0001752724-22-015897.txt : 20220127
0001752724-22-015897.hdr.sgml : 20220127
20220127162429
ACCESSION NUMBER: 0001752724-22-015897
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211130
FILED AS OF DATE: 20220127
PERIOD START: 20220531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INVESTMENTS TRUST
CENTRAL INDEX KEY: 0000939934
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07257
FILM NUMBER: 22563467
BUSINESS ADDRESS:
STREET 1: 1 FREEDOM VALLEY DRIVE
CITY: OAK
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610 676-3097
MAIL ADDRESS:
STREET 1: 1 FREEDOM VALLEY DRIVE
CITY: OAK
STATE: PA
ZIP: 19456
0000939934
S000046099
SIIT Limited Duration Bond Fund
C000144225
SIIT Limited Duration Bond Fund - Class A
SLDBX
NPORT-P
1
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false
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SIIT LIMITED DURATION BOND FUND
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2022-05-31
2021-11-30
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
370912.33000000
USD
N
FREMF MORTGAGE TRUST
N/A
FREMF 2012-K21 MORTGAGE TRUST FREMF 2012-K21 B
30290TAN2
2180616.00000000
PA
USD
2213855.78000000
0.125961141731
Long
ABS-MBS
US
N
2
2045-07-25
Floating
4.06438560
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 2990 LK
31395V3H0
820131.22000000
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USD
823499.66000000
0.046854433033
Long
DBT
USGA
US
N
2
2034-10-15
Floating
0.45924840
N
N
N
N
N
N
DENVER COLO CITY & CNTY ARPT REV
N/A
DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE
249182PL4
2865000.00000000
PA
USD
2871803.23000000
0.163396196331
Long
DBT
MUN
US
N
2
2024-11-15
Fixed
1.11500000
N
N
N
N
N
N
CD COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
N/A
CD 2017-CD4 MORTGAGE TRUST CD 2017-CD4 ASB
12515DAP9
2096000.00000000
PA
USD
2207982.15000000
0.125626951425
Long
ABS-MBS
US
N
2
2050-05-10
Fixed
3.31700000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 1.650000% 03/25/2026
68389XCC7
1865000.00000000
PA
USD
1855856.67000000
0.105592165106
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC.
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC 1.215000% 10/18/2024
883556CS9
8780000.00000000
PA
USD
8781117.96000000
0.499616846731
Long
DBT
CORP
US
N
2
2024-10-18
Fixed
1.21500000
N
N
N
N
N
N
BARINGS CLO LTD
N/A
BARINGS CLO LTD 2018-III BABSN 2018-3A A1
06760PAC5
691443.12000000
PA
USD
691170.00000000
0.039325308864
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
1.08150120
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
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94989EAB3
761229.94000000
PA
USD
762833.93000000
0.043402751725
Long
ABS-MBS
US
N
2
2050-04-15
Fixed
2.67800000
N
N
N
N
N
N
SBALR COMMERCIAL MORTGAGE TRUST
N/A
SBALR COMMERCIAL MORTGAGE 2020-RR1 TRUST SBALR 2020-RR1 A1
78397EAA4
2107037.02000000
PA
USD
2130296.18000000
0.121206874216
Long
ABS-MBS
US
N
2
2053-02-13
Fixed
2.02500000
N
N
N
N
N
N
CYRUSONE LP
549300TDXOX1X4TWIB58
CYRUSONE LP / CYRUSONE FINANCE CORP 2.900000% 11/15/2024
23283PAQ7
1430000.00000000
PA
USD
1483167.43000000
0.084387368206
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
2.90000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2017-1 NAVSL 2017-1A A2
63940NAB6
20351.76000000
PA
USD
20355.12000000
0.001158139648
Long
ABS-MBS
US
N
2
2066-07-26
Floating
0.84200040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K038 A1
3137BBBC3
170159.78000000
PA
USD
172185.92000000
0.009796814801
Long
DBT
USGA
US
N
2
2023-10-25
Fixed
2.60400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ26 A1
3137FPJ48
2311990.12000000
PA
USD
2346183.76000000
0.133490170313
Long
DBT
USGA
US
N
2
2025-07-25
Fixed
2.13500000
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST
N/A
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2 UBSBB 2012-C2 A4
90269CAD2
1150000.00000000
PA
USD
1158286.79000000
0.065902724034
Long
ABS-MBS
US
N
2
2063-05-10
Fixed
3.52500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF40 A
3137FCP81
168126.54000000
PA
USD
168766.61000000
0.009602267263
Long
DBT
USGA
US
N
2
2027-11-25
Floating
0.42750000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-111 NF
3136A9EW4
671163.42000000
PA
USD
674137.41000000
0.038356210289
Long
DBT
USGA
US
N
2
2042-05-25
Floating
0.44200080
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2
55818YBN0
2000000.00000000
PA
USD
2000866.00000000
0.113842720961
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-21
Floating
1.12950000
