PA
USD
2258187.86000000
0.041316688378
Long
ABS-O
CORP
US
N
2
2022-03-15
Fixed
2.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408JEF4
2591.16000000
PA
USD
2680.68000000
0.000049046769
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
5.00000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-3
24381KAC8
517871.11000000
PA
USD
521211.90000000
0.009536296794
Long
ABS-MBS
CORP
US
N
2
2058-08-25
Variable
3.96300000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G7K4
3805000.00000000
PA
USD
3926604.00000000
0.071842682677
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.45000000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EBD6
7305000.00000000
PA
USD
7325746.20000000
0.134034717945
Long
DBT
CORP
US
N
2
2021-08-13
Floating
2.40063000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G5J9
4590000.00000000
PA
USD
4784776.65000000
0.087544145156
Long
DBT
CORP
US
N
2
2021-10-17
Fixed
4.65000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAA5
6714727.49000000
PA
USD
6752430.01000000
0.123545100680
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.67700000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBP9
3115000.00000000
PA
USD
3118862.60000000
0.057063930074
Long
DBT
CORP
US
N
2
2020-05-12
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ6A1
2043580.07000000
PA
USD
2151390.42000000
0.039362680642
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
COLUMBIA PIPELINE GROUP
549300SRP1TQM9JJBG80
Columbia Pipeline Group Inc
198280AD1
9286000.00000000
PA
USD
9332355.71000000
0.170748430427
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
3.30000000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITE
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
714295AB8
3813000.00000000
PA
USD
3852418.79000000
0.070485361057
Long
DBT
CORP
IE
N
2
2021-12-15
Fixed
3.50000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2016-1 Receivables Funding LLC
82652XAA4
1260830.57000000
PA
USD
1268206.81000000
0.023203607855
Long
ABS-O
CORP
US
N
2
2033-03-21
Fixed
3.08000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300GMVSOGAWY1JE39
SMB Private Education Loan Trust 2015-A
78448PAC4
2324826.22000000
PA
USD
2329862.72000000
0.042628079652
Long
ABS-O
CORP
US
N
2
2027-06-15
Floating
2.76538000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XHT4
6400000.00000000
PA
USD
6406738.43000000
0.117220192315
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
3.05800000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-3
92537BAA2
6856555.59000000
PA
USD
6933996.27000000
0.126867107993
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.10800000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2018-A
80285DAG4
7295000.00000000
PA
USD
7361321.76000000
0.134685622306
Long
ABS-O
CORP
US
N
2
2022-05-20
Fixed
3.49000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAU5
10810000.00000000
PA
USD
10874287.07000000
0.198960209717
Long
DBT
CORP
DK
N
2
2022-09-20
Floating
3.00100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGQ49
4522940.37000000
PA
USD
5083461.18000000
0.093008994148
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300UHUHCR3388B324
Neuberger Berman CLO XVI-S Ltd
64131TAC8
7275000.00000000
PA
USD
7255325.64000000
0.132746275834
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
2.85088000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BR9
9600000.00000000
PA
USD
9617280.00000000
0.175961516685
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
2.40400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RR92
546722.76000000
PA
USD
618546.52000000
0.011317169074
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
New Orleans Hotel Trust
N/A
New Orleans Hotel Trust 2019-HNLA
647622AC3
13305000.00000000
PA
USD
13271798.70000000
0.242826020287
Long
ABS-MBS
CORP
US
N
2
2032-04-15
Floating
3.05409000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAG1
6220000.00000000
PA
USD
6227789.31000000
0.113946069219
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
3.36538000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-2
80285FAF1
2490000.00000000
PA
USD
2514669.92000000
0.046009384471
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.35000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
22120000.00000000
PA
USD
22313550.00000000
0.408257438759
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
AMER AIRLINE 17-2B PTT
N/A
American Airlines 2017-2 Class B Pass Through Trust
02377DAA0
5628740.54800000
PA
USD
5623764.74000000
0.102894599422
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.70000000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CB8
7865000.00000000
PA
USD
7892692.67000000
0.144407792322
Long
DBT
CORP
US
N
2
2021-04-16
Floating
2.54088000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAA3
1915475.11000000
PA
USD
1920540.20000000
0.035138954719
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.66000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AE3
4545000.00000000
PA
USD
4566325.14000000
0.083547270882
Long
DBT
CORP
US
N
2
2020-11-21
Fixed
2.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
10770000.00000000
PA
USD
11308876.95000000
0.206911636151
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300261OAC6YQ54P29
BlueMountain CLO 2015-2 Ltd
09628BAL2
13490000.00000000
PA
USD
13439413.31000000
0.245892762755
Long
ABS-CBDO
CORP
KY
N
2
2027-07-18
Floating
2.93325000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITE
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
71429MAA3
1163000.00000000
PA
USD
1167577.57000000
0.021362455919
Long
DBT
CORP
IE
N
2
2021-03-15
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBG4
2000000.00000000
PA
USD
2002500.00000000
0.036638523279
Long
DBT
CORP
US
N
2
2021-09-09
Floating
3.00213000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-2
80285FAE4
3306299.18000000
PA
USD
3313554.19000000
0.060626083559
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
3.03000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AS7
13355000.00000000
PA
USD
13566796.95000000
0.248223423658
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
2.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BV0
3000000.00000000
PA
USD
3003846.00000000
0.054959541372
Long
DBT
CORP
GB
N
2
2021-09-11
Floating
2.78163000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241L5Z5
2961388.28000000
PA
USD
3390701.54000000
0.062037601650
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.00000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAF5
3385000.00000000
PA
USD
3416107.13000000
0.062502432263
Long
ABS-O
CORP
US
N
2
2023-06-19
Fixed
2.69000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAV0
8535000.00000000
PA
USD
9079106.25000000
