0001752724-21-155758.txt : 20210726
0001752724-21-155758.hdr.sgml : 20210726
20210726164201
ACCESSION NUMBER: 0001752724-21-155758
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210528
FILED AS OF DATE: 20210726
PERIOD START: 20210531
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: 211114641
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
C000225824
T. Rowe Price Short-Term Bond Fund-Z Class
TRZOX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000731890
XXXXXXXX
S000002141
C000225824
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
2021-05-31
2021-05-28
N
6147335509.70
69509183.82
6077826325.88
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
25855000.00000000
21486264.97000000
0.00000000
11963.60000000
USD
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QP7
755668.22000000
PA
USD
756458.20000000
0.012446196377
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
0.84163000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAA1
17347000.00000000
PA
USD
19266358.82000000
0.316994230946
Long
DBT
CORP
FR
N
2
2023-10-22
Fixed
5.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JRBQ8
7719.45000000
PA
USD
7829.08000000
0.000128813815
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Floating
2.36200000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-5
89171VAK3
289122.33000000
PA
USD
289365.28000000
0.004760999483
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Variable
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGXV1
756.54000000
PA
USD
764.96000000
0.000012586078
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R2
92538DAA7
6858373.14000000
PA
USD
6878275.45000000
0.113169990078
Long
ABS-MBS
CORP
US
N
2
2064-02-25
Variable
0.91800000
N
N
N
N
N
N
Cayuga Park CLO, Ltd.
549300SVH2QJEV4A2G21
Cayuga Park CLO Ltd
149791AA3
8290000.00000000
PA
USD
8298623.84000000
0.136539338162
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
1.78975000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAA6
614132.05000000
PA
USD
614132.05000000
0.010104468556
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
0.84163000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2P3
5130000.00000000
PA
USD
5133396.06000000
0.084461052105
Long
DBT
CORP
US
N
2
2021-09-07
Floating
0.45550000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408BQC5
22157.67000000
PA
USD
22331.07000000
0.000367418692
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
2.30700000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-F
63941XAA5
5615736.80000000
PA
USD
5663510.43000000
0.093183156713
Long
ABS-O
CORP
US
N
2
2069-07-15
Fixed
1.22000000
N
N
N
N
N
N
World OMNI Select Auto Trust
N/A
World Omni Select Auto Trust 2020-A
98163DAE8
4085000.00000000
PA
USD
4098355.50000000
0.067431270330
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
0.84000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2021-J1 Trust
67113XAD2
9954317.42000000
PA
USD
10207455.71000000
0.167945827384
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.50000000
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
12857952.39000000
0.211555113630
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
1.45100000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
2460000.00000000
PA
USD
2610962.82000000
0.042958825738
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.62500000
N
N
N
N
N
N
FLAGSTAR MORTGAGE TRUST
N/A
FLAGSTAR MORTGAGE TRUST 2020-1NV
33851YAL0
3258424.92000000
PA
USD
3258310.22000000
0.053609794773
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
0.94163000
N
N
N
N
N
N
Bank
N/A
Bank 2019-BNK19
06540WBA0
2757911.03000000
PA
USD
2827615.30000000
0.046523463297
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
2.26300000
N
N
N
N
N
N
AMERISOURCEBERGEN CORP
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073EAS4
15815000.00000000
PA
USD
15841996.21000000
0.260652334577
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.73700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
313617NN8
2043.28000000
PA
USD
2053.22000000
0.000033782143
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Floating
2.29700000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36264YAE0
5705000.00000000
PA
USD
5706700.09000000
0.093893767015
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Floating
1.75000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAG3
3895000.00000000
PA
USD
3803569.16000000
0.062581076787
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.63268900
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
15510000.00000000
PA
USD
17639491.98000000
0.290226983039
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MLYN1
309337.00000000
PA
USD
337369.91000000
0.005550831693
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891AAH0
5395000.00000000
PA
USD
5398652.42000000
0.088825381485
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
2.45000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust LLC 2020-5
03464WAB8
3406212.47000000
PA
USD
3425361.17000000
0.056358325926
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.57900000
N
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
Diageo Capital PLC
25243YBC2
4560000.00000000
PA
USD
4649490.00000000
0.076499224405
Long
DBT
CORP
GB
N
2
2025-09-29
Fixed
1.37500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAB9
7020000.00000000
PA
USD
7088908.32000000
0.116635585485
Long
DBT
CORP
CH
N
2
2023-05-23
Floating
1.37013000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA/Cleveland OH
49327M2T0
2740000.00000000
PA
USD
2811867.46000000
0.046264360138
Long
DBT
CORP
US
N
2
2022-09-14
Fixed
2.30000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AA9
526807.29000000
PA
USD
538951.04000000
0.008867496553
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.42000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-1
03063FAF1
3945000.00000000
PA
USD
3947331.10000000
0.064946428021
Long
ABS-O
CORP
US
N
2
2026-12-18
Fixed
1.21000000
N
N
N
N
N
N
Symphony CLO Ltd
549300X84MR2MGY6OR68
Symphony CLO XVII Ltd
87165UAN1
7049038.16000000
PA
USD
7049278.11000000
0.115983539707
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
1.06375000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAX8
12198000.00000000
PA
USD
12689115.88000000
0.208777204211
Long
DBT
CORP
US
N
2
2023-04-15
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
2673922.46000000
PA
USD
2611360.70000000
0.042965372157
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AS6
5520000.00000000
PA
USD
5529648.96000000
0.090980700393
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.75000000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
Stryker Corp
863667BB6
2875000.00000000
PA
USD
2875353.63000000
0.047308914006
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.60000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBM7
3600000.00000000
PA
USD
3602246.40000000
0.059268662953
Long
DBT
CORP
US
N
2
2021-07-06
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QJUV6
38924.12000000
PA
USD
41180.41000000
0.000677551607
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
2.10800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M76Q4
32278.61000000
PA
USD
37564.41000000
0.000618056653
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493003EWUCLH0O45S72
Sequoia Mortgage Trust 2018-CH4
81747LAU5
682346.89000000
PA
USD
692705.46000000
0.011397256566
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UC69
52451.38000000
PA
USD
55358.59000000
0.000910828757
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ82
109451.00000000
PA
USD
124851.11000000
0.002054206607
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GGR8
110174.22000000
PA
USD
130864.40000000
0.002153144775
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335CHF4
1007256.37000000
PA
USD
1167256.17000000
0.019205158347
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
7.00000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAP5
2480000.00000000
PA
USD
2494343.65000000
0.041040061302
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.88400000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-6
03465AAA7
4690272.75000000
PA
USD
4707329.40000000
0.077450870551
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.26100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G1SL3
445304.32000000
PA
USD
481290.03000000
0.007918785503
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404NBE5
1626.53000000
PA
USD
1622.45000000
0.000026694576
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.12500000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-2
03465DAA1
9307330.32000000
PA
USD
9309753.02000000
0.153175700009
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
0.98500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS OMNICOM GROUP INC
000000000
1.00000000
NC
USD
-176403.01000000
-0.00290240294
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
OMNICOM GP/OMNICOM CAP
Omnicom Group Inc / Omnicom Capital Inc
Y
Default Event
2024-12-20
0.00000000
USD
-157176.45000000
USD
-6875000.00000000
USD
-19226.56000000
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AC1
2705380.23000000
PA
USD
2804376.31000000
0.046141106369
Long
ABS-O
CORP
US
N
2
2037-07-20
Fixed
3.51000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0GW3
3366137.10000000
PA
USD
3486377.87000000
0.057362248986
Long
ABS-MBS
CORP
US
N
2
2028-04-25
Floating
4.79163000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AY6
23923000.00000000
PA
USD
24630474.88000000
0.405251377044
Long
DBT
CORP
US
N
2
2022-09-25
Fixed
3.00000000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187BD0
2025000.00000000
PA
USD
2181732.98000000
0.035896599590
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QHU8
2312561.16000000
PA
USD
2497182.56000000
0.041086770600
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBB7
10934000.00000000
PA
USD
11218513.61000000
0.184581016443
Long
DBT
CORP
US
N
2
2023-01-31
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MHSU1
76809.11000000
PA
USD
82748.94000000
0.001361489051
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAE9
16719000.00000000
PA
USD
17011582.50000000
0.279895830974
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297EJ72
16738.71000000
PA
USD
19428.29000000
0.000319658525
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Nissan Master Owner Trust Rece
N/A
Nissan Master Owner Trust Receivables
65474VAQ4
3805000.00000000
PA
USD
3819717.36000000
0.062846767169
Long
ABS-O
CORP
US
N
2
2024-02-15
Floating
0.66088000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAW1
10885000.00000000
PA
USD
10965734.05000000
0.180421970981
Long
DBT
CORP
DK
N
2
2024-06-22
Fixed
1.22600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BYZ5
1367.67000000
PA
USD
1371.14000000
0.000022559710
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
549300NMFC2YLCA2NF13
COMM 2013-300P Mortgage Trust
12625XAA5
4134000.00000000
PA
USD
4396996.40000000
0.072344883914
Long
ABS-MBS
CORP
US
N
2
2030-08-10
Fixed
4.35300000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AB0
13190000.00000000
PA
USD
13420825.00000000
0.220816197772
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
4.00000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740AZ2
1685000.00000000
PA
USD
1717503.65000000
0.028258518060
Long
DBT
CORP
US
N
2
2022-07-13
Fixed
2.65000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAD5
8135000.00000000
PA
USD
8900235.05000000
0.146437798199
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KH3Q7
1687248.25000000
PA
USD
1830746.40000000
0.030121729411
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CB4
520000.00000000
PA
USD
522311.92000000
0.008593728941
Long
DBT
CORP
GB
N
2
2025-03-23
Fixed
1.21400000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAA0
720541.38000000
PA
USD
720541.38000000
0.011855247935
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
0.84163000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXDC1
130790.62000000
PA
USD
155315.64000000
0.002555447156
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
6.00000000
N
N
N
N
N
N
ONE Park Mortgage Trust
N/A
ONE 2021-PARK Mortgage Trust
682413AE9
6005000.00000000
PA
USD
5999585.89000000
0.098712690496
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
1.20100000
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
4765000.00000000
PA
USD
4977071.09000000
0.081888998190
Long
DBT
CORP
KY
N
2
2025-05-12
Fixed
2.62500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
5935000.00000000
PA
USD
6178109.47000000
0.101649983707
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
PSMC Trust
N/A
PSMC 2021-1 Trust
693650AL7
14904643.95000000
PA
USD
15283669.05000000
0.251466037864
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.50000000
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
3967294.46000000
0.065274890187
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
1.70100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MRJ47
142079.92000000
PA
USD
154938.48000000
0.002549241648
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
9955000.00000000
PA
USD
11434313.00000000
0.188131617899
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
ONSLOW BAY FINANCIAL LLC
N/A
OBX 2020-EXP1 TRUST
67448TBF1
1297964.12000000
PA
USD
1292866.24000000
0.021271852314
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Floating
1.04163000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AUU4
19618.14000000
PA
USD
22721.62000000
0.000373844509
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM3
64829PAC3
2835549.18000000
PA
USD
2841911.59000000
0.046758683740
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
3.08636000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468W2
6450000.00000000
PA
USD
6448000.50000000
0.106090568474
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.52900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400BYV2
2904.55000000
PA
USD
2897.95000000
0.000047680697
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
2.05100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QWA5
1618157.10000000
PA
USD
1874981.45000000
0.030849539777
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
1350000.00000000
PA
USD
1502643.15000000
0.024723364397
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BR3
19867000.00000000
PA
USD
20599635.36000000
0.338930964056
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
2.49700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BXJ2
1746.60000000
PA
USD
1804.66000000
0.000029692523
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-3
43800KAA5
1712144.93000000
PA
USD
1731346.46000000
0.028486277283
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.67500000
N
N
N
N
N
N
BAKER HUGHES LLC/CO-OBL
N/A
Baker Hughes a GE Co LLC / Baker Hughes Co-Obligor Inc
05723KAD2
2361000.00000000
PA
USD
2446860.13000000
0.040258803045
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.77300000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-2
92538FAA2
5473009.11000000
PA
USD
5477439.51000000
0.090121685226
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.03100000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAN1
52520000.00000000
PA
USD
52536412.50000000
0.864394763573
Long
DBT
UST
US
N
2
2022-09-30
Fixed
0.12500000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAC1
3280000.00000000
PA
USD
3392431.84000000
0.055816531406
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417LBU8
437834.49000000
PA
USD
459061.39000000
0.007553052117
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFT1
818475.65000000
PA
USD
938298.54000000
0.015438061071
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MX6
7545000.00000000
PA
USD
7592888.12000000
0.124927691462
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.98100000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
13178000.00000000
PA
USD
14228286.60000000
0.234101565874
Long
DBT
CORP
US
N
2
2023-04-15
Variable
5.62500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGG3
9810000.00000000
PA
USD
9895847.31000000
0.162818856272
Long
DBT
CORP
US
N
2
2026-03-20
Fixed
1.45000000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AR0
4340000.00000000
PA
USD
4738854.68000000
0.077969563885
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BLD8
907864.84000000
PA
USD
1052376.60000000
0.017315015987
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CJ6
12655000.00000000
PA
USD
12823779.74000000
0.210992862454
Long
DBT
CORP
GB
N
2
2026-04-18
Fixed
1.64500000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAG4
15348000.00000000
PA
USD
15674145.00000000
0.257890636546
Long
DBT
CORP
CA
N
2
2022-08-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MMH71
76631.40000000
PA
USD
79180.32000000
0.001302773652
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.50000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AC5
471749.04000000
PA
USD
479324.39000000
0.007886444335
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.99000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM5
64830PAA4
3303389.68000000
PA
USD
3358233.55000000
0.055253858368
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.70986000
N
N
N
N
N
N
WPP FINANCE 2010
549300OJB3S151W7KN44
WPP Finance 2010
92936MAC1
2255000.00000000
PA
USD
2343003.63000000
0.038550026018
Long
DBT
CORP
GB
N
2
2022-09-07
Fixed
3.62500000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDL5
7360000.00000000
PA
USD
7927492.80000000
0.130433026133
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
3.35000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust
39152TAA8
3785000.00000000
PA
USD
3789732.76000000
0.062353423029
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.13500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KA46
30912.69000000
PA
USD
31353.86000000
0.000515872917
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
7465000.00000000
PA
USD
8260082.22000000
0.135905203227
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAA0
5665000.00000000
PA
USD
5977668.35000000
0.098352075717
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.65000000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807DG9
3350000.00000000
PA
USD
3485015.05000000
0.057339826167
Long
DBT
CORP
US
N
2
2024-09-13
Fixed
2.00000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-C
80284NAD0
4415000.00000000
PA
USD
4468627.24000000
0.073523444080
Long
ABS-O
CORP
US
N
2
2023-02-21
Fixed
1.86000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAK7
2263000.00000000
PA
USD
2342630.44000000
0.038543885830
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.62500000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AJ2
6030000.00000000
PA
USD
6081092.19000000
0.100053734080
Long
DBT
CORP
NL
N
2
2022-03-29
Floating
1.34300000
N
N
N
N
N
N
Ford Credit Auto Owner Trust
N/A
Ford Credit Auto Owner Trust 2020-B
34533GAG4
7465000.00000000
PA
USD
7739552.25000000
0.127340793155
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
2.04000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4G6
1390222.15000000
PA
USD
1504796.60000000
0.024758795650
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust 2020-A
34531MAF5
4395000.00000000
PA
USD
4468187.74000000
0.073516212876
Long
ABS-O
CORP
US
N
2
2023-06-15
Fixed
2.05000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK24
06540VAY1
3098891.46000000
PA
USD
3158894.06000000
0.051974075773
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Fixed
2.05600000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
5780000.00000000
PA
USD
6107685.54000000
0.100491281134
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.12500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBT1
7345000.00000000
PA
USD
7738273.34000000
0.127319750928
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BZ1
2890000.00000000
PA
USD
3122093.01000000
0.051368578873
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
3.80300000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CX4
4988000.00000000
PA
USD
5177509.08000000
0.085186854681
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAE6
8520000.00000000
PA
USD
8530258.08000000
0.140350474373
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.53100000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739GCR8
4350000.00000000
PA
USD
4405123.20000000
0.072478596192
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMP4
487230.92000000
PA
USD
537329.46000000
0.008840816291
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
5.50000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAA5
2605000.00000000
PA
USD
2745797.65000000
0.045177296993
Long
DBT
CORP
GB
N
2
2024-03-08
Fixed
3.76600000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAM5
3305000.00000000
PA
USD
3334976.35000000
0.054871201827
Long
DBT
CORP
GB
N
2
2023-06-15
Fixed
1.32600000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-1
13976MAG9
15125000.00000000
PA
USD
15335890.90000000
0.252325257052
Long
ABS-O
CORP
US
N
2
2025-06-20
Fixed
3.70000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2016-1
59980TAA4
335722.17000000
PA
USD
337897.21000000
0.005559507493
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
5493007YBEOXQIHH3C54
Neuberger Berman Loan Advisers CLO 32 Ltd
64132DAJ7
14325000.00000000
PA
USD
14320762.95000000
0.235623102440
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
1.17975000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468T9
9675000.00000000
PA
USD
9687887.10000000
0.159397234809
Long
DBT
CORP
US
N
2
2023-11-10
Fixed
0.56000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JQ5
3715000.00000000
PA
USD
3771839.50000000
0.062059020738
Long
DBT
CORP
US
N
2
2022-01-27
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JRZ33
82119.63000000
PA
USD
82865.16000000
0.001363401248
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
2.34900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DVP6
25089.83000000
PA
USD
25242.84000000
0.000415326773
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
1.71500000
N
N
N
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
CDS GENERAL MILLS INC
000000000
1.00000000
NC
USD
-137260.39000000
-0.00225837960
N/A
DCR
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
GENERAL MILLS INC
General Mills Inc
Y
Default Event
2024-12-20
0.00000000
USD
-109372.53000000
USD
-4857000.00000000
USD
-27887.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGQ49
3223374.29000000
PA
USD
3746801.51000000
0.061647064412
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM3
64829PAA7
4392906.85000000
PA
USD
4418956.35000000