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST
N/A
SAXON ASSET SECURITIES TRUST 2006-3 SAST 2006-3 A3
80556AAC1
1263823.89000000
PA
USD
1247026.03000000
0.070951696098
Long
ABS-MBS
US
N
2
2046-10-25
Floating
0.26163000
N
N
N
N
N
N
BRAVO MORTGAGE ASSET TRUST
N/A
BRAVO MORTGAGE ASSET TRUST BMAT 2006-1A A2
105667AB5
41736.10000000
PA
USD
41728.78000000
0.002374230886
Long
ABS-MBS
US
N
2
2036-07-25
Floating
0.33162840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ29 A1
3137FTQW0
1507504.06000000
PA
USD
1492426.76000000
0.084914193751
Long
DBT
USGA
US
N
2
2026-01-25
Fixed
0.73500000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2019-SFR2 TRUST PROG 2019-SFR2 A
74333NAA0
991194.02000000
PA
USD
998171.23000000
0.056792673176
Long
ABS-MBS
US
N
2
2036-05-17
Fixed
3.14700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2008-24 PF
31397LAH2
191627.53000000
PA
USD
193321.23000000
0.010999344705
Long
DBT
USGA
US
N
2
2038-02-25
Floating
0.74199960
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2017-2 VOYA 2017-2A A1R
92915UAG9
6420000.00000000
PA
USD
6418382.16000000
0.365184919563
Long
ABS-CBDO
CORP
KY
Y
2
2030-06-07
Floating
1.10374920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)
01F020612
13025000.00000000
PA
USD
13006683.59000000
0.740037688967
Long
DBT
USGA
US
N
2
2051-01-15
Fixed
2.00000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO B
05608KAC4
3600000.00000000
PA
USD
3589042.68000000
0.204204771503
Long
ABS-MBS
US
Y
2
2038-05-15
Floating
0.94232880
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC 1.089000% 03/15/2025
80281LAN5
200000.00000000
PA
USD
198233.18000000
0.011278818569
Long
DBT
NUSS
GB
N
2
2025-03-15
Fixed
1.08900000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (JANUARY)
21H020618
4375000.00000000
PA
USD
4424047.86000000
0.251713830934
Long
DBT
USGA
US
N
2
2051-01-15
Fixed
2.00000000
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 B
257812AE7
1000000.00000000
PA
USD
992416.20000000
0.056465230822
Long
ABS-MBS
US
Y
2
2034-12-11
Fixed
0.98000000
N
N
N
N
N
N
TRICON AMERICAN HOMES TRUST
N/A
TRICON AMERICAN HOMES 2017-SFR2 TRUST TAH 2017-SFR2 B
89613FAB4
1545000.00000000
PA
USD
1557444.05000000
0.088613464568
Long
ABS-MBS
US
N
2
2036-01-17
Fixed
3.27500000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2012-CCRE2 MORTGAGE TRUST COMM 2012-CR2 A3
12624KAJ5
2009616.42000000
PA
USD
2013299.64000000
0.114550154347
Long
ABS-MBS
US
N
2
2045-08-15
Fixed
2.84100000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERS INCOME TAX REV
N/A
NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY
64990FD43
6915000.00000000
PA
USD
6870222.61000000
0.390893161028
Long
DBT
MUN
US
N
2
2025-03-15
Fixed
0.88700000
N
N
N
N
N
N
BANK
N/A
BANK 2017-BNK7 BANK 2017-BNK7 ASB
06541XAD2
2750000.00000000
PA
USD
2896307.15000000
0.164790389109
Long
ABS-MBS
US
N
2
2060-09-15
Fixed
3.26500000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 0.750000% 11/03/2023
025816CK3
11545000.00000000
PA
USD
11522075.44000000
0.655568348512
Long
DBT
CORP
US
N
2
2023-11-03
Fixed
0.75000000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.500000% 01/15/2022
00912XBE3
690000.00000000
PA
USD
692473.93000000
0.039399498210
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2019-4 DTAOT 2019-4A B
23343JAC0
718067.45000000
PA
USD
718902.20000000
0.040903180199
Long
ABS-MBS
US
N
2
2024-01-16
Fixed
2.36000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA0757
36179MZW3
517829.81000000
PA
USD
541431.79000000
0.030805695228
Long
DBT
USGA
US
N
2
2028-02-20
Fixed
3.00000000
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD.
N/A
PALMER SQUARE LOAN FUNDING 2021-2 LTD PSTAT 2021-2A A1
69702DAA5
1017809.40000000
PA
USD
1017553.93000000
0.057895485313
Long
ABS-CBDO
CORP
KY
Y
2
2029-05-20
Floating
0.95963040
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024
63906YAC2
6770000.00000000
PA
USD
6779207.20000000
0.385714682348
Long
DBT
NUSS
GB
N
2
2024-08-12
Floating
0.58000320
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ08 A2
3137BS6Q1
727001.20000000
PA
USD
730391.35000000
0.041556875198
Long
DBT
USGA
US
N
2
2022-08-25
Fixed
2.35600000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41 WFCM 2017-C41 ASB
95001ABB1
1100000.00000000
PA
USD
1166286.44000000
0.066357877914
Long
ABS-MBS
US
N
2
2050-11-15
Fixed
3.39000000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2013-2 SLMA 2013-2 A
78446CAA9
1123706.48000000
PA
USD
1112676.96000000
0.063307674116
Long
ABS-MBS
US
N
2
2043-06-25
Floating
0.54200160
N
N
N
N
N
N
HCA INC.