0.166114879248
Long
DBT
CORP
NL
N
2
2023-06-01
Fixed
4.62500000
N
N
N
N
N
N
EBAY INC
OML71K8X303XQONU6T67
eBay Inc
278642AR4
6525000.00000000
PA
USD
6531655.50000000
0.119505723889
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
2.15000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BF8
5950000.00000000
PA
USD
6314586.25000000
0.115534139984
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.87500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LC3
13095000.00000000
PA
USD
13310412.75000000
0.243532518050
Long
DBT
CORP
US
N
2
2021-12-08
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QEQ8
619040.05000000
PA
USD
646222.41000000
0.011823537983
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RBX1
5020000.00000000
PA
USD
5025815.17000000
0.091954280201
Long
ABS-O
CORP
US
N
2
2021-07-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128LUHZ2
94654.23000000
PA
USD
99494.15000000
0.001820383885
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
4.87300000
N
N
N
N
N
N
FIRST NIAGARA FIN GRP
W4U8KD36H4XNDYC19F59
First Niagara Financial Group Inc
33582VAC2
4150000.00000000
PA
USD
4549512.20000000
0.083239654755
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
7.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJ22
6081847.15000000
PA
USD
6480982.05000000
0.118578582627
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406MJQ0
9468.02000000
PA
USD
9795.12000000
0.000179215346
Long
ABS-MBS
USGSE
US
N
2
2020-05-01
Fixed
5.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWOP CDS CDX.NA.IG.33.V1
000000000
1.00000000
NC
USD
-330560.88000000
-0.00604807115
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS CDX.NA.IG.33.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
US
IHS MARKIT LTD
CDX.NA.IG.33.V1
Default Event
2024-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-69000000.00000000
USD
0.6
USD
2019-12-18
XXXX
-227060.88
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CPF5
3422138.73000000
PA
USD
3584897.98000000
0.065590695677
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHU7
2872000.00000000
PA
USD
2928500.86000000
0.053580997219
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
4.25000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDL5
7360000.00000000
PA
USD
7648361.86000000
0.139937420252
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BXJ2
5448.91000000
PA
USD
5662.14000000
0.000103596728
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
World Omni Automobile Lease Se
N/A
World Omni Automobile Lease Securitization Trust 2018-A
98161YAE4
2135000.00000000
PA
USD
2149544.69000000
0.039328910444
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
3.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LL96
38932.52000000
PA
USD
41250.90000000
0.000754742601
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
4.52500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YK0
55000000.00000000
PA
USD
54630468.75000000
0.999540424993
Long
DBT
UST
US
N
2
2022-10-15
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C2A1
2509929.61000000
PA
USD
2637835.90000000
0.048262877417
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAM2
6515000.00000000
PA
USD
6701643.87000000
0.122615897597
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.44800000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
46591JAG1
12870000.00000000
PA
USD
12873474.90000000
0.235538132238
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
3.11538000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFE9
5285000.00000000
PA
USD
5501441.89000000
0.100656532712
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
3.35000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EBJ2
2340484.60000000
PA
USD
2350199.72000000
0.043000173359
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
3.00000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAG3
11521000.00000000
PA
USD
11715611.58000000
0.214353412036
Long
ABS-O
CORP
US
N
2
2023-07-18
Fixed
3.18000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YAY4
5250000.00000000
PA
USD
5380536.00000000
0.098444391256
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.20000000
N
N
N
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351AJ8
910000.00000000
PA
USD
947084.32000000
0.017328225171
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
5.00000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBA5
6185000.00000000
PA
USD
6406119.94000000
0.117208876180
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO 4/2 144A CP 0.0000 20200804
N/A
FORD MOTOR CREDIT CO 4/2 144A CP 0.0000 20200804
000000000
5562000.00000000
PA
USD
5449589.20000000
0.099707815613
Long
DBT
CORP
US
N
2
2020-08-04
None
0.00000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2018-DSNY
054967AA2
8180000.00000000
PA
USD
8154429.32000000
0.149196628449
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
2.61538000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4X9
6510581.50000000
PA
USD
6836460.32000000
0.125082552100
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPSG0
4457599.86000000
PA
USD
4829636.67000000
0.088364921629
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PFBH7
270.60000000
PA
USD
274.50000000
0.000005022359
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXC3
1220361.46000000
PA
USD
1304254.34000000
0.023863147564
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
Symphony CLO Ltd
549300X84MR2MGY6OR68
Symphony CLO XVII Ltd
87165UAN1
10095000.00000000
PA
USD
10071217.49000000
0.184266934560
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
2.88088000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS APACHE CORP
000000000
1.00000000
NC
USD
-227592.07000000
-0.00416411353
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
APACHE CORP
Apache Corp
Y
Default Event
2024-12-20
0
USD
-292548.01
USD
7180000
USD
64955.94
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAG4
9143000.00000000
PA
USD
9235508.87000000
0.168976482760
Long
DBT
CORP
CA
N
2
2022-08-15
Fixed
3.00000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORM
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAS5
10005000.00000000
PA
USD
10035085.04000000
0.183605841121
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
2.25000000
N
N
N
N
N
N
EASTERN CREATION II INVE
549300POZZMBXFYP2H73
Eastern Creation II Investment Holdings Ltd
000000000
11660000.00000000
PA
USD
11678673.49000000
0.213677578293
Long
DBT
CORP
VG
N
2
2020-09-26
Fixed
2.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-23239.31000000
-0.00042519550
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-144625.23
USD
9170000
USD
121385.92
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAQ6
19870000.00000000
PA
USD
