0001752724-20-034264.txt : 20200225
0001752724-20-034264.hdr.sgml : 20200225
20200225113235
ACCESSION NUMBER: 0001752724-20-034264
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200225
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price Fixed Income Series, Inc.
CENTRAL INDEX KEY: 0000920467
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07153
FILM NUMBER: 20648674
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 FIXED INCOME SERIES INC
DATE OF NAME CHANGE: 19940317
0000920467
S000002129
T. Rowe Price Limited-Term Bond Portfolio
C000005520
T. Rowe Price Limited-Term Bond Portfolio
C000005521
T. Rowe Price Limited-Term Bond Portfolio-II
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000920467
XXXXXXXX
S000002129
C000005521
C000005520
T. ROWE PRICE FIXED INCOME SERIES, INC.
811-07153
0000920467
54930067NWU2KV18CE95
100 East Pratt Street
Baltimore
21202
410-345-2000
T. Rowe Price Limited-Term Bond Portfolio
S000002129
MMIDQLKHUPGX6F6S4D55
2019-12-31
2019-12-31
N
474600341.5
2797505.15
471802836.35
0
0
0
0
0
0
0
0
0
0
0
1571654.69
0
19749.18
USD
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMT7
2093.05000000
PA
USD
2401.05000000
0.000508909615
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
Allegro CLO Ltd
635400S7RJPO6JO1U247
Allegro CLO III Ltd
01749PAQ1
593581.79000000
PA
USD
592701.51000000
0.125624829766
Long
ABS-CBDO
CORP
KY
N
2
2027-07-25
Floating
2.77963000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
000000000
1200000.00000000
PA
USD
1249512.00000000
0.264837746560
Long
DBT
CORP
MX
N
2
2022-11-09
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AABW3
428155.30000000
PA
USD
479249.99000000
0.101578446138
Long
ABS-MBS
USGA
US
N
2
2045-09-15
Fixed
5.50000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAA9
600000.00000000
PA
USD
608827.80000000
0.129042844402
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
3.40000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAX2
814000.00000000
PA
USD
877166.40000000
0.185918000575
Long
DBT
CORP
LU
N
2
2022-02-25
Variable
6.25000000
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
Boral Finance Pty Ltd
09952AAA4
100000.00000000
PA
USD
100344.20000000
0.021268248571
Long
DBT
CORP
AU
N
2
2022-11-01
Fixed
3.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2019-3 Mortgage Loan Trust
19688CAA0
949920.85000000
PA
USD
948626.68000000
0.201064217277
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
2.76400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHBB7
1267059.63000000
PA
USD
1395730.66000000
0.295829221968
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2015-5
80284QAG6
260381.55000000
PA
USD
260988.42000000
0.055317263884
Long
ABS-O
CORP
US
N
2
2021-12-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJX8
400793.90000000
PA
USD
416082.60000000
0.088189931883
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
AMERISOURCEBERGEN CORP
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073EAJ4
440000.00000000
PA
USD
450613.68000000
0.095508895937
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EGC7
4751.51000000
PA
USD
5265.09000000
0.001115951324
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
5.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2018-CH2
81747EAC1
812240.35000000
PA
USD
827109.71000000
0.175308337779
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
4.00000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AN4
1395000.00000000
PA
USD
1425320.33000000
0.302100839627
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
3.92200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQLC4
892245.54000000
PA
USD
968642.68000000
0.205306667398
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.50000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-A
80285JAL0
505000.00000000
PA
USD
510312.80000000
0.108162300156
Long
ABS-O
CORP
US
N
2
2023-05-22
Fixed
3.01000000
N
N
N
N
N
N
Synchrony Credit Card Master N
549300G1V1M796QIYC04
Synchrony Credit Card Master Note Trust
87165LBY6
815017.00000000
PA
USD
814781.30000000
0.172695294988
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
2.95000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
2188.01000000
0.000463755160
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
69.39
USD
0
USD
150000
USD
2118.62
N
N
N
Bank
N/A
BANK 2019-BNK24
06540VAY1
360000.00000000
PA
USD
359722.26000000
0.076244191913
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Fixed
2.05600000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EA58
295000.00000000
PA
USD
296843.16000000
0.062916781572
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
5.37500000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAN1
250000.00000000
PA
USD
250807.75000000
0.053159440909
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
2.25000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-NQM1
64828JAA2
735996.76000000
PA
USD
742574.58000000
0.157390868131
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
3.98600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410K4E1
5716.94000000
PA
USD
5909.27000000
0.001252487171
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A3K1
31136.62000000
PA
USD
35699.86000000
0.007566690415
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2019-2 Mortgage Loan Trust
19685TAA6
369194.10000000
PA
USD
369652.42000000
0.078348918556
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
3.33700000
N
N
N
N
N
N
Synchrony Card Issuance Trust
N/A
Synchrony Card Funding LLC
87166PAF8
1195000.00000000
PA
USD
1204808.56000000
0.255362720860
Long
ABS-O
CORP
US
N
2
2025-06-15
Fixed
2.34000000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAC3
80000.00000000
PA
USD
81441.04000000
0.017261668164
Long
DBT
CORP
IE
N
2
2023-09-23
Fixed
2.87500000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2T5
740000.00000000
PA
USD
756126.82000000
0.160263305292
Long
DBT
CORP
US
N
2
2022-02-26
Fixed
2.95000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300XC4C7GRVLU6076
SMB Private Education Loan Trust 2014-A
784456AD7
965000.00000000
PA
USD
972681.30000000
0.206162664795
Long
ABS-O
CORP
US
N
2
2032-04-15
Floating
3.23975000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-2 Mortgage Loan Trust
19687VAA9
467014.97000000
PA
USD
468158.92000000
0.099227661203
Long
ABS-MBS
CORP
US
N
2
2048-07-27
Variable
3.47000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2017-1
13975WAE3
110000.00000000
PA
USD
110303.37000000
0.023379123969
Long
ABS-O
CORP
US
N
2
2022-05-20
Fixed
2.43000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-1
85571KAC9
418572.70000000
PA
USD
418695.01000000
0.088743639872
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
3.29900000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2019-1 LLC
29374AAB0
380000.00000000
PA
USD
383616.38000000
0.081308620984
Long
ABS-O
CORP
US
N
2
2024-10-20
Fixed
2.98000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MBHP5
8566.19000000
PA
USD
8765.98000000
0.001857975265
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XQS6
53442.31000000
PA
USD
53442.27000000
0.011327246443
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
2.54200000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAA3
180000.00000000
PA
USD
185887.98000000
0.039399504555
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
3.66600000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAB8
400000.00000000
PA
USD
405606.00000000
0.085969385673
Long
DBT
CORP
FR
N
2
2022-05-22
Floating
3.11875000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AY6
1535000.00000000
PA
USD
1556523.77000000
0.329909794956
Long
DBT
CORP
US
N
2
2022-09-25
Fixed
3.00000000
N
N
N
N
N
N
Homeward Opportunities Fund Tr
N/A
Homeward Opportunities Fund I Trust 2018-1
43789AAA2
430045.67000000
PA
USD
432745.63000000
0.091721710142
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.76600000
N
N
N
N
N
N
UBS GROUP AG
506700Q800G1L95S7805
UBS Group AG
90351DAA5
1015000.00000000
PA
USD
1021638.10000000
0.216539202668
Long
DBT
CORP
CH
N
2
2020-09-24
Fixed
2.95000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-1
80285TAF1
185000.00000000
PA
USD
185985.40000000
0.039420153011
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4GD2
922332.14000000
PA
USD
1058023.97000000
0.224251294923
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
6.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DC1
494000.00000000
PA
USD
501290.95000000
0.106250092491
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564AAK7
495000.00000000
PA
USD
495778.59000000
0.105081731563
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
3.04200000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2018-A
12652VAE7
275000.00000000
PA
USD
281613.72000000
0.059688856934
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
3.47000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS APACHE CORP
000000000
1.00000000
NC
USD
-11309.54000000
-0.00239709029
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
APACHE CORP
Apache Corp
Y
Default Event
2024-12-20
0
USD
-34100.35
USD
850000
USD
22790.81
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2016-3
03065DAG2
545000.00000000
PA
USD
548238.12000000
0.116200683370
Long
ABS-O
CORP
US
N
2
2022-09-08
Fixed
2.71000000
N
N
N
N
N
N
CHASE SECURITIES
5493004Y7YRMGRIO5W15
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-51.21000000
-0.00001085411
N/A
DCR
CORP
US
N
2
CHASE SECURITIES
5493004Y7YRMGRIO5W15
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-1288.1
USD
91000
USD
1236.89
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAY2
1080000.00000000
PA
USD
1084709.88000000
0.229907452102
Long
DBT
CORP
US
N
2
2020-07-13
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415VZ57
21324.95000000
PA
USD
22070.85000000
0.004677981626
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DWK1
178076.89000000
PA
USD
204283.31000000
0.043298448898
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AX0
185000.00000000
PA
USD
185278.24000000
0.039270268367
Long
DBT
CORP
US
N
2
2020-11-28
Fixed
2.65000000
N
N
N
N
N
N
LYONDELLBASELL IND NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
552081AD3
415000.00000000
PA
USD
441045.82000000
0.093480959845
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
6.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AK3
805000.00000000
PA
USD
804617.63000000
0.170541075213
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
2.12500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739FJJ1
665000.00000000
PA
USD
668733.31000000
0.141739993590
Long
DBT
CORP
GB
N
2
2021-01-11
Fixed
2.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FCP9
165998.35000000
PA
USD
183547.66000000
0.038903466842
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAB5
274872.46000000
PA
USD
275661.73000000
0.058427315132
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Fixed
3.02000000
N
N
N
N
N
N
PACCAR FINANCIAL CORP
PH3S12DWZBHHQKVYZ297
PACCAR Financial Corp
69371RP26
865000.00000000
PA
USD
879128.91000000
0.186333960346
Long
DBT
CORP
US
N
2
2021-05-10
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0PT0
60027.98000000
PA
USD
60051.72000000
0.012728138826
Long
ABS-MBS
CORP
US
N
2
2029-12-25
Floating
2.59200000
N
N
N
N
N
N
FIRST NIAGARA FIN GRP
W4U8KD36H4XNDYC19F59
First Niagara Financial Group Inc
33582VAC2
370000.00000000
PA
USD
404950.20000000
0.085830386932
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
7.25000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-2
89175VAA1
1322797.98000000
PA
USD
1345044.00000000
0.285086035176
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.25000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740BB4
755000.00000000
PA
USD
754030.58000000
0.159819001054
Long
DBT
CORP
US
N
2
2020-09-28
Fixed
2.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128LU7A8
15207.02000000
PA
USD
16088.15000000
0.003409930750
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Floating
5.20700000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-1
36418WAQ2
317502.43000000
PA
USD
320908.15000000
0.068017427042
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.00000000
N
N
N
N
N
N
Ford Credit Floorplan Master O
5493001DTG5N7T8BG747
Ford Credit Floorplan Master Owner Trust A
34528QFR0
2260000.00000000
PA
USD
2262819.35000000
0.479611222243
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
2.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDF3
9953.49000000
PA
USD
11417.34000000
0.002419938821
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAA2
449371.77000000
PA
USD
449464.79000000
0.095265385320
Long
ABS-MBS
CORP
US
N
2
2039-09-25
Floating
2.54200000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAT2
695000.00000000
PA
USD
698776.63000000
0.148107763701
Long
DBT
CORP
US
N
2
2021-03-02
Floating
2.84688000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAA5
115434.05000000
PA
USD
114732.87000000
0.024317969533
Long
ABS-MBS
CORP
US
N
2
2049-09-27
Variable
2.61000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV2
92537HAB7
580041.04000000
PA
USD
580222.71000000
0.122979911373
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.11700000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVAB
N/A
GreatAmerica Leasing Receivables Funding LLC Series 2018-1
39154TAQ1
237163.18000000
PA
USD
237715.15000000
0.050384425799
Long
ABS-O
CORP
US
N
2
2021-06-15
Fixed
2.60000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2016-2 Receivables Funding LLC
82652WAA6
61908.22000000
PA
USD
61750.32000000
0.013088162097
Long
ABS-O
CORP
US
N
2
2033-07-20
Fixed
2.33000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBQ1
1760000.00000000
PA
USD
1771924.00000000
0.375564507773
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAB1
215000.00000000
PA
USD
228968.98000000
0.048530649321
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAQ4
440000.00000000
PA
USD
448800.00000000
0.095124481122
Long
DBT
CORP
IE
N
2
2020-10-30
Fixed
4.62500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM5
64830PAA4
802326.63000000
PA
USD
802148.91000000
0.170017822742
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.70986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DT95
7125.04000000
PA
USD
7411.31000000
0.001570848971
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
3.99200000
N
N
N
N
N
N
TRINITY ACQUISITION PLC
549300FJZWZN6MJNGB63
Trinity Acquisition PLC
89641UAD3
450000.00000000
PA
USD
458002.80000000
0.097075041672
Long
DBT
CORP
GB
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN EXPRESS CREDIT
9ET6B8VCXWW51H8Z3M54
American Express Credit Corp
0258M0EE5
1030000.00000000
PA
USD
1030069.01000000
0.218326158860
Long
DBT
CORP
US
N
2
2020-03-03
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409VLL5
413.18000000
PA
USD
416.57000000
0.000088293237
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
580000.00000000
PA
USD
586310.98000000
0.124270338121
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2014-A
43284AAA2
294278.26000000
PA
USD
293478.65000000
0.062203663774
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
1.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TM85
2367.66000000
PA
USD
2419.86000000
0.000512896450
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
CarMax Auto Owner Trust
5493003IB59OF448TR74
CarMax Auto Owner Trust 2017-4
14314RAF9
150000.00000000
PA
USD
151307.27000000
0.032070021276
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
2.70000000
N
N
N
N
N
N
PNM RESOURCES INC
5493003JOBJGLZSDDQ28
PNM Resources Inc
69349HAC1
690000.00000000
PA
USD
698264.13000000
0.147999137818
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.25000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851CZ5
1090000.00000000
PA
USD
1092426.34000000
0.231542978514
Long
DBT
CORP
US
N
2
2021-02-12
Fixed
2.30000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV1
92537FAD7
140000.00000000
PA
USD
141712.69000000
0.030036421802
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
4.03400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YT88
225815.62000000
PA
USD
224950.59000000
0.047678939732
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
2.06463000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-68.65000000
-0.00001455056
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-1672.06
USD
122000
USD
1603.41
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBS4
255000.00000000
PA
USD
260913.71000000
0.055301428880
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
3.45000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-1
43789EAC0
501541.49000000
PA
USD
504182.36000000
0.106862935352
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.60600000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AX2
280000.00000000
PA
USD
281176.00000000
0.059596080891
Long
DBT
CORP
JP
N
2
2021-07-26
Floating
2.58563000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413VJY4
24548.93000000
PA
USD
25933.73000000
0.005496730414
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Floating
4.71900000
N
N
N
N