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.000000% 03/15/2024
404119BN8
610000.00000000
PA
USD
658211.98000000
0.037450105490
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
TREMAN PARK CLO, LTD
N/A
TREMAN PARK CLO LTD TRMPK 2015-1A ARR
89473LAH7
643326.95000000
PA
USD
643807.52000000
0.036630538902
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
1.20150000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC VARIABLE RATE 09/15/2023
25746UDH9
7303000.00000000
PA
USD
7304687.29000000
0.415612778101
Long
DBT
CORP
US
N
2
2023-09-15
Floating
0.64599840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4497
31418D7K2
2150000.00000000
PA
USD
2206110.83000000
0.125520479447
Long
DBT
USGA
US
N
2
2036-12-01
Fixed
2.00000000
N
N
N
N
N
N
Virginia Electric and Power Company
CQKUMNNZVDJLRYV2PT43
VIRGINIA ELECTRIC AND POWER COMPAN COMMERCIAL PAPER
92780KAA6
20000000.00000000
PA
USD
19996560.60000000
1.137738793392
Long
ABS-APCP
US
N
2
2022-01-10
None
0.00000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 WFCM 2016-BNK1 ASB
95000GAZ7
861100.88000000
PA
USD
882905.16000000
0.050234411382
Long
ABS-MBS
US
N
2
2049-08-15
Fixed
2.51400000
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC 3.571000% 01/10/2023
80281LAF2
1615000.00000000
PA
USD
1619821.18000000
0.092162518930
Long
DBT
NUSS
GB
N
2
2023-01-10
Fixed
3.57100000
N
N
N
N
N
N
SEQUOIA INFRASTRUCTURE FUNDING LTD
N/A
SEQUOIA INFRASTRUCTURE FUNDING I LTD SEQI 2021-1A A
81742LAA4
5135926.23000000
PA
USD
5134621.70000000
0.292143154732
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Floating
1.52375040
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL FUNDING
635400EVYITCJYWL2I50
PROTECTIVE LIFE GLOBAL FUNDING 144A 1.082000% 06/09/2023
74368CAR5
7785000.00000000
PA
USD
7833586.19000000
0.445705392943
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
1.08200000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.900000% 07/15/2025
46625HMN7
8470000.00000000
PA
USD
9149006.02000000
0.520548472217
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.90000000
N
N
N
N
N
N
WHEELS SPV, LLC
N/A
WHEELS SPV 2 LLC WHLS 2020-1A A3
96328DBU7
4110000.00000000
PA
USD
4078831.82000000
0.232072169117
Long
ABS-MBS
US
N
2
2029-08-20
Fixed
0.62000000
N
N
N
N
N
N
MF1 LTD
N/A
MF1 2020-FL3 LTD MF1 2020-FL3 A
59319WAA9
470514.81000000
PA
USD
473189.22000000
0.026922916544
Long
ABS-MBS
US
N
2
2035-07-15
Floating
2.21214960
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 3.498000% 05/15/2023
780097BE0
1900000.00000000
PA
USD
1922565.37000000
0.109387671611
Long
DBT
NUSS
GB
N
2
2023-05-15
Fixed
3.49800000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 0.810000% 10/24/2024
06051GJH3
9200000.00000000
PA
USD
9142274.14000000
0.520165450297
Long
DBT
CORP
US
N
2
2024-10-24
Fixed
0.81000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF34 A
3137FARP5
437181.40000000
PA
USD
438169.91000000
0.024930432521
Long
DBT
USGA
US
N
2
2024-08-25
Floating
0.44750160
N
N
N
N
N
N
BANK
N/A
BANK 2018-BNK14 BANK 2018-BN14 A2
06035RAP1
515660.45000000
PA
USD
533236.12000000
0.030339388452
Long
ABS-MBS
US
N
2
2060-09-15
Fixed
4.12800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 12/15/2023
91282CBA8
90760000.00000000
PA
USD
89919761.16000000
5.116139850784
Long
SN
UST
US
N
2
2023-12-15
Fixed
0.12500000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC VARIABLE RATE 08/03/2022
345397YP2
955000.00000000
PA
USD
954046.13000000
0.054282099531
Long
DBT
CORP
US
N
2
2022-08-03
Floating
1.22087880
N
N
N
N
N
N
CENTERPOINT ENERGY, INC.
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC VARIABLE RATE 05/13/2024
15189TAZ0
8468000.00000000
PA
USD
8467576.35000000
0.481777356222
Long
DBT
CORP
US
N
2
2024-05-13
Floating
0.69999840
N
N
N
N
N
N
RIVERSIDE CNTY CALIF PENSION OBLIG
N/A
RIVERSIDE CNTY CA PENSN OBLG COUNTY OF RIVERSIDE CA
76913CAX7
2855000.00000000
PA
USD
2906353.74000000
0.165362007170
Long
DBT
MUN
US
N
2
2023-02-15
Fixed
2.36300000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K35 MORTGAGE TRUST FREMF 2013-K35 B
30291VAE6
3175000.00000000
PA
USD
3328656.67000000
0.189389660507
Long
ABS-MBS
US
N
2
2046-12-25
Floating
4.06825920
N
N
N
N
N
N
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES
N/A
CREDIT-BASED ASSET SERVICING AND SECURITIZATION LL CBASS 2005-CB3 M3
12489WLG7
586950.66000000
PA
USD
585387.14000000
0.033306610654
Long
ABS-MBS
US
N
2
2035-06-25
Floating
1.06662960
N
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-1 CAALT 2020-1A B
22534GAC7
3690000.00000000
PA
USD
3749062.88000000
0.213309396689
Long
ABS-MBS
US
N
2
2029-04-16
Fixed
2.39000000
N
N
N
N
N
N
CSAIL COMMERCIAL MORTGAGE TRUST
N/A
CSAIL 2016-C5 COMMERCIAL MORTGAGE TRUST CSAIL 2016-C5 ASB
12636LAZ3
42487.14000000
PA
USD
44308.77000000
0.002521023866
Long
ABS-MBS
US
N
2
2048-11-15
Fixed
3.53250000
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC 4.796000% 11/15/2024
80281LAJ4
410000.00000000
PA
USD
438343.59000000
0.024940314344
Long
DBT
NUSS
GB
N
2
2024-11-15
Fixed
4.79600000
N
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.
N/A
RAMP SERIES 2006-NC2 TRUST RAMP 2006-NC2 A3
75156TAC4
897609.48000000
PA
USD
895298.67000000
0.050939561502
Long
ABS-MBS
US
N
2
2036-02-25
Floating
0.67163040
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B
30227FAE0
1094306.97000000
PA
USD
1093621.17000000
0.062223462087
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
1.46999880
N
N
N
N
N
N
TRINITY ACQUISITION PLC
549300FJZWZN6MJNGB63
TRINITY ACQUISITION PLC 4.625000% 08/15/2023
89641UAA9
860000.00000000
PA
USD
906673.21000000
0.051586735568
Long
DBT
NUSS
US
N
2
2023-08-15
Fixed
4.62500000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.750000% 04/15/2027
87264ABD6
640000.00000000
PA
USD
688068.97000000
0.039148870416
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K24 MORTGAGE TRUST FREMF 2013-K24 B
30290XAN3
2840000.00000000
PA
USD
2899533.50000000
0.164973957856
Long
ABS-MBS
US
N
2
2045-11-25
Floating
3.62701080
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-G NAVSL 2020-GA A
63941UAA1
873188.28000000
PA
USD
870212.45000000
0.049512237762
Long
ABS-MBS
US
N
2
2069-09-16
Fixed
1.17000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3946 FG
3137AGJL5
45532.65000000
PA
USD
45567.19000000
0.002592623841
Long
DBT
USGA
US
N
2
2039-10-15
Floating
0.43925040
N
N
N
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB BANK ASA 144A 0.856000% 09/30/2025
25601B2A2
1405000.00000000
PA
USD
1389274.20000000
0.079045150994
Long
DBT
NUSS
NO
N
2
2025-09-30
Fixed
0.85600000
N
N
N
N
N
N
MACQUARIE GROUP LIMITED
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD 144A 1.340000% 01/12/2027
55608JAR9
705000.00000000
PA
USD
689598.62000000
0.039235902490
Long
DBT
NUSS
AU
N
2
2027-01-12
Fixed
1.34000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C28 WFCM 2015-C28 A3
94989JAY2
2209483.65000000
PA
USD
2296851.49000000
0.130683325753
Long
ABS-MBS
US
N
2
2048-05-15
Fixed
3.29000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-CCRE6 MORTGAGE TRUST COMM 2013-CR6 A4
12624XAD0
2000000.00000000
PA
USD
2023895.00000000
0.115152995623
Long
ABS-MBS
US
N
2
2046-03-10
Fixed
3.10100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM4580
3138L5CS7
1320227.76000000
PA
USD
1367013.69000000
0.077778600896
Long
DBT
USGA
US
N
2
2023-10-01
Fixed
3.43000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC.