20061467.32000000
0.367052453142
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
2.85000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
7705000.00000000
PA
USD
8193990.12000000
0.149920448320
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
6005000.00000000
PA
USD
6102911.53000000
0.111661256510
Long
DBT
CORP
HK
N
2
2021-03-14
Fixed
4.12500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM3
64829PAC3
3500026.06000000
PA
USD
3504892.50000000
0.064126884120
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
3.08636000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417LBU8
988766.59000000
PA
USD
1032344.19000000
0.018888173102
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
EASTMAN CHEMICAL CO
FDPVHDGJ1IQZFK9KH630
Eastman Chemical Co
277432AQ3
569000.00000000
PA
USD
569049.50000000
0.010411552236
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.70000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBP7
7590000.00000000
PA
USD
7658180.97000000
0.140117074529
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
2.80000000
N
N
N
N
N
N
GATX CORP
549300IHYHCQP2PIR591
GATX Corp
361448AV5
12032000.00000000
PA
USD
12049229.82000000
0.220457421850
Long
DBT
CORP
US
N
2
2020-03-30
Fixed
2.60000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV2
92537HAA9
11554787.27000000
PA
USD
11618693.33000000
0.212580157825
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.91300000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740AX7
2490000.00000000
PA
USD
2489128.50000000
0.045542068660
Long
DBT
CORP
US
N
2
2020-07-13
Fixed
2.15000000
N
N
N
N
N
N
WEA FINANCE LLC/WESTFIEL
N/A
WEA Finance LLC / Westfield UK & Europe Finance PLC
92890HAE2
2515000.00000000
PA
USD
2536704.45000000
0.046412536850
Long
DBT
CORP
US
N
2
2020-10-05
Fixed
3.25000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AB4
5706000.00000000
PA
USD
5856450.67000000
0.107151912212
Long
DBT
CORP
CN
N
2
2022-11-28
Fixed
3.50000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAB1
657420.76000000
PA
USD
658279.75000000
0.012044143792
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.96000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DB0
1692759.12000000
PA
USD
1701773.23000000
0.031136308665
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Variable
4.15571500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31364TLN9
555.05000000
PA
USD
553.58000000
0.000010128516
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Floating
2.40500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMT7
47782.33000000
PA
USD
54898.88000000
0.001004451382
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
MCKESSON CORP
549300WZWOM80UCFSF54
McKesson Corp
581557BM6
11510000.00000000
PA
USD
11694252.08000000
0.213962610269
Long
DBT
CORP
US
N
2
2020-11-30
Fixed
3.65000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DD9
5330000.00000000
PA
USD
5356404.82000000
0.098002877747
Long
DBT
CORP
US
N
2
2021-03-09
Floating
2.82213000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J5P8
16650000.00000000
PA
USD
16777172.70000000
0.306961714121
Long
DBT
CORP
US
N
2
2021-07-23
Floating
3.32500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKE27
305614.95000000
PA
USD
322963.51000000
0.005909066706
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YZ0
3230000.00000000
PA
USD
3251392.29000000
0.059488745122
Long
DBT
CORP
US
N
2
2021-04-05
Fixed
3.47000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PFCH6
163.43000000
PA
USD
164.15000000
0.000003003352
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAA2
5006856.67000000
PA
USD
5010317.41000000
0.091670727122
Long
ABS-MBS
CORP
US
N
2
2039-09-25
Floating
2.45800000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2016-1
80285EAG2
5085000.00000000
PA
USD
5126135.62000000
0.093789782394
Long
ABS-O
CORP
US
N
2
2022-04-15
Fixed
4.02000000
N
N
N
N
N
N
OCP CLO Ltd
254900NUK1R46EK6YF62
OCP CLO 2014-7 Ltd
67107KAZ9
21700000.00000000
PA
USD
21546542.16000000
0.394223963303
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
3.08588000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXDC1
173953.88000000
PA
USD
199771.71000000
0.003655101346
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
6.00000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2018-1
38014BAH2
7625000.00000000
PA
USD
7670782.03000000
0.140347628452
Long
ABS-O
CORP
US
N
2
2022-10-20
Fixed
3.37000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-2
89172PAJ8
1591817.33000000
PA
USD
1600469.49000000
0.029282815813
Long
ABS-MBS
CORP
US
N
2
2055-08-25
Variable
2.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-3370.59000000
-0.00006166963
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-18539.71
USD
1330000
USD
15169.12
N
N
N
SLM Student Loan Trust
5493007HR3ICKG09D287
SLM Student Loan Trust 2008-1
784439AD3
13657078.09000000
PA
USD
13397555.37000000
0.245126913512
Long
ABS-O
CORP
US
N
2
2022-01-25
Floating
2.58963000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBA7
10945000.00000000
PA
USD
10945514.42000000
0.200263413173
Long
DBT
CORP
US
N
2
2021-08-28
Floating
2.46375000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2017-WOLF
39153AAA8
2348000.00000000
PA
USD
2347953.74000000
0.042959080030
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
2.61538000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YE7
14185000.00000000
PA
USD
14182730.40000000
0.259492782982
Long
DBT
CORP
US
N
2
2020-01-09
Fixed
2.68100000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2015-5
80284QAG6
4188139.74000000
PA
USD
4201837.89000000
0.076878469587
Long
ABS-O
CORP
US
N
2
2021-12-15
Fixed
3.65000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
6285000.00000000
PA
USD
6347026.67000000
0.116127682597
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BZ0
7060000.00000000
PA
USD
7278344.62000000
0.133167440096
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAQ8
2715000.00000000
PA
USD
2724214.71000000
0.049843297912
Long
DBT
CORP
US
N
2
2022-06-09
Fixed
2.55000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AW7
6475000.00000000
PA
USD
6491750.83000000
0.118775612438
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
2.60000000
N
N
N
N
N
N
UBS GROUP AG
506700Q800G1L95S7805
UBS Group AG
90352JAB9
7020000.00000000
PA
USD
7106858.46000000
0.130029862236
Long
DBT
CORP
CH
N
2
2023-05-23
Floating
3.12950000
N
N
N
N
N
N
SLM Student Loan Trust
549300MTK92VF84VT259
SLM Student Loan Trust 2008-9
78445JAA5
1529637.92000000
PA
USD
1537278.16000000
0.028126642522
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
3.43963000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DHB8
160.80000000
PA
USD
163.63000000
0.000002993838