N
N
OCP CLO Ltd
254900NUK1R46EK6YF62
OCP CLO 2014-7 Ltd
67107KAZ9
1750000.00000000
PA
USD
1738855.62000000
0.368555567289
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
3.08588000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PFAQ8
584.59000000
PA
USD
593.53000000
0.000125800430
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
31371LDG1
254460.62000000
PA
USD
280466.25000000
0.059445647289
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAA3
1545.44000000
PA
USD
1544.48000000
0.000327357082
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
1.59300000
N
N
N
N
N
N
UBS GROUP AG
506700Q800G1L95S7805
UBS Group AG
90352JAB9
590000.00000000
PA
USD
597316.00000000
0.126602884505
Long
DBT
CORP
CH
N
2
2023-05-23
Floating
3.12950000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300261OAC6YQ54P29
BlueMountain CLO 2015-2 Ltd
09628BAL2
1100000.00000000
PA
USD
1098078.89000000
0.232741053126
Long
ABS-CBDO
CORP
KY
N
2
2027-07-18
Floating
2.93325000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29373EAB3
432806.74000000
PA
USD
432672.31000000
0.091706169752
Long
ABS-O
CORP
US
N
2
2023-05-22
Fixed
2.13000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UXU1
58949.18000000
PA
USD
61243.87000000
0.012980818528
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
4.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-3 Mortgage Loan Trust
12596DAB2
173880.51000000
PA
USD
174773.28000000
0.037043711172
Long
ABS-MBS
CORP
US
N
2
2048-10-26
Variable
3.76300000
N
N
N
N
N
N
EXPEDIA INC
N/A
Expedia Group Inc
30212PAH8
233000.00000000
PA
USD
238279.78000000
0.050504100789
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
5.95000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-3
80286HAE9
690000.00000000
PA
USD
690362.39000000
0.146324340765
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
2.28000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAD4
200000.00000000
PA
USD
209436.80000000
0.044390746274
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
4.12500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EA66
90000.00000000
PA
USD
91574.10000000
0.019409400059
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411DUV9
4498.84000000
PA
USD
4771.47000000
0.001011327112
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.13900000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAA5
493135.93000000
PA
USD
494409.55000000
0.104791559505
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7K5
51644.01000000
PA
USD
53761.50000000
0.011394908181
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.00000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAB5
724915.09000000
PA
USD
723419.52000000
0.153330896778
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.87700000
N
N
N
N
N
N
Verizon Owner Trust
549300YK8J8QMYHMZC08
Verizon Owner Trust 2016-2
92348MAC3
405000.00000000
PA
USD
405029.08000000
0.085847105781
Long
ABS-O
CORP
US
N
2
2021-05-20
Fixed
2.36000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300V2DF3KW9L1CV04
Wells Fargo Commercial Mortgage Trust 2013-LC12
94988QAA9
178601.21000000
PA
USD
178435.20000000
0.037819865895
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Fixed
1.67600000
N
N
N
N
N
N
VENTAS REALTY LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAK3
125000.00000000
PA
USD
127941.63000000
0.027117605097
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.10000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAA1
450000.00000000
PA
USD
457706.70000000
0.097012282406
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
3.50000000
N
N
N
N
N
N
Synchrony Credit Card Master N
549300G1V1M796QIYC04
Synchrony Credit Card Master Note Trust
87165LBG5
395000.00000000
PA
USD
395070.82000000
0.083736423260
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
2.64000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AL5
125000.00000000
PA
USD
128823.25000000
0.027304467051
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
3.65000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBP9
250000.00000000
PA
USD
250626.00000000
0.053120918462
Long
DBT
CORP
US
N
2
2020-05-12
Fixed
2.50000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-C
80284NAF5
310000.00000000
PA
USD
307744.84000000
0.065227424739
Long
ABS-O
CORP
US
N
2
2023-11-20
Fixed
2.17000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285R7
6845000.00000000
PA
USD
6978691.41000000
1.479154187369
Long
DBT
UST
US
N
2
2021-12-15
Fixed
2.62500000
N
N
N
N
N
N
CAPITAL ONE NA
207ALC1P1YM0OVDV0K75
Capital One NA
14042RNW7
765000.00000000
PA
USD
765837.68000000
0.162321550655
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
2.15000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AE6
1885000.00000000
PA
USD
1937780.00000000
0.410718175200
Long
DBT
CORP
US
N
2
2021-02-01
Variable
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C7G3
210396.73000000
PA
USD
224776.82000000
0.047642108669
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
5.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
2420000.00000000
PA
USD
2442564.08000000
0.517708646878
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.87500000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAC0
1115000.00000000
PA
USD
1115787.90000000
0.236494529925
Long
DBT
CORP
CN
N
2
2020-02-11
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LA58
290818.13000000
PA
USD
320555.94000000
0.067942775096
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Nissan Master Owner Trust Rece
N/A
Nissan Master Owner Trust Receivables
65474VAS0
895000.00000000
PA
USD
896333.55000000
0.189980534439
Long
ABS-O
CORP
US
N
2
2023-11-15
Floating
2.16975000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EBJ2
176160.92000000
PA
USD
176502.18000000
0.037410156616
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
3.00000000
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
Crown Castle Towers LLC
22822RBF6
385000.00000000
PA
USD
397916.37000000
0.084339545959
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.72000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18
61763XAH9
265000.00000000
PA
USD
281521.21000000
0.059669249167
Long
ABS-MBS
CORP
US
N
2
2047-10-15
Variable
4.11000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JNNV3
3296.60000000
PA
USD
3457.13000000
0.000732748880
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Floating
4.48200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GMT6
4942.09000000
PA
USD
5024.81000000
0.001065023270
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
6.00000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AG2
585000.00000000
PA
USD
593718.84000000
0.125840455855
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
2.85000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBH2
465000.00000000
PA
USD
490400.63000000
0.103941857110
Long
DBT
CORP
GB
N
2
2024-01-16
Fixed
3.75000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-2
03463WAA1
573043.07000000
PA
USD
579375.60000000
0.122800363915
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
3.62800000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZL5
280000.00000000
PA
USD
280822.08000000
0.059521066505
Long
DBT
CORP
US
N
2
2020-12-04
Fixed
2.60000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29372EBV9
23556.45000000
PA
USD
23556.61000000
0.004992892832
Long
ABS-O
CORP
US
N
2
2022-07-20
Fixed
2.13000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AX0
200000.00000000
PA
USD
201407.20000000
0.042688848917
Long
DBT
CORP
US
N
2
2021-09-24
Fixed
2.50000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AC0
520000.00000000
PA
USD
527399.60000000
0.111783897714
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
2.80000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740BJ7
295000.00000000
PA
USD
300988.50000000
0.063795398588
Long
DBT
CORP
US
N
2
2021-09-21
Fixed
3.65000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AS7
1145000.00000000
PA
USD
1164704.31000000
0.246862507018
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
2.75000000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA/Cleveland OH
49327M2X1
440000.00000000
PA
USD
452010.68000000
0.095804994199
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.30000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XF5
355000.00000000
PA
USD
355126.38000000
0.075270081618
Long
DBT
CORP
US
N
2
2020-03-27
Fixed
2.45900000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
2844.42000000
0.000602883192
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
-1165.57
USD
195000
USD
4009.99
N
N
N
CK HUTCH INTL 17 II LTD
254900F7C0PB6TKONV55
CK Hutchison International 17 II Ltd
000000000
510000.00000000
PA
USD
513279.30000000
0.108791058563
Long
DBT
CORP
KY
N
2
2023-03-29
Fixed
2.75000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JC6
100000.00000000
PA
USD
102555.30000000
0.021736897724
Long
DBT
CORP
US
N
2
2022-11-09
Fixed
2.87500000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
28414HAF0
515000.00000000
PA
USD
527767.88000000
0.111861955744
Long
DBT
CORP
US
N
2
2021-08-27
Fixed
3.91200000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAD4
515000.00000000
PA
USD
514845.50000000
0.109123019264
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.25000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBA0
673000.00000000
PA
USD
692401.92000000
0.146756625152
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.49000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2019-3
03066NAE4
690000.00000000
PA
USD
688171.29000000
0.145859930670
Long
ABS-O
CORP
US
N
2
2025-07-18
Fixed
2.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AUU4
2744.90000000
PA
USD
3083.95000000
0.000653652280
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ82
248158.89000000
PA
USD
274103.13000000
0.058096965274
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-121.00000000
NC
USD
58321.82000000
0.012361481429
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
-14410056.8
USD
58321.82
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389AW3
95000.00000000
PA
USD
97038.89000000
0.020567678386
Long
DBT
CORP
US
N
2
2020-09-30
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAM0
900000.00000000
PA
USD
898873.20000000
0.190518820733
Long
DBT
CORP
US
N
2
2021-02-10
Floating
2.45063000
N
N
N
N
N
N
VERUS 2019-1 A1
N/A
VERUS 2019-1 A1 3.836% 2/25/2059
000000000
732210.10000000
PA
USD
739635.08000000
0.156767832453
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
3.83600000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BD4
700000.00000000
PA
USD
709460.50000000
0.150372241398
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
2.70000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAS0
670000.00000000
PA
USD
702865.51000000
0.148974413854
Long
DBT
CORP
DK
N
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PFBH7
194.64000000
PA
USD
197.21000000
0.000041799240
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBA7
890000.00000000
PA
USD
888386.43000000
0.188296118962
Long
DBT
CORP
US
N
2
2021-08-28
Floating
2.46375000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAC7
850000.00000000
PA
USD
851566.55000000
0.180492037010
Long
DBT
CORP
US
N
2
2021-06-25
Floating
2.57663000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113ABB5
914756.41000000
PA
USD
910363.84000000
0.192954295705
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
2.69200000
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAG9
680000.00000000
PA
USD
697950.64000000
0.147932692689
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
3.87500000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2017-A
80285AAN5
240000.00000000
PA
USD
240936.48000000
0.051067196175
Long
ABS-O
CORP
US
N
2
2022-11-21
Fixed
2.96000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300FECQ7XLTBL1027
Sequoia Mortgage Trust 2018-CH3
81746WAU2
186550.70000000
PA
USD
191560.72000000
0.040601858497
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.50000000
N
N
N
N
N
N
Bank
N/A
Bank 2019-BNK19
06540WBA0
308954.41000000
PA
USD
310192.85000000
0.065746287665
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
2.26300000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust
36250BAE6
36369.77000000
PA
USD
36352.50000000
0.007705019385
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Variable
2.45495200
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBC0
710000.00000000
PA
USD
706546.82000000
0.149754678345
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
3.17213000
N
N
N
N
N
N
retl
N/A
RETL 2019-RVP
74952PAA5
456017.47000000
PA
USD
456300.34000000
0.096714200264
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
2.88975000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MC0
176728.29000000
PA
USD
177051.46000000
0.037526578129
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
2.99200000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAP8
885000.00000000
PA
USD
885233.64000000
0.187627875840
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297EJ72
4314.52000000
PA
USD
4902.98000000
0.001039201043
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AS3
495000.00000000
PA
USD
495173.75000000
0.104953533944
Long
DBT
CORP
US
N
2
2021-02-26
Floating
2.51725000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283H6N0
92276.54000000
PA
USD
104992.41000000
0.022253450363
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding
549300NL4H585I318G08
Halcyon Loan Advisors Funding 2014-3 Ltd
40538FAS2
505000.00000000
PA
USD
505021.91000000
0.107040880446
Long
ABS-CBDO
CORP
KY
N
2
2025-10-22
Floating
3.65325000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XHT4
565000.00000000
PA
USD
565552.01000000
0.119870413322
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
3.14200000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-3
24381FAA3
227566.07000000
PA
USD
227426.44000000
0.048203703428
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
2.57700000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AN2
685000.00000000
PA
USD
695877.12000000
0.147493204022
Long
DBT
CORP
US
N
2
2020-11-13
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DC72
1892.57000000
PA
USD
1952.65000000
0.000413869915
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
4.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300GMVSOGAWY1JE39
SMB Private Education Loan Trust 2015-A
78448PAC4
179538.26000000
PA
USD
179930.05000000
0.038136703753
Long
ABS-O
CORP
US
N
2
2027-06-15
Floating
2.73975000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2019-C
80284NAG3
515000.00000000
PA
USD
511053.35000000
0.108319261908
Long
ABS-O
CORP
US
N
2
2023-11-20
Fixed
2.39000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369622SM8
85000.00000000
PA
USD
87715.84000000
0.018591630495
Long
DBT
CORP
US
N
2
2021-02-11
Fixed
5.30000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAB1
50988.68000000
PA
USD
51162.90000000
0.010844127262
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.96000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-3
92537BAA2
674184.63000000
PA
USD
680838.97000000
0.144305823862
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.10800000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BW8
100000.00000000
PA
USD
100631.90000000
0.021329227432
Long
DBT
CORP
US
N
2
2021-05-12
Fixed
3.37500000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAG3
970000.00000000
PA
USD
985015.89000000
0.208777017455
Long
ABS-O
CORP
US
N
2
2023-07-18
Fixed
3.18000000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2019-A LLC
28416TAA3
666789.62000000
PA
USD
662397.41000000
0.140397080934
Long
ABS-O
CORP
US
N
2
2034-01-25
Fixed
2.61000000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAA2
175000.00000000
PA
USD
174448.80000000
0.036974936681
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
2.43975000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414DPA8
16032.05000000
PA
USD
16913.45000000
0.003584855515
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
4.75700000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BM9
115000.00000000
PA
USD
121025.43000000
0.025651696148
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BXZ4
185268.32000000
PA
USD
193316.26000000
0.040973950367
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CPF5
264386.67000000
PA
USD
277728.69000000
0.058865413389
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAG3
525000.00000000
PA
USD
535661.18000000
0.113534963915
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KA46
10693.80000000
PA
USD
10974.54000000
0.002326086058
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephave Residential Mortgage Trust 2019-2
24381PAC7
406641.30000000
PA
USD
409335.05000000
0.086759768798
Long
ABS-MBS
CORP
US
N
2
2059-04-25
Variable
3.76300000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHJ1
590000.00000000
PA
USD
593256.21000000
0.125742400064
Long
DBT
CORP
US
N
2
2022-06-25
Floating
2.59663000
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAA8
765000.00000000
PA
USD
775124.78000000