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 1.500000% 11/15/2024
37940XAF9
790000.00000000
PA
USD
788684.31000000
0.044873553666
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
1.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 0.791000% 01/22/2025
61747YEB7
725000.00000000
PA
USD
717055.70000000
0.040798120398
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
0.79100000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2019-A ARIFL 2019-A A2A
04033JAB7
517291.08000000
PA
USD
519404.83000000
0.029552433360
Long
ABS-MBS
US
N
2
2027-11-15
Fixed
2.41000000
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES CORPORATION
N/A
RASC SERIES 2006-KS6 TRUST RASC 2006-KS6 A4
75406WAD3
676869.34000000
PA
USD
675453.40000000
0.038431085809
Long
ABS-MBS
US
N
2
2036-08-25
Floating
0.34162920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 03/31/2025
912828ZF0
27000000.00000000
PA
USD
26625585.87000000
1.514908615889
Long
SN
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-1 DTAOT 2021-1A B
23344GAC5
3305000.00000000
PA
USD
3301051.85000000
0.187819036676
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.62000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ0886
3138YR6Y9
258727.29000000
PA
USD
272213.05000000
0.015488030829
Long
DBT
USGA
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-159 D
38376GYM6
1367605.73000000
PA
USD
1394456.21000000
0.079339990388
Long
DBT
USGA
US
N
2
2044-09-16
Floating
4.29543000
N
N
N
N
N
N
DELTA AIR LINES, INC.
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES 2002-1 CLASS G-1 PASS THROUGH TRUS 6.718000% 01/02/2023
247367AX3
309.48000000
PA
USD
309.09000000
0.000017586208
Long
DBT
CORP
US
N
2
2023-01-02
Fixed
6.71800000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES CORP TRUST 2012-ALOHA GSMS 2012-ALOH A
36192HAA2
3564000.00000000
PA
USD
3578911.78000000
0.203628356480
Long
ABS-MBS
US
N
2
2034-04-10
Fixed
3.55100000
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 02/15/2022
233851DV3
2190000.00000000
PA
USD
2193367.85000000
0.124795445628
Long
DBT
CORP
DE
N
2
2022-02-15
Floating
1.05599880
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2018-B1 MORTGAGE TRUST BMARK 2018-B1 A2
08162PAT8
699587.18000000
PA
USD
712598.94000000
0.040544545353
Long
ABS-MBS
US
N
2
2051-01-15
Fixed
3.57100000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 0.560000% 11/10/2023
6174468T9
15260000.00000000
PA
USD
15213415.80000000
0.865593522901
Long
DBT
CORP
US
N
2
2023-11-10
Fixed
0.56000000
N
N
N
N
N
N
SANTANDER CONSUMER AUTO RECEIVABLES TRUST
N/A
SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B SCART 2020-BA A4
802830AK5
7700000.00000000
PA
USD
7696115.35000000
0.437883752474
Long
ABS-MBS
US
N
2
2025-04-15
Fixed
0.54000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 MCMLT 2021-NMR1 A1
59982HAC4
3837430.44000000
PA
USD
3819841.19000000
0.217336450672
Long
ABS-MBS
US
Y
2
2060-11-25
Floating
1.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF38 A
3137FBUC8
681498.99000000
PA
USD
682679.21000000
0.038842210727
Long
DBT
USGA
US
N
2
2024-09-25
Floating
0.41749920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)
01F022618
12950000.00000000
PA
USD
13243398.44000000
0.753505988501
Long
DBT
USGA
US
N
2
2051-01-15
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C26 ASB
61690VAW8
603485.40000000
PA
USD
626113.27000000
0.035623794040
Long
ABS-MBS
US
N
2
2048-10-15
Fixed
3.32300000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C35 WFCM 2016-C35 A2
95000FAR7
24851.81000000
PA
USD
24846.06000000
0.001413659423
Long
ABS-MBS
US
N
2
2048-07-15
Fixed
2.49500000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2005-5 SLMA 2005-5 A4
78442GPQ3
655794.30000000
PA
USD
653538.70000000
0.037184211167
Long
ABS-MBS
US
N
2
2028-10-25
Floating
0.26388000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)
01F030611
3575000.00000000
PA
USD
3708416.71000000
0.210996762764
Long
DBT
USGA
US
N
2
2051-01-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2014-C18 ASB
61763XAC0
299397.45000000
PA
USD
309771.39000000
0.017624977341
Long
ABS-MBS
US
N
2
2047-10-15
Fixed
3.62100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3102 FB