0.072706196476
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.80181000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AB7
187698.56000000
PA
USD
191608.45000000
0.003152581856
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.75000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516CB0
6450000.00000000
PA
USD
6601710.45000000
0.108619596810
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.35000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
10480000.00000000
PA
USD
11251003.12000000
0.185115574495
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ANJ2
374007.57000000
PA
USD
435452.06000000
0.007164601893
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.50000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BG8
8685000.00000000
PA
USD
8883174.33000000
0.146157093896
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
3.21800000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-4
80286WAF3
5975000.00000000
PA
USD
6020076.60000000
0.099049829284
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
1.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKE27
153495.52000000
PA
USD
161661.28000000
0.002659853561
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.50000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAZ8
8695000.00000000
PA
USD
9258983.79000000
0.152340381142
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.60000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
7425000.00000000
PA
USD
8091416.03000000
0.133130096125
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2017-1
13975WAF0
1612981.43000000
PA
USD
1617131.47000000
0.026607069424
Long
ABS-O
CORP
US
N
2
2022-09-20
Fixed
2.70000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust
36250BAE6
191241.63000000
PA
USD
192850.60000000
0.003173019261
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Variable
1.74366500
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAB4
6020000.00000000
PA
USD
6023317.02000000
0.099103144727
Long
DBT
CORP
GB
N
2
2024-08-12
Fixed
0.80000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBC0
4018373.88000000
PA
USD
4018366.25000000
0.066115187149
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
1.35975000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAM5
17363000.00000000
PA
USD
19229522.50000000
0.316388153740
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom Inc
655664AV2
1280000.00000000
PA
USD
1286400.00000000
0.021165461647
Long
DBT
CORP
US
N
2
2024-04-08
Fixed
2.30000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-E
63941MAB7
10602544.59000000
PA
USD
10856330.28000000
0.178621923330
Long
ABS-O
CORP
US
N
2
2068-05-15
Fixed
2.64000000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2T5
8635000.00000000
PA
USD
8805316.74000000
0.144876083452
Long
DBT
CORP
US
N
2
2022-02-26
Fixed
2.95000000
N
N
N
N
N
N
KKR Financial CLO Ltd
5493000WWM0GGYYSIJ83
KKR CLO 29 Ltd
48254GAA4
8250000.00000000
PA
USD
8249952.32000000
0.135738533443
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
1.34100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388RNM5
17016.36000000
PA
USD
17067.55000000
0.000280816678
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Floating
2.21500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH7F3
273372.36000000
PA
USD
323452.41000000
0.005321843577
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXX8
555540.14000000
PA
USD
603576.26000000
0.009930791497
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5.00000000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust 2019-A
44932NAF7
5280000.00000000
PA
USD
5487325.54000000
0.090284342555
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
2.94000000
N
N
N
N
N
N
SYDNEY AIRPORT FINANCE
549300MJAANHLHOVTO40
Sydney Airport Finance Co Pty Ltd
87124VAD1
9674000.00000000
PA
USD
10210307.21000000
0.167992743828
Long
DBT
CORP
AU
N
2
2023-03-22
Fixed
3.90000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFS8
11600000.00000000
PA
USD
11485531.20000000
0.188974323782
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
0.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128LU7A8
214446.76000000
PA
USD
228927.27000000
0.003766597755
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Floating
2.45700000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDU5
3950000.00000000
PA
USD
4148913.31000000
0.068263110650
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
2.33000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413AUH4
596.68000000
PA
USD
599.32000000
0.000009860762
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
6.00000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NAY1
8445000.00000000
PA
USD
8851668.98000000
0.145638728476
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
2.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-D
63941HAA0
5233026.30000000
PA
USD
5294177.88000000
0.087106435691
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LC3
13095000.00000000
PA
USD
13242554.46000000
0.217883067892
Long
DBT
CORP
US
N
2
2021-12-08
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PRZ8
194.08000000
PA
USD
194.48000000
0.000003199828
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
5.50000000
N
N
N
N
N
N
SLM Student Loan Trust
5493007HR3ICKG09D287
SLM Student Loan Trust 2008-1
784439AD3
11735104.73000000
PA
USD
11370523.19000000
0.187082068166
Long
ABS-O
CORP
US
N
2
2022-01-25
Floating
0.82575000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EGC7
132862.87000000
PA
USD
150717.44000000
0.002479791818
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
5.00000000
N
N
N
N
N
N
Cedar Funding Ltd
549300ZKTUZSV15HAV29
Cedar Funding Ltd
15034AAA3
10480000.00000000
PA
USD
10480000.00000000
0.172430066903
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
0.00001080
N
N
N
N
N
N
FWD Securitization Trust
N/A
FWD Securitization Trust 2020-INV1
302985AA4
8792661.79000000
PA
USD
8969897.23000000
0.147583967508
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Variable
2.24000000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAB8
4470000.00000000
PA
USD
4699404.87000000
0.077320486273
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAF8
26535000.00000000
PA
USD
26510123.44000000
0.436177705952
Long
DBT
UST
US
N
2
2023-08-15
Fixed
0.12500000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BF9
4705000.00000000
PA
USD
4719670.19000000
0.077653916662
Long
DBT
CORP
US
N
2
2021-08-23
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132CWG73
1231089.15000000
PA
USD
1309442.95000000
0.021544593079
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
3.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-6
89175JAA8
8861635.53000000
PA
USD
9113059.63000000
0.149939454360
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
2.75000000
N
N
N
N
N
N
LYB INT FINANCE III
N/A
LYB International Finance III LLC
50249AAF0
5740000.00000000
PA
USD
5758706.66000000
0.094749444147
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KGP3
98945.09000000
PA
USD
117526.05000000
0.001933685559
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-1
13976MAF1
15835000.00000000
PA
USD
16042245.31000000
0.263947083214
Long
ABS-O
CORP
US
N
2
2022-11-21
Fixed
3.36000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NAF2
5580000.00000000
PA
USD
5972101.02000000
0.098260475041
Long
DBT
CORP
CA
N
2
2023-10-01
Fixed
4.00000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AC1
5895000.00000000
PA
USD
6147270.63000000
0.101142584542
Long
DBT
CORP
CA
N
2
2023-05-15
Fixed
2.80000000
N
N
N
N
N
N
HPHT FINANCE 17 LTD
549300TYU0354ZWXG128
HPHT Finance 17 Ltd
000000000
14084000.00000000
PA
USD
14385820.12000000
0.236693504365
Long
DBT
CORP
KY
N
2
2022-09-11
Fixed
2.75000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBB0
5640000.00000000
PA
USD
6043620.96000000
0.099437210541
Long
DBT
CORP
GB
N
2
2024-05-16
Fixed
4.33800000
N
N
N
N
N
N
HOUSTON TX ARPT SYS REVENUE
N/A
City of Houston TX Airport System Revenue
442349EL6
3245000.00000000
PA
USD
3306932.77000000
0.054409793776
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
1.27200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KLP7
246639.39000000
PA
USD
252594.59000000
0.004156002104
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
6.00000000
N
N
N
N
N
N
SKYWORKS SOLUTIONS INC
549300WZ3ORQ2BVKBD96
Skyworks Solutions Inc
83088MAJ1
2645000.00000000
PA
USD
2654596.06000000
0.043676734372
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.90000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AK0
7060000.00000000
PA
USD
7100990.36000000
0.116834374318
Long
DBT
CORP
JP
N
2
2022-02-22
Floating
1.07013000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AA8
3020000.00000000
PA
USD
3022542.84000000
0.049730654973
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
0.62500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAL3
697000.00000000
PA
USD
722266.25000000
0.011883627653
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.45000000
N
N
N
N
N
N
Fontainebleau Miami Beach Trus
N/A
Fontainebleau Miami Beach Trust 2019-FBLU
34461LAJ3
7590000.00000000
PA
USD
7958270.60000000
0.130939420991
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Fixed
3.75000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAD7
13870000.00000000
PA
USD
15933162.50000000
0.262152316398
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TWC8
185329.57000000
PA
USD
194594.02000000
0.003201704187
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Loan Trust 2020-I
63942AAA4
6288330.54000000
PA
USD
6295718.07000000
0.103585027482
Long
ABS-O
CORP
US
N
2
2069-04-15
Fixed
1.33000000
N
N
N
N
N
N
Navient Student Loan Trust
549300ZUZB9UCBWEBN39
Navient Private Education Refi Loan Trust 2019-A
63941BAB1
7562923.61000000
PA
USD
7767574.81000000
0.127801855359
Long
ABS-O
CORP
US
N
2
2043-01-15
Fixed
3.42000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBH0
5115000.00000000
PA
USD
5441342.12000000
0.089527765820
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.07900000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AS7
13355000.00000000
PA
USD
14162189.56000000
0.233014054707
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
2.75000000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493003EWUCLH0O45S72
Sequoia Mortgage Trust 2018-CH4
81747LAB7
1052196.55000000
PA
USD
1064124.46000000
0.017508306472
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
4035000.00000000
PA
USD
4323946.35000000
0.071142973131
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAA1
12035000.00000000
PA
USD
12051644.41000000
0.198288726327
Long
DBT
CORP
US
N
2
2026-05-28
Fixed
1.20000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAM2
6515000.00000000
PA
USD
6792771.32000000
0.111763169195
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.44800000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAC7
1819000.00000000
PA
USD
1950877.50000000
0.032098276511
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
4.20000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAW8
11950000.00000000
PA
USD
12429278.65000000
0.204502037135
Long
DBT
CORP
N/A
N
2
2022-09-01
Fixed
3.87500000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BD3
5254000.00000000
PA
USD
5733085.99000000
0.094327900841
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.85000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-5
92538CAC5
2885998.85000000
PA
USD
2892386.72000000
0.047589163706
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.73300000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BL6
6180000.00000000
PA
USD
6790275.00000000
0.111722096616
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
4.64000000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BD4
3010000.00000000
PA
USD
3088494.78000000
0.050815778773
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.20000000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886CJ1
2235000.00000000
PA
USD
2257587.80000000
0.037144657957
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
1.03000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBL5
12970000.00000000
PA
USD
13296545.69000000
0.218771399132
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
1.57100000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAS9
1645000.00000000
PA
USD
1786020.92000000
0.029385849878
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.65000000
N
N
N
N
N
N
MVW Owner Trust
5493004KX4H48P1FVD32
MVW Owner Trust 2014-1
553891AA0
681949.61000000
PA
USD
682678.61000000
0.011232282289
Long
ABS-O
CORP
US
N
2
2031-09-22
Fixed
2.25000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-3
03465LAA3
4002426.80000000
PA
USD
4045963.60000000
0.066569253266
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.69100000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBA5
6185000.00000000
PA
USD
6696054.18000000
0.110171857848
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.50000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2020-2
43789XAB0
5750000.00000000
PA
USD
5880134.58000000
0.096747328151
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.63500000
N
N
N
N
N
N
Austin Fairmont Hotel Trust
N/A
Austin Fairmont Hotel Trust 2019-FAIR
05223HAA0
8355000.00000000
PA
USD
8354998.33000000
0.137466881776
Long
ABS-MBS
CORP
US
N
2
2032-09-15
Floating
1.15100000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-4
03463UAC1
3726186.07000000
PA
USD
3766560.41000000
0.061972162547
Long
ABS-MBS
CORP
US
N
2
2049-07-26
Variable
3.30100000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BA9
2548000.00000000
PA
USD
2633370.74000000
0.043327508862
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EBU2
214614.12000000
PA
USD
243640.90000000
0.004008684798
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-INV1
92537TAA3
1167049.17000000
PA
USD
1183811.96000000
0.019477554910
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
1.97700000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YAY4
5250000.00000000
PA
USD
5498813.25000000
0.090473352727
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.20000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CL0
3380000.00000000
PA
USD
3457158.64000000
0.056881497670
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QJPK6
34973.51000000
PA
USD
35231.01000000
0.000579664638
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
2.44900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHQ39
17450.38000000
PA
USD
18161.95000000
0.000298823115
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128287C8
895000.00000000
PA
USD
911781.25000000
0.015001765452
Long
DBT
UST
US
N
2
2022-07-15
Fixed
1.75000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300SM4FYZ8US63U33
Neuberger Berman Loan Advisers CLO 38 Ltd
64133RAA4
6990000.00000000
PA
USD
7008028.89000000
0.115304855950
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
1.48825000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AG2
6995000.00000000
PA
USD
7126156.25000000
0.117248435014
Long
DBT
CORP
US
N
2
2022-07-15
Variable
3.35000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AX0
2030000.00000000
PA
USD
2044256.69000000
0.033634667731
Long
DBT
CORP
US
N
2
2021-09-24
Fixed
2.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV1
92537FAD7
1795000.00000000
PA
USD
1797626.44000000
0.029576798408
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
31416BY77
8221.99000000
PA
USD
8560.80000000
0.000140852988
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAP0
7505000.00000000
PA
USD
8059837.15000000
0.132610520897
Long
DBT
CORP
IE
N
2
2023-09-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QSD29
55414.21000000
PA
USD
58684.07000000
0.000965543713
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Floating
2.15400000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
89788JAB5
19830000.00000000
PA
USD
20155608.60000000
0.331625280475
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
1.25000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AB4
12535000.00000000
PA
USD
12644781.53000000
0.208047760038
Long
DBT
CORP
CH
N
2
2024-07-30
Fixed
1.00800000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AM8
1740000.00000000
PA
USD
1736090.22000000
0.028564327555
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
7180000.00000000
PA
USD
7386425.00000000
0.121530701996
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.87500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GENERAL MILLS INC
000000000
1.00000000
NC
USD
-196126.65000000
-0.00322692093
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GENERAL MILLS INC
General Mills Inc
Y
Default Event
2024-12-20
0.00000000
USD
-158608.54000000
USD
-6940000.00000000
USD
-37518.11000000
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABR7
5910000.00000000
PA
USD
5896903.44000000
0.097023230408
Long
DBT
CORP
US
N
2
2024-01-08
Fixed
0.80000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAE0
5380000.00000000
PA
USD
5885214.28000000
0.096830905729
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.87500000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2021-INV1 Trust
552747AA5
5248775.68000000
PA
USD
5236411.66000000
0.086155993594
Long
ABS-MBS
CORP
US
N
2
2056-01-25
Variable
0.85200000
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
8635000.00000000
PA
USD
9232757.88000000
0.151908879671
Long
DBT
CORP
KY
N
2
2024-03-28
Fixed
3.50000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAF4
5525000.00000000
PA
USD
5605620.80000000
0.092230684120
Long
DBT
CORP
FR
N
2
2023-04-24
Floating
1.19575000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN53
31069.54000000
PA
USD
36014.11000000
0.000592549179
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LL62
95252.81000000
PA
USD
100887.45000000
0.001659926503
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
2.69000000
N
N
N
N
N
N
EASTERN CREATION II INVE
549300POZZMBXFYP2H73
Eastern Creation II Investment Holdings Ltd
000000000
10265000.00000000
PA
USD
10250483.24000000
0.168653770120
Long
DBT
CORP
VG
N
2
2023-09-10
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XQA5
4105629.31000000
PA
USD
4004435.61000000
0.065885982838
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
1.29163000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KC36
92919.43000000
PA
USD
95077.71000000
0.001564337394
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
6.00000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36417JAS8
1796101.22000000
PA
USD
1823155.53000000
0.029996834924
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBD2
30000000.00000000
PA
USD
30004687.50000000
0.493674644374
Long
DBT
UST
US
N
2
2022-12-31
Fixed
0.12500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC23 Mortgage Trust
12636FBF9
9801193.59000000
PA
USD
9903829.73000000
0.162950193029
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.22100000
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
Crown Castle Towers LLC
22822RBF6
1785000.00000000
PA
USD
1850464.82000000
0.030446161518
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.72000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BT5
17094000.00000000
PA
USD
17494803.02000000
0.287846379313
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
2.89400000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
9532100.00000000
PA
USD
9807196.41000000
0.161360260793
Long
ABS-O
CORP
US
N
2
2049-06-07
Fixed
4.19400000
N
N
N
N
N
N
CarMax Auto Owner Trust
5493003IB59OF448TR74
CarMax Auto Owner Trust 2017-4
14314RAF9
1685000.00000000
PA
USD
1705445.45000000
0.028060121473
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
2.70000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AK2
1510000.00000000
PA
USD
1512015.85000000
0.024877575780
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QS3L8
222695.50000000
PA
USD
235875.86000000
0.003880924648
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
2.55200000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2020-RR1 Trust
949796AS5
1301410.51000000
PA
USD
1311852.64000000
0.021584240313
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.00000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AJ9
2725000.00000000
PA
USD
2853320.25000000
0.046946393282
Long
DBT
CORP
GB
N
2
2023-01-11
Fixed
3.95000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AE5
24560000.00000000
PA
USD
25269784.00000000
0.415770090244
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AF69
303340.68000000
PA
USD
351623.84000000
0.005785355177
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568BA7
940000.00000000
PA
USD
1028042.28000000
0.016914637320
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.35000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAS0
5060000.00000000
PA
USD
5153321.58000000
0.084788891680
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.25000000
N
N
N
N
N
N
Ford Credit Floorplan Master O
5493001DTG5N7T8BG747
Ford Credit Floorplan Master Owner Trust A
34528QHM9
3805000.00000000
PA
USD
3845092.90000000
0.063264277289
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
0.98000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2021-1
262108AF0
5405000.00000000
PA
USD
5440998.92000000
0.089522119064
Long
ABS-O
CORP
US
N
2
2029-01-16
Fixed
1.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q2N0
6688.40000000
PA
USD
6703.95000000
0.000110301769
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Floating
2.20900000
N
N
N
N
N
N
RALPH LAUREN CORP
HO1QNWM0IXBZ0QSMMO20
Ralph Lauren Corp
731572AA1
1510000.00000000
PA
USD
1532838.75000000
0.025220180173
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
1.70000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAV9
7615000.00000000
PA
USD
7616819.99000000
0.125321448517
Long
DBT
CORP
FR
N
2
2024-02-27
Fixed
0.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LDJ8
681250.43000000
PA
USD
715322.41000000
0.011769378913
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ET1
10145000.00000000
PA
USD
10150224.68000000
0.167004190902
Long
DBT
CORP
US
N
2
2021-06-08
Fixed
3.20000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGS7
13816000.00000000
PA
USD
14302033.06000000
0.235314934865
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.75000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AB1
15210000.00000000
PA
USD
15762518.46000000
0.259344667235
Long
DBT
CORP
GB
N
2
2023-02-11
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391A3V9
2023.52000000
PA
USD
2028.55000000
0.000033376241
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Floating
2.22600000
N
N
N
N
N
N
Reese Park CLO, Ltd.