0.164289978838
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
3.76600000
N
N
N
N
N
N
Banc of America Commercial Mor
N/A
Banc of America Commercial Mortgage Trust 2017-BNK3
06427DAN3
86386.71000000
PA
USD
86111.02000000
0.018251484172
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Fixed
1.95700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MLH9
4500.32000000
PA
USD
4626.42000000
0.000980583337
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
6.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41284VAA0
550000.00000000
PA
USD
550514.80000000
0.116683232398
Long
DBT
CORP
US
N
2
2020-05-21
Floating
2.39463000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-467.07000000
-0.00009899686
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-12870.44
USD
830000
USD
12403.37
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C2A1
201385.06000000
PA
USD
212051.05000000
0.044944844257
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-1 Mortgage Loan Trust
19687UAA1
76462.11000000
PA
USD
76503.14000000
0.016215065723
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
2.93000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAU3
640000.00000000
PA
USD
641890.56000000
0.136050593711
Long
DBT
CORP
US
N
2
2021-05-14
Fixed
2.30000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BD5
160000.00000000
PA
USD
163416.16000000
0.034636536156
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
3.65000000
N
N
N
N
N
N
ALLERGAN FINANCE LLC
2549006TBOV0H6GV7T12
Allergan Finance LLC
942683AF0
115000.00000000
PA
USD
117512.98000000
0.024907222031
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2GB5
309684.17000000
PA
USD
317702.30000000
0.067337937698
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
3.00000000
N
N
N
N
N
N
Verizon Owner Trust
549300DBBHVB9QKK8Q94
Verizon Owner Trust 2018-A
92348XAD7
720000.00000000
PA
USD
737443.30000000
0.156303278230
Long
ABS-O
CORP
US
N
2
2023-04-20
Fixed
3.55000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
549300GZMOJI10UAGZ40
Santander Drive Auto Receivables Trust 2015-4
80284MAG5
209205.62000000
PA
USD
209567.75000000
0.044418501512
Long
ABS-O
CORP
US
N
2
2021-08-16
Fixed
3.53000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
535000.00000000
PA
USD
569439.02000000
0.120694276534
Long
DBT
CORP
IE
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9UC5
80659.56000000
PA
USD
84050.15000000
0.017814676709
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPD8
52930.06000000
PA
USD
56251.03000000
0.011922571393
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO 4/2 144A CP 0.0000 20200804
N/A
FORD MOTOR CREDIT CO 4/2 144A CP 0.0000 20200804
000000000
430000.00000000
PA
USD
422768.48000000
0.089607023830
Long
DBT
CORP
US
N
2
2020-08-04
None
0.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CE5
38266.78000000
PA
USD
38368.85000000
0.008132390703
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Variable
3.98407300
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329QHU8
1172864.03000000
PA
USD
1234228.58000000
0.261598380702
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-1
03065FAG7
925000.00000000
PA
USD
935482.29000000
0.198278225124
Long
ABS-O
CORP
US
N
2
2023-01-18
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERYP9
675442.67000000
PA
USD
709684.52000000
0.150419723096
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.00000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CS4
210000.00000000
PA
USD
210725.13000000
0.044663811610
Long
DBT
CORP
US
N
2
2021-07-01
Fixed
2.35000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2019-2
31573TAA6
420492.41000000
PA
USD
420169.47000000
0.089056156010
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.73900000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300VOKB4Z9J8DIM89
Wells Fargo Commercial Mortgage Trust 2016-C32
94989YAW3
80641.59000000
PA
USD
80505.81000000
0.017063443412
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Fixed
1.57700000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
390000.00000000
PA
USD
399774.96000000
0.084733479580
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86960BAT9
760000.00000000
PA
USD
774053.92000000
0.164063006909
Long
DBT
CORP
SE
N
2
2021-05-24
Fixed
3.35000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
446438RU9
1020000.00000000
PA
USD
1020063.24000000
0.216205406455
Long
DBT
CORP
US
N
2
2020-03-10
Fixed
2.37500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DD9
475000.00000000
PA
USD
477270.98000000
0.101158989143
Long
DBT
CORP
US
N
2
2021-03-09
Floating
2.60500000
N
N
N
N
N
N
UNITED AIR 2019-2 B PTT
N/A
United Airlines 2019-2 Class B Pass Through Trust
90932KAA7
260000.00000000
PA
USD
261735.30000000
0.055475567299
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
Verizon Owner Trust
54930074536XOX02QB08
Verizon Owner Trust 2018-1
92349FAD5
340000.00000000
PA
USD
344869.07000000
0.073096014569
Long
ABS-O
CORP
US
N
2
2022-09-20
Fixed
3.20000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-1 Mortgage Loan Trust
19687UAC7
27392.01000000
PA
USD
27408.97000000
0.005809411874
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.08400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EGN3
3312.76000000
PA
USD
3668.44000000
0.000777536656
Long
ABS-MBS
USGA
US
N
2
2036-01-20
Fixed
5.00000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-2
80285FAF1
295000.00000000
PA
USD
298052.57000000
0.063173119582
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.35000000
N
N
N
N
N
N
BRE Grand Islander Timeshare I
N/A
BRE Grand Islander Timeshare Issuer 2019-A LLC
05588UAA0
237069.40000000
PA
USD
241789.81000000
0.051248061980
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
31418XEB0
126610.47000000
PA
USD
133770.47000000
0.028353044893
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABC0
326000.00000000
PA
USD
329272.39000000
0.069790252332
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.85000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AE6
195000.00000000
PA
USD
204599.85000000
0.043365540483
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJS4
304667.45000000
PA
USD
305089.44000000
0.064664604893
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
2.74200000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BZ0
610000.00000000
PA
USD
628642.82000000
0.133242696221
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891AAH0
455000.00000000
PA
USD
455303.49000000
0.096502914972
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QLRA1
12648.39000000
PA
USD
13357.95000000
0.002831256824
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
4.64200000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV2
92537HAA9
972824.74000000
PA
USD
973142.56000000
0.206260430210
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.91300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403VLM9
6805.80000000
PA
USD
7092.90000000
0.001503361034
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Floating
3.90500000
N
N
N
N
N
N
Barings CLO Ltd
N/A
Barings CLO Ltd 2013-I
06760EAA4
1125000.00000000
PA
USD
1121081.55000000
0.237616534625
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Floating
2.76588000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BQ2
545000.00000000
PA
USD
547538.61000000
0.116052420166
Long
DBT
CORP
GB
N
2
2022-09-10
Fixed
2.74400000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST
59166BAA9
328388.54000000
PA
USD
331884.07000000
0.070343805596
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
3.00000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AX7
1135000.00000000
PA
USD
1141853.13000000
0.242019132151
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
2.85000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCA1
360000.00000000
PA
USD
381895.20000000
0.080943811816
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
3.90000000
N
N
N
N
N
N
PANASONIC CORP
254900GE1G59KGWPHX32
Panasonic Corp
69832AAA4
475000.00000000
PA
USD
479375.23000000
0.101604991124
Long
DBT
CORP
JP
N
2
2022-07-19
Fixed
2.53600000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189TAT4
315000.00000000
PA
USD
322448.18000000
0.068343840934
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
3.60000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCU8
240000.00000000
PA
USD
246933.36000000
0.052338252544
Long
DBT
CORP
US
N
2
2022-07-08
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPZP2
485830.25000000
PA
USD
523703.22000000
0.111000439092
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BQ1
805000.00000000
PA
USD
806089.17000000
0.170852972448
Long
DBT
CORP
GB
N
2
2021-05-18
Floating
2.50413000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CF4
236000.00000000
PA
USD
236272.82000000
0.050078719710
Long
DBT
CORP
US
N
2
2020-12-29
Floating
2.83550000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
645000.00000000
PA
USD
686163.26000000
0.145434322800
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891AAY3
835000.00000000
PA
USD
859755.25000000
0.182227656080
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2017-3
38013BAG5
200000.00000000
PA
USD
200200.72000000
0.042433131930
Long
ABS-O
CORP
US
N
2
2021-09-20
Fixed
2.73000000
N
N
N
N
N
N
CGDB Commercial Mortgage Trust
N/A
CGDB Commercial Mortgage Trust 2019-MOB
125284AG4
950000.00000000
PA
USD
948520.00000000
0.201041606137
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
3.38975000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSK2
895675.27000000
PA
USD
959007.01000000
0.203264358777
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LL62
11033.76000000
PA
USD
11676.90000000
0.002474953328
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Floating
4.52100000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AH1
570000.00000000
PA
USD
574667.53000000
0.121802474619
Long
DBT
CORP
CN
N
2
2022-07-06
Fixed
2.87500000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29372JAB3
63060.24000000
PA
USD
63035.84000000
0.013360631845
Long
ABS-O
CORP
US
N
2
2023-01-20
Fixed
1.97000000
N
N
N
N
N
N
MVW Owner Trust
549300T62Z5TRF7JHO83
MVW Owner Trust 2013-1
553893AA6
211929.40000000
PA
USD
211873.41000000
0.044907192936
Long
ABS-O
CORP
US
N
2
2030-04-22
Fixed
2.15000000
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
Conagra Brands Inc
205887BX9
315000.00000000
PA
USD
314949.29000000
0.066754429124
Long
DBT
CORP
US
N
2
2020-10-22
Floating
2.70325000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAS9
1105000.00000000
PA
USD
1109170.27000000
0.235091903766
Long
DBT
CORP
NL
N
2
2021-08-27
Floating
2.48863000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USU7
115266.96000000
PA
USD
119500.58000000
0.025328499702
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAH1
585000.00000000
PA
USD
618918.30000000
0.131181555581
Long
DBT
CORP
NL
N
2
2023-09-14
Fixed
4.25000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-1 Receivables Funding LLC
82653EAA5
264897.01000000
PA
USD
267204.21000000
0.056634718872
Long
ABS-O
CORP
US
N
2
2036-01-20
Fixed
3.20000000
N
N
N
N
N
N
MVW Owner Trust
549300Y5CF8WQOLGBR17
MVW Owner Trust 2015-1
55388PAA8
175450.52000000
PA
USD
175333.28000000
0.037162404820
Long
ABS-O
CORP
US
N
2
2032-12-20
Fixed
2.52000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAE3
2265000.00000000
PA
USD
2265149.49000000
0.480105102276
Long
DBT
CORP
US
N
2
2020-02-03
Fixed
2.70000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBA5
540000.00000000
PA
USD
564161.22000000
0.119575631287
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QSD29
10641.19000000
PA
USD
11215.15000000
0.002377084056
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Floating
4.65000000
N
N
N
N
N
N
CAMPBELL SOUP CO
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429BB4
700000.00000000
PA
USD
700061.60000000
0.148380116875
Long
DBT
CORP
US
N
2
2020-03-16
Floating
2.39363000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV1
92537FAA3
304128.21000000
PA
USD
305851.86000000
0.064826202056
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
3.40200000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAP4
120000.00000000
PA
USD
123365.52000000
0.026147685112
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MKV3
23774.95000000
PA
USD
26685.35000000
0.005656038485
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2019-1
36256UAG3
595000.00000000
PA
USD
603289.60000000
0.127869006610
Long
ABS-O
CORP
US
N
2
2022-12-20
Fixed
3.56000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EH36
4784.45000000
PA
USD
5298.28000000
0.001122986042
Long
ABS-MBS
USGA
US
N
2
2036-05-20
Fixed
5.00000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2016-1
80285EAG2
460000.00000000
PA
USD
462865.29000000
0.098105660741
Long
ABS-O
CORP
US
N
2
2022-04-15
Fixed
4.02000000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
STACR Trust 2018-DNA2
35563TAA9
804636.74000000
PA
USD
805087.42000000
0.170640648587
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
2.59200000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBH2
540000.00000000
PA
USD
541528.20000000
0.114778496074
Long
DBT
CORP
US
N
2
2022-09-09
Floating
2.98500000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAD1
1270000.00000000
PA
USD
1269043.69000000
0.268977545751
Long
DBT
CORP
US
N
2
2020-10-01
Floating
2.67938000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAB4
1195000.00000000
PA
USD
1209073.52000000
0.256266691687
Long
DBT
CORP
NL
N
2
2022-05-25
Fixed
2.87500000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-1
85571KAA3
606058.40000000
PA
USD
605737.55000000
0.128387856818
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
2.94100000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-4
89173UAA5
416139.04000000
PA
USD
418425.47000000
0.088686510076
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
2.75000000
N
N
N
N
N
N
TRUIST FIN CORP
549300DRQQI75D2JP341
Truist Financial Corp
05531FAZ6
860000.00000000
PA
USD
861562.62000000
0.182610733471
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
2.15000000
N
N
N
N
N
N
EDP FINANCE BV
5299007L43AQDFOW5739
EDP Finance BV
26835PAE0
290000.00000000
PA
USD
290000.00000000
0.061466353666
Long
DBT
CORP
NL
N
2
2020-01-15
Fixed
4.12500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAC7
770000.00000000
PA
USD
787200.26000000
0.166849412371
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411HJ35
9214.08000000
PA
USD
9656.50000000
0.002046723600
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
4.74300000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-2
89172PAJ8
120462.01000000
PA
USD
120920.32000000
0.025629417774
Long
ABS-MBS
CORP
US
N
2
2055-08-25
Variable
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WBW7
99.11000000
PA
USD
100.92000000
0.000021390291
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
5.50000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD3 Mortgage Trust
12515GAA5
82481.59000000
PA
USD
82341.05000000
0.017452427933
Long
ABS-MBS
CORP
US
N
2
2050-02-10
Fixed
1.96500000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCR3
390000.00000000
PA
USD
396528.80000000
0.084045446413
Long
ABS-O
CORP
US
N
2
2023-09-20
Fixed
3.41000000
N
N
N
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
570000.00000000
PA
USD
571142.85000000
0.121055408318
Long
DBT
CORP
HK
N
2
2020-07-19
Fixed
3.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-5
89171VAK3
217969.53000000
PA
USD
217793.00000000
0.046161867462
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Variable
2.75000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300INMCHM7L5O6M41
SMB Private Education Loan Trust 2018-B
78449LAC2
1375000.00000000
PA
USD
1364540.79000000
0.289218437209
Long
ABS-O
CORP
US
N
2
2037-01-15
Floating
2.45975000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-2
92537GAA1
553809.31000000
PA
USD
557085.81000000
0.118075977310
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
3.21100000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BF9
405000.00000000
PA
USD
406557.23000000
0.086171001672
Long
DBT
CORP
US
N
2
2021-08-23
Fixed
2.25000000
N
N
N
N
N
N
REGIONS BANK
EQTWLK1G7ODGC2MGLV11
Regions Bank/Birmingham AL
759187CE5
285000.00000000
PA
USD
284905.95000000
0.060386654773
Long
DBT
CORP
US
N
2
2021-08-13
Floating
2.40463000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-1
24380TAC0
45205.05000000
PA
USD
45158.70000000
0.009571519397
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Variable
3.48500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4G6
314196.96000000
PA
USD
331428.98000000
0.070247347931
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAR2
785000.00000000
PA
USD
810512.50000000
0.171790510262
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AJ2
480000.00000000
PA
USD
485964.00000000
0.103001500321
Long
DBT
CORP
NL
N
2
2022-03-29
Floating
3.11050000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CB3
780000.00000000
PA
USD
787990.32000000
0.167016867913
Long
DBT
CORP
US
N
2
2021-02-22
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CA63