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KZF4
8708.00000000
PA
USD
8940.94000000
0.000163586935
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
5.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2016-1
59980TAA4
1064608.43000000
PA
USD
1065854.13000000
0.019501284072
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CRK0
355.97000000
PA
USD
361.25000000
0.000006609571
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
6.00000000
N
N
N
N
N
N
Verizon Owner Trust
5493002I20BBOB4UPY82
Verizon Owner Trust 2017-3
92348RAD0
7520000.00000000
PA
USD
7538080.34000000
0.137919666425
Long
ABS-O
CORP
US
N
2
2022-04-20
Fixed
2.53000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300Z3WHVYABE20I45
Magnetite XVI Ltd
55953RAL5
15995000.00000000
PA
USD
15955794.02000000
0.291933448509
Long
ABS-CBDO
CORP
KY
N
2
2028-01-18
Floating
2.80325000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AUU4
27482.75000000
PA
USD
30911.79000000
0.000565574201
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
BAXALTA INC
5493000JW8DCO3T45R55
Baxalta Inc
07177MAL7
2150000.00000000
PA
USD
2193765.40000000
0.040137989851
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
3.60000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AA9
970673.00000000
PA
USD
974796.13000000
0.017835251286
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.42000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY44
163123.05000000
PA
USD
167109.44000000
0.003057499679
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UUM2
6079104.83000000
PA
USD
6438530.32000000
0.117801869170
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
5.00000000
N
N
N
N
N
N
AXIATA SPV2 BHD
254900P49KQFQ10AF282
Axiata SPV2 Bhd
000000000
5710000.00000000
PA
USD
5762132.30000000
0.105426226422
Long
DBT
CORP
MY
N
2
2020-11-19
Fixed
3.46600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QTS0
95934.89000000
PA
USD
110186.32000000
0.002016012010
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
MISSISSIPPI POWER CO
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417CA0
3855000.00000000
PA
USD
3835751.99000000
0.070180418765
Long
DBT
CORP
US
N
2
2020-03-27
Floating
2.74963000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AA4
4195000.00000000
PA
USD
4233854.09000000
0.077464250505
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
3.00000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AD7
16517000.00000000
PA
USD
16539149.30000000
0.302606744891
Long
DBT
CORP
GB
N
2
2020-07-21
Fixed
2.95000000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2P3
5130000.00000000
PA
USD
5131051.65000000
0.093879728002
Long
DBT
CORP
US
N
2
2021-09-07
Floating
2.38213000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AE5
9055000.00000000
PA
USD
9285929.67000000
0.169899001439
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
3.75000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QMS4
32270000.00000000
PA
USD
32236116.50000000
0.589804596661
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
2.34200000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AB8
7630656.66000000
PA
USD
7705971.24000000
0.140991464002
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.25000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAE1
5020000.00000000
PA
USD
5052298.68000000
0.092438832859
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
2.55000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DC1
5494000.00000000
PA
USD
5579294.35000000
0.102080951772
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.35000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467P8
4260000.00000000
PA
USD
4355142.84000000
0.079683396917
Long
DBT
CORP
US
N
2
2020-07-24
Fixed
5.50000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAD4
1631000.00000000
PA
USD
1710780.37000000
0.031301106822
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
4.12500000
N
N
N
N
N
N
MVW Owner Trust
549300T62Z5TRF7JHO83
MVW Owner Trust 2013-1
553893AA6
337733.99000000
PA
USD
337566.10000000
0.006176241404
Long
ABS-O
CORP
US
N
2
2030-04-22
Fixed
2.15000000
N
N
N
N
N
N
US BANK NA CINCINNATI
6BYL5QZYBDK8S7L73M02
US Bank NA/Cincinnati OH
90331HNQ2
12770000.00000000
PA
USD
12787277.81000000
0.233961036563
Long
DBT
CORP
US
N
2
2021-04-26
Floating
2.25563000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DEU2
7516610.31000000
PA
USD
7801642.05000000
0.142741894564
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EH36
217055.27000000
PA
USD
240031.71000000
0.004391714054
Long
ABS-MBS
USGA
US
N
2
2036-05-20
Fixed
5.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2018-CH2
81747EAC1
10448073.60000000
PA
USD
10652157.91000000
0.194896047719
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
4.00000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2019-1
24380RAA8
7786451.84000000
PA
USD
7830459.31000000
0.143269146425
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.74300000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31336SLR7
2741.13000000
PA
USD
2873.10000000
0.000052567361
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
5.08600000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDH4
1960000.00000000
PA
USD
2002154.31000000
0.036632198399
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
3.70000000
N
N
N
N
N
N
UNITED TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017CZ0
6425000.00000000
PA
USD
6424987.15000000
0.117554078034
Long
DBT
CORP
US
N
2
2021-08-16
Floating
2.55413000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128L4Q49
11357.32000000
PA
USD
12522.03000000
0.000229107958
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIAL
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AS5
4725000.00000000
PA
USD
4725297.68000000
0.086455894656
Long
DBT
CORP
US
N
2
2019-12-20
Floating
2.65588000
N
N
N
N
N
N
ALLERGAN FINANCE LLC
2549006TBOV0H6GV7T12
Allergan Finance LLC
942683AF0
1335000.00000000
PA
USD
1360895.00000000
0.024899467234
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.25000000
N
N
N
N
N
N
ARI Fleet Lease Trust
N/A
ARI Fleet Lease Trust 2017-A
00192MAB5
438854.37000000
PA
USD
438371.67000000
0.008020619543
Long
ABS-O
CORP
US
N
2
2026-04-15
Fixed
1.91000000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
28414HAF0
8535000.00000000
PA
USD
8743697.82000000
0.159978115417
Long
DBT
CORP
US
N
2
2021-08-27
Fixed
3.91200000
N
N
N
N
N
N
Allegro CLO Ltd
635400S7RJPO6JO1U247
Allegro CLO III Ltd
01749PAQ1
5177859.62000000
PA
USD
5162633.14000000
0.094457555296
Long
ABS-CBDO
CORP
KY
N
2
2027-07-25
Floating
2.77963000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DN1
8125000.00000000
PA
USD
8357253.13000000
0.152907572211
Long
DBT
CORP
US
N
2
2021-11-05
Fixed
3.75000000
N
N
N
N
N
N