31396H5M7
382360.58000000
PA
USD
383355.52000000
0.021811673291
Long
DBT
USGA
US
N
2
2036-01-15
Floating
0.38925000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-3 WLAKE 2020-3A B
96042QAG5
5215000.00000000
PA
USD
5220934.15000000
0.297054050395
Long
ABS-MBS
US
Y
2
2025-11-17
Fixed
0.78000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC VARIABLE RATE 11/03/2023
65339KBX7
4990000.00000000
PA
USD
4981092.85000000
0.283407866097
Long
DBT
CORP
US
N
2
2023-11-03
Floating
0.45000360
N
N
N
N
N
N
COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE
54930036474DURYNB481
CANADIAN PACIFIC RAILWAY CO 1.350000% 12/02/2024
13645RBD5
7610000.00000000
PA
USD
7603019.27000000
0.432586890486
Long
DBT
NUSS
CA
N
2
2024-12-02
Fixed
1.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 1Q0268
3128S4JM0
10893.56000000
PA
USD
11267.18000000
0.000641065632
Long
DBT
USGA
US
N
2
2037-03-01
Floating
1.80299880
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-1 B
46591HAN0
2474847.27000000
PA
USD
2477669.34000000
0.140971269094
Long
ABS-MBS
US
N
2
2028-01-25
Fixed
0.99100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3136 KF
31396NGS9
378289.50000000
PA
USD
379733.85000000
0.021605612132
Long
DBT
USGA
US
N
2
2036-04-15
Floating
0.38925000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA 144A 1.250000% 09/18/2023
44891ABM8
3660000.00000000
PA
USD
3666266.07000000
0.208598529425
Long
DBT
CORP
US
N
2
2023-09-18
Fixed
1.25000000
N
N
N
N
N
N
HPS LOAN MANAGEMENT LTD
N/A
HPS LOAN MANAGEMENT 10-2016 LTD HLM 10A-16 X
40436TAQ9
633333.34000000
PA
USD
633173.74000000
0.036025511654
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
1.03150080
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A1
257812AC1
3550000.00000000
PA
USD
3552191.42000000
0.202108055526
Long
ABS-MBS
US
Y
2
2034-12-11
Floating
0.42113160
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GSAA HOME EQUITY TRUST 2007-8 GSAA 2007-8 A3
38144RAC1
815321.02000000
PA
USD
817481.87000000
0.046512040495
Long
ABS-MBS
US
N
2
2037-08-25
Floating
0.99163080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/14/2022
912796P29
16240000.00000000
PA
USD
16235506.55000000
0.923747138410
Long
DBT
UST
US
N
2
2022-04-14
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3774 EW
3137A3WT2
275696.47000000
PA
USD
287741.92000000
0.016371572662
Long
DBT
USGA
US
N
2
2025-12-15
Fixed
3.50000000
N
N
N
N
N
N
TIDEWATER AUTO RECEIVABLES TRUST
N/A
TIDEWATER AUTO RECEIVABLES TRUST 2020-A TMCAT 2020-AA B
88641WAC3
3600000.00000000
PA
USD
3619405.80000000
0.205932333567
Long
ABS-MBS
US
N
2
2025-03-17
Fixed
1.61000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 3.766000% 03/08/2024
63861VAA5
350000.00000000
PA
USD
362032.50000000
0.020598463303
Long
DBT
NUSS
GB
N
2
2024-03-08
Fixed
3.76600000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-SOAR BX 2021-SOAR B
05608WAG9
4000000.00000000
PA
USD
3976357.60000000
0.226241721684
Long
ABS-MBS
US
Y
2
2038-06-15
Floating
0.96000120
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRU SASC 2005-WF2 M1
86359DDB0
274141.48000000
PA
USD
273541.14000000
0.015563594799
Long
ABS-MBS
US
N
2
2035-05-25
Floating
0.66162960
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
CAMDEN PROPERTY TRUST 2.950000% 12/15/2022
133131AT9
1490000.00000000
PA
USD
1518028.88000000
0.086370870511
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.95000000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
8261216.96000000
PA
USD
8370906.09000000
0.476277135100
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-I CSMC 2019-ICE4 B
12653VAC0
5520000.00000000
PA
USD
5506173.50000000
0.313283235022
Long
ABS-MBS
US
N
2
2036-05-15
Floating
1.32000120
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV
N/A
NEW YORK CITY NY TRANSITIONAL NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY FUTUR
64971XMF2
820000.00000000
PA
USD
851402.97000000
0.048442039966
Long
DBT
MUN
US
N
2
2026-11-01
Fixed
2.31000000
N
N
N
N
N
N
LOANCORE ISSUER LTD
N/A
LOANCORE 2018-CRE1 ISSUER LTD LNCR 2018-CRE1 AS
53946MAC1
1034000.00000000
PA
USD
1034000.00000000
0.058831212822
Long
ABS-MBS
KY
N
2
2028-05-15
Floating
1.58950080
N
N
N
N
N
N
PARK PLACE SECURITIES, INC.