50728.23000000
PA
USD
57267.79000000
0.012138076668
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-3
24381FAB1
24338.62000000
PA
USD
24325.56000000
0.005155874048
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
2.71100000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187BD0
195000.00000000
PA
USD
206547.32000000
0.043778312482
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAN53
233050.62000000
PA
USD
243643.78000000
0.051641016379
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LAE2
4402.37000000
PA
USD
4552.40000000
0.000964894580
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
5.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAY4
890000.00000000
PA
USD
900898.94000000
0.190948182289
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
2.84400000
N
N
N
N
N
N
Planet Fitness Master Issuer L
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAA1
814687.50000000
PA
USD
828227.61000000
0.175545279974
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.26200000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YAY4
460000.00000000
PA
USD
471602.58000000
0.099957555077
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.20000000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J5P8
1335000.00000000
PA
USD
1343772.29000000
0.284816492498
Long
DBT
CORP
US
N
2
2021-07-23
Fixed
3.32500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-137.87000000
-0.00002922195
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-3467.98
USD
245000
USD
3330.11
N
N
N
Freddie Mac Whole Loan Securit
N/A
Freddie Mac Whole Loan Securities Trust
3137G1BM8
224508.52000000
PA
USD
224965.24000000
0.047682044843
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Variable
3.58903300
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ET1
830000.00000000
PA
USD
844185.53000000
0.178927608093
Long
DBT
CORP
US
N
2
2021-06-08
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJY1
6823.37000000
PA
USD
7826.40000000
0.001658828518
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MB6P7
59186.38000000
PA
USD
61533.52000000
0.013042210698
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WCZ4
850000.00000000
PA
USD
852862.80000000
0.180766781013
Long
DBT
CORP
US
N
2
2021-08-06
Floating
2.22825000
N
N
N
N
N
N
Ally Master Owner Trust
N/A
Ally Master Owner Trust
02005AHE1
740000.00000000
PA
USD
754415.42000000
0.159900569025
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.30000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2017-1
13975WAF0
175000.00000000
PA
USD
176290.50000000
0.037365290417
Long
ABS-O
CORP
US
N
2
2022-09-20
Fixed
2.70000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2012-C6
92936QAJ7
540000.00000000
PA
USD
562710.29000000
0.119268102403
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
4.69700000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YZ0
290000.00000000
PA
USD
292610.58000000
0.062019673782
Long
DBT
CORP
US
N
2
2021-04-05
Fixed
3.47000000
N
N
N
N
N
N
US BANK NA CINCINNATI
6BYL5QZYBDK8S7L73M02
US Bank NA/Cincinnati OH
90331HNQ2
1080000.00000000
PA
USD
1082269.08000000
0.229390117357
Long
DBT
CORP
US
N
2
2021-04-26
Floating
2.25563000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493003EWUCLH0O45S72
Sequoia Mortgage Trust 2018-CH4
81747LAB7
292515.29000000
PA
USD
296733.10000000
0.062893454031
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.00000000
N
N
N
N
N
N
EMD FINANCE LLC
529900C8KS5G529A0B76
EMD Finance LLC
26867LAE0
2325000.00000000
PA
USD
2325746.33000000
0.492948780891
Long
DBT
CORP
US
N
2
2020-03-19
Fixed
2.40000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BJ0
120000.00000000
PA
USD
122287.32000000
0.025919157448
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.90000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523BQ2
350000.00000000
PA
USD
361262.30000000
0.076570607924
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.90000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2005-4
64031QCJ8
547967.96000000
PA
USD
525447.13000000
0.111370065950
Long
ABS-O
CORP
US
N
2
2032-03-22
Floating
2.10775000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q2P3
415000.00000000
PA
USD
415049.80000000
0.087971026882
Long
DBT
CORP
US
N
2
2021-09-07
Floating
2.16500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XMZ4
1095000.00000000
PA
USD
1089939.26000000
0.231015834587
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
2.89200000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2016-3
80284RAF6
92694.82000000
PA
USD
92777.59000000
0.019664483307
Long
ABS-O
CORP
US
N
2
2022-03-15
Fixed
2.46000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAL4
235000.00000000
PA
USD
237609.56000000
0.050362045688
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
3.16800000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAL8
145000.00000000
PA
USD
144559.19000000
0.030639745856
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
2.98975000
N
N
N
N
N
N
ARI Fleet Lease Trust
N/A
ARI Fleet Lease Trust 2018-A
00217EAB4
293100.05000000
PA
USD
293397.08000000
0.062186374772
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
2.55000000
N
N
N
N
N
N
TRUIST BANK
IYDOJBGJWY9T8XKCSX06
Truist Bank
86787EAU1
1090000.00000000
PA
USD
1090330.27000000
0.231098710307
Long
DBT
CORP
US
N
2
2021-01-29
Fixed
2.59000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AZ7
460000.00000000
PA
USD
462374.52000000
0.098001640595
Long
DBT
CORP
JP
N
2
2023-07-26
Floating
2.79563000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26K3
27554.34000000
PA
USD
28754.92000000
0.006094689939
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
EXPRESS SCRIPTS HOLDING
5493003UA6VMND084504
Express Scripts Holding Co
30219GAS7
1100000.00000000
PA
USD
1100804.10000000
0.233318669407
Long
DBT
CORP
US
N
2
2020-11-30
Floating
2.66375000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-C
63940YAA4
681614.91000000
PA
USD
684583.82000000
0.145099555843
Long
ABS-O
CORP
US
N
2
2068-02-15
Fixed
2.82000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QMS4
2760000.00000000
PA
USD
2763491.40000000
0.585730137058
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
2.34200000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHU7
275000.00000000
PA
USD
279707.18000000
0.059284760168
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
4.25000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2018-3
03066MAD8
1120000.00000000
PA
USD
1136323.10000000
0.240847026014
Long
ABS-O
CORP
US
N
2
2023-07-18
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BGYN3
129973.31000000
PA
USD
132428.17000000
0.028068540457
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Fixed
4.00000000
N
N
N
N
N
N
AXIATA SPV2 BHD
254900P49KQFQ10AF282
Axiata SPV2 Bhd
000000000
475000.00000000
PA
USD
479132.50000000
0.101553543786
Long
DBT
CORP
MY
N
2
2020-11-19
Fixed
3.46600000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAD6
1360000.00000000
PA
USD
1414060.00000000
0.299714179537
Long
DBT
CORP
AE
N
2
2021-11-15
Fixed
5.25000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV3
92537MAE0
456509.31000000
PA
USD
455018.99000000
0.096442614359
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.10000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2017-1
80284TAK1
43122.54000000
PA
USD
43153.29000000
0.009146466844
Long
ABS-O
CORP
US
N
2
2022-05-16
Fixed
2.58000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BF8
505000.00000000
PA
USD
537240.72000000
0.113869752067
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.87500000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITD
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
714295AC6
1175000.00000000
PA
USD
1208328.88000000
0.256108863047
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
3.90000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBP7
720000.00000000
PA
USD
726569.28000000
0.153998497681
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
2.80000000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EBD6
575000.00000000
PA
USD
575978.08000000
0.122080249549
Long
DBT
CORP
US
N
2
2021-08-13
Floating
2.40063000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CB8
670000.00000000
PA
USD
672165.44000000
0.142467443646
Long
DBT
CORP
US
N
2
2021-04-16
Floating
2.54088000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BU3
1410000.00000000
PA
USD
1455270.87000000
0.308448944745
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.70000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300O0S47F5VVOH518
Neuberger Berman CLO XIX Ltd
64130CAN2
1105000.00000000
PA
USD
1102237.50000000
0.233622482757
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.80088000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AE3
475000.00000000
PA
USD
476972.68000000
0.101095763579
Long
DBT
CORP
US
N
2
2020-11-21
Fixed
2.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DB3
43000.00000000
PA
USD
43042.87000000
0.009123063000
Long
DBT
CORP
US
N
2
2020-03-09
Floating
2.51500000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AB7
44593.54000000
PA
USD
44564.14000000
0.009445500655
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YJ3
6745000.00000000
PA
USD
6733407.03000000
1.427165440990
Long
DBT
UST
US
N
2
2021-09-30
Fixed
1.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-2
03463WAD5
400000.00000000
PA
USD
406993.56000000
0.086263483099
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
4.06500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DVP6
2156.76000000
PA
USD
2259.24000000
0.000478852568
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
4.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ5F1
96059.29000000
PA
USD
100956.42000000
0.021398010402
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.50000000
N
N
N
N
N
N
PERNOD RICARD SA
52990097YFPX9J0H5D87
Pernod Ricard SA
714264AD0
765000.00000000
PA
USD
800619.17000000
0.169693589846
Long
DBT
CORP
FR
N
2
2022-01-15
Fixed
4.45000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BJ6
435000.00000000
PA
USD
441938.69000000
0.093670206270
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GGR8
6645.50000000
PA
USD
7614.54000000
0.001613924167
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286C9
5465000.00000000
PA
USD
5567468.75000000
1.180041390397
Long
DBT
UST
US
N
2
2022-02-15
Fixed
2.50000000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2018-2 LLC
29373FAB0
449033.25000000
PA
USD
452541.68000000
0.095917541212
Long
ABS-O
CORP
US
N
2
2024-02-20
Fixed
3.14000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2015-3 Receivables Funding LLC
82652JAA5
82717.92000000
PA
USD
82754.94000000
0.017540153136
Long
ABS-O
CORP
US
N
2
2032-09-20
Fixed
2.58000000
N
N
N
N
N
N
MVW Owner Trust
5493004KX4H48P1FVD32
MVW Owner Trust 2014-1
553891AA0
27018.83000000
PA
USD
26982.54000000
0.005719028780
Long
ABS-O
CORP
US
N
2
2031-09-22
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406MJQ0
349.23000000
PA
USD
360.68000000
0.000076447187
Long
ABS-MBS
USGSE
US
N
2
2020-05-01
Fixed
5.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CU7
615000.00000000
PA
USD
618701.07000000
0.131135513043
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
2.60000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAA6
1380000.00000000
PA
USD
1370728.88000000
0.290530021100
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FEJ1
7581.86000000
PA
USD
8385.41000000
0.001777312333
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAC0
990000.00000000
PA
USD
990590.04000000
0.209958474956
Long
DBT
CORP
US
N
2
2021-03-09
Floating
2.43500000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZK7
1265000.00000000
PA
USD
1266855.76000000
0.268513807547
Long
DBT
CORP
US
N
2
2020-03-13
Fixed
2.87500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAZ7
200000.00000000
PA
USD
200760.40000000
0.042551757753
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
2.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-3
24381KAC8
50679.19000000
PA
USD
50964.35000000
0.010802044005
Long
ABS-MBS
CORP
US
N
2
2058-08-25
Variable
3.96300000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZH9
320000.00000000
PA
USD
325329.60000000
0.068954566385
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
3.81300000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFW4
535000.00000000
PA
USD
539681.79000000
0.114387144039
Long
DBT
CORP
US
N
2
2021-04-19
Fixed
2.62500000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
1930000.00000000
PA
USD
1954125.00000000
0.414182546064
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128NC6J8
3896.42000000
PA
USD
4059.73000000
0.000860471724
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
3.84100000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-MS1
61765DAQ1
57636.19000000
PA
USD
57493.90000000
0.012186001348
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
1.63800000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R04
20753TAA1
291543.94000000
PA
USD
291543.74000000
0.061793553903
Long
ABS-MBS
CORP
US
N
2
2039-06-25
Floating
2.54200000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AV6
680000.00000000
PA
USD
689071.20000000
0.146050669243
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
3.30000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BP3
760000.00000000
PA
USD
763054.44000000
0.161731634744
Long
DBT
CORP
US
N
2
2021-01-22
Fixed
3.15000000
N
N
N
N
N
N
AMERICA MOVIL SAB DE CV
5493000FNR3UCEAONM59
America Movil SAB de CV
02364WAV7
308000.00000000
PA
USD
309922.67000000
0.065689022219
Long
DBT
CORP
MX
N
2
2020-03-30
Fixed
5.00000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-H1
36418XAD9
230000.00000000
PA
USD
230038.94000000
0.048757430493
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.33900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C5R8
57085.33000000
PA
USD
65468.93000000
0.013876332432
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAC1
274155.87000000
PA
USD
272501.75000000
0.057757548069
Long
ABS-MBS
CORP
US
N
2
2049-09-27
Variable
2.91600000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAL7
440000.00000000
PA
USD
459506.08000000
0.097393666293
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30
61766NAW5
102887.91000000
PA
USD
102229.09000000
0.021667756555
Long
ABS-MBS
CORP
US
N
2
2049-09-15
Fixed
1.38900000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust 2019-A
44932NAF7
460000.00000000
PA
USD
468005.15000000
0.099195069198
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
2.94000000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITE
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
714295AB8
600000.00000000
PA
USD
607122.60000000
0.128681422243
Long
DBT
CORP
IE
N
2
2021-12-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JPP46
16813.37000000
PA
USD
17693.16000000
0.003750117344
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Floating
4.31500000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BA9
220000.00000000
PA
USD
225603.18000000
0.047817258104
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.15000000
N
N
N
N
N
N
DOLLAR TREE INC
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AE8
865000.00000000
PA
USD
865165.22000000
0.183374315146
Long
DBT
CORP
US
N
2
2020-04-17
Floating
2.70213000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AW0
1745000.00000000
PA
USD
1760031.43000000
0.373043842554
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
3.50000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAB7
1555000.00000000
PA
USD
1576518.09000000
0.334147649937
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
7.00000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22546QAD9
220000.00000000
PA
USD
220031.68000000
0.046636362278
Long
DBT
CORP
US
N
2
2020-01-14
Fixed
5.40000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDH4
646000.00000000
PA
USD
658058.82000000
0.139477504012
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
3.70000000
N
N
N
N
N
N
EMD FINANCE LLC
529900C8KS5G529A0B76
EMD Finance LLC
26867LAG5
275000.00000000
PA
USD
279104.65000000
0.059157052161
Long
DBT
CORP
US
N
2
2022-03-19
Fixed
2.95000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AC2
822000.00000000
PA
USD
829476.91000000
0.175810072787
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
3.35000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2016-3
03065DAF4
610000.00000000
PA
USD
610176.11000000
0.129328622676
Long
ABS-O
CORP
US
N
2
2022-04-08
Fixed
2.24000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-E
63941MAA9
419986.70000000
PA
USD
420653.43000000
0.089158732756
Long
ABS-O
CORP
US
N
2
2068-05-15
Fixed
2.39000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBH0
445000.00000000
PA
USD
457322.50000000
0.096930850085
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.07900000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-1
24380PAA2
207855.16000000
PA
USD
207713.28000000
0.044025441137
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
2.97600000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-1