N/A
REESE PARK CLO LTD
758465AC2
6710000.00000000
PA
USD
6715496.43000000
0.110491746060
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
1.50375000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-H
63935BAA1
3508267.71000000
PA
USD
3538531.43000000
0.058220344581
Long
ABS-O
CORP
US
N
2
2069-01-15
Fixed
1.31000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAL3
12900000.00000000
PA
USD
13365109.50000000
0.219899496685
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MMD1
189659.16000000
PA
USD
199144.67000000
0.003276577172
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPSG0
2551195.42000000
PA
USD
2842163.54000000
0.046762829136
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.50000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-1
26208QAF4
6095000.00000000
PA
USD
6215816.31000000
0.102270383797
Long
ABS-O
CORP
US
N
2
2026-03-16
Fixed
2.36000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AU1
5240000.00000000
PA
USD
5257244.84000000
0.086498767126
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.55000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566AAA7
1883914.15000000
PA
USD
1883913.96000000
0.030996508603
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Floating
1.31000000
N
N
N
N
N
N
CONNECTICUT ST
5493007GRO6CU0IKP741
State of Connecticut
20772KJX8
1275000.00000000
PA
USD
1339795.25000000
0.022043987079
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
2.09800000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AD0
2805000.00000000
PA
USD
2896041.89000000
0.047649303134
Long
DBT
CORP
CH
N
2
2023-12-14
Fixed
2.99700000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550AU2
5425000.00000000
PA
USD
5557467.65000000
0.091438408273
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.25000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAA8
2861681.80000000
PA
USD
2904712.05000000
0.047791955450
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBF4
1650000.00000000
PA
USD
1684692.90000000
0.027718674566
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.61600000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-R1
92538BAB9
2718695.07000000
PA
USD
2710478.90000000
0.044596188746
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
1.05700000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAA5
658700.01000000
PA
USD
667970.55000000
0.010990286891
Long
ABS-MBS
CORP
US
N
2
2049-09-27
Variable
2.61000000
N
N
N
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAC8
11045000.00000000
PA
USD
11048346.64000000
0.181781216632
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
1.20184200
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BB0
6770000.00000000
PA
USD
7574905.61000000
0.124631820717
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
4.20000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BJ0
5295000.00000000
PA
USD
5322078.63000000
0.087565493724
Long
DBT
CORP
US
N
2
2023-11-22
Fixed
0.87500000
N
N
N
N
N
N
AMER AIRLINE 17-2B PTT
N/A
American Airlines 2017-2 Class B Pass Through Trust
02377DAA0
4622481.10800000
PA
USD
4322019.84000000
0.071111275779
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XM0
12893134.41000000
PA
USD
14044672.72000000
0.231080520682
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
MIZUHO FIN GRP CAYMAN 2
5493005X5HKEZQSVVC05
Mizuho Financial Group Cayman 2 Ltd
000000000
14215000.00000000
PA
USD
14765831.25000000
0.242945922740
Long
DBT
CORP
KY
N
2
2022-07-18
Fixed
4.20000000
N
N
N
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAB5
1942259.59000000
PA
USD
2011103.95000000
0.033089197390
Long
ABS-O
CORP
US
N
2
2037-10-20
Fixed
2.73000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300Z3WHVYABE20I45
Magnetite XVI Ltd
55953RAL5
15486119.29000000
PA
USD
15486125.48000000
0.254797104255
Long
ABS-CBDO
CORP
KY
N
2
2028-01-18
Floating
0.98975000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AH9
19214000.00000000
PA
USD
19809634.00000000
0.325932873659
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285V8
4045000.00000000
PA
USD
4106307.03000000
0.067562098846
Long
DBT
UST
US
N
2
2022-01-15
Fixed
2.50000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2019-2
31573TAA6
2753209.63000000
PA
USD
2807054.70000000
0.046185174591
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.73900000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAK3
7720000.00000000
PA
USD
7850112.88000000
0.129159874914
Long
DBT
CORP
SE
N
2
2023-06-02
Fixed
1.30000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2019-2
31573TAC2
1636582.81000000
PA
USD
1665756.54000000
0.027407109889
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.04600000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J6A0
8065000.00000000
PA
USD
8095364.73000000
0.133195065076
Long
DBT
CORP
US
N
2
2022-09-09
Fixed
2.08200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LAR3
59084.20000000
PA
USD
62478.55000000
0.001027975243
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QJ2R6
8106.58000000
PA
USD
8546.42000000
0.000140616390
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Floating
1.92100000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEL9
4970000.00000000
PA
USD
4971043.70000000
0.081789828031
Long
DBT
CORP
US
N
2
2024-04-12
Fixed
0.75000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAG3
11521000.00000000
PA
USD
11794543.10000000
0.194058574029
Long
ABS-O
CORP
US
N
2
2023-07-18
Fixed
3.18000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFE9
5285000.00000000
PA
USD
5569644.82000000
0.091638762303
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
3.35000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-B
63941GAB0
4660000.00000000
PA
USD
4732416.87000000
0.077863640983
Long
ABS-O
CORP
US
N
2
2069-01-15
Fixed
2.12000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HMPA6
1329566.20000000
PA
USD
1461610.31000000
0.024048240795
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PFCH6
21.08000000
PA
USD
21.16000000
0.000000348150
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
6.00000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAC7
10390000.00000000
PA
USD
10393574.16000000
0.171008080894
Long
DBT
CORP
US
N
2
2021-06-25
Floating
0.83063000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFC9
897000.00000000
PA
USD
917866.01000000
0.015101879533
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.50000000
N
N
N
N
N
N
HERO ASIA INVESTMENT LTD
549300YWBWWXOPOSH694
Hero Asia Investment Ltd
000000000
14320000.00000000
PA
USD
14370633.23000000
0.236443630658
Long
DBT
CORP
HK
N
2
2023-11-18
Fixed
1.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17328PAQ6
8614108.91000000
PA
USD
8773957.48000000
0.144360121687
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
2.50000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AA6
6705000.00000000
PA
USD
7032968.37000000
0.115715191466
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TM85
8181.71000000
PA
USD
8309.97000000
0.000136726019
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-G
63941UAA1
3450450.36000000
PA
USD
3470839.76000000
0.057106596567
Long
ABS-O
CORP
US
N
2
2069-09-16
Fixed
1.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414DPA8
120415.57000000
PA
USD
122204.24000000
0.002010656992
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
2.14900000
N
N
N
N
N
N
CHICAGO IL TRANSIT AUTH SALES
N/A
Chicago Transit Authority Sales Tax Receipts Fund
16772PCH7
295000.00000000
PA
USD
299345.62000000
0.004925208519
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
1.70800000
N
N
N
N
N
N
T. ROWE PRICE GOVERNMENT RESERVE FUND
5493007QR86JJLYO6D96
T. ROWE PRICE GOVERNMENT RESERVE FUND
000000000
118170951.81000000
NS
USD
118170951.81000000
1.944296290711
Long
STIV
RF
US
N
1
N
N
N
DALLAS-FORT WORTH TX INTERNATI
N/A
Dallas Fort Worth International Airport
2350366M7
1670000.00000000
PA
USD
1694566.37000000
0.027881125243
Long
DBT
MUN
US
N
2
2025-11-01
Fixed
1.32900000
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAD1
6864254.96000000
PA
USD
6683367.43000000
0.109963119570
Long
ABS-O
CORP
US
N
2
2022-01-25
Floating
0.50575000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30
61766NAW5
118306.45000000
PA
USD
118308.65000000
0.001946561873
Long
ABS-MBS
CORP
US
N
2
2049-09-15
Fixed
1.38900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A4LW6
3011568.25000000
PA
USD
3350989.43000000
0.055134669046
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AL5
1500000.00000000
PA
USD
1525321.50000000
0.025096496974
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
3.65000000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353RFE3
7050000.00000000
PA
USD
7217338.80000000
0.118748684365
Long
DBT
CORP
US
N
2
2022-07-28
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAQ7
5505000.00000000
PA
USD
5506781.42000000
0.090604455026
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
0.99163000
N
N
N
N
N
N
TRINITY ACQUISITION PLC
549300FJZWZN6MJNGB63
Trinity Acquisition PLC
89641UAD3
5535000.00000000
PA
USD
5500406.25000000
0.090499562756
Long
DBT
CORP
GB
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AS3
6330000.00000000
PA
USD
6425690.61000000
0.105723498261
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.37500000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-2
03065GAG5
4910000.00000000
PA
USD
4992166.40000000
0.082137365109
Long
ABS-O
CORP
US
N
2
2023-04-18
Fixed
3.42000000
N
N
N
N
N
N
SAN DIEGO G & E
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co
797440BT0
813610.48000000
PA
USD
818068.25000000
0.013459881973
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
1.91400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQW0
1178824.15000000
PA
USD
1253632.33000000
0.020626326959
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
-1866.00000000
NC
USD
-454557.60000000
-0.00747895013
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
UNITED STATES TREASURY NOTE/BOND
2021-09-30
-230652453.36000000
USD
-454557.60000000
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AN4
15880000.00000000
PA
USD
15879793.56000000
0.261274223851
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
3.92200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MWZ1
17017.79000000
PA
USD
19638.89000000
0.000323123579
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GENERAL MILLS INC
000000000
1.00000000
NC
USD
-194289.73000000
-0.00319669762
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GENERAL MILLS INC
General Mills Inc
Y
Default Event
2024-12-20
0.00000000
USD
-154837.63000000
USD
-6875000.00000000
USD
-39452.10000000
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAN0
7140000.00000000
PA
USD
7087421.04000000
0.116611114895
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
1.66800000
N
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2021-KDIP
48254CAL9
3585000.00000000
PA
USD
3582748.26000000
0.058947855168
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
1.10088000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CB71
53205.09000000
PA
USD
53340.65000000
0.000877627084
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
2.37500000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-3
80285WAE7
9660000.00000000
PA
USD
9693294.16000000
0.159486198523
Long
ABS-O
CORP
US
N
2
2025-03-17
Fixed
0.69000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-NQM
64830UAA3
2226982.08000000
PA
USD
2255863.81000000
0.037116292717
Long
ABS-MBS
CORP
US
N
2
2060-05-24
Variable
1.65017000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAF2
2750000.00000000
PA
USD
2753135.00000000
0.045298020252
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.55000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-INV1 Trust
67113CAE6
1742806.93000000
PA
USD
1783044.16000000
0.029336872500
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
3.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-2
03066EAE4
2715000.00000000
PA
USD
2743019.34000000
0.045131584762
Long
ABS-O
CORP
US
N
2
2026-02-18
Fixed
0.97000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MHSW7
49723.50000000
PA
USD
52955.44000000
0.000871289128
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
16400000.00000000
PA
USD
17701979.60000000
0.291255107514
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
HOUSTON TX ARPT SYS REVENUE
N/A
City of Houston TX Airport System Revenue
442349EK8
975000.00000000
PA
USD
987085.61000000
0.016240766962
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
1.05400000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZU7
26600000.00000000
PA
USD
26649875.00000000
0.438477073399
Long
DBT
UST
US
N
2
2023-06-15
Fixed
0.25000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BF8
5950000.00000000
PA
USD
6484803.85000000
0.106696103216
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.87500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-4
89173UAA5
2444242.84000000
PA
USD
2522777.83000000
0.041507895993
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
31416CME3
528163.81000000
PA
USD
549813.01000000
0.009046211268
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-NET
126438AA8
3395000.00000000
PA
USD
3507690.24000000
0.057712906751
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Fixed
2.25690000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJH3
6275000.00000000
PA
USD
6308784.60000000
0.103800014375
Long
DBT
CORP
US
N
2
2024-10-24
Fixed
0.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDF3
179525.76000000
PA
USD
207836.71000000
0.003419589485
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAD2
3384000.00000000
PA
USD
3771945.14000000
0.062060758859
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
5.00000000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2017-A LLC
28416DAA8
1088726.49000000
PA
USD
1122471.02000000
0.018468297049
Long
ABS-O
CORP
US
N
2
2030-03-25
Fixed
2.69000000
N
N
N
N
N
N
ONE Park Mortgage Trust
N/A
ONE 2021-PARK Mortgage Trust
682413AC3
11219000.00000000
PA
USD
11208901.78000000
0.184422870595
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
1.05100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBX6
102414.67000000
PA
USD
118679.55000000
0.001952664384
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300XC4C7GRVLU6076
SMB Private Education Loan Trust 2014-A
784456AD7
12170000.00000000
PA
USD
12290162.93000000
0.202213131324
Long
ABS-O
CORP
US
N
2
2032-04-15
Floating
1.60088000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ6A1
1038167.69000000
PA
USD
1092136.85000000
0.017969201346
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
UNITED STATES 10 YEAR TREASURY NOTE/BOND
000000000
-221.00000000
NC
USD
56503.07000000
0.000929659173
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-09-21
-32091144.80000000
USD
56503.07000000
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2021-NQM1
36262EAA4
4990227.55000000
PA
USD
4995375.97000000
0.082190172969
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
1.01700000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F040669
5085000.00000000
PA
USD
5431696.98000000
0.089369071914
Long
ABS-MBS
USGSE
US
N
2
2050-06-15
Fixed
4.00000000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
Moody's Corp
615369AS4
6475000.00000000
PA
USD
7120343.83000000
0.117152801811
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
3.75000000
N
N
N
N
N
N
Kubota Credit Owner Trust
N/A
Kubota Credit Owner Trust 2020-1
50117WAC8
2600000.00000000
PA
USD
2656579.38000000
0.043709366433
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
1.96000000
N
N
N
N
N
N
LSEGA FINANCING PLC
2138009YFYTGEHZNNZ09
LSEGA Financing PLC
50220PAA1
11680000.00000000
PA
USD
11668144.80000000
0.191978911116
Long
DBT
CORP
GB
N
2
2024-04-06
Fixed
0.65000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CZ9
1511000.00000000
PA
USD
1579200.50000000
0.025982981666
Long
DBT
CORP
US
N
2
2023-02-20
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GJ95
28861.22000000
PA
USD
33457.45000000
0.000550483811
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAY5
4925000.00000000
PA
USD
5374406.25000000
0.088426453173
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S4GD3
79058.15000000
PA
USD
84936.69000000
0.001397484650
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
2.56600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6C66
1398482.81000000
PA
USD
1593096.78000000
0.026211620644
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CVW9
659032.45000000
PA
USD
779997.36000000
0.012833492077
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XMZ4
9749213.29000000
PA
USD
9614559.59000000
0.158190758907
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
1.19163000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AP2
4775000.00000000
PA
USD
4926472.55000000
0.081056487728
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.12500000
N
N
N
N
N
N
New Orleans Hotel Trust
N/A
New Orleans Hotel Trust 2019-HNLA
647622AC3
13305000.00000000
PA
USD
13188171.46000000
0.216988290761
Long
ABS-MBS
CORP
US
N
2
2032-04-15
Floating
1.38971000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCG25
16175.17000000
PA
USD
16337.98000000
0.000268812880
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CFF8
186584.16000000
PA
USD
189032.97000000
0.003110206838
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBX8
302455000.00000000
PA
USD
302407741.41000000
4.975590370562
Long
DBT
UST
US
N
2
2023-04-30
Fixed
0.12500000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AB4
5706000.00000000
PA
USD
5942333.68000000
0.097770705534
Long
DBT
CORP
KY
N
2
2022-11-28
Fixed
3.50000000
N
N
N
N
N
N
ARES CLO LTD
N/A
ARES LVIII CLO LTD
04018AAC3
3025000.00000000
PA
USD
3029537.50000000
0.049845739867
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.45575000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAM3
9215000.00000000
PA
USD
9042218.75000000
0.148773891604
Long
DBT
CORP
KY
N
2
2026-02-21
Fixed
2.12500000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAE1
11115000.00000000
PA
USD
11323406.25000000
0.186306841342
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
3.62500000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-1
03065FAG7
15265000.00000000
PA
USD
15401937.74000000
0.253411942266
Long
ABS-O
CORP
US
N
2
2023-01-18
Fixed
3.13000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2019-1
36256UAG3
7185000.00000000
PA
USD
7228922.62000000
0.118939275859
Long
ABS-O
CORP
US
N
2
2022-12-20
Fixed
3.56000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
00973RAE3
7265000.00000000
PA
USD
7582843.75000000
0.124762428924
Long
DBT
CORP
NO
N
2
2025-01-15
Fixed
3.00000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2E0
7350000.00000000
PA
USD
7334079.90000000
0.120669454945
Long
DBT
CORP
CH
N
2
2024-02-02
Fixed
0.49500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW
12433UAA3
11837000.00000000
PA
USD
11847935.02000000
0.194937044672
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
0.90100000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AM4
12275000.00000000
PA
USD
12705742.03000000
0.209050758424
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.62500000
N
N
N
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AG6
2580000.00000000
PA
USD
2879610.24000000
0.047378949078
Long
DBT
CORP
US
N
2
2025-12-21
Fixed
4.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBS1
9820000.00000000
PA
USD
10028616.08000000
0.165003334124
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891AAY3
3995000.00000000
PA
USD
4082997.87000000
0.067178587394
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
State of Illinois
4521527Q8
13440000.00000000
PA
USD
13531695.74000000
0.222640381848
Long
DBT
MUN
US
N
2
2022-10-01
Fixed
2.25000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-2
80285FAF1
367045.88000000
PA
USD
367997.85000000
0.006054760867
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.35000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AE6
2210000.00000000
PA
USD
2365073.49000000
0.038913146957
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
3.65000000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
05969BAD5
1865000.00000000
PA
USD
2129363.75000000
0.035034955522
Long
DBT
CORP
MX
N
2
2025-04-17
Fixed
5.37500000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AX2