TELEFONICA EMISIONES SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAM5
6840000.00000000
PA
USD
6925842.00000000
0.126717914279
Long
DBT
CORP
ES
N
2
2020-04-27
Fixed
5.13400000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAF8
1975000.00000000
PA
USD
2003226.70000000
0.036651819266
Long
DBT
CORP
US
N
2
2021-08-09
Fixed
3.20000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29372EBV9
381916.27000000
PA
USD
381954.81000000
0.006988394605
Long
ABS-O
CORP
US
N
2
2022-07-20
Fixed
2.13000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BM9
1375000.00000000
PA
USD
1451276.75000000
0.026553127085
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QD71
2882985.64000000
PA
USD
3033912.88000000
0.055509656769
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XNS9
918620.23000000
PA
USD
918519.55000000
0.016805592966
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.25800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MZ47
1391688.11000000
PA
USD
1566613.02000000
0.028663364595
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-6741.17000000
-0.00012333908
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-38295.73
USD
2660000
USD
31554.56
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KA46
168205.35000000
PA
USD
172620.40000000
0.003158330358
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USU7
336302.72000000
PA
USD
349498.24000000
0.006394556505
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAT2
8295000.00000000
PA
USD
8332684.19000000
0.152458049275
Long
DBT
CORP
US
N
2
2021-03-02
Floating
2.84688000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAA1
5520000.00000000
PA
USD
5616390.24000000
0.102759672685
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
3.50000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
5010000.00000000
PA
USD
5070520.80000000
0.092772231894
Long
ABS-O
CORP
US
N
2
2049-06-07
Fixed
4.19400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LQV7
1871169.61000000
PA
USD
2149547.52000000
0.039328962222
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERYP9
8602992.47000000
PA
USD
9019045.92000000
0.165015991957
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.00000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAH1
7095000.00000000
PA
USD
7491603.41000000
0.137069306334
Long
DBT
CORP
NL
N
2
2023-09-14
Fixed
4.25000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AX2
11275000.00000000
PA
USD
11354680.43000000
0.207749674537
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
3.57900000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFZ7
5545000.00000000
PA
USD
5603283.50000000
0.102519866643
Long
DBT
CORP
US
N
2
2022-10-21
Fixed
2.50300000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-4 Mortgage Loan Trust
19688AAA4
4172167.08000000
PA
USD
4198382.47000000
0.076815247871
Long
ABS-MBS
CORP
US
N
2
2048-12-28
Variable
4.00600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VKM5
153495.98000000
PA
USD
174002.24000000
0.003183613044
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2015-2 Receivables Funding LLC
82652HAA9
1385747.58000000
PA
USD
1384965.60000000
0.025339872347
Long
ABS-O
CORP
US
N
2
2032-06-20
Fixed
2.43000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2017-1
13975WAF0
1865000.00000000
PA
USD
1881007.11000000
0.034415641841
Long
ABS-O
CORP
US
N
2
2022-09-20
Fixed
2.70000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-4
89171UAU3
3045755.90000000
PA
USD
3049103.49000000
0.055787590111
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
2.75000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BC1
16621000.00000000
PA
USD
16734022.80000000
0.306172226672
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
2.87500000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CU9
5637000.00000000
PA
USD
6032243.89000000
0.110368293727
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
4.87500000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2017-3
38013BAG5
2390000.00000000
PA
USD
2393557.99000000
0.043793473226
Long
ABS-O
CORP
US
N
2
2021-09-20
Fixed
2.73000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UZU9
2510601.72000000
PA
USD
2609110.25000000
0.047737301689
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
4.00000000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568BA7
940000.00000000
PA
USD
988884.70000000
0.018093021274
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.35000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JC6
1020000.00000000
PA
USD
1045129.74000000
0.019122102526
Long
DBT
CORP
US
N
2
2022-11-09
Fixed
2.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285F3
42535000.00000000
PA
USD
43478745.31000000
0.795504130931
Long
DBT
UST
US
N
2
2021-10-15
Fixed
2.87500000
N
N
N
N
N
N
FIDELITY NATIONAL INFORM
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAP1
1983000.00000000
PA
USD
2007269.94000000
0.036725795967
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
3.62500000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
000000000
7750000.00000000
PA
USD
8067750.00000000
0.147610709705
Long
DBT
CORP
MX
N
2
2022-11-09
Fixed
4.12500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
18850000.00000000
PA
USD
19759851.80000000
0.361533977611
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46400000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare Conduit Receivables Funding LLC
82652KAA2
705058.03000000
PA
USD
711272.55000000
0.013013720789
Long
ABS-O
CORP
US
N
2
2034-03-20
Fixed
2.91000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBS1
9820000.00000000
PA
USD
10114825.86000000
0.185064810355
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.50000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
6200000.00000000
PA
USD
6592336.00000000
0.120615958052
Long
DBT
CORP
IE
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAA5
1430720.08000000
PA
USD
1430720.08000000
0.026177014210
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
2.61000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZK7
16945000.00000000
PA
USD
16978669.72000000
0.310648382414
Long
DBT
CORP
US
N
2
2020-03-13
Fixed
2.87500000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UCT4
6115000.00000000
PA
USD
6129547.59000000
0.112148600283
Long
DBT
CORP
US
N
2
2020-07-01
Variable
2.57900000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAR2
10295000.00000000
PA
USD
10629587.50000000
0.194483090670
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
AON PLC
VVT2B79I2Z4U3R6BY589
Aon PLC
00185AAJ3
13495000.00000000
PA
USD
13615834.23000000
0.249120628914
Long
DBT
CORP
GB
N
2
2021-03-15
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9UC5
972048.11000000
PA
USD
1011455.51000000
0.018505985642