80285HAE0
265000.00000000
PA
USD
267200.27000000
0.056633883778
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.21000000
N
N
N
N
N
N
OMNICOM GP/OMNICOM CAP
N/A
Omnicom Group Inc / Omnicom Capital Inc
682134AC5
300000.00000000
PA
USD
304038.90000000
0.064441939847
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
4.45000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAD1
1040000.00000000
PA
USD
1056367.52000000
0.223900205469
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.00000000
N
N
N
N
N
N
GOLUB CAPITAL PARTNERS CLO 39(
254900UTQO35BUTIHC49
Golub Capital Partners CLO 39B Ltd
38176LAA9
640000.00000000
PA
USD
638927.88000000
0.135422644963
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.11588000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAG0
890000.00000000
PA
USD
889999.11000000
0.188637931235
Long
DBT
CORP
HK
N
2
2021-09-20
Floating
2.42800000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BH0
430000.00000000
PA
USD
444278.15000000
0.094166061704
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YBA0
77177.81000000
PA
USD
76978.35000000
0.016315787881
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
1.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RR92
142713.95000000
PA
USD
161272.72000000
0.034182227738
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
MCKESSON CORP
549300WZWOM80UCFSF54
McKesson Corp
581557BM6
965000.00000000
PA
USD
978343.06000000
0.207362691493
Long
DBT
CORP
US
N
2
2020-11-30
Fixed
3.65000000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAB8
400000.00000000
PA
USD
415178.00000000
0.087998199250
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032419
1515000.00000000
PA
USD
1570104.35000000
0.332788238864
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAT2
475000.00000000
PA
USD
481161.70000000
0.101983638700
Long
DBT
CORP
GB
N
2
2023-01-10
Floating
3.63450000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
5493003R0K8V08JVGR27
Americredit Automobile Receivables Trust 2018-1
03066HAG2
1195000.00000000
PA
USD
1236299.20000000
0.262037254706
Long
ABS-O
CORP
US
N
2
2024-03-18
Fixed
3.82000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAU5
955000.00000000
PA
USD
963125.14000000
0.204137208553
Long
DBT
CORP
DK
N
2
2022-09-20
Fixed
3.00100000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVb Trust 2017-SPL4
07331YAA8
235304.61000000
PA
USD
237873.55000000
0.050417999145
Long
ABS-MBS
CORP
US
N
2
2055-01-28
Variable
3.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2019-1
24380RAA8
630545.55000000
PA
USD
633755.85000000
0.134326417980
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.74300000
N
N
N
N
N
N
Volvo Financial Equipment LLC
N/A
Volvo Financial Equipment LLC Series 2018-1
92888CAE7
315000.00000000
PA
USD
317292.07000000
0.067250988242
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
2.91000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAN0
630000.00000000
PA
USD
633770.52000000
0.134329527330
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.83600000
N
N
N
N
N
N
MARTIN MARIETTA MATERIAL
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AR7
215000.00000000
PA
USD
215186.84000000
0.045609484178
Long
DBT
CORP
US
N
2
2020-05-22
Floating
2.54875000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2017-A LLC
28416DAA8
154809.88000000
PA
USD
155698.24000000
0.033000700293
Long
ABS-O
CORP
US
N
2
2030-03-25
Fixed
2.69000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWD2
750000.00000000
PA
USD
757657.50000000
0.160587737424
Long
DBT
CORP
US
N
2
2022-04-26
Floating
3.04563000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAB7
810000.00000000
PA
USD
871762.50000000
0.184772628063
Long
DBT
CORP
IE
N
2
2023-10-01
Fixed
5.12500000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAA3
146592.46000000
PA
USD
147145.45000000
0.031187911276
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.66000000
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
DR Horton Inc
23331ABL2
365000.00000000
PA
USD
366640.31000000
0.077710492975
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
2.55000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YCM5
355000.00000000
PA
USD
355429.91000000
0.075334415695
Long
DBT
CORP
US
N
2
2020-01-26
Fixed
5.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-2
80286GAE1
390000.00000000
PA
USD
393220.07000000
0.083344151349
Long
ABS-O
CORP
US
N
2
2024-01-16
Fixed
2.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDX4
5738.01000000
PA
USD
6455.49000000
0.001368260108
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAQ6
2217000.00000000
PA
USD
2246118.08000000
0.476071338904
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DE70
1156.52000000
PA
USD
1326.70000000
0.000281197970
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
31418DGZ9
205417.58000000
PA
USD
216736.26000000
0.045937888308
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BL3
635000.00000000
PA
USD
639133.22000000
0.135466167381
Long
DBT
CORP
GB
N
2
2023-01-20
Floating
3.11588000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300XC4C7GRVLU6076
SMB Private Education Loan Trust 2014-A
784456AB1
259142.18000000
PA
USD
260405.32000000
0.055193674123
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
3.05000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAU2
450000.00000000
PA
USD
461250.00000000
0.097763295271
Long
DBT
CORP
NL
N
2
2021-06-01
Fixed
4.12500000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAK4
440000.00000000
PA
USD
441192.84000000
0.093512121167
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
2.30000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AA4
345000.00000000
PA
USD
348160.55000000
0.073793653445
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
3.00000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AC5
73579.34000000
PA
USD
73248.95000000
0.015525330573
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.99000000
N
N
N
N
N
N
UNITED TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017CZ0
520000.00000000
PA
USD
520004.16000000
0.110216412436
Long
DBT
CORP
US
N
2
2021-08-16
Floating
2.55413000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BE1
535000.00000000
PA
USD
542338.60000000
0.114950262740
Long
DBT
CORP
US
N
2
2020-12-29
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY44
12736.65000000
PA
USD
13032.00000000
0.002762170762
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4
46636DAJ5
384278.28000000
PA
USD
391913.66000000
0.083067253904
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Fixed
4.38780000
N
N
N
N
N
N
CENTERPOINT ENERGY RESOU
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp
15189WAG5
445000.00000000
PA
USD
452928.12000000
0.095999448308
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
49386.41000000
PA
USD
55289.55000000
0.011718782877
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-2 Mortgage Loan Trust
19687VAB7
227385.56000000
PA
USD
227966.69000000
0.048318211006
Long
ABS-MBS
CORP
US
N
2
2048-07-27
Variable
3.54200000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
190000.00000000
PA
USD
197907.61000000
0.041947100515
Long
DBT
CORP
IE
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO 4/2 144A CP 3.1500 20200727
N/A
FORD MOTOR CREDIT CO 4/2 144A CP 3.1500 20200727
000000000
495000.00000000
PA
USD
487062.70000000
0.103234373020
Long
DBT
CORP
US
N
2
2020-07-27
None
0.00000000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAC1
285000.00000000
PA
USD
295745.64000000
0.062684158977
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
3.80000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2015-3
03065NAG0
444129.61000000
PA
USD
444509.96000000
0.094215194516
Long
ABS-O
CORP
US
N
2
2021-08-08
Fixed
3.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4X9
214538.51000000
PA
USD
225707.04000000
0.047839271536
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AE0
255000.00000000
PA
USD
260727.30000000
0.055261918732
Long
DBT
CORP
US
N
2
2021-09-17
Fixed
3.40000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BG8
820000.00000000
PA
USD
839106.82000000
0.177851160559
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
3.21800000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
4448.95000000
0.000942968048
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
-1829.51
USD
305000
USD
6278.46
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36417JAS8
371894.17000000
PA
USD
373671.12000000
0.079200693851
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
3.50000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
540000.00000000
PA
USD
547080.48000000
0.115955318164
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-5
80286AAE4
875000.00000000
PA
USD
879725.09000000
0.186460322452
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
3.52000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AG5
430000.00000000
PA
USD
447200.00000000
0.094785356412
Long
DBT
CORP
GB
N
2
2022-09-27
Fixed
4.12500000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300UHUHCR3388B324
Neuberger Berman CLO XVI-S Ltd
64131TAC8
675000.00000000
PA
USD
674490.45000000
0.142960236360
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
2.85088000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
4594.82000000
0.000973885624
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
-1600.15
USD
315000
USD
6194.97
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAL3
543841.93000000
PA
USD
545476.50000000
0.115615349882
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411BBB8
4404.53000000
PA
USD
4416.48000000
0.000936085936
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAA0
533050.06000000
PA
USD
533049.69000000
0.112981450922
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
2.54200000
N
N
N
N
N
N
SAN DIEGO G & E
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co
797440BT0
96429.96000000
PA
USD
96099.01000000
0.020368468054
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
1.91400000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160AU3
520000.00000000
PA
USD
520452.40000000
0.110311418224
Long
DBT
CORP
US
N
2
2020-06-15
Floating
2.49363000
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAR2
375000.00000000
PA
USD
383587.88000000
0.081302580325
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148YAB4
750000.00000000
PA
USD
754710.00000000
0.159963006123
Long
DBT
CORP
US
N
2
2022-10-31
Floating
2.70713000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XVIII Ltd
55819BAL4
1175000.00000000
PA
USD
1174896.64000000
0.249022801365
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
3.15588000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BR9
785000.00000000
PA
USD
785697.87000000
0.166530976388
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
2.40400000
N
N
N
N
N
N
Carlyle Global Market Strategi
549300XYKYPK3H877P92
Carlyle Global Market Strategies CLO 2015-3 Ltd
14311MAN6
1115000.00000000
PA
USD
1113500.22000000
0.236009649415
Long
ABS-CBDO
CORP
KY
N
2
2028-07-28
Floating
2.93563000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGR5
70000.00000000
PA
USD
70306.46000000
0.014901661156
Long
DBT
CORP
US
N
2
2020-12-07
Fixed
2.55000000
N
N
N
N
N
N
BDO UNIBANK INC
3FGIIBS1PEI1FYQBGN97
BDO Unibank Inc
000000000
1200000.00000000
PA
USD
1212910.31000000
0.257079910621
Long
DBT
CORP
PH
N
2
2023-03-06
Fixed
2.95000000
N
N
N
N
N
N
STATE GRID OVERSEAS INV
3003006V8BHG5158QO96
State Grid Overseas Investment 2016 Ltd
857006AD2
1485000.00000000
PA
USD
1484948.86000000
0.314739282088
Long
DBT
CORP
VG
N
2
2020-05-04
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UZU9
306497.15000000
PA
USD
319003.19000000
0.067613665163
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ6A1
80977.74000000
PA
USD
85134.19000000
0.018044442178
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZU0
885000.00000000
PA
USD
893181.83000000
0.189312518108
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
3.35000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAU9
815000.00000000
PA
USD
842595.90000000
0.178590681335
Long
DBT
CORP
US
N
2
2022-02-04
Fixed
4.05000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
549300ZGMKIELA840327
Bayview Mortgage Fund IVc Trust 2017-RT3
07326TAA6
792809.54000000
PA
USD
799318.74000000
0.169417959879
Long
ABS-MBS
CORP
US
N
2
2058-01-28
Variable
3.50000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AD7
265000.00000000
PA
USD
264382.55000000
0.056036659729
Long
DBT
CORP
GB
N
2
2020-07-21
Fixed
2.95000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
385000.00000000
PA
USD
397561.78000000
0.084264389564
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
HSBC USA INC
549300LBOHZ4QSIWU288
HSBC USA Inc
40428HPR7
690000.00000000
PA
USD
690064.86000000
0.146261278405
Long
DBT
CORP
US
N
2
2020-03-05
Fixed
2.35000000
N
N
N
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAD7
145000.00000000
PA
USD
146264.46000000
0.031001182852
Long
DBT
CORP
PE
N
2
2020-04-16
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USV5
242165.15000000
PA
USD
253005.55000000
0.053625271089
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-5
89176VAK8
1082035.27000000
PA
USD
1102078.57000000
0.233588797075
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128NC3S1
4513.40000000
PA
USD
4739.09000000
0.001004464075
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
4.48000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JALB2
403415.51000000
PA
USD
418682.48000000
0.088740984102
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBG4
175000.00000000
PA
USD
175430.50000000
0.037183010885
Long
DBT
CORP
US
N
2
2021-09-09
Floating
2.78500000
N
N
N
N
N
N
JABIL INC
5493000CGCQY2OQU7669
Jabil Inc
466313AF0
350000.00000000
PA
USD
360063.55000000
0.076316529333
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
5.62500000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
000000000
600000.00000000
PA
USD
603879.00000000
0.127993931675
Long
DBT
CORP
NL
N
2
2022-03-03
Fixed
3.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AB6
455000.00000000
PA
USD
454763.86000000
0.096388538805
Long
DBT
CORP
US
N
2
2021-09-17
Floating
2.54963000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AQ9
1120000.00000000
PA
USD
1156836.80000000
0.245194965115
Long
DBT
CORP
JP
N
2
2021-11-26
Fixed
4.00000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300Z3WHVYABE20I45
Magnetite XVI Ltd
55953RAL5
1510000.00000000
PA
USD
1506383.93000000
0.319282508272
Long
ABS-CBDO
CORP
KY
N
2
2028-01-18
Floating
2.80325000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAW8
440000.00000000
PA
USD
456688.76000000
0.096796527026
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128LUHZ2
6031.92000000
PA
USD
6330.75000000
0.001341821098
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
4.87400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BW93
115700.62000000
PA
USD
120723.02000000
0.025587599458
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAG3
270000.00000000
PA
USD
284290.56000000
0.060256221051
Long
DBT
CORP
IT
N
2
2023-09-12
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WX48
3639.56000000
PA
USD
3703.91000000
0.000785054627
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
6.00000000
N
N
N
N
N
N
GM Financial Securitized Term
N/A
GM Financial Consumer Automobile Receivables Trust 2017-3
36254MAG3
895000.00000000
PA
USD
897568.11000000
0.190242203065
Long
ABS-O
CORP
US
N
2
2023-03-16
Fixed
2.52000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CU9
485000.00000000
PA
USD
517662.81000000
0.109720156412
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CS4
181315.48000000
PA
USD
181488.44000000
0.038467009101
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Variable
3.81315400
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAV0
750000.00000000
PA
USD
801562.50000000
0.169893531416
Long
DBT
CORP
NL
N
2
2023-06-01
Fixed
4.62500000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UCT4
1661000.00000000
PA
USD
1665154.16000000
0.352934325889
Long
DBT
CORP
US
N
2
2020-07-01
Variable
2.57900000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128287C8
9020000.00000000
PA
USD
9051006.25000000
1.918387417935
Long
DBT
UST
US
N
2
2022-07-15
Fixed
1.75000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-1
43789EAA4
756055.08000000
PA
USD
760064.74000000
0.161097959028
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.45400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VG37
8729.53000000
PA
USD
8898.69000000
0.001886103540
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAG2
1405000.00000000
PA
USD
1413850.10000000
0.299669690614
Long
DBT
CORP
SE
N
2
2021-03-10
Fixed
2.65000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AB4
495000.00000000
PA
USD
509170.07000000
0.107920095169
Long
DBT
CORP
CN
N
2
2022-11-28
Fixed
3.50000000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BM1
205000.00000000
PA
USD
207034.83000000
0.043881641662
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B13K8
658829.81000000