N/A
PARK PLACE SECURITIES INC ASSET-BACKED PASS-THROUG PPSI 2005-WCW3 M1
70069FLW5
1329252.95000000
PA
USD
1354724.63000000
0.077079393639
Long
ABS-MBS
US
N
2
2035-08-25
Floating
0.81163080
N
N
N
N
N
N
MIAMI-DADE CNTY FLA AVIATION REV
N/A
MIAMI-DADE CNTY FL AVIATION RE COUNTY OF MIAMI-DADE FL AVIATION REVENUE
59333P6A1
370000.00000000
PA
USD
367559.70000000
0.020912942877
Long
DBT
MUN
US
N
2
2025-10-01
Fixed
1.22900000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-146.00000000
NC
USD
-17724171.88000000
-1.00844731911
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2022
2022-04-03
-17618448.88000000
USD
-105723.00000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-14.00000000
NC
USD
-2807875.00000000
-0.15975888946
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Mar 2022
2022-03-25
-2726875.17000000
USD
-80999.83000000
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 WFRBS 2012-C7 A2
92936TAB8
881000.00000000
PA
USD
886030.07000000
0.050412208525
Long
ABS-MBS
US
N
2
2045-06-15
Fixed
3.43100000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (JANUARY)
21H022614
25100000.00000000
PA
USD
25737304.81000000
1.464368333407
Long
DBT
USGA
US
N
2
2051-01-15
Fixed
2.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA MTN 0.800000% 01/08/2024
44891ABR7
5610000.00000000
PA
USD
5563627.24000000
0.316552164621
Long
DBT
CORP
US
N
2
2024-01-08
Fixed
0.80000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.125000% 10/31/2026
91282CDG3
4620000.00000000
PA
USD
4613503.13000000
0.262493215180
Long
SN
UST
US
N
2
2026-10-31
Fixed
1.12500000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 1.547000% 10/01/2025
20268JAE3
8555000.00000000
PA
USD
8509826.35000000
0.484181242819
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
1.54700000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES CORP TRUST 2021-RENT GSMS 2021-RENT A
36260XAA4
3000000.00000000
PA
USD
2986819.80000000
0.169940262393
Long
ABS-MBS
US
Y
2
2035-11-21
Floating
0.79110000
N
N
N
N
N
N
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP JPMCC 2017-JP5 A2
46647TAP3
316051.04000000
PA
USD
316483.21000000
0.018006857913
Long
ABS-MBS
US
N
2
2050-03-15
Fixed
3.23970000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024
04685A2X8
920000.00000000
PA
USD
921239.24000000
0.052415494959
Long
DBT
CORP
US
N
2
2024-05-24
Floating
0.75000240
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2012-C4 MSC 2012-C4 A4
61760VAP8
210086.18000000
PA
USD
210901.38000000
0.011999597651
Long
ABS-MBS
US
N
2
2045-03-15
Fixed
3.24400000
N
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2019-3 CAALT 2019-3A B
22535KAC7
500000.00000000
PA
USD
510721.70000000
0.029058391707
Long
ABS-MBS
US
N
2
2029-01-16
Fixed
2.86000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G18586
3128MMUL5
5414.34000000
PA
USD
5625.72000000
0.000320085039
Long
DBT
USGA
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2005-83 FP
31394FUN3
734567.79000000
PA
USD
738875.88000000
0.042039617161
Long
DBT
USGA
US
N
2
2035-10-25
Floating
0.42199920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4112
31418DSA1
386449.70000000
PA
USD
409039.16000000
0.023272988273
Long
DBT
USGA
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2014-HQ1 M3
3137G0BW8
328095.48000000
PA
USD
330369.61000000
0.018796948583
Long
DBT
USGA
US
N
2
2024-08-25
Floating
4.19199840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3867 FN
3137AASA2
18597.55000000
PA
USD
18620.27000000
0.001059432366
Long
DBT
USGA
US
N
2
2040-04-15
Floating
0.43925040
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO VARIABLE RATE 04/01/2024
842400HC0
6679000.00000000
PA
USD
6692330.68000000
0.380771692950
Long
DBT
CORP
US
N
2
2024-04-01
Floating
0.88000200
N
N
N
N
N
N
TPG REAL ESTATE FINANCE ISSUER LTD
N/A
TPG REAL ESTATE FINANCE 2018-FL2 ISSUER LTD TRTX 2018-FL2 A
87275QAA5
2066469.94000000
PA
USD
2065056.47000000
0.117494948429
Long
ABS-MBS
KY
N
2
2037-11-15
Floating
1.21888080
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC CMLTI 2007-WFH3 A3
17313CAC3
131945.66000000
PA
USD
131844.75000000
0.007501534377
Long
ABS-MBS
US
N
2
2037-06-25
Floating
0.34162920
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.881000% 04/24/2023
06051GGK9
2000000.00000000
PA
USD
2017248.26000000
0.114774817890
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
2.88100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ30 A1
3137FUZN7
1332773.73000000
PA
USD
1316841.75000000
0.074923981863
Long
DBT
USGA
US
N
2
2025-01-25
Fixed
0.52600000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P4 CGCMT 2016-P4 A2
29429EAB7
446192.35000000
PA
USD
447530.88000000
0.025463041050
Long
ABS-MBS
US
N
2
2049-07-10
Fixed
2.45000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.250000% 03/15/2023
29278NAL7
6377000.00000000
PA
USD
6584436.22000000
0.374632851617
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2018-GS9 GSMS 2018-GS9 A2
36255NAR6
1070460.06000000
PA
USD
1090691.54000000
0.062056775737
Long
ABS-MBS
US
N
2
2051-03-10
Fixed
3.83900000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT CGCMT 2019-SMRT A
29429MAA1
375000.00000000
PA
USD
395788.16000000
0.022519049780
Long
ABS-MBS
US
N
2
2036-01-10
Fixed
4.14900000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 0.976000% 05/24/2025
404280CS6
1870000.00000000
PA
USD
1848952.55000000
0.105199343294
Long
DBT
NUSS
GB
N
2
2025-05-24
Fixed
0.97600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF86 AL
3137FXLS5
1197829.09000000
PA
USD
1199659.97000000
0.068256722445
Long
DBT
USGA
US
N
2
2027-08-25
Floating
0.37749960
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-CCRE11 MORTGAGE TRUST COMM 2013-CR11 ASB
12626LAC6
168776.09000000
PA
USD
172954.58000000
0.009840549037
Long
ABS-MBS
US
N
2
2050-08-10
Fixed
3.66000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC VARIABLE RATE 05/18/2024
404280BR9
225000.00000000
PA
USD
227054.07000000
0.012918632799
Long
DBT
NUSS
GB
N
2
2024-05-18
Floating
1.15999920
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2005-AR15 A1A1
92922F5T1
1103824.35000000
PA
USD
1089056.84000000
0.061963766662
Long
ABS-MBS
US
N
2
2045-11-25
Floating
0.61200000
N
N
N
N
N
N
FIRST FRANKLIN MORTGAGE LOAN TRUST
N/A
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES 2006-FF1 FFML 2006-FF18 A1
32029AAA5
2592583.53000000
PA
USD
2550687.90000000
0.145125785964
Long
ABS-MBS
US
N
2
2037-12-25
Floating
0.20162880
N
N
N
N
N
N
HSI ASSET SECURITIZATION CORPORATION TRUST
N/A
HSI ASSET SECURITIZATION CORP TRUST 2006-OPT1 HASC 2006-OPT1 M1
40430HDE5
1913449.28000000
PA
USD
1907356.67000000
0.108522346402
Long
ABS-MBS
US
N
2
2035-12-25
Floating
0.63163080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 11/30/2026
91282CDK4
9660000.00000000
PA
USD
9703017.14000000
0.552069890115
Long
SN
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
SPRINT SPECTRUM CO LLC
N/A
SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC 5.152000% 03/20/2028
85208NAE0
1000000.00000000
PA
USD
1120743.00000000
0.063766605369
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
5.15200000
N
N
N
N
N
N
FRESENIUS MEDICAL CARE US FINANCE II, INC.