8380000.00000000
PA
USD
8387818.54000000
0.138006880918
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.98300000
N
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2021-KDIP
48254CAN5
2510000.00000000
PA
USD
2506855.22000000
0.041245917299
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
1.35088000
N
N
N
N
N
N
Carlyle Global Market Strategi
549300XYKYPK3H877P92
Carlyle Global Market Strategies CLO 2015-3 Ltd
14311MAN6
4185366.55000000
PA
USD
4185873.69000000
0.068871229047
Long
ABS-CBDO
CORP
KY
N
2
2028-07-28
Floating
1.18400000
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
7839414.06000000
0.128983844546
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.17709700
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAC5
3115000.00000000
PA
USD
3200298.05000000
0.052655305999
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
215762.85000000
PA
USD
250277.17000000
0.004117873012
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-INV1
46591VBH1
2862682.19000000
PA
USD
2930607.34000000
0.048218017147
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EAU8
312873.57000000
PA
USD
313673.90000000
0.005160955301
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
2.75000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAQ8
2715000.00000000
PA
USD
2755744.01000000
0.045340946947
Long
DBT
CORP
US
N
2
2022-06-09
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DT95
66574.83000000
PA
USD
67875.70000000
0.001116775905
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
2.04300000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CS6
1740000.00000000
PA
USD
1745790.72000000
0.028723932313
Long
DBT
CORP
GB
N
2
2025-05-24
Floating
0.97600000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
CDS BOEING CO
000000000
1.00000000
NC
USD
138780.85000000
0.002283396111
N/A
DCR
CORP
US
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BOEING CO
Boeing Co/The
Y
Default Event
2021-12-20
86015.10000000
USD
0.00000000
USD
28000000.00000000
USD
52765.75000000
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAV0
12550000.00000000
PA
USD
13540734.65000000
0.222789101299
Long
DBT
CORP
N/A
N
2
2023-06-01
Fixed
4.62500000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAA0
540000.00000000
PA
USD
541055.70000000
0.008902125052
Long
DBT
CORP
IE
N
2
2021-07-15
Fixed
2.65000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-1
36418WAQ2
2261997.56000000
PA
USD
2299574.99000000
0.037835483719
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300WLW67V4O2Z6P70
SLM Student Loan Trust 2010-1
78445XAA4
6496115.55000000
PA
USD
6387116.58000000
0.105088830077
Long
ABS-O
CORP
US
N
2
2025-03-25
Floating
0.49163000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAX1
5925000.00000000
PA
USD
5942508.38000000
0.097773579917
Long
DBT
CORP
NL
N
2
2024-03-11
Fixed
0.65000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
6285000.00000000
PA
USD
6634766.54000000
0.109163476944
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAE3
5450000.00000000
PA
USD
5533074.35000000
0.091037059194
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
1.54700000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BW2
16775000.00000000
PA
USD
16800967.70000000
0.276430532877
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
0.75000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDM3
4265000.00000000
PA
USD
4575967.55000000
0.075289541106
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D6N22
12064637.29000000
PA
USD
12478030.64000000
0.205304165847
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
2.00000000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
693483AF6
8335000.00000000
PA
USD
8522485.24000000
0.140222585889
Long
DBT
CORP
KR
N
2
2022-11-12
Fixed
2.37500000
N
N
N
N
N
N
Merit
N/A
Merit 2020-Hill
590027AL2
3740000.00000000
PA
USD
3758753.11000000
0.061843707083
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
2.45100000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C23
92939HAY1
8820000.00000000
PA
USD
9654267.92000000
0.158844090014
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Fixed
3.91700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGZ6
129465.00000000
PA
USD
149967.81000000
0.002467457968
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
31402DC73
744400.49000000
PA
USD
861687.73000000
0.014177564211
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAL7
14312000.00000000
PA
USD
15063380.00000000
0.247841566907
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2020-PTB
78449DAB2
11340000.00000000
PA
USD
11495612.02000000
0.189140186040
Long
ABS-O
CORP
US
N
2
2054-09-15
Fixed
1.60000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BM3
4125000.00000000
PA
USD
4644564.38000000
0.076418181944
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHDK9
623428.14000000
PA
USD
677560.35000000
0.011148070274
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QJQE9
62646.11000000
PA
USD
66659.66000000
0.001096768094
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
2.31500000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAL3
217440.59000000
PA
USD
217509.67000000
0.003578741121
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BL9
955000.00000000
PA
USD
988460.34000000
0.016263385740
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
3.95000000
N
N
N
N
N
N
Vista Point Securitization Tru
N/A
Vista Point Securitization Trust 2020-2
92838TAC5
2388572.93000000
PA
USD
2417445.28000000
0.039774833145
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
2.49600000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300GMVSOGAWY1JE39
SMB Private Education Loan Trust 2015-A
78448PAC4
765117.64000000
PA
USD
766886.13000000
0.012617769723
Long
ABS-O
CORP
US
N
2
2027-06-15
Floating
1.10088000
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
1901100.19000000
0.031279277953
Long
ABS-O
CORP
US
N
2
2023-03-16
Fixed
2.52000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2020-2
31573WAA9
6615405.54000000
PA
USD
6623441.27000000
0.108977139438
Long
ABS-MBS
CORP
US
N
2
2065-10-25
Variable
1.17800000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EBD6
7305000.00000000
PA
USD
7311552.59000000
0.120298807467
Long
DBT
CORP
US
N
2
2021-08-13
Floating
0.66025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VKM5
101317.71000000
PA
USD
119561.91000000
0.001967182074
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
CGDB Commercial Mortgage Trust
N/A
CGDB Commercial Mortgage Trust 2019-MOB
125284AG4
10831000.00000000
PA
USD
10810359.36000000
0.177865552261
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
1.75088000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GJG3
8707.12000000
PA
USD
8751.09000000
0.000143983877
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
2.14500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJ22
3054010.16000000
PA
USD
3362096.96000000
0.055317424021
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXP4
8675000.00000000
PA
USD
8686945.48000000
0.142928491441
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
0.48100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040665
3245000.00000000
PA
USD
3442090.01000000
0.056633569724
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MTM5
48445.94000000
PA
USD
50875.34000000
0.000837064721
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ3A6
2761764.70000000
PA
USD
2929056.55000000
0.048192501610
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M
46652RAJ3
6310000.00000000
PA
USD
6329508.63000000
0.104140992036
Long
ABS-MBS
CORP
US
N
2
2033-10-15
Floating
2.27100000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-INV1
46591VBC2
1740510.77000000
PA
USD
1754332.17000000
0.028864466931
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
0.93613000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-2
03463WAA1
2689236.40000000
PA
USD
2724837.59000000
0.044832435872
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
3.62800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XVR4
523.09000000
PA
USD
524.37000000
0.000008627591
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617N3MD5
231963.05000000
PA
USD
252952.50000000
0.004161890887
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M1NN5
586.96000000
PA
USD
586.51000000
0.000009649996
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP CDS CDX.NA.IG.36.V1
000000000
1.00000000
NC
USD
127977.09000000
0.002105639140
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS CDX.NA.IG.36.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
US
IHS MARKIT LTD
CDX.NA.IG.36.V1
Default Event
2026-06-20
0.00000000
USD
0.00000000
USD
N/A
N/A
101300000.00000000
USD
55.00000000
USD
2021-07-21
XXXX
-59427.91000000
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAE2
2800000.00000000
PA
USD
2976380.40000000
0.048971132776
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AT6
4570000.00000000
PA
USD
4684784.69000000
0.077079936786
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
2.87500000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AH9
2640000.00000000
PA
USD
2778357.12000000
0.045713006114
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414NB45
56786.64000000
PA
USD
59179.33000000
0.000973692350
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300261OAC6YQ54P29
BlueMountain CLO 2015-2 Ltd
09628BAL2
6799329.49000000
PA
USD
6798707.42000000
0.111860837336
Long
ABS-CBDO
CORP
KY
N
2
2027-07-18
Floating
1.11975000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBU8
5589000.00000000
PA
USD
5833725.54000000
0.095983748583
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
3.20000000
N
N
N
N
N
N
Barings CLO Ltd
54930079SUKCXYW8DR07
Barings CLO Ltd 2013-I
06760EAA4
7659109.03000000
PA
USD
7661920.38000000
0.126063496539
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Floating
0.98825000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
448055AJ2
7482000.00000000
PA
USD
7628145.91000000
0.125507796718
Long
DBT
CORP
CA
N
2
2022-04-15
Fixed
3.95000000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITD
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
714295AC6
32625000.00000000
PA
USD
35099932.50000000
0.577507987527
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
3.90000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCR3
4535000.00000000
PA
USD
4655992.89000000
0.076606218084
Long
ABS-O
CORP
US
N
2
2023-09-20
Fixed
3.41000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CU9
5637000.00000000
PA
USD
5888167.81000000
0.096879500898
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JNNV3
44571.04000000
PA
USD
44805.86000000
0.000737202045
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Floating
2.21400000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
STACR Trust 2018-DNA2
35563TAK7
7535000.00000000
PA
USD
7541951.79000000
0.124089623257
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
1.04163000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-B
78449YAA8
15390000.00000000
PA
USD
15389749.14000000
0.253211400175
Long
ABS-O
CORP
US
N
2
2051-07-17
Fixed
1.31000000
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAG9
10774000.00000000
PA
USD
10903869.80000000
0.179404102969
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
3.87500000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-3 Mortgage Loan Trust
12597QAA4
2298809.43000000
PA
USD
2312526.43000000
0.038048577007
Long
ABS-MBS
CORP
US
N
2
2065-04-27
Variable
1.50600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ETV9
60989.55000000
PA
USD
72309.93000000
0.001189733403
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-SOHO
36257XAA9
1000000.00000000
PA
USD
999981.80000000
0.016452951209
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Floating
1.00100000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae REMIC Trust 2001-W4
3139216U7
1934.83000000
PA
USD
2076.72000000
0.000034168794
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Variable
5.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCNB8
3355211.25000000
PA
USD
3559534.46000000
0.058565912698
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.00000000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
000000000
10350000.00000000
PA
USD
10815853.50000000
0.177955948723
Long
DBT
CORP
MX
N
2
2022-11-09
Fixed
4.12500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAH8
7510000.00000000
PA
USD
7641432.51000000
0.125726404478
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XL28
10615000.00000000
PA
USD
10550794.11000000
0.173594860140
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
0.94163000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR UNITED STATES TREASURY NOTE/BOND
000000000
3762.00000000
NC
USD
376739.47000000
0.006198588932
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-09-30
830025983.04000000
USD
376739.47000000
N
N
N
Nissan Master Owner Trust Rece
N/A
Nissan Master Owner Trust Receivables
65474VAS0
12890000.00000000
PA
USD
12912803.70000000
0.212457595983
Long
ABS-O
CORP
US
N
2
2023-11-15
Floating
0.53088000
N
N
N
N
N
N
SMB Private Education Loan Tru
54930027GONY06ZX8P67
SMB Private Education Loan Trust 2016-C
78449KAC4
7517773.68000000
PA
USD
7584475.13000000
0.124789270428
Long
ABS-O
CORP
US
N
2
2034-09-15
Floating
1.21463000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS OMNICOM GROUP INC
000000000
1.00000000
NC
USD
-176403.01000000
-0.00290240294
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
OMNICOM GP/OMNICOM CAP
Omnicom Group Inc / Omnicom Capital Inc
Y
Default Event
2024-12-20
0.00000000
USD
-157185.44000000
USD
-6875000.00000000
USD
-19217.57000000
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAD0
4960000.00000000
PA
USD
5153370.56000000
0.084789697561
Long
DBT
CORP
NL
N
2
2023-04-06
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LAA4
2737237.87000000
PA
USD
2737837.33000000
0.045046323853
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
1.19163000
N
N
N
N
N
N
CHINA MENGNIU DAIRY
2549005Q343BSJ8RSS21
China Mengniu Dairy Co Ltd
000000000
16354000.00000000
PA
USD
16430160.25000000
0.270329544956
Long
DBT
CORP
KY
N
2
2025-06-17
Fixed
1.87500000
N
N
N
N
N
N
FIRST NIAGARA FIN GRP
W4U8KD36H4XNDYC19F59
First Niagara Financial Group Inc
33582VAC2
4150000.00000000
PA
USD
4301354.65000000
0.070771266228
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
7.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GMT6
4419.22000000
PA
USD
4445.54000000
0.000073143583
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFSZ3
2600403.23000000
PA
USD
2695371.46000000
0.044347622249
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA/Cleveland OH
49327M2Z6
9585000.00000000
PA
USD
9740880.86000000
0.160269154426
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
1.25000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAU6
1120000.00000000
PA
USD
1176894.88000000
0.019363746459
Long
DBT
CORP
FR
N
2
2024-10-16
Fixed
2.62500000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2019-3
24381NAA6
1797045.85000000
PA
USD
1803564.09000000
0.029674492051
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.96400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TE35
2729929.72000000
PA
USD
2961492.13000000
0.048726172338
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
4.50000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAH1
12845000.00000000
PA
USD
13906330.97000000
0.228804349192
Long
DBT
CORP
NL
N
2
2023-09-14
Fixed
4.25000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCS6
4399000.00000000
PA
USD
4484859.68000000
0.073790520484
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
AT&T INC (12/14/2021)
N/A
AT&T INC (12/14/2021)
000000000
19695000.00000000
PA
USD
19672022.43000000
0.323668716005
Long
DBT
CORP
US
N
2
2021-12-14
Fixed
0.01000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2021-NQM1 Trust
67114BAA5
9443384.65000000
PA
USD
9437233.23000000
0.155273163858
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.07200000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-1
03067DAG0
14235000.00000000
PA
USD
14575354.58000000
0.239811962344
Long
ABS-O
CORP
US
N
2
2025-12-18
Fixed
1.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MBHP5
7107.26000000
PA
USD
7215.48000000
0.000118718101
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2016-3 Receivables Funding LLC
82652YAA2
1520513.06000000
PA
USD
1529844.14000000
0.025170909104
Long
ABS-O
CORP
US
N
2
2033-10-20
Fixed
2.43000000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AF0
3695000.00000000
PA
USD
3626683.15000000
0.059670726926
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.87500000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300QGM7D5K3CV2643
WFRBS Commercial Mortgage Trust 2014-LC14
96221TAE7
7525000.00000000
PA
USD
8115723.79000000
0.133530037793
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
4.04500000
N
N
N
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue 2017-280P Mortgage Trust
90205FAA8
5835000.00000000
PA
USD
5836694.48000000
0.096032597297
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
0.98088000
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
Public Storage
74460WAB3
4245000.00000000
PA
USD
4250166.17000000
0.069929049336
Long
DBT
CORP
US
N
2
2024-04-23
Floating
0.48000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGH6
12500000.00000000
PA
USD
12581000.00000000
0.206998346537
Long
DBT
CORP
US
N
2
2023-01-20
Floating
1.34825000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVa Trust 2017-SPL5
07331UAA6
5433737.51000000
PA
USD
5564271.10000000
0.091550347141
Long
ABS-MBS
CORP
US
N
2
2057-06-28
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31360FC60
397.13000000
PA
USD
401.26000000
0.000006602031
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Floating
4.68200000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BQ2
11221000.00000000
PA
USD
11284724.06000000
0.185670393573
Long
DBT
CORP
GB
N
2
2022-09-10
Fixed
2.74400000
N
N
N
N
N
N
CHICAGO IL TRANSIT AUTH SALES
N/A
Chicago Transit Authority Sales Tax Receipts Fund
16772PCK0
795000.00000000
PA
USD
821070.75000000
0.013509282858
Long
DBT
MUN
US
N
2
2024-12-01
Fixed
2.06400000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE19 Mortgage Trust
12592GAG8
2995000.00000000
PA
USD
2973405.15000000
0.048922180242
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
4.70803400
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0BK4
1995601.70000000
PA
USD
2038780.13000000
0.033544560516
Long
ABS-MBS
CORP
US
N
2
2024-08-25
Floating
4.09163000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JR9
14900000.00000000
PA
USD
14927371.30000000
0.245603781675
Long
DBT
CORP
US
N
2
2021-11-15
Floating
1.50963000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DY7
13400000.00000000
PA
USD
13702598.80000000
0.225452292732
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020667
1195000.00000000
PA
USD
1215049.18000000
0.019991508721
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
2.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AJ6
4199000.00000000
PA
USD
4346573.86000000
0.071515269225
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AABW3
3398632.14000000
PA
USD
4001574.39000000
0.065838906468
Long
ABS-MBS
USGA
US
N
2
2045-09-15
Fixed
5.50000000
N
N
N
N
N
N
BAXALTA INC
5493000JW8DCO3T45R55
Baxalta Inc
07177MAL7
2150000.00000000
PA
USD
2208469.25000000
0.036336498142
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
3.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLV5
974750.93000000
PA
USD
1074887.81000000
0.017685398567
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
6766162.10000000
PA
USD
6865770.83000000
0.112964248431
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654AS4
2075000.00000000
PA
USD
2228178.58000000
0.036660780689
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.95000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AQ7
7395000.00000000
PA
USD
7713236.43000000
0.126907812372
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.67000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BU3
16130000.00000000
PA
USD
16837155.33000000
0.277025937024
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.70000000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAA1
13085000.00000000