PA
USD
680808.17000000
0.144299295711
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
4.00000000
N
N
N
N
N
N
AMER AIRLINE 17-2B PTT
N/A
American Airlines 2017-2 Class B Pass Through Trust
02377DAA0
470829.08920000
PA
USD
471487.31000000
0.099933123261
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.70000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFZ7
435000.00000000
PA
USD
438643.56000000
0.092971793767
Long
DBT
CORP
US
N
2
2022-10-21
Fixed
2.50300000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BU2
595000.00000000
PA
USD
596079.93000000
0.126340895830
Long
DBT
CORP
US
N
2
2020-08-20
Fixed
2.95000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAE8
265000.00000000
PA
USD
265396.97000000
0.056251669034
Long
ABS-O
CORP
US
N
2
2023-06-19
Fixed
2.24000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AL70
26776.01000000
PA
USD
30686.52000000
0.006504098245
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAU8
890000.00000000
PA
USD
890044.50000000
0.188647551779
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.12500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CHG2
124520.31000000
PA
USD
144359.74000000
0.030597471841
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
7.50000000
N
N
N
N
N
N
World Omni Auto Receivables Tr
N/A
World Omni Auto Receivables Trust 2019-C
98162RAG3
460000.00000000
PA
USD
459061.92000000
0.097299525274
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
2.40000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP2 Trust
67113KAL2
194654.67000000
PA
USD
194955.78000000
0.041321451458
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Floating
2.99200000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAC7
445000.00000000
PA
USD
448260.07000000
0.095010041369
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AW5A7
116830.51000000
PA
USD
121609.44000000
0.025775478787
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
3.50000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAF4
470000.00000000
PA
USD
474061.27000000
0.100478681660
Long
DBT
CORP
GB
N
2
2023-04-24
Floating
2.95600000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AP0
420000.00000000
PA
USD
421175.58000000
0.089269403986
Long
DBT
CORP
US
N
2
2021-08-15
Floating
2.77988000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-4
89171UAU3
235392.16000000
PA
USD
235107.50000000
0.049831726705
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
2.75000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-4
80285MAF6
460000.00000000
PA
USD
461678.82000000
0.097854184932
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
3.27000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367T4X5
730000.00000000
PA
USD
732713.41000000
0.155300764121
Long
DBT
CORP
CA
N
2
2021-04-13
Floating
2.46088000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAE2
235000.00000000
PA
USD
243879.48000000
0.051690973688
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128L5AC5
2891.74000000
PA
USD
3191.55000000
0.000676458417
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAP0
1070000.00000000
PA
USD
1076687.50000000
0.228207085046
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
3.62500000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BD4
265000.00000000
PA
USD
265568.16000000
0.056287953259
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
361886AU8
1238000.00000000
PA
USD
1238231.88000000
0.262446891921
Long
ABS-O
CORP
US
N
2
2022-01-18
Fixed
2.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KLP7
13803.00000000
PA
USD
14227.17000000
0.003015490561
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fontainebleau Miami Beach Trus
N/A
Fontainebleau Miami Beach Trust 2019-FBLU
34461LAJ3
895000.00000000
PA
USD
915820.74000000
0.194110901724
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JRZ33
10627.70000000
PA
USD
11183.19000000
0.002370310040
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
4.61000000
N
N
N
N
N
N
Verizon Owner Trust
5493002I20BBOB4UPY82
Verizon Owner Trust 2017-3
92348RAD0
865000.00000000
PA
USD
866650.16000000
0.183689052550
Long
ABS-O
CORP
US
N
2
2022-04-20
Fixed
2.53000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CHF4
112699.39000000
PA
USD
130950.92000000
0.027755432971
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26L1
63625.48000000
PA
USD
66401.26000000
0.014073942520
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568BA7
80000.00000000
PA
USD
84006.48000000
0.017805420724
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.35000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-2
89173HAA4
266410.51000000
PA
USD
268116.66000000
0.056828115336
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAF2
225000.00000000
PA
USD
230039.55000000
0.048757559784
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.55000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVa Trust 2017-SPL5
07331UAA6
683559.27000000
PA
USD
694071.18000000
0.147110429723
Long
ABS-MBS
CORP
US
N
2
2057-06-28
Variable
3.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2019-3
24381NAA6
370658.49000000
PA
USD
371674.17000000
0.078777434420
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.96400000
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAE4
1775000.00000000
PA
USD
1807006.80000000
0.383000410506
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DEU2
369979.58000000
PA
USD
384884.77000000
0.081577459978
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AH9
230000.00000000
PA
USD
231209.34000000
0.049005500218
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XM0
1916514.87000000
PA
USD
2055506.60000000
0.435670674619
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2016-1
59980TAA4
79151.43000000
PA
USD
78994.70000000
0.016743159199
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.50000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AT6
390000.00000000
PA
USD
396559.02000000
0.084051851631
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
2.87500000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2014-A LLC
284157AA2
15220.99000000
PA
USD
15230.32000000
0.003228111157
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
2.53000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G5J9
490000.00000000
PA
USD
510481.51000000
0.108198058737
Long
DBT
CORP
US
N
2
2021-10-17
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LBR2
36670.08000000
PA
USD
42048.33000000
0.008912267320
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAC1
88467.25000000
PA
USD
88996.45000000
0.018863059554
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.83000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAH1
690000.00000000
PA
USD
702032.22000000
0.148797795585
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
2.75000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
46591JAG1
1130000.00000000
PA
USD
1129985.76000000
0.239503808146
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
3.08975000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENBV0
6.19000000
PA
USD
6.39000000
0.000001354379
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AZ5
415000.00000000
PA
USD
419575.79000000
0.088930323786
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
2.70000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-1
92536FAA4
106638.55000000
PA
USD
106646.99000000
0.022604143464
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
2.92900000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YF1
1780000.00000000
PA
USD
1774993.75000000
0.376215150322
Long
DBT
UST
US
N
2
2022-09-15
Fixed
1.50000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-2
13976CAD8
255000.00000000
PA
USD
257900.22000000
0.054662710804
Long
ABS-O
CORP
US
N
2
2023-10-20
Fixed
3.48000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
34540RAC0
1340000.00000000
PA
USD
1341340.00000000
0.284300961473
Long
DBT
CORP
US
N
2
2020-09-24
Floating
2.86475000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2018-DSNY
054967AA2
680000.00000000
PA
USD
677579.06000000
0.143614876341
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
2.58975000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2015-2 Receivables Funding LLC
82652HAA9
64474.94000000
PA
USD
64446.69000000
0.013659665655
Long
ABS-O
CORP
US
N
2
2032-06-20
Fixed
2.43000000
N
N
N
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351AJ8
90000.00000000
PA
USD
93408.12000000
0.019798125997
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
5.00000000
N
N
N
N
N
N
GATX CORP
549300IHYHCQP2PIR591
GATX Corp
361448AV5
1020000.00000000
PA
USD
1021192.38000000
0.216444731002
Long
DBT
CORP
US
N
2
2020-03-30
Fixed
2.60000000
N
N
N
N
N
N
Verizon Owner Trust
N/A
Verizon Owner Trust 2017-2
92348PAC6
1235000.00000000
PA
USD
1236488.18000000
0.262077309574
Long
ABS-O
CORP
US
N
2
2021-12-20
Fixed
2.38000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
46591JAJ5
355000.00000000
PA
USD
354995.42000000
0.075242324261
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
3.33975000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JM6Y8
11502.38000000
PA
USD
12023.96000000
0.002548513716
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.85800000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513AV7
680000.00000000
PA
USD
680286.28000000
0.144188679589
Long
DBT
CORP
US
N
2
2021-05-21
Floating
2.21463000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6ND3
636051.57000000
PA
USD
661313.52000000
0.140167347258
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
1385.74000000
0.000293711672
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
0
USD
95000
USD
1385.74
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G7K4
340000.00000000
PA
USD
352676.90000000
0.074750907122
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.45000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAG6
310000.00000000
PA
USD
311157.23000000
0.065950690845
Long
DBT
CORP
US
N
2
2020-06-04
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U6W7
780394.02000000
PA
USD
813884.51000000
0.172505217708
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC46
825000.00000000
PA
USD
827109.53000000
0.175308299627
Long
DBT
CORP
US
N
2
2022-11-04
Fixed
2.31200000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776696AE6
945000.00000000
PA
USD
969986.75000000
0.205591546991
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.12500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2018-A
63940PAA3
175378.11000000
PA
USD
175390.68000000
0.037174570919
Long
ABS-O
CORP
US
N
2
2042-02-18
Fixed
2.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CKX3
251044.55000000
PA
USD
287994.41000000
0.061041262962
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MZ9
130868.02000000
PA
USD
130961.67000000
0.027757711465
Long
ABS-MBS
CORP
US
N
2
2029-08-25
Floating
2.99200000
N
N
N
N
N
N
Freddie Mac - STACR
5493005LAQ76UDHPEE03
Freddie Mac Stacr Remic Trust 2019-Hqa4
35565CAA4
380000.00000000
PA
USD
380060.57000000
0.080554956587
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Floating
2.56200000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MMH71
16690.35000000
PA
USD
17406.55000000
0.003689369511
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286H8
9655000.00000000
PA
USD
9817928.13000000
2.080938767972
Long
DBT
UST
US
N
2
2022-03-15
Fixed
2.37500000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAG6
455000.00000000
PA
USD
455027.76000000
0.096444473187
Long
DBT
CORP
US
N
2
2020-03-02
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QVG3
5341.50000000
PA
USD
6124.63000000
0.001298133357
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
6.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-4 Mortgage Loan Trust
19688AAA4
320652.35000000
PA
USD
321878.33000000
0.068223059549
Long
ABS-MBS
CORP
US
N
2
2048-12-28
Variable
4.00600000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AM7
390000.00000000
PA
USD
398344.83000000
0.084430359317
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
3.60000000
N
N
N
N
N
N
MOLSON COORS BREWING CO
54930073LBBH6ZCBE225
Molson Coors Brewing Co
60871RAP5
430000.00000000
PA
USD
430006.88000000
0.091141224017
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
2.25000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-3
89169DAA9
591981.16000000
PA
USD
594157.87000000
0.125933509555
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.75000000
N
N
N
N
N
N
Homeward Opportunities Fund Tr
N/A
Homeward Opportunities Fund I Trust 2018-1
43789AAB0
346511.62000000
PA
USD
348790.28000000
0.073927126572
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.89700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY77
2011.18000000
PA
USD
2077.84000000
0.000440404304
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AX5
760000.00000000
PA
USD
763060.52000000
0.161732923418
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M76Q4
5358.21000000
PA
USD
6017.11000000
0.001275344176
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2017-2
02007HAG6
135000.00000000
PA
USD
135731.82000000
0.028768758799
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
2.93000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BK3
135000.00000000
PA
USD
138707.51000000
0.029399465054
Long
DBT
CORP
US
N
2
2023-02-20
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QP7
943724.79000000
PA
USD
944371.15000000
0.200162245167
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
2.54200000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2018-2
13976CAE6
320000.00000000
PA
USD
324603.74000000
0.068800718221
Long
ABS-O
CORP
US
N
2
2023-12-20
Fixed
3.69000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EBU2
6623.48000000
PA
USD
7336.53000000
0.001554999129
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
5.00000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-3
43800KAA5
683459.39000000
PA
USD
681304.24000000
0.144404439208
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.67500000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AJ0
285000.00000000
PA
USD
287540.21000000
0.060944993935
Long
DBT
CORP
US
N
2
2020-09-25
Fixed
3.40000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467P8
355000.00000000
PA
USD
362085.45000000
0.076745076990
Long
DBT
CORP
US
N
2
2020-07-24
Fixed
5.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAD7
154534.43000000
PA
USD
155566.60000000
0.032972798807
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
3.63963000
N
N
N
N
N
N
JD.COM INC
549300HVTWB0GJZ16V92
JD.com Inc
47215PAB2
1610000.00000000
PA
USD
1622605.32000000
0.343915974001
Long
DBT
CORP
CN
N
2
2021-04-29
Fixed
3.12500000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-IMC1
85572TAA3
381421.95000000
PA
USD
384257.52000000
0.081444512494
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
3.46800000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCA0
935000.00000000
PA
USD
937904.95000000
0.198791715042
Long
ABS-O
CORP
US
N
2
2021-12-20
Fixed
2.63000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAL3
1120000.00000000
PA
USD
1142202.88000000
0.242093262693
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
2.90000000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886BZ6
510000.00000000
PA
USD
512822.70000000
0.108694280849
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
2.70000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-1
03065FAF9
225000.00000000
PA
USD
226346.42000000
0.047974790009
Long
ABS-O
CORP
US
N
2
2022-08-18
Fixed
2.71000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAM5
1515000.00000000
PA
USD
1676429.31000000
0.355324127122
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-6
89175JAA8
1259046.57000000
PA
USD
1266197.45000000
0.268374276805
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
2.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286M7
6505000.00000000
PA
USD
6598509.38000000
1.398573486977
Long
DBT
UST
US
N
2
2022-04-15
Fixed
2.25000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AQ3
200000.00000000
PA
USD
206250.00000000
0.043715294633
Long
DBT
CORP
GB
N
2
2022-04-10
Fixed
3.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS APACHE CORP
000000000
1.00000000
NC
USD
-8648.47000000
-0.00183306867
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
APACHE CORP
Apache Corp
Y
Default Event
2024-12-20
0
USD
-26039.16
USD
650000
USD
17390.69
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAA0
485000.00000000
PA
USD
487431.79000000
0.103312602732
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.65000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AD3
500000.00000000
PA
USD
500937.00000000
0.106175071747
Long
DBT
CORP
GG
N
2
2020-03-26
Fixed
2.75000000
N
N
N
N
N
N
Capital One Multi-Asset Execut
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NFU0
1135000.00000000
PA
USD
1131030.45000000
0.239725233266
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
1.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GJG3
1064.48000000
PA
USD
1123.19000000
0.000238063426
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