5493008GJ5TVVTY4UM62
FRESENIUS MEDICAL CARE US FINANCE II INC 144A 5.875000% 01/31/2022
35802XAF0
760000.00000000
PA
USD
766082.55000000
0.043587587561
Long
DBT
CORP
DE
N
2
2022-01-31
Fixed
5.87500000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2019-C16 UBSCM 2019-C16 A1
90276YAA1
1386007.06000000
PA
USD
1408893.64000000
0.080161432861
Long
ABS-MBS
US
N
2
2052-04-15
Fixed
2.73870000
N
N
N
N
N
N
STRYKER CORPORATION
5493002F0SC4JTBU5137
STRYKER CORP 0.600000% 12/01/2023
863667BB6
6490000.00000000
PA
USD
6434512.45000000
0.366102680224
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.60000000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2005-4 SLMA 2005-4 A3
78442GPG5
753001.53000000
PA
USD
751102.38000000
0.042735264960
Long
ABS-MBS
US
N
2
2027-01-25
Floating
0.24387840
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 0.925000% 10/21/2024
38141GYL2
13525000.00000000
PA
USD
13475088.29000000
0.766688381996
Long
DBT
CORP
US
N
2
2024-10-21
Fixed
0.92500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 5276
36202F2H8
1185001.69000000
PA
USD
1238811.05000000
0.070484290646
Long
DBT
USGA
US
N
2
2027-01-20
Fixed
3.00000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2020-3 GMALT 2020-3 B
362569AE5
300000.00000000
PA
USD
299424.93000000
0.017036297660
Long
ABS-MBS
US
N
2
2024-10-21
Fixed
0.76000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 09/30/2023
91282CDA6
28190000.00000000
PA
USD
28061162.96000000
1.596588249645
Long
SN
UST
US
N
2
2023-09-30
Fixed
0.25000000
N
N
N
N
N
N
DALLAS FORT WORTH TEX INTL ARPT REV
N/A
DALLAS-FORT WORTH TX INTERNATI DALLAS FORT WORTH INTERNATIONAL AIRPORT
2350364J6
3500000.00000000
PA
USD
3587814.65000000
0.204134900619
Long
DBT
MUN
US
N
2
2023-11-01
Fixed
1.93900000
N
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2019-3 CAALT 2019-3A A
22535KAA1
2350000.00000000
PA
USD
2373397.78000000
0.135038558903
Long
ABS-MBS
US
N
2
2028-11-15
Fixed
2.38000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 2.905000% 07/24/2023
38141GWM2
500000.00000000
PA
USD
506490.81000000
0.028817667926
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
2.90500000
N
N
N
N
N
N
BANK
N/A
BANK 2017-BNK7 BANK 2017-BNK7 A2
06541XAB6
1123000.00000000
PA
USD
1133416.84000000
0.064487705348
Long
ABS-MBS
US
N
2
2060-09-15
Fixed
3.06100000
N
N
N
N
N
N
MF1 LTD
N/A
MF1 2020-FL4 LTD MF1 2020-FL4 A
58003UAA6
890000.00000000
PA
USD
893885.74000000
0.050859170414
Long
ABS-MBS
US
Y
2
2035-11-15
Floating
1.86215040
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC 144A 2.450000% 01/15/2023
25746UDC0
500000.00000000
PA
USD
509347.79000000
0.028980220729
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.45000000
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 144A 4.250000% 07/21/2025
453140AF2
1035000.00000000
PA
USD
1114844.99000000
0.063431027920
Long
DBT
NUSS
GB
N
2
2025-07-21
Fixed
4.25000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR22 FINANCIAL COMMODITY FUTURE.
N/A
66.00000000
NC
USD
14436468.75000000
0.821387780880
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2022
2022-04-03
14417004.95000000
USD
19463.80000000
N
N
N
PHEAA STUDENT LOAN TRUST I
N/A
PHEAA STUDENT LOAN TRUST 2016-1 PHEAA 2016-1A A
69343FAA5
1353530.87000000
PA
USD
1377108.84000000
0.078352981861
Long
ABS-MBS
US
N
2
2065-09-25
Floating
1.24200000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS LIMITED
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS LTD 144A 4.500000% 03/15/2023
70014LAC4
170000.00000000
PA
USD
176341.66000000
0.010033262793
Long
DBT
NUSS
IE
N
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 WFCM 2016-C32 ASB
94989YBA0
419534.36000000
PA
USD
435683.03000000
0.024788937196
Long
ABS-MBS
US
N
2
2059-01-15
Fixed
3.32400000
N
N
N
N
N
N
COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE
54930036474DURYNB481
CANADIAN PACIFIC RAILWAY CO 1.350000% 12/02/2024
13645RBD5
910000.00000000
PA
USD
909165.25000000
0.051728524480
Long
DBT
NUSS
CA
N
2
2024-12-02
Fixed
1.35000000
N
N
N
N
N
N
SPRINT SPECTRUM CO LLC
N/A
SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC 4.738000% 03/20/2025
85208NAD2
1443750.00000000
PA
USD
1505787.94000000
0.085674401124
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST SERIES: 2021-1 CLASS: A1
89179YAR4
2370000.00000000
PA
USD
2405995.56000000
0.136893265801
Long
ABS-MBS
US
Y
2
2061-11-25
Floating
2.25000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C12 UBSCM 2018-C12 A2
90353DAV7
2200000.00000000
PA
USD
2291909.84000000
0.130402162056
Long
ABS-MBS
US
N
2
2051-08-15
Fixed
4.15190000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP MTN 0.450000% 01/11/2024
89236THU2
7760000.00000000
PA
USD
7683187.17000000
0.437148181382
Long
DBT
CORP
US
N
2
2024-01-11
Fixed
0.45000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.250000% 04/01/2024
86765BAN9
250000.00000000
PA
USD
263305.26000000
0.014981206758
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2004-1 SLMA 2004-1 A4
78442GKT2
372057.34000000
PA
USD
371423.02000000
0.021132753130
Long
ABS-MBS
US
N
2
2025-10-27
Floating
0.38387880
N
N
N
N
N
N
SANTANDER CONSUMER AUTO RECEIVABLES TRUST
N/A
SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B SCART 2020-BA B
802830AN9
4710000.00000000
PA
USD
4702725.88000000
0.267569697379
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
0.77000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC VARIABLE RATE 11/22/2024
404280CZ0
12255000.00000000
PA
USD
12255000.00000000
0.697269355062
Long
DBT
NUSS
GB
N
2
2024-11-22
Floating
0.63000360
N
N
N
N
N
N
REESE PARK CLO LIMITED
N/A
REESE PARK CLO LTD RESPK 2020-1A XR
758465AY4
1100000.00000000
PA
USD
1100000.00000000
0.062586396619
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-15
Floating
0.00000000
N
N
N
N
N
N
7-ELEVEN, INC.