PA
USD
13084757.93000000
0.215286802031
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.03100000
N
N
N
N
N
N
BANK OF IRELAND GROUP
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC
06279JAA7
20873000.00000000
PA
USD
22673296.25000000
0.373049426461
Long
DBT
CORP
IE
N
2
2023-11-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MC6H3
366.18000000
PA
USD
381.50000000
0.000006276915
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26K3
681273.12000000
PA
USD
732531.28000000
0.012052520765
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
NASDAQ INC
549300L8X1Q78ERXFD06
Nasdaq Inc
63111XAC5
6280000.00000000
PA
USD
6272953.84000000
0.103210481900
Long
DBT
CORP
US
N
2
2022-12-21
Fixed
0.44500000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2020-4
14316HAG7
4290000.00000000
PA
USD
4351012.38000000
0.071588297307
Long
ABS-O
CORP
US
N
2
2027-04-15
Fixed
1.75000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP2 Trust
67448VAF7
6728763.53000000
PA
USD
6883153.66000000
0.113250252490
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
3.00000000
N
N
N
N
N
N
SCHLUMBERGER FIN CA
549300P4EXZFF0LRNF59
Schlumberger Finance Canada Ltd
80685XAC5
2330000.00000000
PA
USD
2370159.88000000
0.038996834606
Long
DBT
CORP
CA
N
2
2025-09-17
Fixed
1.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QTS0
67517.23000000
PA
USD
80135.79000000
0.001318494239
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-2
89173HAA4
1731332.80000000
PA
USD
1756516.25000000
0.028900402147
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
PANASONIC CORP
254900GE1G59KGWPHX32
Panasonic Corp
69832AAA4
5560000.00000000
PA
USD
5678116.64000000
0.093423476347
Long
DBT
CORP
JP
N
2
2022-07-19
Fixed
2.53600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LQV7
1380591.68000000
PA
USD
1636670.66000000
0.026928552614
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21685WDF1
16500000.00000000
PA
USD
17328564.00000000
0.285111207048
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C2A1
893033.95000000
PA
USD
965227.73000000
0.015881133784
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2RW4
2593419.89000000
PA
USD
2780692.94000000
0.045751437946
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
3.50000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-H1
36418XAD9
7916000.00000000
PA
USD
8024862.42000000
0.132035072898
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.33900000
N
N
N
N
N
N
ASTRAZENECA PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AY4
12295000.00000000
PA
USD
12265725.61000000
0.201811057972
Long
DBT
CORP
GB
N
2
2023-05-26
Fixed
0.30000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KCU1
7160000.00000000
PA
USD
7165250.43000000
0.117891661357
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
0.81000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAD5
11797000.00000000
PA
USD
12424305.48000000
0.204420212323
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128LUHZ2
52831.45000000
PA
USD
55292.62000000
0.000909743336
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
2.11000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP2 Trust
67448VAG5
1015128.73000000
PA
USD
1036337.71000000
0.017051124109
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MJ78
1.93000000
PA
USD
2.01000000
0.000000033071
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-1 Receivables Funding LLC
82653EAA5
1596059.48000000
PA
USD
1655050.64000000
0.027230963032
Long
ABS-O
CORP
US
N
2
2036-01-20
Fixed
3.20000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAH1
8005000.00000000
PA
USD
8195142.77000000
0.134836738178
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
2.75000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-C
80284NAH1
13585000.00000000
PA
USD
13999957.90000000
0.230344816540
Long
ABS-O
CORP
US
N
2
2024-06-20
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJWS3
899505.29000000
PA
USD
942063.49000000
0.015500006737
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
4.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BL3
7600000.00000000
PA
USD
7640530.80000000
0.125711568418
Long
DBT
CORP
GB
N
2
2023-01-20
Floating
1.33825000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC46
9430000.00000000
PA
USD
9500583.55000000
0.156315482552
Long
DBT
CORP
US
N
2
2022-11-04
Fixed
2.31200000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AR4
2705000.00000000
PA
USD
2858749.50000000
0.047035722094
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.87500000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
86787EBE6
8110000.00000000
PA
USD
8292791.29000000
0.136443373754
Long
DBT
CORP
US
N
2
2022-05-17
Fixed
2.80000000
N
N
N
N
N
N
Verizon Owner Trust
54930074536XOX02QB08
Verizon Owner Trust 2018-1
92349FAD5
10190000.00000000
PA
USD
10233792.54000000
0.168379153850
Long
ABS-O
CORP
US
N
2
2022-09-20
Fixed
3.20000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAC8
3172751.09000000
PA
USD
3221653.65000000
0.053006675039
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAG1
6220000.00000000
PA
USD
6229992.43000000
0.102503627052
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.70100000
N
N
N
N
N
N
Merit
N/A
Merit 2020-Hill
590027AJ7
2825000.00000000
PA
USD
2837464.75000000
0.046685518767
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.80100000
N
N
N
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351AJ8
910000.00000000
PA
USD
909989.08000000
0.014972278429
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
5.00000000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AL7
6537567.49000000
PA
USD
6442802.83000000
0.106005049906
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
1.95100000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAG0
10770000.00000000
PA
USD
10774997.28000000
0.177283731095
Long
DBT
CORP
HK
N
2
2021-09-20
Floating
0.70663000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUE3
594638.25000000
PA
USD
663462.65000000
0.010916117283
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
31402RRN1
8690.18000000
PA
USD
9968.71000000
0.000164017684
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AJ8
14037104.67000000
PA
USD
14110545.40000000
0.232164340397
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
1.40088000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
Freddie Mac STACR Trust 2018-DNA2
35563TAA9
1960745.23000000
PA
USD
1962804.01000000
0.032294506370
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
0.89163000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CS4
2695000.00000000
PA
USD
2694975.75000000
0.044341111533
Long
DBT
CORP
US
N
2
2021-07-01
Fixed
2.35000000
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
8182383.65000000
0.134626809179
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
0.95100000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAF8
1975000.00000000
PA
USD
1979524.73000000
0.032569616567
Long
DBT
CORP
US
N
2
2021-08-09
Fixed
3.20000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCF1
5480000.00000000
PA
USD
5523544.08000000
0.090880255272
Long
DBT
CORP
US
N
2
2027-04-22
Floating
0.89500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBL8
11225000.00000000
PA
USD
11689928.28000000
0.192337320173
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
2.40000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2019-2
63941RAA8
836152.68000000
PA
USD
836152.68000000
0.013757429633
Long
ABS-O
CORP
US
N
2
2068-02-27
Floating
0.36163000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411HJ35
73275.29000000
PA
USD
73750.36000000
0.001213433159
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
2.16300000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2005-4
64031QCJ8
4904998.39000000
PA
USD
4748996.39000000
0.078136427982
Long
ABS-O
CORP
US
N
2
2032-03-22
Floating
0.36663000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2019-A LLC
28416TAA3
4394398.91000000
PA
USD
4541741.79000000
0.074726416098
Long
ABS-O
CORP
US
N
2
2034-01-25
Fixed
2.61000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564AAK7
3888945.54000000
PA
USD
3895686.64000000
0.064096708775
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
1.34163000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JX0
6190000.00000000
PA
USD
6346328.45000000
0.104417732750
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.85000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148YAB4
5200000.00000000
PA
USD
5213182.00000000
0.085773790175
Long
DBT
CORP
US
N
2
2022-10-31
Floating
0.96550000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-1
03465CAA3
12354242.84000000
PA
USD
12327326.65000000
0.202824595324
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
0.90900000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE15 Mortgage Trust
12591RBD1
6420000.00000000
PA
USD
7008697.31000000
0.115315853632
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.66825600
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJR1
9040000.00000000
PA
USD
9061090.32000000
0.149084390276
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
0.97600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335CHG2
967554.22000000
PA
USD
1119590.26000000
0.018420899182
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
7.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
1365000.00000000
PA
USD
1442986.55000000
0.023741819404
Long
DBT
CORP
N/A
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBQ8
4700000.00000000
PA
USD
4696319.90000000
0.077269728488
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.60000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397VU4
2060000.00000000
PA
USD
2072615.44000000
0.034101261353
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
5.87500000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAA9
1635000.00000000
PA
USD
1669959.57000000
0.027476263395
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
2.00000000
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
3149491.06000000
0.051819365857
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
3.65000000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AP0
5125000.00000000
PA
USD
5129166.63000000
0.084391464233
Long
DBT
CORP
US
N
2
2021-08-15
Floating
1.02588000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAB8
4865000.00000000
PA
USD
4914175.42000000
0.080854159966
Long
DBT
CORP
FR
N
2
2022-05-22
Floating
1.37013000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBU4
30270000.00000000
PA
USD
30265270.31000000
0.497962078664
Long
DBT
UST
US
N
2
2023-03-31
Fixed
0.12500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-2
89172PAJ8
629699.90000000
PA
USD
636034.49000000
0.010464834891
Long
ABS-MBS
CORP
US
N
2
2055-08-25
Variable
2.75000000
N
N
N
N
N
N
LONG ISLAND NY PWR AUTH ELEC S
1R46U5SYJ63KQXF39168
Long Island Power Authority
542691DP2
2460000.00000000
PA
USD
2472121.65000000
0.040674437166
Long
DBT
MUN
US
N
2
2023-03-01
Fixed
0.76400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-LTV1
46591NAF4
3045171.71000000
PA
USD
3060834.86000000
0.050360683176
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402A5W2
1580.98000000
PA
USD
1579.58000000
0.000025989225
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Floating
2.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP1 Trust
67448TAP0
4814919.54000000
PA
USD
4966911.14000000
0.081721833986
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RHH7
30181.70000000
PA
USD
32074.65000000
0.000527732256
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
Synchrony Bank
87166FAA1
3013000.00000000
PA
USD
3087969.47000000
0.050807135716
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BW93
656023.14000000
PA
USD
704360.55000000
0.011589020683
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAH0
7965000.00000000
PA
USD
8267223.96000000
0.136022708065
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.05600000
N
N
N
N
N
N
PORT AUTH OF NEW YORK & NEW JE
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey
73358W4V3
9590000.00000000
PA
USD
9715220.47000000
0.159846957597
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
1.08600000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TAA7
2484063.92000000
PA
USD
2484786.04000000
0.040882807549
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
1.11000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300INMCHM7L5O6M41
SMB Private Education Loan Trust 2018-B
78449LAC2
12024794.80000000
PA
USD
12027483.54000000
0.197891201477
Long
ABS-O
CORP
US
N
2
2037-01-15
Floating
0.83463000
N
N
N
N
N
N
Freddie Mac Whole Loan Securit
N/A
Freddie Mac Whole Loan Securities Trust 2017-SC02
3137G1BY2
567280.81000000
PA
USD
571886.62000000
0.009409393907
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Variable
3.85013400
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2021-1
24380VAC5
3505407.30000000
PA
USD
3507769.24000000
0.057714206558
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.12800000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2019-3 Mortgage Loan Trust
19688CAA0
3678387.16000000
PA
USD
3684568.32000000
0.060623126138
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
2.76400000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST
59166BAA9
2204353.65000000
PA
USD
2254422.46000000
0.037092577825
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
3.00000000
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
4823373.33000000
0.079360170419
Long
ABS-O
CORP
US
N
2
2023-08-21
Fixed
2.77000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAR2
115075000.00000000
PA
USD
115110960.94000000
1.893949493914
Long
DBT
UST
US
N
2
2022-10-31
Fixed
0.12500000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2020-1
36259KAH0
2990000.00000000
PA
USD
3050464.38000000
0.050190055069
Long
ABS-O
CORP
US
N
2
2024-06-20
Fixed
2.28000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFN5
2625000.00000000
PA
USD
2835396.38000000
0.046651487357
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
4.12500000
N
N
N
N
N
N
GZ MTR FIN BVI
30030026WRIFBEGCB472
Guangzhou Metro Investment Finance BVI Ltd
000000000
15000000.00000000
PA
USD
14725164.75000000
0.242276826623
Long
DBT
CORP
VG
N
2
2025-09-17
Fixed
1.50700000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XXVI Ltd
87190GAC5
4230000.00000000
PA
USD
4227850.53000000
0.069561884517
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
1.18924000
N
N
N
N
N
N
IHS MARKIT LTD
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAH0
3580000.00000000
PA
USD
3848500.00000000
0.063320335160
Long
DBT
CORP
BM
N
2
2024-05-01
Fixed
3.62500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS GENERAL MILLS INC
000000000
1.00000000
NC
USD
-196070.13000000
-0.00322599099
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
GENERAL MILLS INC
General Mills Inc
Y
Default Event
2024-12-20
0.00000000
USD
-156233.59000000
USD
-6938000.00000000
USD
-39836.54000000
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare Conduit Receivables Funding LLC
82652KAA2
382301.25000000
PA
USD
387299.11000000
0.006372329336
Long
ABS-O
CORP
US
N
2
2034-03-20
Fixed
2.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6M85
4961058.63000000
PA
USD
5261200.30000000
0.086563847301
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414YEC0
270629.49000000
PA
USD
284721.59000000
0.004684595688
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
2.41500000
N
N
N
N
N
N
TENAGA NASIONAL BERHAD
549300FV8X6UID6I1413
Tenaga Nasional Bhd
000000000
8850000.00000000
PA
USD
10947912.06000000
0.180128741313
Long
DBT
CORP
MY
N
2
2025-11-01
Fixed
7.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
28360000.00000000
PA
USD
30017443.48000000
0.493884521711
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523BV1
5195000.00000000
PA
USD
5454807.15000000
0.089749309334
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.00000000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2018-A
12652VAE7
3105000.00000000
PA
USD
3178346.93000000
0.052294138719
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
3.47000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AV5
2575000.00000000
PA
USD
2652484.33000000
0.043641989549
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.12500000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAH4
14000000.00000000
PA
USD
14048454.00000000
0.231142735029
Long
DBT
CORP
ES
N
2
2023-09-18
Fixed
0.87500000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300FECQ7XLTBL1027
Sequoia Mortgage Trust 2018-CH3
81746WAU2
755577.28000000
PA
USD
775873.07000000
0.012765634100
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.50000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
6200000.00000000
PA
USD
6502250.00000000
0.106983149095
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414SED1
91807.46000000
PA
USD
105302.02000000
0.001732560529
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.00000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAA3
9925000.00000000
PA
USD
9918469.35000000
0.163191062366
Long
DBT
CORP
JP
N
2
2023-03-03
Fixed
0.37300000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2018-CH2
81747EAC1
3390848.45000000
PA
USD
3443627.68000000
0.056658869394
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EGN3
101224.09000000
PA
USD
113990.37000000
0.001875512130
Long
ABS-MBS
USGA
US
N
2
2036-01-20
Fixed
5.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2021-2
85573HAA8
6491521.48000000
PA
USD
6496138.90000000
0.106882601635
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.94300000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAA3
6789253.08000000
PA
USD
6961843.36000000
0.114544953848
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.66000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
1860000.00000000
PA
USD
1957650.00000000
0.032209706152
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCCH7
1234874.83000000
PA
USD
1321222.81000000
0.021738410068
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAD9
9140000.00000000
PA
USD
9403378.24000000
0.154716139221
Long
DBT
CORP
GB
N
2
2023-04-26
Fixed
3.62200000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113ABB5
5511922.31000000
PA
USD
5519781.21000000
0.090818343829
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
0.99163000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KZF4
1653.64000000
PA
USD
1673.04000000
0.000027526946
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
5.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2021-NQM1 Trust
67114BAB3
6890225.68000000
PA
USD
6885766.33000000
0.113293239405
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.17500000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2D2
10620000.00000000
PA
USD
10741312.26000000
0.176729503017
Long
DBT
CORP
CH
N
2
2023-05-05
Fixed
1.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-NQM1
64830VAA1
3288921.46000000
PA
USD
3346449.96000000
0.055059980008
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
2.46413000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2R3
6200000.00000000
PA
USD
6355062.00000000
0.104561428037
Long
DBT
CORP
US
N
2
2024-06-02
Fixed
1.65400000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189TAT4
3885000.00000000
PA
USD
3940734.21000000
0.064837887736
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
3.60000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAE4
4877226.14000000
PA
USD
4941482.62000000
0.081303452172
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.72400000
N
N
N
N
N
N
World Omni Auto Receivables Tr
N/A
World Omni Auto Receivables Trust
98163MAG3
3390000.00000000
PA
USD
3453382.83000000
0.056819373322
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
1.64000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust
39152TAJ9
4200000.00000000
PA
USD
4183952.64000000
0.068839621530
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.73400000
N
N
N
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAA1
5110000.00000000
PA
USD
5116416.12000000
0.084181676896
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
0.90100000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CAA3
2128105.91000000
PA
USD
2128832.87000000
0.035026220820
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
0.91000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBP0