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAE7
15000000.00000000
PA
USD
14995605.00000000
0.274365454620
Long
DBT
CORP
SE
N
2
2020-03-04
Fixed
2.20000000
N
N
N
N
N
N
PACCAR FINANCIAL CORP
PH3S12DWZBHHQKVYZ297
PACCAR Financial Corp
69371RP26
10660000.00000000
PA
USD
10835602.18000000
0.198252415838
Long
DBT
CORP
US
N
2
2021-05-10
Fixed
3.10000000
N
N
N
N
N
N
SHENHUA OVERSEAS CAPITAL
N/A
China Shenhua Overseas Capital Co Ltd
000000000
21255000.00000000
PA
USD
21269728.23000000
0.389159267364
Long
DBT
CORP
HK
N
2
2020-01-20
Fixed
3.12500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBH2
6195000.00000000
PA
USD
6210053.85000000
0.113621574306
Long
DBT
CORP
US
N
2
2022-09-09
Floating
3.20213000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113ABB5
10674593.41000000
PA
USD
10648988.26000000
0.194838054563
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
2.60800000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJQE9
78316.30000000
PA
USD
83025.60000000
0.001519068853
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.91400000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300XC4C7GRVLU6076
SMB Private Education Loan Trust 2014-A
784456AD7
12170000.00000000
PA
USD
12277346.70000000
0.224631137515
Long
ABS-O
CORP
US
N
2
2032-04-15
Floating
3.26538000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300INMCHM7L5O6M41
SMB Private Education Loan Trust 2018-B
78449LAC2
16135000.00000000
PA
USD
16060262.68000000
0.293844847975
Long
ABS-O
CORP
US
N
2
2037-01-15
Floating
2.48538000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJPK6
53520.34000000
PA
USD
56255.97000000
0.001029281231
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
4.60800000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAA0
5665000.00000000
PA
USD
5681519.14000000
0.103951296515
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.65000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAE0
7905000.00000000
PA
USD
8065511.03000000
0.147569744634
Long
DBT
CORP
US
N
2
2021-05-25
Fixed
3.55100000
N
N
N
N
N
N
Synchrony Credit Card Master N
549300G1V1M796QIYC04
Synchrony Credit Card Master Note Trust
87165LCB5
12480685.00000000
PA
USD
12571674.19000000
0.230016268398
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
3.36000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BE7
9440000.00000000
PA
USD
9539522.14000000
0.174538828463
Long
DBT
CORP
US
N
2
2021-02-19
Fixed
2.87500000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-3
43800KAC1
3040000.00000000
PA
USD
3040000.00000000
0.055621029097
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.03100000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHJ1
6690000.00000000
PA
USD
6725075.67000000
0.123044614976
Long
DBT
CORP
US
N
2
2022-06-25
Floating
2.75625000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BH0
4988000.00000000
PA
USD
5192239.45000000
0.094999243925
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAF2
2750000.00000000
PA
USD
2813448.00000000
0.051475945090
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.55000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300FECQ7XLTBL1027
Sequoia Mortgage Trust 2018-CH3
81746WAU2
2452915.68000000
PA
USD
2528199.59000000
0.046256928605
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410X7M2
16118.06000000
PA
USD
16359.26000000
0.000299315419
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJ21
5347322.86000000
PA
USD
5349035.61000000
0.097868047799
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.38800000
N
N
N
N
N
N
HPHT FINANCE 15 LTD
549300H7C3XO293UKF63
HPHT Finance 15 Ltd
40433QAB1
5000000.00000000
PA
USD
5006520.00000000
0.091601248223
Long
DBT
CORP
KY
N
2
2020-03-17
Fixed
2.87500000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2019-3 LLC
29374WAB2
3135000.00000000
PA
USD
3136150.23000000
0.057380231315
Long
ABS-O
CORP
US
N
2
2025-05-20
Fixed
2.06000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QTFG4
43790.53000000
PA
USD
45851.93000000
0.000838924846
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Floating
4.46000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AH1
6676000.00000000
PA
USD
6719241.45000000
0.122937869804
Long
DBT
CORP
CN
N
2
2022-07-06
Fixed
2.87500000
N
N
N
N
N
N
CENTERPOINT ENERGY RESOU
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp
15189WAG5
460000.00000000
PA
USD
468623.16000000
0.008574112637
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391A3V9
10635.66000000
PA
USD
10952.31000000
0.000200387747
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Floating
3.97600000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BD0
7910000.00000000
PA
USD
7903917.21000000
0.144613160896
Long
DBT
CORP
US
N
2
2021-01-15
Floating
2.50088000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2017-2
02007HAF8
1225000.00000000
PA
USD
1228580.80000000
0.022478594876
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
2.46000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400BYV2
5217.94000000
PA
USD
5366.49000000
0.000098187400
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
4.80600000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAG2
9758000.00000000
PA
USD
9808614.75000000
0.179462252112
Long
DBT
CORP
SE
N
2
2021-03-10
Fixed
2.65000000
N
N
N
N
N
N
SLM Student Loan Trust
549300WLW67V4O2Z6P70
SLM Student Loan Trust 2010-1
78445XAA4
7795136.89000000
PA
USD
7532280.20000000
0.137813544795
Long
ABS-O
CORP
US
N
2
2025-03-25
Floating
2.10800000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBA0
4210000.00000000
PA
USD
4320824.04000000
0.079055486728
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.49000000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2017-A LLC
28416DAA8
1730975.28000000
PA
USD
1745580.56000000
0.031937824710
Long
ABS-O
CORP
US
N
2
2030-03-25
Fixed
2.69000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AJ2
6030000.00000000
PA
USD
6103626.30000000
0.111674334222
Long
DBT
CORP
NL
N
2
2022-03-29
Floating
3.25438000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148YAB4
5200000.00000000
PA
USD
5228314.00000000
0.095659278002
Long
DBT
CORP
US
N
2
2022-10-31
Floating
2.70713000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAB9
1410000.00000000
PA
USD
1465575.15000000
0.026814736205
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.87500000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851BR4
7500000.00000000
PA
USD
7502692.50000000
0.137272196663
Long
DBT
CORP
US
N
2
2020-03-02
Fixed
2.25000000
N
N
N
N
N
N
EXPEDIA INC
N/A
Expedia Group Inc
30212PAH8
2800000.00000000
PA
USD
2873684.80000000
0.052578061144
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
5.95000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAW8