4.77000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2017-2
02007HAF8
505000.00000000
PA
USD
506217.96000000
0.107294386764
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
2.46000000
N
N
N
N
N
N
TRUIST BANK
IYDOJBGJWY9T8XKCSX06
Truist Bank
86787EBE6
690000.00000000
PA
USD
702159.87000000
0.148824851379
Long
DBT
CORP
US
N
2
2022-05-17
Fixed
2.80000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAA5
522509.70000000
PA
USD
525426.19000000
0.111365627656
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.67700000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAH8
600000.00000000
PA
USD
603800.40000000
0.127977272173
Long
DBT
CORP
ES
N
2
2023-04-12
Floating
3.12088000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AX2
920000.00000000
PA
USD
925767.48000000
0.196219142547
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
3.57900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMP4
139076.33000000
PA
USD
147802.35000000
0.031327143165
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
5.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-1
89176EAA8
242026.50000000
PA
USD
244499.94000000
0.051822482012
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AB8
645269.04000000
PA
USD
649011.60000000
0.137559919101
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.25000000
N
N
N
N
N
N
Volvo Financial Equipment Mast
N/A
Volvo Financial Equipment Master Owner Trust
92887MAA4
175000.00000000
PA
USD
175398.44000000
0.037176215674
Long
ABS-O
CORP
US
N
2
2022-11-15
Floating
2.23975000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAB9
115000.00000000
PA
USD
119725.01000000
0.025376068301
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.87500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS3
36251PAA2
46388.87000000
PA
USD
46235.99000000
0.009799854184
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
1.42900000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBF4
140000.00000000
PA
USD
141377.88000000
0.029965457836
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.61600000
N
N
N
N
N
N
MARATHON OIL CORP
1FRVQX2CRLGC1XLP5727
Marathon Oil Corp
565849AK2
1222000.00000000
PA
USD
1240510.86000000
0.262929928441
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.80000000
N
N
N
N
N
N
COLUMBIA PIPELINE GROUP
549300SRP1TQM9JJBG80
Columbia Pipeline Group Inc
198280AD1
785000.00000000
PA
USD
787927.27000000
0.167003504280
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DH54
10841.37000000
PA
USD
11438.73000000
0.002424472495
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300WLW67V4O2Z6P70
SLM Student Loan Trust 2010-1
78445XAA4
604763.39000000
PA
USD
583597.94000000
0.123695301307
Long
ABS-O
CORP
US
N
2
2025-03-25
Floating
2.19200000
N
N
N
N
N
N
Ascentium Equipment Receivable
N/A
Ascentium Equipment Receivables 2017-1 Trust
04365JAC3
99285.19000000
PA
USD
99355.53000000
0.021058697054
Long
ABS-O
CORP
US
N
2
2021-06-10
Fixed
2.29000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RBX1
600000.00000000
PA
USD
600705.42000000
0.127321282052
Long
ABS-O
CORP
US
N
2
2021-07-20
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285V8
5170000.00000000
PA
USD
5261282.81000000
1.115144379101
Long
DBT
UST
US
N
2
2022-01-15
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAJ1
710000.00000000
PA
USD
696297.00000000
0.147582198824
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
3.17709000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAE0
670000.00000000
PA
USD
683736.34000000
0.144919929962
Long
DBT
CORP
US
N
2
2021-05-25
Fixed
3.55100000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2019-2
63941RAA8
424483.22000000
PA
USD
424358.72000000
0.089944079879
Long
ABS-O
CORP
US
N
2
2068-02-27
Floating
2.06200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286U9
5680000.00000000
PA
USD
5748337.50000000
1.218377054379
Long
DBT
UST
US
N
2
2022-05-15
Fixed
2.12500000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAM2
620000.00000000
PA
USD
639284.10000000
0.135498146841
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.44800000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
N/A
Enterprise Fleet Financing 2019-3 LLC
29374WAB2
530000.00000000
PA
USD
529332.68000000
0.112193619710
Long
ABS-O
CORP
US
N
2
2025-05-20
Fixed
2.06000000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AK9
420000.00000000
PA
USD
432736.08000000
0.091719685991
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.37500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGX1
610000.00000000
PA
USD
610874.74000000
0.129476699361
Long
DBT
CORP
US
N
2
2022-01-23
Floating
2.31400000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
4303.09000000
0.000912052592
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0
USD
-682.31
USD
295000
USD
4985.4
N
N
N
WPP FINANCE 2010
549300OJB3S151W7KN44
WPP Finance 2010
92936MAC1
195000.00000000
PA
USD
201624.15000000
0.042734832109
Long
DBT
CORP
GB
N
2
2022-09-07
Fixed
3.62500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LC3
990000.00000000
PA
USD
1004716.35000000
0.212952587943
Long
DBT
CORP
US
N
2
2021-12-08
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128NGEY7
3586.74000000
PA
USD
3793.57000000
0.000804058328
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
4.38300000
N
N
N
N
N
N
CAPITAL ONE NA
207ALC1P1YM0OVDV0K75
Capital One NA
14042RBT7
470000.00000000
PA
USD
471457.00000000
0.099926698967
Long
DBT
CORP
US
N
2
2021-09-13
Fixed
2.25000000
N
N
N
N
N
N
BAXALTA INC
5493000JW8DCO3T45R55
Baxalta Inc
07177MAL7
190000.00000000
PA
USD
194860.58000000
0.041301273537
Long
DBT
CORP
US
N
2
2022-06-23
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0TG4
172099.89000000
PA
USD
171940.77000000
0.036443352339
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
2.24200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KGP3
6051.87000000
PA
USD
6942.26000000
0.001471432442
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UD90
30899.57000000
PA
USD
32183.96000000
0.006821485061
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
54930027GONY06ZX8P67
SMB Private Education Loan Trust 2016-C
78449KAC4
777862.19000000
PA
USD
779457.97000000
0.165208411214
Long
ABS-O
CORP
US
N
2
2034-09-15
Floating
2.83975000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 2 YEAR NOTE
000000000
646.00000000
NC
USD
-183844.78000000
-0.03896644230
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
139396844.78
USD
-183844.78
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM3
64829PAC3
297221.49000000
PA
USD
297192.54000000
0.062990833692
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
3.08636000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EK3V5
73568.78000000
PA
USD
76358.58000000
0.016184425806
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BYZ5
934.51000000
PA
USD
949.42000000
0.000201232363
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
210000.00000000
PA
USD
211880.97000000
0.044908795300
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.62500000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
430000.00000000
PA
USD
435916.80000000
0.092393848958
Long
ABS-O
CORP
US
N
2
2049-06-07
Fixed
4.19400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DQ69
15188.07000000
PA
USD
15900.39000000
0.003370134466
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Floating
4.39700000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFC9
470000.00000000
PA
USD
484413.02000000
0.102672765544
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV4S1
553764.45000000
PA
USD
584277.21000000
0.123839274583
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
920000.00000000
PA
USD
967148.16000000
0.204989899484
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFE9
445000.00000000
PA
USD
463328.66000000
0.098203873377
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
3.35000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM3
64829PAA7
752060.44000000
PA
USD
752719.02000000
0.159541012051
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.80181000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2018-2
36255KAG6
325000.00000000
PA
USD
328098.65000000
0.069541474684
Long
ABS-O
CORP
US
N
2
2022-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MUF2
5139.00000000
PA
USD
5388.59000000
0.001142127512
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Floating
4.26400000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AP2
415000.00000000
PA
USD
420302.04000000
0.089084254611
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.12500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
61765LAQ3
63134.83000000
PA
USD
62984.23000000
0.013349692953
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
1.70600000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828R77
1895000.00000000
PA
USD
1888782.03000000
0.400332911224
Long
DBT
UST
US
N
2
2021-05-31
Fixed
1.37500000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
549300K13TUMZQMZ9684
Hyundai Auto Receivables Trust 2017-A
44931PAF3
220000.00000000
PA
USD
220566.57000000
0.046749733788
Long
ABS-O
CORP
US
N
2
2023-04-17
Fixed
2.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAGF8
341002.74000000
PA
USD
362367.41000000
0.076804839242
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886BU7
975000.00000000
PA
USD
998184.04000000
0.211568045610
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2017-3
80284YAE4
22772.26000000
PA
USD
22770.85000000
0.004826348687
Long
ABS-O
CORP
US
N
2
2022-03-15
Fixed
2.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415VYB5
342615.79000000
PA
USD
385224.48000000
0.081649462512
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MC6H3
468.92000000
PA
USD
484.49000000
0.000102689081
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AH6
850000.00000000
PA
USD
895112.90000000
0.189721814079
Long
DBT
CORP
US
N
2
2022-07-02
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HMPA6
338731.47000000
PA
USD
362202.53000000
0.076769892441
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AW7
565000.00000000
PA
USD
568182.08000000
0.120427864401
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
2.60000000
N
N
N
N
N
N
OCP CLO Ltd
254900FZYL5HDKV64882
OCP CLO 2015-10 Ltd
67092DAL3
1035000.00000000
PA
USD
1034671.65000000
0.219301701957
Long
ABS-CBDO
CORP
KY
N
2
2027-10-26
Floating
2.75563000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCH7
515000.00000000
PA
USD
515201.37000000
0.109198446958
Long
DBT
CORP
US
N
2
2021-04-09
Floating
2.86200000
N
N
N
N
N
N
SHENHUA OVERSEAS CAPITAL
N/A
China Shenhua Overseas Capital Co Ltd
000000000
930000.00000000
PA
USD
930252.92000000
0.197169844759
Long
DBT
CORP
HK
N
2
2020-01-20
Fixed
3.12500000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300ZAGI6FKGY8O078
CSAIL 2015-C3 Commercial Mortgage Trust
12635FAQ7
14608.79000000
PA
USD
14587.34000000
0.003091829653
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Fixed
1.71670000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAK7
1115000.00000000
PA
USD
1114926.41000000
0.236311934583
Long
DBT
CORP
DK
N
2
2020-03-02
Fixed
2.20000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAJ7
1080000.00000000
PA
USD
1080940.68000000
0.229108559067
Long
DBT
CORP
US
N
2
2020-10-20
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413U4T3
6935.82000000
PA
USD
6963.90000000
0.001476019104
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ATJ6
15622.81000000
PA
USD
16239.98000000
0.003442111566
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
Cole Park CLO Limited
N/A
Cole Park CLO Ltd 2015-1
19329LAN7
1120000.00000000
PA
USD
1116715.39000000
0.236691114160
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.01588000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285F3
5150000.00000000
PA
USD
5264265.63000000
1.115776596581
Long
DBT
UST
US
N
2
2021-10-15
Fixed
2.87500000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAE1
955000.00000000
PA
USD
979278.97000000
0.207561060373
Long
DBT
CORP
IE
N
2
2022-05-01
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAA2
291822.76000000
PA
USD
291940.95000000
0.061877743732
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
2.54200000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G6F6
355000.00000000
PA
USD
362606.59000000
0.076855534147
Long
DBT
CORP
US
N
2
2022-09-07
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUE3
110337.33000000
PA
USD
118078.73000000
0.025027134409
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
5.50000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833AK6
470000.00000000
PA
USD
477631.86000000
0.101235478721
Long
DBT
CORP
US
N
2
2023-05-03
Fixed
2.40000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAD6
1860000.00000000
PA
USD
1871115.36000000
0.396588408513
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ETV9
3218.55000000
PA
USD
3590.60000000
0.000761038239
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH70
184700.97000000
PA
USD
196289.60000000
0.041604158533
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.50000000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353REU8
650000.00000000
PA
USD
652515.50000000
0.138302581020
Long
DBT
CORP
US
N
2
2020-11-05
Fixed
2.45000000
N
N
N
N
N
N
EBAY INC
OML71K8X303XQONU6T67
eBay Inc
278642AR4
540000.00000000
PA
USD
540339.66000000
0.114526581522
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
2.15000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAJ3
140000.00000000
PA
USD
143477.46000000
0.030410469998
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.35000000
N
N
N
N
N
N
T. ROWE PRICE GOVERNMENT RESERVE FUND
5493002Y0IYARJVQ5N24
T. ROWE PRICE GOVERNMENT RESERVE FUND
000000000
7249300.81000000
NS
USD
7249300.81000000
1.536510646286
Long
STIV
RF
US
N
1
N
N
N
CAPITAL ONE NA
207ALC1P1YM0OVDV0K75
Capital One NA
14042RFH9
940000.00000000
PA
USD
940021.62000000
0.199240349479
Long
DBT
CORP
US
N
2
2020-01-31
Fixed
2.35000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564AAA9
40467.10000000
PA
USD
40468.55000000
0.008577428298
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
2.64200000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AK1
690000.00000000
PA
USD
692028.60000000
0.146677498879
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
2.30000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGH6
995000.00000000
PA
USD
1009306.11000000
0.213925401086
Long
DBT
CORP
US
N
2
2023-01-20
Floating
3.12588000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874BW6
260000.00000000
PA
USD
270583.56000000
0.057350982052
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
6.40000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XGK4
118625.66000000
PA
USD
118717.50000000
0.025162523591
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
2.94200000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523BU3
455000.00000000
PA
USD
461299.93000000
0.097773878081
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAA8
432703.21000000
PA
USD
435545.85000000
0.092315225014
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBS1
715000.00000000
PA
USD
736233.36000000
0.156046827885
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJ21
346549.08000000
PA
USD
346627.19000000
0.073468653279
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.47200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLV5
581028.08000000
PA
USD
623667.53000000
0.132188168859
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QWA5
88632.95000000
PA
USD
99740.65000000
0.021140324371
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160AX7
1130000.00000000
PA
USD
1132602.39000000
0.240058410577
Long
DBT
CORP
US
N
2
2021-03-01
Floating
2.55688000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJPK6
3003.41000000
PA
USD
3147.62000000
0.000667147324
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
4.02800000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AK0
570000.00000000
PA
USD
575030.82000000
0.121879475004
Long
DBT
CORP
JP
N
2
2022-02-22
Floating
2.81875000
N
N
N
N
N
N
ARI Fleet Lease Trust
N/A
ARI Fleet Lease Trust 2017-A
00192MAB5
30630.39000000
PA
USD
30598.96000000
0.006485539645
Long
ABS-O
CORP
US
N
2
2026-04-15
Fixed
1.91000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-115.00000000
NC
USD
165149.20000000
0.035003859086
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
-14933665.4
USD
165149.2
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05970FAA9
1285000.00000000
PA
USD
1286156.50000000
0.272604656205
Long
DBT
CORP
CL
N
2
2020-12-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGQ49
58520.12000000
PA
USD
65698.73000000
0.013925039219
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BE7
800000.00000000
PA
USD
808224.80000000
0.171305625513
Long
DBT
CORP
US
N
2
2021-02-19
Fixed
2.87500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
710000.00000000
PA
USD
740754.36000000
0.157005067144
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
535000.00000000
PA
USD
543953.23000000
0.115292488321
Long
DBT
CORP
HK
N
2
2021-03-14