9785000.00000000
PA
USD
9772504.56000000
0.160789467089
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
0.37500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCH7
8300000.00000000
PA
USD
8320932.60000000
0.136906389782
Long
DBT
CORP
US
N
2
2025-06-01
Floating
0.82400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KLN2
702552.14000000
PA
USD
814401.33000000
0.013399549219
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-XL
056054AE9
5175861.91000000
PA
USD
5183158.84000000
0.085279811598
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.18100000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2021-A
80286TAF0
15370000.00000000
PA
USD
15389312.41000000
0.253204214547
Long
ABS-O
CORP
US
N
2
2026-03-20
Fixed
1.14000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
00973RAD5
8926000.00000000
PA
USD
9126835.00000000
0.150166103975
Long
DBT
CORP
NO
N
2
2024-06-15
Fixed
4.75000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
2230000.00000000
PA
USD
2372162.50000000
0.039029784215
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
PEACEHEALTH OBLIGATED GR
N/A
PeaceHealth Obligated Group
70462GAB4
1555000.00000000
PA
USD
1571055.38000000
0.025848967965
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
1.37500000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABQ9
3375000.00000000
PA
USD
3396384.00000000
0.055881557285
Long
DBT
CORP
US
N
2
2022-11-10
Fixed
1.15000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DQ7
9660000.00000000
PA
USD
10216889.34000000
0.168101041263
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MUF2
19651.01000000
PA
USD
19895.52000000
0.000327345977
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Floating
2.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NZ2
784610.53000000
PA
USD
848512.19000000
0.013960783749
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ6B9
245464.10000000
PA
USD
259461.57000000
0.004268986247
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
YONGDA INVESTMENT LTD
300300Y6LHOS618ULI27
Yongda Investment Ltd
000000000
9689000.00000000
PA
USD
9775010.32000000
0.160830694986
Long
DBT
CORP
VG
N
2
2025-06-16
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XZZ0
6550117.02000000
PA
USD
6497520.24000000
0.106905329168
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
0.94163000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AB6
4890000.00000000
PA
USD
4885789.71000000
0.080387122764
Long
DBT
CORP
US
N
2
2024-02-10
Fixed
0.80000000
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
4568289.44000000
0.075163211238
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
4.06500000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAV3
9140000.00000000
PA
USD
8946396.52000000
0.147197304436
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
1.05000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAA1
4744000.00000000
PA
USD
5280347.15000000
0.086878875224
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCV6
13795000.00000000
PA
USD
14557187.55000000
0.239513055646
Long
DBT
CORP
US
N
2
2025-02-26
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EH36
130561.51000000
PA
USD
147797.14000000
0.002431743391
Long
ABS-MBS
USGA
US
N
2
2036-05-20
Fixed
5.00000000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AG4
3505000.00000000
PA
USD
3580266.37000000
0.058907020010
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.70000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2021-2
14314QAF1
4605000.00000000
PA
USD
4623775.05000000
0.076076129887
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
1.34000000
N
N
N
N
N
N
CHICAGO IL TRANSIT AUTH SALES
N/A
Chicago Transit Authority Sales Tax Receipts Fund
16772PCJ3
275000.00000000
PA
USD
281254.93000000
0.004627557862
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
1.83800000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAB5
3783512.17000000
PA
USD
3866624.58000000
0.063618543417
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Fixed
3.02000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AX2
3496000.00000000
PA
USD
3499534.46000000
0.057578717659
Long
DBT
CORP
JP
N
2
2021-07-26
Floating
0.82575000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31342A6S3
491.26000000
PA
USD
493.20000000
0.000008114743
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Floating
2.34400000
N
N
N
N
N
N
Synchrony Card Issuance Trust
N/A
Synchrony Card Funding LLC
87166PAF8
13765000.00000000
PA
USD
14079621.10000000
0.231655535138
Long
ABS-O
CORP
US
N
2
2025-06-15
Fixed
2.34000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAX9
153875000.00000000
PA
USD
153923085.94000000
2.532535115137
Long
DBT
UST
US
N
2
2022-11-30
Fixed
0.12500000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
693483AG4
5205000.00000000
PA
USD
5335846.67000000
0.087792022738
Long
DBT
CORP
KR
N
2
2023-01-17
Fixed
2.37500000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAC4
3263000.00000000
PA
USD
3426150.00000000
0.056371304744
Long
DBT
CORP
KY
N
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCA1
4115000.00000000
PA
USD
4459404.93000000
0.073371707102
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
3.90000000
N
N
N
N
N
N
BANCO DEL ESTADO -CHILE
5493004R4EJC0W0XVQ72
Banco del Estado de Chile
05965MAG8
4585000.00000000
PA
USD
4779908.35000000
0.078645030208
Long
DBT
CORP
CL
N
2
2025-01-09
Fixed
2.70400000
N
N
N
N
N
N
Vista Point Securitization Tru
N/A
Vista Point Securitization Trust 2020-1
92838WAA2
2598205.64000000
PA
USD
2625496.67000000
0.043197954815
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
1.76300000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69349LAK4
4870000.00000000
PA
USD
5070575.82000000
0.083427454950
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
2.95000000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AK9
10650000.00000000
PA
USD
11195812.50000000
0.184207509390
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283H6N0
404180.59000000
PA
USD
467677.15000000
0.007694809376
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
SKY LTD
2138003TS48MQKF4BZ29
Sky Ltd
111013AL2
2840000.00000000
PA
USD
3091180.96000000
0.050859975166
Long
DBT
CORP
GB
N
2
2024-09-16
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UEL4
905539.20000000
PA
USD
1031367.13000000
0.016969341911
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAH3
2540000.00000000
PA
USD
2673370.80000000
0.043985639876
Long
DBT
CORP
US
N
2
2049-10-15
Variable
3.86900000
N
N
N
N
N
N
GOLUB CAPITAL PARTNERS CLO 39(
254900UTQO35BUTIHC49
Golub Capital Partners CLO 39B Ltd
38176LAA9
5557140.68000000
PA
USD
5560460.52000000
0.091487650713
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
1.33825000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QEQ8
320049.21000000
PA
USD
336590.81000000
0.005538012966
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJY1
29305.09000000
PA
USD
34781.45000000
0.000572267915
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAJ8
4555000.00000000
PA
USD
4811218.75000000
0.079160188067
Long
DBT
CORP
CA
N
2
2023-09-15
Fixed
3.80000000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/F
N/A
Ford Credit Auto Owner Trust 2019-REV1
34532PAB6
5000000.00000000
PA
USD
5377522.00000000
0.088477717388
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
3.82000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BV1
4160000.00000000
PA
USD
4190268.16000000
0.068943532363
Long
DBT
CORP
GB
N
2
2023-10-14
Fixed
1.31900000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAL5
5175000.00000000
PA
USD
5284394.33000000
0.086945464491
Long
DBT
CORP
US
N
2
2022-05-26
Fixed
2.65000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CH8
13135000.00000000
PA
USD
14109288.63000000
0.232143662445
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KEL9
5855000.00000000
PA
USD
5952172.51000000
0.097932586271
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
2.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY44
22639.85000000
PA
USD
22872.41000000
0.000376325494
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJV2
1349566.31000000
PA
USD
1546316.59000000
0.025441934453
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Galton Funding Mortgage Trust
N/A
Galton Funding Mortgage Trust 2020-H1
36418HAA0
3120353.06000000
PA
USD
3180647.95000000
0.052331997978
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.31000000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAL8
1495000.00000000
PA
USD
1498450.46000000
0.024654381018
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
1.60100000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2014-A LLC
284157AA2
259571.31000000
PA
USD
259799.47000000
0.004274545800
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
2.53000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030660
3380000.00000000
PA
USD
3530037.02000000
0.058080583924
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
3.00000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAQ6
32030000.00000000
PA
USD
32802211.27000000
0.539703004186
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
2.85000000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AB9
15635000.00000000
PA
USD
17700930.73000000
0.291237850193
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.60000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAS0
7665000.00000000
PA
USD
7870268.70000000
0.129491503672
Long
DBT
CORP
DK
N
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L4Q49
10852.44000000
PA
USD
12191.44000000
0.000200588818
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFZ7
5545000.00000000
PA
USD
5593402.31000000
0.092029650241
Long
DBT
CORP
US
N
2
2022-10-21
Fixed
2.50300000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-2 Receivables Funding LLC
82652MAA8
5153965.09000000
PA
USD
5306597.70000000
0.087310782103
Long
ABS-O
CORP
US
N
2
2036-05-20
Fixed
2.59000000
N
N
N
N
N
N
AETNA INC
549300QKBENKLBXQ8968
Aetna Inc
00817YAV0
4055000.00000000
PA
USD
4232158.90000000
0.069632771209
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DE70
19830.97000000
PA
USD
23555.15000000
0.000387558787
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
31409WX48
11641.15000000
PA
USD
11712.39000000
0.000192706888
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
6.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBA7
10945000.00000000
PA
USD
10945273.63000000
0.180085330562
Long
DBT
CORP
US
N
2
2021-08-28
Floating
0.73975000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERYP9
4215839.42000000
PA
USD
4529699.39000000
0.074528279472
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.00000000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAG3
11075000.00000000
PA
USD
11879709.50000000
0.195459838156
Long
DBT
CORP
IT
N
2
2023-09-12
Fixed
4.00000000
N
N
N
N
N
N
FLORIDA ST BRD OF ADMIN FIN CO
549300S34SOJ0RULXM35
State Board of Administration Finance Corp
341271AD6
11160000.00000000
PA
USD
11293305.08000000
0.185811579246
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
1.25800000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
4755000.00000000
PA
USD
4844703.08000000
0.079711114142
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410X7L4
323.00000000
PA
USD
323.98000000
0.000005330524
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJX8
1029126.55000000
PA
USD
1090497.12000000
0.017942222457
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-UBS5 Mortgage Trust
12592KBC7
9680000.00000000
PA
USD
10548273.74000000
0.173553391861
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Fixed
3.83800000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-NQM1
64830VAC7
2588549.03000000
PA
USD
2622343.31000000
0.043146071792
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
2.76905000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PFAQ8
99.69000000
PA
USD
100.07000000
0.000001646476
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
31418MZ47
980757.49000000
PA
USD
1136865.44000000
0.018705132049
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CQ0
3255000.00000000
PA
USD
3306858.66000000
0.054408574426
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAA2
1865000.00000000
PA
USD
1869944.30000000
0.030766662285
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
1.05100000
N
N
N
N
N
N
Galton Funding Mortgage Trust
N/A
Galton Funding Mortgage Trust 2020-H1
36418HAD4
4592000.00000000
PA
USD
4636119.02000000
0.076279228319
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.83200000
N
N
N
N
N
N
HEALTH CARE SERVICE CORP
549300TMJ1FKCKECR148
Health Care Service Corp A Mutual Legal Reserve Co
42218SAD0
11700000.00000000
PA
USD
11909664.00000000
0.195952687053
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.50000000
N
N
N
N
N
N
HCL AMERICA INC
549300CBM0L7W7N2EB94
HCL America Inc
40480HAA5
15000000.00000000
PA
USD
14899667.40000000
0.245147962464
Long
DBT
CORP
US
N
2
2026-03-10
Fixed
1.37500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
32425000.00000000
PA
USD
33678258.68000000
0.554116831811
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46400000
N
N
N
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Trust 2021-MHC2
55293AAG2
5660000.00000000
PA
USD
5663551.65000000
0.093183834916
Long
ABS-MBS
CORP
US
N
2
2023-05-15
Floating
1.20100000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
13190000.00000000
PA
USD
13661225.94000000
0.224771574696
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAF0
10600000.00000000
PA
USD
10815339.00000000
0.177947483526
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.35000000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAC3
15030000.00000000
PA
USD
15769821.69000000
0.259464829109
Long
DBT
CORP
IE
N
2
2023-09-23
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PERY6
1282.72000000
PA
USD
1284.85000000
0.000021139959
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BD3
2400000.00000000
PA
USD
2520048.00000000
0.041462981416
Long
DBT
CORP
US
N
2
2023-05-12
Fixed
3.12500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174824M3
5035000.00000000
PA
USD
5343167.18000000
0.087912468924
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RR92
376448.50000000
PA
USD
436376.37000000
0.007179809797
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAF2
10987000.00000000
PA
USD
11648263.58000000
0.191651800420
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
4.12500000
N
N
N
N
N
N
CONNECTICUT ST
5493007GRO6CU0IKP741
State of Connecticut
20772KJW0
1925000.00000000
PA
USD
2013327.47000000
0.033125781522
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
1.99800000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020661
2150000.00000000
PA
USD
2171374.48000000
0.035726168593
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAC1
2611208.16000000
PA
USD
2649915.93000000
0.043599731020
Long
ABS-MBS
CORP
US
N
2
2049-09-27
Variable
2.91600000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JC6
1020000.00000000
PA
USD
1057694.10000000
0.017402506147
Long
DBT
CORP
US
N
2
2022-11-09
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGQS6
14247.30000000
PA
USD
14545.85000000
0.000239326516
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAB1
4120000.00000000
PA
USD
4114446.24000000
0.067696015308
Long
DBT
CORP
JP
N
2
2024-03-01
Fixed
0.58300000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-C
63941KAB1
20035000.00000000
PA
USD
20674134.53000000
0.340156717574
Long
ABS-O
CORP
US
N
2
2068-11-15
Fixed
2.15000000
N
N
N
N
N
N
HOUSTON TX ARPT SYS REVENUE
N/A
City of Houston TX Airport System Revenue
442349EJ1
575000.00000000
PA
USD
578570.75000000
0.009519369573
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
0.88300000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740BD0
11395000.00000000
PA
USD
11651216.58000000
0.191700386870
Long
DBT
CORP
US
N
2
2022-09-28
Fixed
2.60000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBH2
6195000.00000000
PA
USD
6179512.50000000
0.101673068111
Long
DBT
CORP
US
N
2
2022-09-09
Floating
1.28538000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415AY70
9263.81000000
PA
USD
9266.31000000
0.000152460921
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
2.35300000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAV5
7615000.00000000
PA
USD
7632423.12000000
0.125578170726
Long
DBT
CORP
NL
N
2
2023-03-11
Fixed
0.40000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-1
03067DAF2
5255000.00000000
PA
USD
5356816.15000000
0.088137038848
Long
ABS-O
CORP
US
N
2
2025-10-20
Fixed
1.59000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAU9
9385000.00000000
PA
USD
9592558.66000000
0.157828772091
Long
DBT
CORP
US
N
2
2022-02-04
Fixed
4.05000000
N
N
N
N
N
N
Nissan Auto Receivables Owner
N/A
Nissan Auto Receivables 2020-A Owner Trust
65479MAC0
2840000.00000000
PA
USD
2882506.00000000
0.047426593743
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
1.38000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CN8
2840000.00000000
PA
USD
2845256.84000000
0.046813723977
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.61300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QD71
1419854.58000000
PA
USD
1490694.53000000
0.024526770757
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQS7
2526042.84000000
PA
USD
2759208.97000000
0.045397956803
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
5.00000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AA9
8504000.00000000
PA
USD
8898287.96000000
0.146405762239
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
3.04300000
N
N
N
N
N
N
WESTERN UNION CO/THE
28ID94QU1140NC23S047
Western Union Co/The
959802AY5
8632000.00000000
PA
USD
9148279.92000000
0.150518942620
Long
DBT
CORP
US
N
2
2025-01-10
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388RNR4
44133.88000000
PA
USD
44719.26000000
0.000735777194
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Floating
2.09000000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding Ltd
12547DAA4
15375000.00000000
PA
USD
15375000.00000000
0.252968728878
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFC24
2607920.51000000
PA
USD
2907357.72000000
0.047835485321
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31336SLR7
1087.05000000
PA
USD
1085.28000000
0.000017856383
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
2.33600000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886BZ6
5910000.00000000
PA
USD
6038394.16000000
0.099351212690
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
2.70000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-2
13976CAE6
2889534.93000000
PA
USD
2901447.62000000
0.047738244965
Long
ABS-O
CORP
US
N
2
2023-12-20
Fixed
3.69000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP3 Trust
67448WAP3
5732891.32000000
PA
USD
5824293.67000000
0.095828563662
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-150E
61764BAA1
9590000.00000000
PA
USD
10359963.84000000
0.170455081875
Long
ABS-MBS
CORP
US
N
2
2032-09-09
Fixed
3.91200000
N
N
N
N
N
N
Symphony CLO Ltd
54930001DQI1CFLYVB48
Symphony CLO XXIII Ltd
87167NAC9
7275000.00000000
PA
USD
7296732.53000000
0.120054969305
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.50375000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WCZ4
10540000.00000000
PA
USD
10545786.46000000
0.173512468019
Long
DBT
CORP
US
N
2
2021-08-06
Floating
0.49538000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MBK30
58716.60000000
PA
USD
61118.38000000
0.001005596025
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-NUGS
61692AAL6
4445000.00000000
PA
USD
4471402.86000000
0.073569112051
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
3.30000000
N
N
N
N
N
N
OCP CLO Ltd
254900NUK1R46EK6YF62
OCP CLO 2014-7 Ltd
67107KAZ9
21700000.00000000
PA
USD
21699972.88000000
0.357035093082
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
1.30825000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAS6
10350000.00000000
PA
USD
10595822.85000000
0.174335729286
Long
DBT
CORP
FR
N
2
2022-11-21
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LL96
22199.06000000
PA
USD
23512.28000000
0.000386853436
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
2.69100000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCT4
1335000.00000000
PA
USD
1377279.45000000
0.022660724017