5050000.00000000
PA
USD
5222826.15000000
0.095558870152
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
3.87500000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-1
43789EAA4
9199139.57000000
PA
USD
9293909.11000000
0.170044996395
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.45400000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AG4
3505000.00000000
PA
USD
3569565.61000000
0.065310168638
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securit
N/A
Freddie Mac Whole Loan Securities Trust 2017-SC02
3137G1BY2
1237339.60000000
PA
USD
1242923.22000000
0.022741009403
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Variable
3.83085900
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M76Q4
47255.25000000
PA
USD
53124.35000000
0.000971983887
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2019-2
31573TAA6
4845000.00000000
PA
USD
4845000.00000000
0.088646015124
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.73900000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AX0
1980000.00000000
PA
USD
1990147.50000000
0.036412517107
Long
DBT
CORP
US
N
2
2020-11-28
Fixed
2.65000000
N
N
N
N
N
N
OCP CLO Ltd
254900FZYL5HDKV64882
OCP CLO 2015-10 Ltd
67092DAL3
11020000.00000000
PA
USD
10993667.38000000
0.201144438564
Long
ABS-CBDO
CORP
KY
N
2
2027-10-26
Floating
2.75563000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAG6
6909000.00000000
PA
USD
6942743.56000000
0.127027151832
Long
DBT
CORP
US
N
2
2020-06-04
Fixed
3.10000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAE2
2800000.00000000
PA
USD
2900895.20000000
0.053075913266
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RAW2
7164000.00000000
PA
USD
7192670.33000000
0.131599909775
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
5.75000000
N
N
N
N
N
N
Verizon Owner Trust
54930074536XOX02QB08
Verizon Owner Trust 2018-1
92349FAD5
10190000.00000000
PA
USD
10335348.12000000
0.189099571881
Long
ABS-O
CORP
US
N
2
2022-09-20
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PERY6
17593.03000000
PA
USD
17846.38000000
0.000326524349
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AT6
4570000.00000000
PA
USD
4642461.92000000
0.084940299190
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
2.87500000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2018-2 LLC
29373FAB0
5861263.28000000
PA
USD
5908443.52000000
0.108103193733
Long
ABS-O
CORP
US
N
2
2024-02-20
Fixed
3.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DT95
78745.80000000
PA
USD
82101.89000000
0.001502168293
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
4.30300000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MMH71
197744.99000000
PA
USD
206390.60000000
0.003776203147
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.50000000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160AU3
6350000.00000000
PA
USD
6357245.35000000
0.116314647564
Long
DBT
CORP
US
N
2
2020-06-15
Floating
2.71850000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2018-A
12652VAE7
3105000.00000000
PA
USD
3188982.18000000
0.058346865337
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
3.47000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404A3G7
470642.90000000
PA
USD
483920.72000000
0.008854002779
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Floating
3.56900000
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAG9
10774000.00000000
PA
USD
11036874.83000000
0.201934978970
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
3.87500000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353REU8
6965000.00000000
PA
USD
6993577.40000000
0.127957227652
Long
DBT
CORP
US
N
2
2020-11-05
Fixed
2.45000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2017-1
13975WAE3
1235000.00000000
PA
USD
1239222.84000000
0.022673305803
Long
ABS-O
CORP
US
N
2
2022-05-20
Fixed
2.43000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAG6
5140000.00000000
PA
USD
5139809.82000000
0.094039970906
Long
DBT
CORP
US
N
2
2020-03-02
Fixed
2.25000000
N
N
N
N
N
N
Verizon Owner Trust
549300YK8J8QMYHMZC08
Verizon Owner Trust 2016-2
92348MAC3
5280000.00000000
PA
USD
5281284.10000000
0.096628439671
Long
ABS-O
CORP
US
N
2
2021-05-20
Fixed
2.36000000
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAE4
16171000.00000000
PA
USD
16488857.18000000
0.301686580592
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
4.37500000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAN1
2430000.00000000
PA
USD
2435649.75000000
0.044563600531
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
2.25000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAC1
1121493.27000000
PA
USD
1128257.11000000
0.020643033403
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.83000000
N
N
N
N
N
N
retl
N/A
RETL 2019-RVP
74952PAA5
6746593.56000000
PA
USD
6750781.17000000
0.123514932858
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
2.91538000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BD4
7970000.00000000
PA
USD
8028133.18000000
0.146885864870
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
2.70000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAU3
8275000.00000000
PA
USD
8296184.00000000
0.151790227521
Long
DBT
CORP
US
N
2
2021-05-14
Fixed
2.30000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
4667.83000000
0.000085404443
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
762.27
USD
0
USD
1620000
USD
3905.56
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-1
92537DAA8
8734704.93000000
PA
USD
8831502.93000000
0.161584632055
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
3.83600000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BQ1
9865000.00000000
PA
USD
9877785.04000000
0.180727818793
Long
DBT
CORP
GB
N
2
2021-05-18
Floating
2.50413000
N
N
N
N
N
N
FORD MOTOR CREDIT CO 4/2 144A CP 3.1500 20200727
N/A
FORD MOTOR CREDIT CO 4/2 144A CP 3.1500 20200727
000000000
5730000.00000000
PA
USD
5618604.96000000
0.102800194069
Long
DBT
CORP
US
N
2
2020-07-27
None
0.00000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAN0
7240000.00000000
PA
USD
7307914.02000000
0.133708453405
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.83600000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YT88
2360749.26000000
PA
USD
2344854.57000000
0.042902376404
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
2.02363000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26K3
1021547.35000000
PA
USD
1069277.71000000
0.019563923230
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
48125LRK0
2280000.00000000
PA
USD
2281819.44000000
0.041749061009
Long
DBT
CORP
US
N
2
2021-02-01
Floating
2.60400000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-1
36418WAQ2
3807943.67000000
PA
USD
3852348.10000000
0.070484067686