Fixed
4.12500000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAB5
1110000.00000000
PA
USD
1110129.87000000
0.235295293811
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.37500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAG1
560000.00000000
PA
USD
560502.21000000
0.118800093347
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
3.33975000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABA4
670000.00000000
PA
USD
677913.37000000
0.143685734330
Long
DBT
CORP
US
N
2
2022-06-20
Fixed
3.00000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JQ5
330000.00000000
PA
USD
333897.63000000
0.070770585565
Long
DBT
CORP
US
N
2
2022-01-27
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSH9
498688.91000000
PA
USD
519651.78000000
0.110141724458
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CB71
2468.25000000
PA
USD
2568.21000000
0.000544339669
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
4.39300000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
1165000.00000000
PA
USD
1212417.83000000
0.256975528036
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
1610000.00000000
PA
USD
1692140.59000000
0.358654179167
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46400000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2A2
1155000.00000000
PA
USD
1167816.15000000
0.247522070667
Long
DBT
CORP
SA
N
2
2022-04-16
Fixed
2.75000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAB3
138230.08000000
PA
USD
139038.53000000
0.029469625718
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.77900000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAK3
625000.00000000
PA
USD
625537.50000000
0.132584514505
Long
DBT
CORP
FR
N
2
2020-07-20
Fixed
2.20000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAE6
735000.00000000
PA
USD
735460.92000000
0.155883106954
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
3.16975000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2018-1
38014BAH2
720000.00000000
PA
USD
723785.18000000
0.153408399491
Long
ABS-O
CORP
US
N
2
2022-10-20
Fixed
3.37000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AM4
360000.00000000
PA
USD
371605.32000000
0.078762841460
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AX44
299576.26000000
PA
USD
325300.21000000
0.068948337088
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G0T60
3530000.00000000
PA
USD
3526709.40000000
0.747496438826
Long
DBT
USGSE
US
N
2
2020-07-30
Fixed
1.50000000
N
N
N
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AJ0
440000.00000000
PA
USD
462114.84000000
0.097946600655
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
3.75000000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
693483AF6
1175000.00000000
PA
USD
1174509.19000000
0.248940680197
Long
DBT
CORP
KR
N
2
2022-11-12
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJR6
44902.49000000
PA
USD
50393.46000000
0.010681042189
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335APZ5
1106090.68000000
PA
USD
1170329.53000000
0.248054788956
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCCH7
204075.86000000
PA
USD
212905.89000000
0.045126030111
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QTE91
37517.77000000
PA
USD
39291.11000000
0.008327866424
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Floating
4.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAF5
280000.00000000
PA
USD
282704.35000000
0.059920019173
Long
ABS-O
CORP
US
N
2
2023-06-19
Fixed
2.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QEP0
51228.49000000
PA
USD
53415.43000000
0.011321557626
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust
39152TAJ9
390000.00000000
PA
USD
389377.05000000
0.082529611948
Long
ABS-MBS
CORP
US
N
2
2029-12-15
Floating
3.35500000
N
N
N
N
N
N
World Omni Automobile Lease Se
N/A
World Omni Automobile Lease Securitization Trust 2018-A
98161YAE4
200000.00000000
PA
USD
201171.88000000
0.042638972151
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
3.06000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAS6
900000.00000000
PA
USD
899746.20000000
0.190703855653
Long
DBT
CORP
FR
N
2
2022-11-21
Fixed
2.12500000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2018-1
38014BAG4
295000.00000000
PA
USD
296425.06000000
0.062828164046
Long
ABS-O
CORP
US
N
2
2021-12-20
Fixed
3.11000000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AG4
295000.00000000
PA
USD
300544.23000000
0.063701234253
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.70000000
N
N
N
N
N
N
New Orleans Hotel Trust
N/A
New Orleans Hotel Trust 2019-HNLA
647622AC3
1140000.00000000
PA
USD
1137176.68000000
0.241027944807
Long
ABS-MBS
CORP
US
N
2
2032-04-15
Floating
3.02846000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AF69
69622.39000000
PA
USD
78266.78000000
0.016588874413
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XNS9
4810.93000000
PA
USD
4810.57000000
0.001019614472
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.34200000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables 2016-1
03065VAF4
425288.60000000
PA
USD
425949.84000000
0.090281322447
Long
ABS-O
CORP
US
N
2
2022-01-10
Fixed
2.89000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQS7
162886.88000000
PA
USD
174642.35000000
0.037015960173
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-3
92537JAC1
628619.86000000
PA
USD
629329.89000000
0.133388322730
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.04000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BD3
40000.00000000
PA
USD
42472.80000000
0.009002234986
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.85000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephave Residential Mortgage Trust 2019-2
24381PAD5
280000.00000000
PA
USD
283905.47000000
0.060174600092
Long
ABS-MBS
CORP
US
N
2
2059-04-25
Variable
3.92100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DCB3
341.46000000
PA
USD
341.19000000
0.000072316224
Long
ABS-MBS
USGSE
US
N
2
2020-07-01
Fixed
5.50000000
N
N
N
N
N
N
World Omni Automobile Lease Se
N/A
World Omni Automobile Lease Securitization Trust 2017-A
98162KAD5
72636.08000000
PA
USD
72640.05000000
0.015396272426
Long
ABS-O
CORP
US
N
2
2022-08-15
Fixed
2.32000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC23 Mortgage Trust
12636FBF9
1025000.00000000
PA
USD
1029452.70000000
0.218195530142
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.22100000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BQ4
500000.00000000
PA
USD
507348.50000000
0.107534008045
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36180MYW1
109222.17000000
PA
USD
114264.86000000
0.024218773435
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
3.50000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AA9
608701.78000000
PA
USD
609720.93000000
0.129232145935
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.42000000
N
N
N
N
N
N
EASTERN CREATION II INVE
549300POZZMBXFYP2H73
Eastern Creation II Investment Holdings Ltd
000000000
940000.00000000
PA
USD
941886.65000000
0.199635648078
Long
DBT
CORP
VG
N
2
2020-09-26
Fixed
2.75000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2016-4
03065TAG7
1365000.00000000
PA
USD
1373617.65000000
0.291142304405
Long
ABS-O
CORP
US
N
2
2022-12-08
Fixed
2.74000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CARDINAL HEALTH INC
000000000
1.00000000
NC
USD
-119.29000000
-0.00002528386
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CARDINAL HEALTH INC
Cardinal Health Inc
Y
Default Event
2024-12-20
0
USD
-3383.93
USD
212000
USD
3264.64
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397VU4
200000.00000000
PA
USD
209121.20000000
0.044323853925
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
5.87500000
N
N
N
N
N
N
Verizon Owner Trust
N/A
Verizon Owner Trust 2017-1
92348NAC1
215000.00000000
PA
USD
215420.86000000
0.045659085406
Long
ABS-O
CORP
US
N
2
2021-09-20
Fixed
2.65000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AU8
140000.00000000
PA
USD
140587.30000000
0.029797892078
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D3Y5
589919.14000000
PA
USD
663800.96000000
0.140694567488
Long
ABS-MBS
USGA
US
N
2
2034-02-20
Fixed
5.50000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BD0
740000.00000000
PA
USD
739032.08000000
0.156640024828
Long
DBT
CORP
US
N
2
2021-01-15
Floating
2.50088000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDL5
475000.00000000
PA
USD
489623.83000000
0.103777212063
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QTS0
16069.27000000
PA
USD
18428.45000000
0.003905964224
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAG4
790000.00000000
PA
USD
799359.13000000
0.169426520659
Long
DBT
CORP
CA
N
2
2022-08-15
Fixed
3.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAC8
450282.26000000
PA
USD
449914.24000000
0.095360647570
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CG3
515000.00000000
PA
USD
523501.62000000
0.110957709379
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
4.12500000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAD3
385000.00000000
PA
USD
385354.97000000
0.081677120252
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
2.25000000
N
N
N
N
N
N
AON PLC
VVT2B79I2Z4U3R6BY589
Aon PLC
00185AAJ3
970000.00000000
PA
USD
978765.89000000
0.207452311557
Long
DBT
CORP
GB
N
2
2021-03-15
Fixed
2.80000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21685WDF1
935000.00000000
PA
USD
975342.45000000
0.206726703371
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
3.95000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBD6
350000.00000000
PA
USD
363254.50000000
0.076992860579
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128L4Q49
2141.21000000
PA
USD
2357.16000000
0.000499607000
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAD9
610000.00000000
PA
USD
606304.01000000
0.128507919683
Long
DBT
CORP
US
N
2
2021-02-04
Floating
3.19225000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JX0
510000.00000000
PA
USD
521006.82000000
0.110428929175
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NW5
526884.23000000
PA
USD
528692.65000000
0.112057963468
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
2.99200000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EAU8
120273.64000000
PA
USD
120321.38000000
0.025502470678
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AM95
12844.81000000
PA
USD
13505.27000000
0.002862481731
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YE7
1205000.00000000
PA
USD
1205098.81000000
0.255424240202
Long
DBT
CORP
US
N
2
2020-01-09
Fixed
2.68100000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EAV7
770000.00000000
PA
USD
770995.61000000
0.163414789102
Long
DBT
CORP
US
N
2
2021-04-12
Floating
2.41088000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAS0
435000.00000000
PA
USD
445247.73000000
0.094371567039
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFT1
93390.71000000
PA
USD
102923.34000000
0.021814904886
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HCK2
352794.68000000
PA
USD
352813.48000000
0.074779855655
Long
ABS-MBS
CORP
US
N
2
2039-07-25
Floating
2.54200000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJ2R6
13041.89000000
PA
USD
13670.18000000
0.002897434891
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Floating
4.55300000
N
N
N
N
N
N
Enterprise Fleet Financing LLC
RKWYUSIDZTWNAX1D9U96
Enterprise Fleet Financing LLC
29373EAC1
280000.00000000
PA
USD
280718.65000000
0.059499144212
Long
ABS-O
CORP
US
N
2
2023-05-20
Fixed
2.36000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BY3
300000.00000000
PA
USD
304758.60000000
0.064594482381
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BT5
485000.00000000
PA
USD
492753.21000000
0.104440493366
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
2.89400000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAV7
2253000.00000000
PA
USD
2283915.67000000
0.484082649368
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.76400000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAQ8
240000.00000000
PA
USD
240831.60000000
0.051044966550
Long
DBT
CORP
US
N
2
2022-06-09
Fixed
2.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A0UA1
205870.36000000
PA
USD
206686.80000000
0.043807875679
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Fixed
2.00000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-3
24381FAC9
24338.62000000
PA
USD
24324.19000000
0.005155583673
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
2.81300000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BF4
380000.00000000
PA
USD
381328.86000000
0.080823774386
Long
DBT
CORP
US
N
2
2021-05-11
Floating
2.28063000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare Conduit Receivables Funding LLC
82652KAA2
94163.60000000
PA
USD
94816.62000000
0.020096661718
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
31408BQC5
1913.54000000
PA
USD
2015.66000000
0.000427225070
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
4.53300000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AT0
370000.00000000
PA
USD
377960.92000000
0.080109929589
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
3.75000000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J6A0
700000.00000000
PA
USD
699995.10000000
0.148366022005
Long
DBT
CORP
US
N
2
2022-09-09
Fixed
2.08200000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGS7
1210000.00000000
PA
USD
1294880.29000000
0.274453689176
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.75000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AB0
1155000.00000000
PA
USD
1179249.23000000
0.249945345628
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securit
N/A
Freddie Mac Whole Loan Securities Trust 2017-SC02
3137G1BY2
96823.46000000
PA
USD
97125.10000000
0.020585950850
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Variable
3.82199000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAD6
650000.00000000
PA
USD
651831.70000000
0.138157647597
Long
DBT
CORP
NL
N
2
2020-04-24
Fixed
3.69800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CVW9
154341.16000000
PA
USD
173787.43000000
0.036834757362
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXDC1
29521.27000000
PA
USD
33852.36000000
0.007175107352
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XLS1
123976.55000000
PA
USD
124008.00000000
0.026283860639
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
2.64200000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RBV5
640000.01000000
PA
USD
640042.38000000
0.135658866519
Long
ABS-O
CORP
US
N
2
2021-02-20
Fixed
2.50000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAE1
390000.00000000
PA
USD
392466.75000000
0.083184482958
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
2.55000000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AL7
555704.70000000
PA
USD
556217.12000000
0.117891855908
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
3.58975000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22550L2A8
920000.00000000
PA
USD
922155.56000000
0.195453585471
Long
DBT
CORP
US
N
2
2021-11-12
Fixed
2.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QS3L8
12885.35000000
PA
USD
13522.75000000
0.002866186669
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
4.51800000
N
N
N
N
N
N
REGIONS BANK
EQTWLK1G7ODGC2MGLV11
Regions Bank/Birmingham AL
759187CC9
980000.00000000
PA
USD
979441.40000000
0.207595487890
Long
DBT
CORP
US
N
2
2021-04-01
Floating
2.28938000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2019-IMC1
17328BAA2
581025.35000000
PA
USD
581576.86000000
0.123266927451
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.72000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAH8
660000.00000000
PA
USD
686400.00000000
0.145484500540
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAE4
385000.00000000
PA
USD
390796.95000000
0.082830563932
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
3.93300000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DB0
121661.47000000
PA
USD
122054.16000000
0.025869738500
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Variable
4.15236100
N
N
N
N
N
N
SLM Student Loan Trust
549300MTK92VF84VT259
SLM Student Loan Trust 2008-9
78445JAA5
109761.25000000
PA
USD
110063.25000000
0.023328229828
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
3.43963000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBR5
575000.00000000
PA
USD
576150.58000000
0.122116811432
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
2.40000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286Y1
4835000.00000000
PA
USD
4852375.78000000
1.028475330402
Long
DBT
UST
US
N
2
2022-06-15
Fixed
1.75000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBU8
490000.00000000
PA
USD
503826.82000000
0.106787577602
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
3.20000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AE5
1145000.00000000
PA
USD
1178456.90000000
0.249777408952
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
3.75000000
N
N
N
N
N
N
2020-02-24
T. ROWE PRICE FIXED INCOME SERIES, INC.
Alan S. Dupski
Alan S. Dupski
Treasurer & Vice President