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.25000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BJ8
1325000.00000000
PA
USD
1396467.85000000
0.022976435572
Long
DBT
CORP
GB
N
2
2024-03-15
Fixed
3.88500000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAN4
13725000.00000000
PA
USD
14332441.05000000
0.235815245147
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.24200000
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
3320679.85000000
0.054635977929
Long
ABS-MBS
CORP
US
N
2
2047-10-15
Variable
4.11000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335APZ5
3649368.06000000
PA
USD
3943858.92000000
0.064889299373
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AB4
5345000.00000000
PA
USD
5441268.80000000
0.089526559467
Long
DBT
CORP
CH
N
2
2023-01-09
Fixed
3.57400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QTE91
194430.34000000
PA
USD
204532.99000000
0.003365232552
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Floating
2.32000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MB2H9
75563.85000000
PA
USD
78709.65000000
0.001295029600
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABE6
14200000.00000000
PA
USD
14591110.60000000
0.240071200091
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
2.37500000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-A
80285JAG1
3988985.09000000
PA
USD
4012091.69000000
0.066011950241
Long
ABS-O
CORP
US
N
2
2022-06-20
Fixed
2.77000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NGAT2
127083.04000000
PA
USD
129432.57000000
0.002129586517
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
2.47200000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAJ3
1605000.00000000
PA
USD
1650228.90000000
0.027151629735
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.35000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
7705000.00000000
PA
USD
8391268.94000000
0.138063651214
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L5AC5
15489.53000000
PA
USD
17399.27000000
0.000286274550
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2012-C6
92936QAJ7
6351000.00000000
PA
USD
6487765.61000000
0.106744833796
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
31404A3G7
351819.20000000
PA
USD
362568.94000000
0.005965437650
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Floating
1.61600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ5F1
331885.36000000
PA
USD
348576.33000000
0.005735213731
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.50000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300WFCL37N4TDUR08
Magnetite XXV Ltd
55955GAA1
6240000.00000000
PA
USD
6244009.45000000
0.102734252596
Long
ABS-CBDO
CORP
KY
N
2
2032-01-25
Floating
1.45474000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AZ5
4755000.00000000
PA
USD
4890522.26000000
0.080464988595
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
2.70000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
5170000.00000000
PA
USD
5637905.68000000
0.092761875343
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2018-CH2
81747EAW7
1295248.77000000
PA
USD
1313618.51000000
0.021613294614
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XVQ6
274.23000000
PA
USD
274.99000000
0.000004524479
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMT7
35150.80000000
PA
USD
41751.62000000
0.000686949869
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BG6
5475000.00000000
PA
USD
5502342.15000000
0.090531414604
Long
DBT
CORP
US
N
2
2022-11-23
Fixed
0.75000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2019-1 LLC
29374AAB0
1634189.42000000
PA
USD
1650602.89000000
0.027157783087
Long
ABS-O
CORP
US
N
2
2024-10-20
Fixed
2.98000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2A9
15195000.00000000
PA
USD
15179744.22000000
0.249756136587
Long
DBT
CORP
AU
N
2
2026-05-05
Fixed
1.45000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXV Ltd
55819MAN6
8915000.00000000
PA
USD
8911313.02000000
0.146620066816
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
1.17825000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2021-PJ5
36261HAJ9
15160000.00000000
PA
USD
15510575.00000000
0.255199378336
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAP4
1385000.00000000
PA
USD
1435697.93000000
0.023621897912
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
3.20000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZH9
3610000.00000000
PA
USD
3644984.51000000
0.059971843790
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
3.81300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFV6
490658.78000000
PA
USD
561912.45000000
0.009245286388
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
31403DDX4
187432.31000000
PA
USD
217186.63000000
0.003573426063
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410K4E1
26874.80000000
PA
USD
27970.67000000
0.000460208444
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XHT4
3926838.61000000
PA
USD
3943483.30000000
0.064883119203
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
1.44163000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ENBRIDGE INC
000000000
1.00000000
NC
USD
280998.22000000
0.004623334148
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ENBRIDGE INC
Enbridge Inc
Y
Default Event
2023-06-20
0.00000000
USD
-585831.61000000
USD
20250000.00000000
USD
866829.83000000
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2017-1
31574XAC2
2216729.03000000
PA
USD
2217616.16000000
0.036486994545
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.10600000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GGV5
6570000.00000000
PA
USD
6556722.03000000
0.107879391059
Long
DBT
CORP
US
N
2
2024-01-07
Fixed
0.40000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
22120000.00000000
PA
USD
23226000.00000000
0.382143199799
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP CDS CDX.NA.IG.36.V1
000000000
1.00000000
NC
USD
-87745.26000000
-0.00144369475
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS CDX.NA.IG.36.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
US
IHS MARKIT LTD
CDX.NA.IG.36.V1
Default Event
2026-06-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-202600000.00000000
USD
70.00000000
USD
2021-07-21
XXXX
74334.74000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4GD2
7959533.66000000
PA
USD
9548236.60000000
0.157099530128
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAA2
15624.26000000
PA
USD
15624.26000000
0.000257069866
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
0.84163000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAN9
455000.00000000
PA
USD
492537.50000000
0.008103842946
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CA63
213506.38000000
PA
USD
246938.50000000
0.004062941037
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YBA7
5750000.00000000
PA
USD
5817827.00000000
0.095722165920
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCLD6
504579.48000000
PA
USD
539072.54000000
0.008869495623
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.00000000
N
N
N
N
N
N
CK HUTCH INTL 17 II LTD
254900F7C0PB6TKONV55
CK Hutchison International 17 II Ltd
000000000
10400000.00000000
PA
USD
10806848.00000000
0.177807778974
Long
DBT
CORP
KY
N
2
2023-03-29
Fixed
2.75000000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AM7
4780000.00000000
PA
USD
4812575.70000000
0.079182514306
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
3.60000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M
46652RAG9
8240000.00000000
PA
USD
8262998.66000000
0.135953188145
Long
ABS-MBS
CORP
US
N
2
2033-10-15
Floating
1.87100000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XM92
7794825.02000000
PA
USD
7753542.85000000
0.127570984004
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
0.94163000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2A2
13480000.00000000
PA
USD
13763299.32000000
0.226451013603
Long
DBT
CORP
SA
N
2
2022-04-16
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PFBH7
12.25000000
PA
USD
12.28000000
0.000000202045
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EBJ2
944229.95000000
PA
USD
952998.16000000
0.015679917603
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5ZM8
1757358.21000000
PA
USD
1862034.67000000
0.030636523160
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH70
222714.07000000
PA
USD
245617.42000000
0.004041204977
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.50000000
N
N
N
N
N
N
SINOSING SERV P L
549300UVDH5NQRVTJG47
Sinosing Services Pte Ltd
000000000
16700000.00000000
PA
USD
17088911.27000000
0.281168140610
Long
DBT
CORP
SG
N
2
2025-02-20
Fixed
2.25000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-A
63941FAB2
6155000.00000000
PA
USD
6385812.50000000
0.105067373722
Long
ABS-O
CORP
US
N
2
2068-11-15
Fixed
2.46000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAZ1
1930000.00000000
PA
USD
2138357.01000000
0.035182923883
Long
DBT
CORP
N/A
N
2
2024-03-01
Fixed
4.87500000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAF2
2125000.00000000
PA
USD
2172219.63000000
0.035740074058
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
3.66600000
N
N
N
N
N
N
Navistar Financial Dealer Note
N/A
Navistar Financial Dealer Note Master Trust
63938PBM0
5475000.00000000
PA
USD
5521032.71000000
0.090838935072
Long
ABS-O
CORP
US
N
2
2025-07-25
Floating
1.04163000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AH3
2740000.00000000
PA
USD
2741964.58000000
0.045114230532
Long
DBT
CORP
US
N
2
2022-08-10
Floating
0.61200000
N
N
N
N
N
N
BRIGHTHSE FIN GLBL FUND
549300BLFX3KJ2IFOA78
Brighthouse Financial Global Funding
10921U2A5
7275000.00000000
PA
USD
7299014.78000000
0.120092519737
Long
DBT
CORP
US
N
2
2024-04-12
Fixed
1.00000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAD4
1631000.00000000
PA
USD
1734738.12000000
0.028542081115
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
4.12500000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-3
43800KAC1
2503616.16000000
PA
USD
2530080.13000000
0.041628042565
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.03100000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NW5
1693835.67000000
PA
USD
1698755.08000000
0.027950043139
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
1.29163000
N
N
N
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AJ0
10390000.00000000
PA
USD
11212773.71000000
0.184486576430
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
3.75000000
N
N
N
N
N
N
World OMNI Select Auto Trust
N/A
World Omni Select Auto Trust 2020-A
98163DAF5
4660000.00000000
PA
USD
4706657.32000000
0.077439812650
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
1.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
-1264.00000000
NC
USD
-258538.56000000
-0.00425379973
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
UNITED STATES TREASURY NOTE/BOND
2021-09-21
-166510461.44000000
USD
-258538.56000000
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
19955000.00000000
PA
USD
21202187.50000000
0.348844905451
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.87500000
N
N
N
N
N
N
COCA-COLA EUROPACIFIC
549300LTH67W4GWMRF57
Coca-Cola Europacific Partners PLC
19123MAE3
17240000.00000000
PA
USD
17248395.88000000
0.283792180874
Long
DBT
CORP
GB
N
2
2024-05-03
Fixed
0.80000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust
78449XAA0
3161925.25000000
PA
USD
3181669.58000000
0.052348807113
Long
ABS-O
CORP
US
N
2
2053-07-15
Fixed
1.29000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MLYC5
72689.25000000
PA
USD
78593.18000000
0.001293113290
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
CC HOLDINGS GS V LLC/CRO
N/A
CC Holdings GS V LLC / Crown Castle GS III Corp
14987BAE3
21993000.00000000
PA
USD
23336728.31000000
0.383965040439
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.84900000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAB4
12367000.00000000
PA
USD
12661050.16000000
0.208315431885
Long
DBT
CORP
NL
N
2
2022-05-25
Fixed
2.87500000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571900BB4
5967000.00000000
PA
USD
6381020.30000000
0.104988526454
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.60000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAE3
5080000.00000000
PA
USD
5466562.60000000
0.089942724699
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.87500000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAY9
7280000.00000000
PA
USD
7482376.72000000
0.123109419697
Long
DBT
CORP
GB
N
2
2023-01-13
Fixed
2.10000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-1
85571KAA3
3045821.46000000
PA
USD
3063674.85000000
0.050407410243
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
2.94100000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2019-3 LLC
29374WAB2
2002166.75000000
PA
USD
2032050.29000000
0.033433832772
Long
ABS-O
CORP
US
N
2
2025-05-20
Fixed
2.06000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GENERAL ELECTRIC CO
000000000
1.00000000
NC
USD
88999.62000000
0.001464333056
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2021-12-20
0.00000000
USD
0.00000000
USD
14000000.00000000
USD
88999.62000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QAR9
5409435.80000000
PA
USD
5409434.18000000
0.089002776485
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.35100000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KAA7
3440000.00000000
PA
USD
3440000.00000000
0.056599182266
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
0.66000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-3
03066PAE9
3915000.00000000
PA
USD
3948717.94000000
0.064969246047
Long
ABS-O
CORP
US
N
2
2026-08-18
Fixed
1.06000000
N
N
N
N
N
N
AMPHENOL CORP
549300D3L3G0R4U4VT04
Amphenol Corp
032095AK7
6720000.00000000
PA
USD
6970239.36000000
0.114683095341
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
2.05000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA TOWER TRUST
78403DAT7
4260000.00000000
PA
USD
4285968.53000000
0.070518114539
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
1.63100000
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
Boral Finance Pty Ltd
09952AAA4
1070000.00000000
PA
USD
1095028.37000000
0.018016776250
Long
DBT
CORP
AU
N
2
2022-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032662
2035000.00000000
PA
USD
2137427.13000000
0.035167624334
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
3.50000000
N
N
N
N
N
N
KOREA HYDRO & NUCLEAR PO
9884008CRY5MLCN8OQ43
Korea Hydro & Nuclear Power Co Ltd
50064YAP8
12038000.00000000
PA
USD
12009710.70000000
0.197598780486
Long
DBT
NUSS
KR
N
2
2026-04-27
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MMN9
31398.60000000
PA
USD
32678.94000000
0.000537674791
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
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
10488134.20000000
0.172563900935
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust
30165XAE5
3935000.00000000
PA
USD
3934168.93000000
0.064729867539
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
0.98000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUV7
1242418.59000000
PA
USD
1324881.25000000
0.021798603299
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B13K8
2975758.75000000
PA
USD
3022179.99000000
0.049724684911
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
4.00000000
N
N
N
N
N
N
FORTINET INC
549300O0QJWDBAS0QX03
Fortinet Inc
34959EAA7
5710000.00000000
PA
USD
5630562.48000000
0.092641055833
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.00000000
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
5542314.17000000
0.091189084268
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
2.40000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2020-2
43789XAA2
3573089.27000000
PA
USD
3598202.73000000
0.059202131437
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.65700000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
4470000.00000000
PA
USD
4765560.87000000
0.078408967523
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300Y2YE54ON4DJE28
NEUBERGER BERMAN LOAN ADVISERS CLO 40 LTD
64134JAA1
4060000.00000000
PA
USD
4070728.75000000
0.066976720487
Long
ABS-CBDO
CORP
KY
N
2
2033-04-16
Floating
1.24788000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AR4
760000.00000000
PA
USD
766514.72000000
0.012611658821
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.30000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-INV1
12560AAB0
7675722.01000000
PA
USD
7798936.54000000
0.128317857764
Long
ABS-MBS
CORP
US
N
2
2050-04-25
Variable
2.50000000
N
N
N
N
N
N
GATX CORP
549300IHYHCQP2PIR591
GATX Corp
361448AQ6
5640000.00000000
PA
USD
5954424.36000000
0.097969636523
Long
DBT
CORP
US
N
2
2023-03-30
Fixed
3.90000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-2
89175VAA1
12578526.41000000
PA
USD
13080579.42000000
0.215218051958
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JPP46
278667.93000000
PA
USD
282204.67000000
0.004643184172
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Floating
2.50400000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-1
89176EAA8
2010547.00000000
PA
USD
2080747.66000000
0.034235062807
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAG3
5320000.00000000
PA
USD
5330145.24000000
0.087698215681
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
3.35000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AW7
6475000.00000000
PA
USD
6679189.13000000
0.109894372953
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
2.60000000
N
N
N
N
N
N
SMB Private Education Loan Tru
5493008SQ2WS8HE83M61
SMB Private Education Loan Trust 2016-B
78449GAB5
4968205.50000000
PA
USD
5101211.81000000
0.083931516573
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
31412VCC0
155515.55000000
PA
USD
163018.22000000
0.002682179635
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.50000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2020-1
64034GAA8
2638550.30000000
PA
USD
2632451.03000000
0.043312376643
Long
ABS-O
CORP
US
N
2
2068-03-26
Floating
0.83163000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
12365000.00000000
PA
USD
12648084.31000000
0.208102101505
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2017-1
31574XAA6
2621793.97000000
PA
USD
2622839.28000000
0.043154232111
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
0.79700000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAN0
7240000.00000000
PA
USD
7605183.43000000
0.125129989279
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.83600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHKY1
3284825.58000000
PA
USD
3520039.33000000
0.057916089425
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AV6
10345000.00000000
PA
USD
10360496.81000000
0.170463850964
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2020-1
85573AAB1
3371223.46000000
PA
USD
3413926.07000000
0.056170181360
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.40800000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AH1
6676000.00000000
PA
USD
6834882.32000000
0.112456032033
Long
DBT
CORP
KY
N
2
2022-07-06
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RF87
183945.55000000
PA
USD
210758.54000000
0.003467663087
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAU5
13375000.00000000
PA
USD
13465856.38000000
0.221557110354
Long
DBT
CORP
DK
N
2
2022-09-20
Fixed
3.00100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MHSV9
135684.06000000
PA
USD
147962.01000000
0.002434456038
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAB1
385505.60000000
PA
USD
393963.94000000
0.006481987455
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.96000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDU6
2320000.00000000
PA
USD
2482838.48000000
0.040850763856
Long
DBT
CORP
US
N
2
2023-05-22
Fixed
4.10000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAF5
2446402.22000000
PA
USD
2464872.80000000
0.040555170020
Long
ABS-O
CORP
US
N
2
2023-06-19
Fixed
2.69000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZY9
54280000.00000000
PA
USD
54246075.00000000
0.892524269227
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LAE2
324920.71000000
PA
USD
332759.70000000
0.005474978753
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SNV5
19445.09000000
PA
USD
20751.97000000
0.000341437364
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QTFG4
25661.77000000
PA
USD
26535.18000000
0.000436589967