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AF69
432784.29000000
PA
USD
487062.03000000
0.008911477415
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAG3
5320000.00000000
PA
USD
5427996.00000000
0.099312737980
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
3.35000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874BW6
5200000.00000000
PA
USD
5428597.20000000
0.099323737770
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
6.40000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
34540RAC0
15610000.00000000
PA
USD
15622097.75000000
0.285828011027
Long
DBT
CORP
US
N
2
2020-09-24
Floating
3.06463000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAC3
915000.00000000
PA
USD
931533.14000000
0.017043694699
Long
DBT
CORP
IE
N
2
2023-09-23
Fixed
2.87500000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAE8
3185000.00000000
PA
USD
3189314.40000000
0.058352943764
Long
ABS-O
CORP
US
N
2
2023-06-19
Fixed
2.24000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776696AE6
11005000.00000000
PA
USD
11295223.86000000
0.206661833876
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.12500000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AG2
6995000.00000000
PA
USD
7102806.94000000
0.129955734041
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJWS3
1890437.92000000
PA
USD
1973884.55000000
0.036114963813
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
4.50000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AM4
4165000.00000000
PA
USD
4310366.83000000
0.078864157524
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.62500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BJ6
5120000.00000000
PA
USD
5218654.31000000
0.095482540535
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
2.75000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86960BAT9
9315000.00000000
PA
USD
9492497.33000000
0.173678444146
Long
DBT
CORP
SE
N
2
2021-05-24
Fixed
3.35000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAB4
12367000.00000000
PA
USD
12481097.94000000
0.228359049899
Long
DBT
CORP
NL
N
2
2022-05-25
Fixed
2.87500000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J6A0
8065000.00000000
PA
USD
8048490.95000000
0.147258338593
Long
DBT
CORP
US
N
2
2022-09-09
Floating
2.08200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285V8
103845000.00000000
PA
USD
105710964.84000000
1.934129161625
Long
DBT
UST
US
N
2
2022-01-15
Fixed
2.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2018-A
63940PAA3
2245750.78000000
PA
USD
2247663.94000000
0.041124138621
Long
ABS-O
CORP
US
N
2
2042-02-18
Fixed
2.53000000
N
N
N
N
N
N
DXC TECHNOLOGY CO
549300DOVZ3EDJB7O259
DXC Technology Co
23355LAE6
11138000.00000000
PA
USD
11138178.21000000
0.203788465235
Long
DBT
CORP
US
N
2
2021-03-01
Floating
2.85688000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAS0
7665000.00000000
PA
USD
8041673.43000000
0.147133602581
Long
DBT
CORP
DK
N
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4G6
3785860.80000000
PA
USD
3985896.11000000
0.072927514314
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
MVW Owner Trust
5493004KX4H48P1FVD32
MVW Owner Trust 2014-1
553891AA0
1396671.56000000
PA
USD
1395347.66000000
0.025529826578
Long
ABS-O
CORP
US
N
2
2031-09-22
Fixed
2.25000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
549300ZGMKIELA840327
Bayview Mortgage Fund IVc Trust 2017-RT3
07326TAA6
9619678.40000000
PA
USD
9786908.81000000
0.179065111743
Long
ABS-MBS
CORP
US
N
2
2058-01-28
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAA2
4019452.56000000
PA
USD
4021965.92000000
0.073587461666
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
2.45800000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
9638.21000000
0.000176344460
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
-20407.54
USD
3345000
USD
30045.75
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411HJ35
157654.29000000
PA
USD
165447.99000000
0.003027101140
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
4.74300000
N
N
N
N
N
N
Synchrony Credit Card Master N
549300G1V1M796QIYC04
Synchrony Credit Card Master Note Trust
87165LBG5
5075000.00000000
PA
USD
5077571.00000000
0.092901225111
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
2.64000000
N
N
N
N
N
N
CarMax Auto Owner Trust
5493003IB59OF448TR74
CarMax Auto Owner Trust 2017-4
14314RAF9
1685000.00000000
PA
USD
1694436.67000000
0.031002076094
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
2.70000000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAA1
13085000.00000000
PA
USD
13060307.30000000
0.238956490908
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.69538000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AK3
9311000.00000000
PA
USD
9294454.35000000
0.170054972319
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
2.12500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18
61763XAH9
3065000.00000000
PA
USD
3279456.52000000
0.060002219251
Long
ABS-MBS
CORP
US
N
2
2047-10-15
Variable
4.11000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AD3
5055000.00000000
PA
USD
5067617.28000000
0.092719107956
Long
DBT
CORP
GG
N
2
2020-03-26
Fixed
2.75000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAS9
13715000.00000000
PA
USD
13767267.87000000
0.251891318025
Long
DBT
CORP
NL
N
2
2021-08-27
Floating
2.48863000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAP4
1385000.00000000
PA
USD
1420616.66000000
0.025992158086
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412EX35
438.68000000
PA
USD
446.56000000
0.000008170436
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
6.00000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-2
13976CAD8
3020000.00000000
PA
USD
3058501.68000000
0.055959543072
Long
ABS-O
CORP
US
N
2
2023-10-20
Fixed
3.48000000
N
N
N
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05970FAA9
13710000.00000000
PA
USD
13715895.30000000
0.250951385390
Long
DBT
CORP
CL
N
2
2020-12-15
Fixed
2.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephave Residential Mortgage Trust 2019-2
24381PAD5
3170000.00000000
PA
USD
3225885.20000000
0.059022057426
Long
ABS-MBS
CORP
US
N
2
2059-04-25
Variable
3.92100000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29373EAB3
4645135.18000000
PA
USD
4644072.37000000
0.084969764613
Long
ABS-O
CORP
US
N
2
2023-05-22
Fixed
2.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LAR3
111938.48000000
PA
USD
117813.93000000
0.002155569746
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397VU4
2060000.00000000
PA
USD
2155954.80000000
0.039446192323
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
5.87500000
N
N
N
N
N
N
2020-01-23
T. ROWE PRICE SHORT-TERM BOND FUND, INC.
Catherine D. Mathews
Catherine D. Mathews
Treasurer & Vice President