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Floating
2.56300000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS AT&T INC
000000000
1.00000000
NC
USD
184345.70000000
0.003033086009
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
AT&T INC
AT&T Inc
Y
Default Event
2022-12-20
117514.46000000
USD
0.00000000
USD
14500000.00000000
USD
66831.24000000
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CM8
4503000.00000000
PA
USD
4827013.37000000
0.079420060909
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-1
03063FAE4
6385000.00000000
PA
USD
6395190.46000000
0.105221671648
Long
ABS-O
CORP
US
N
2
2026-10-19
Fixed
0.89000000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/F
N/A
Ford Credit Auto Owner Trust 2020-REV2
34532JAC8
4600000.00000000
PA
USD
4640919.30000000
0.076358208529
Long
ABS-O
CORP
US
N
2
2033-04-15
Fixed
1.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413VJY4
176504.41000000
PA
USD
184253.26000000
0.003031565071
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Floating
2.09700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412EX35
54.02000000
PA
USD
54.28000000
0.000000893082
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
6.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
2442000.00000000
PA
USD
2581767.87000000
0.042478473907
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
BRE Grand Islander Timeshare I
N/A
BRE Grand Islander Timeshare Issuer 2019-A LLC
05588UAA0
1920792.86000000
PA
USD
2015455.10000000
0.033160787951
Long
ABS-O
CORP
US
N
2
2033-09-26
Fixed
3.28000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C6L0
243339.86000000
PA
USD
279300.13000000
0.004595395047
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776696AE6
11005000.00000000
PA
USD
11368462.14000000
0.187048157193
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEEH1
6405297.21000000
PA
USD
6854853.76000000
0.112784627142
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.50000000
N
N
N
N
N
N
CIFC Funding Ltd
549300H3BLEZ8XSDXO87
CIFC Funding 2015-V Ltd
12547UAL2
6319333.42000000
PA
USD
6309761.59000000
0.103816089037
Long
ABS-CBDO
CORP
KY
N
2
2027-10-25
Floating
1.03575000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFL3
4475000.00000000
PA
USD
4573226.25000000
0.075244437810
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NC6J8
34626.90000000
PA
USD
34806.81000000
0.000572685169
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
2.21600000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
2942000.00000000
PA
USD
3142803.27000000
0.051709329972
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
CONNECTICUT ST
5493007GRO6CU0IKP741
State of Connecticut
20772KJV2
770000.00000000
PA
USD
797215.34000000
0.013116783818
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
2.00000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740BJ7
2395000.00000000
PA
USD
2417788.43000000
0.039780479078
Long
DBT
CORP
US
N
2
2021-09-21
Fixed
3.65000000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807CS4
6565000.00000000
PA
USD
7075290.89000000
0.116411534496
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403VLM9
13506.49000000
PA
USD
13501.96000000
0.000222151132
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Floating
2.15500000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVb Trust 2017-SPL4
07331YAA8
1859716.66000000
PA
USD
1908841.26000000
0.031406643718
Long
ABS-MBS
CORP
US
N
2
2055-01-28
Variable
3.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-1
03065FAF9
546478.91000000
PA
USD
547452.52000000
0.009007373535
Long
ABS-O
CORP
US
N
2
2022-08-18
Fixed
2.71000000
N
N
N
N
N
N
Planet Fitness Master Issuer L
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAA1
5942625.00000000
PA
USD
5987194.69000000
0.098508814977
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.26200000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAM6
2123000.00000000
PA
USD
2319538.85000000
0.038163954111
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
4.30000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BX6
17505000.00000000
PA
USD
17741335.01000000
0.291902631940
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2021-2
61772LAQ4
3015000.00000000
PA
USD
3093672.81000000
0.050900974199
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.50000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DN1
8125000.00000000
PA
USD
8243015.63000000
0.135624402344
Long
DBT
CORP
US
N
2
2021-11-05
Fixed
3.75000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JE8
32894000.00000000
PA
USD
32904657.66000000
0.541388580320
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAA6
14454526.00000000
PA
USD
14860169.14000000
0.244498087691
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DPZ6
1231787.09000000
PA
USD
1406269.48000000
0.023137704248
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGF5
6085000.00000000
PA
USD
6120694.61000000
0.100705322623
Long
DBT
CORP
US
N
2
2024-03-22
Fixed
0.75000000
N
N
N
N
N
N
CREDICORP LTD
529900UYAEYQCQ2BKB17
Credicorp Ltd
22530EAA0
2715000.00000000
PA
USD
2724841.88000000
0.044832506457
Long
DBT
CORP
BM
N
2
2025-06-17
Fixed
2.75000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C23
46643ABE2
8280000.00000000
PA
USD
9044503.99000000
0.148811491231
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
3.93420000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAL2
1920000.00000000
PA
USD
2019653.76000000
0.033229869557
Long
DBT
CORP
NL
N
2
2024-09-10
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A3K1
1643962.19000000
PA
USD
1944313.74000000
0.031990281323
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCB9
5425000.00000000
PA
USD
5790932.53000000
0.095279664463
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.30000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAP4
6245000.00000000
PA
USD
7057274.66000000
0.116115108948
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617N3ME3
210569.39000000
PA
USD
228749.06000000
0.003763665622
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2019-A
43284HAB5
2867088.13000000
PA
USD
2941960.99000000
0.048404821596
Long
ABS-O
CORP
US
N
2
2033-07-25
Fixed
2.54000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP2 Trust
67113KAL2
1123781.15000000
PA
USD
1118094.03000000
0.018396281335
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Floating
1.29163000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBH2
2980000.00000000
PA
USD
3121272.86000000
0.051355084739
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
2.93700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M1TU3
36.21000000
PA
USD
36.33000000
0.000000597746
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
5.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV2
92537HAA9
6563948.68000000
PA
USD
6678045.86000000
0.109875562445
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.91300000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBD6
4030000.00000000
PA
USD
4282499.65000000
0.070461040187
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
NUCOR CORP
549300GGJCRSI2TIEJ46
Nucor Corp
670346AR6
2330000.00000000
PA
USD
2411547.67000000
0.039677798290
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410X7M2
1585.96000000
PA
USD
1591.04000000
0.000026177779
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
5.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDE1
3155000.00000000
PA
USD
3423015.67000000
0.056319734827
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
4.95000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BJ0
1360000.00000000
PA
USD
1407416.40000000
0.023156574810
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.90000000
N
N
N
N
N
N
RLGH TRUST 2021-TROT
N/A
RLGH TRUST 2021-TROT
74969CAA5
5580000.00000000
PA
USD
5581655.03000000
0.091836369299
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
0.91000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDH4
1960000.00000000
PA
USD
1995097.52000000
0.032825839585
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
3.70000000
N
N
N
N
N
N
ASTRAZENECA PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AR9
3100000.00000000
PA
USD
3301500.00000000
0.054320407049
Long
DBT
CORP
GB
N
2
2023-08-17
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH7G1
1062214.87000000
PA
USD
1124178.12000000
0.018496384393
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
31410GFD0
12.91000000
PA
USD
13.44000000
0.000000221131
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
31418CUA0
10027761.01000000
PA
USD
10598603.94000000
0.174381487257
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
EMD FINANCE LLC
529900C8KS5G529A0B76
EMD Finance LLC
26867LAG5
3170000.00000000
PA
USD
3222932.66000000
0.053027718911
Long
DBT
CORP
US
N
2
2022-03-19
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241L5Z5
2065022.42000000
PA
USD
2456448.53000000
0.040416563394
Long
ABS-MBS
USGA
US
N
2
2036-07-15
Fixed
6.00000000
N
N
N
N
N
N
HEATHROW FUNDING LTD
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
05607MAA5
10820000.00000000
PA
USD
10872931.44000000
0.178895066377
Long
DBT
CORP
JE
N
2
2021-07-15
Fixed
4.87500000
N
N
N
N
N
N
Merit
N/A
Merit 2020-Hill
590027AG3
6195000.00000000
PA
USD
6220467.65000000
0.102346913460
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.50100000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-1
24380TAC0
78728.43000000
PA
USD
78863.80000000
0.001297565869
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Variable
3.48500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KBK4
11255000.00000000
PA
USD
11255000.00000000
0.185181336164
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
0.71000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AX5
8695000.00000000
PA
USD
9271687.18000000
0.152549393201
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
3.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-3
89169DAA9
4137013.45000000
PA
USD
4224231.62000000
0.069502341684
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.75000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2020-A
80286KAG7
5280000.00000000
PA
USD
5436435.31000000
0.089447032845
Long
ABS-O
CORP
US
N
2
2024-11-20
Fixed
2.52000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FEJ1
190357.47000000
PA
USD
217135.75000000
0.003572588921
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
5.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BF5
1615000.00000000
PA
USD
1766375.57000000
0.029062620010
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
549300ZGMKIELA840327
Bayview Mortgage Fund IVc Trust 2017-RT3
07326TAA6
6257455.76000000
PA
USD
6329780.06000000
0.104145457941
Long
ABS-MBS
CORP
US
N
2
2058-01-28
Variable
3.50000000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAC7
8605000.00000000
PA
USD
8612563.80000000
0.141704671015
Long
DBT
CORP
US
N
2
2024-05-28
Fixed
0.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNU5
3283304.35000000
PA
USD
3601614.93000000
0.059258273219
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
5.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-2
03465DAB9
2687913.91000000
PA
USD
2688003.96000000
0.044226402925
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
1.19000000
N
N
N
N
N
N
CANADIAN NATL RESOURCES
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385AZ4
9710000.00000000
PA
USD
9969140.48000000
0.164024767169
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414NGE8
193658.90000000
PA
USD
201842.96000000
0.003320972814
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BL7
4445000.00000000
PA
USD
4540487.49000000
0.074705778785
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BD2
7650000.00000000
PA
USD
8210974.50000000
0.135097221601
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-1
92537QAF8
2670420.57000000
PA
USD
2672101.07000000
0.043964748690
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
1.15500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHJ1
6690000.00000000
PA
USD
6693157.68000000
0.110124201007
Long
DBT
CORP
US
N
2
2022-06-25
Floating
0.85063000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABA4
7780000.00000000
PA
USD
7960332.62000000
0.130973347923
Long
DBT
CORP
US
N
2
2022-06-20
Fixed
3.00000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BY5
3390000.00000000
PA
USD
3384847.20000000
0.055691739423
Long
DBT
CORP
GB
N
2
2025-01-12
Fixed
0.99100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FCP9
1022265.56000000
PA
USD
1166064.51000000
0.019185551667
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-1
92537QAE1
4519518.52000000
PA
USD
4516929.74000000
0.074318177220
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
1.05200000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2020-1
31574PAA3
2734371.44000000
PA
USD
2772304.01000000
0.045613412778
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.00600000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2018-IMC2
85572PAC7
3429502.66000000
PA
USD
3480689.70000000
0.057268660099
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.37600000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G7K4
3805000.00000000
PA
USD
4109985.97000000
0.067622629368
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.45000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAA6
9705000.00000000
PA
USD
10049022.84000000
0.165339091661
Long
DBT
CORP
GB
N
2
2023-05-21
Fixed
2.37500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CU7
6980000.00000000
PA
USD
6971275.00000000
0.114700134986
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
2.60000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZP8
50745000.00000000
PA
USD
50729142.19000000
0.834659292154
Long
DBT
UST
US
N
2
2023-05-15
Fixed
0.12500000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEK1
5795000.00000000
PA
USD
5713023.93000000
0.093997814739
Long
DBT
CORP
US
N
2
2026-01-12
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCXQ4
520790.92000000
PA
USD
564375.53000000
0.009285812060
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.50000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAS9
13715000.00000000
PA
USD
13731608.87000000
0.225929602685
Long
DBT
CORP
NL
N
2
2021-08-27
Floating
0.70850000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QAN8
5615229.55000000
PA
USD
5615227.87000000
0.092388751651
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.22100000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABC0
3740000.00000000
PA
USD
3856456.12000000
0.063451239196
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NC3S1
90315.90000000
PA
USD
95432.76000000
0.001570179121
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
2.71900000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-5
89176VAK8
8595474.26000000
PA
USD
8889349.23000000
0.146258691074
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
3.25000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBD6
3110000.00000000
PA
USD
3113498.75000000
0.051227175359
Long
DBT
CORP
CA
N
2
2023-02-17
Floating
0.41000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CA3
3740000.00000000
PA
USD
3919736.92000000
0.064492414061
Long
DBT
CORP
US
N
2
2023-06-30
Fixed
2.95000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2018-2 LLC
29373FAB0
462543.50000000
PA
USD
464136.82000000
0.007636559439
Long
ABS-O
CORP
US
N
2
2024-02-20
Fixed
3.14000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMJ8
15945000.00000000
PA
USD
15948268.73000000
0.262400862987
Long
DBT
CORP
US
N
2
2024-03-25
Fixed
0.90000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-2
92537UAA0
9229426.11000000
PA
USD
9317526.52000000
0.153303599353
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
2.22600000
N
N
N
N
N
N
SHANGHAI ELC GRP GLB INV
529900Y3SWJ0FFDION78
Shanghai Electric Group Global Investment Ltd
000000000
8300000.00000000
PA
USD
8648163.84000000
0.142290407397
Long
DBT
CORP
VG
N
2
2024-11-21
Fixed
2.65000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BC5
2590000.00000000
PA
USD
2651395.95000000
0.043624082160
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.90000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares LVII CLO Ltd
04017NAC6
7305000.00000000
PA
USD
7310523.02000000
0.120281867694
Long
ABS-CBDO
CORP
KY
N
2
2031-10-25
Floating
1.49575000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABB0
5990000.00000000
PA
USD
6500677.45000000
0.106957275536
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAA1
8475000.00000000
PA
USD
8498772.38000000
0.139832432259
Long
DBT
CORP
US
N
2
2024-04-05
Fixed
0.73100000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAA2
2885000.00000000
PA
USD
3122519.17000000
0.051375590590
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE
635400B4JJBON4TCHF02
Equitable Financial Life Global Funding
29449WAG2
17120000.00000000
PA
USD
17122910.40000000
0.281727536818
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CRK0
2.05000000
PA
USD
2.05000000
0.000000033729
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
6.00000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2020-1
14315XAF5
2965000.00000000
PA
USD
3071921.46000000
0.050543093785
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
2.34000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XVIII Ltd
55819BAL4
10775000.00000000
PA
USD
10777655.82000000
0.177327472720
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
1.37600000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-3
89172YAA8
366097.25000000
PA
USD
367630.43000000
0.006048715614
Long
ABS-MBS
CORP
US
N
2
2056-04-25
Variable
2.25000000
N
N
N
N
N
N
STATE BANK INDIA/LONDON
5493001JZ37UBBZF6L49
State Bank of India/London
000000000
4000000.00000000
PA
USD
4302340.08000000
0.070787479755
Long
DBT
CORP
IN
N
2
2023-09-28
Fixed
4.50000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332AY8
3600000.00000000
PA
USD
3942086.40000000
0.064860135657
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.62500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXZ2
3465000.00000000
PA
USD
3474268.88000000
0.057163016738
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
0.67300000
N
N
N
N
N
N
Daimler Trucks Retail Trust
N/A
Daimler Trucks Retail Trust 2020-1
233854AD0
8360000.00000000
PA
USD
8433583.88000000
0.138759869529
Long
ABS-O
CORP
US
N
2
2027-06-15
Fixed
1.37000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAD4
5935000.00000000
PA
USD
6088425.69000000
0.100174393994
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.25000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2020-B
80286RAG2
4050000.00000000
PA
USD
4132178.55000000
0.067987769449
Long
ABS-O
CORP
US
N
2
2025-10-20
Fixed
1.98000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAA1
6420000.00000000
PA
USD
6413252.58000000
0.105518852236
Long
DBT
CORP
GB
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-1
85571KAC9
3880740.41000000
PA
USD
3898559.99000000
0.064143984723
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
3.29900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MRJ39
96901.88000000
PA
USD
105234.89000000
0.001731456023
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2021-NQM1R
64828BAA9
9561735.10000000
PA
USD
9584980.63000000
0.157704088864
Long
ABS-MBS
CORP
US
N
2
2055-07-25
Variable
0.94260000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV3
92537MAE0
5005733.39000000
PA
USD
5099596.90000000
0.083904946054
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.10000000
N
N
N
N
N
N
PROSPEROUS RAY LTD
N/A
Prosperous Ray Ltd
000000000
9700000.00000000
PA
USD
10471042.14000000
0.172282680987
Long
DBT
CORP
VG
N
2
2023-11-12
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MB6P7
673866.80000000
PA
USD
701859.09000000
0.011547863534
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
KKR Financial CLO Ltd
635400ZS4BDP68TETX94
KKR CLO 13 Ltd
48250VAU1
8726025.97000000
PA
USD
8712411.28000000
0.143347486631
Long
ABS-CBDO
CORP
KY
N
2
2028-01-16
Floating
0.98363000
N
N
N
N
N
N
Volvo Financial Equipment LLC
N/A
Volvo Financial Equipment LLC Series 2018-1
92888CAE7
3360000.00000000
PA
USD
3395401.97000000
0.055865399699
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
2.91000000
N
N
N
N
N
N
2021-07-26
T. ROWE PRICE SHORT-TERM BOND FUND, INC.
Alan S. Dupski
Alan S. Dupski
Treasurer & Vice President