549300K23JPL0SS3LB18
7-ELEVEN INC 144A 0.800000% 02/10/2024
817826AB6
12395000.00000000
PA
USD
12261926.91000000
0.697663473549
Long
DBT
CORP
US
N
2
2024-02-10
Fixed
0.80000000
N
N
N
N
N
N
CIT MORTGAGE LOAN TRUST
N/A
CIT MORTGAGE LOAN TRUST 2007-1 CITM 2007-1 1A
12559QAA0
390086.27000000
PA
USD
392829.94000000
0.022350736753
Long
ABS-MBS
US
N
2
2037-10-25
Floating
1.44200160
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC 3.300000% 03/15/2025
25746UDE6
1570000.00000000
PA
USD
1651531.70000000
0.093966743641
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.30000000
N
N
N
N
N
N
GSAMP TRUST
N/A
GSAMP TRUST 2006-HE3 GSAMP 2006-HE3 A2C
36244KAD7
765794.88000000
PA
USD
763656.32000000
0.043449543022
Long
ABS-MBS
US
N
2
2046-05-25
Floating
0.41163120
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2020-4 TPMT 2020-4 A1
89179JAA4
1613120.70000000
PA
USD
1613721.43000000
0.091815463137
Long
ABS-MBS
US
Y
2
2060-10-25
Fixed
1.75000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-CCRE9 MORTGAGE TRUST COMM 2013-CR9 ASB
12625UBA0
485830.53000000
PA
USD
497207.52000000
0.028289479135
Long
ABS-MBS
US
N
2
2045-07-10
Fixed
3.83400000
N
N
N
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE XVI LTD MAGNE 2015-16A AR
55953RAL5
717641.52000000
PA
USD
718502.69000000
0.040880449389
Long
ABS-CBDO
CORP
KY
N
2
2028-01-18
Floating
0.92225160
N
N
N
N
N
N
N/A
N/A
MADISON PARK FUNDING LII LTD MDPK 2021-52A X
55822BAA3
2500000.00000000
PA
USD
2500000.00000000
0.142241810498
Long
ABS-CBDO
CORP
KY
N
2
2035-01-22
Floating
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/07/2022
912796N47
415000.00000000
PA
USD
414895.08000000
0.023606170938
Long
DBT
UST
US
N
2
2022-04-07
None
0.00000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-G NAVSL 2019-GA A
63941JAA6
8286986.80000000
PA
USD
8421912.20000000
0.479179215673
Long
ABS-MBS
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2013-C13 ASB
61763BAS3
183770.33000000
PA
USD
187947.17000000
0.010693578295
Long
ABS-MBS
US
N
2
2046-11-15
Fixed
3.55700000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2020-B19 MORTGAGE TRUST BMARK 2020-B19 A1
08162WAY2
626597.46000000
PA
USD
623239.09000000
0.035460262613
Long
ABS-MBS
US
N
2
2053-09-15
Fixed
0.62800000
N
N
N
N
N
N
CORE MORTGAGE TRUST
N/A
CORE 2019-CORE MORTGAGE TRUST BCORE 2019-CORE A
21871FAA6
205286.48000000
PA
USD
204513.74000000
0.011636161859
Long
ABS-MBS
US
N
2
2031-12-15
Floating
0.96999840
N
N
N
N
N
N
PERKINELMER, INC.
549300IKL1SDPFI7N655
PERKINELMER INC 0.850000% 09/15/2024
714046AL3
1170000.00000000
PA
USD
1151249.17000000
0.065502306510
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.85000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H NAVSL 2020-HA A
63935BAA1
3348347.81000000
PA
USD
3338099.19000000
0.189926908963
Long
ABS-MBS
US
Y
2
2069-01-15
Fixed
1.31000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2017-2 NAVSL 2017-2A A
63939RAA2
702945.51000000
PA
USD
708428.13000000
0.040307239927
Long
ABS-MBS
US
N
2
2066-12-27
Floating
1.14199920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4095 FB
3137ASS62
9168.03000000
PA
USD
9170.16000000
0.000521752064
Long
DBT
USGA
US
N
2
2039-04-15
Floating
0.48925080
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 0.750000% 01/15/2024
723787AS6
7365000.00000000
PA
USD
7310144.82000000
0.415923293680
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.75000000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C18 WFRBS 2013-C18 A4
96221QAD5
1267681.55000000
PA
USD
1323854.42000000
0.075322979814
Long
ABS-MBS
US
N
2
2046-12-15
Fixed
3.89600000
N
N
N
N
N
N
MICHIGAN FIN AUTH REV
N/A
MICHIGAN ST FIN AUTH REVENUE MICHIGAN FINANCE AUTHORITY
59447TA60
2730000.00000000
PA
USD
2716899.82000000
0.154582699735
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
0.48700000
N
N
N
N
N
N
PRESTIGE AUTO RECEIVABLES TRUST
N/A
PRESTIGE AUTO RECEIVABLES TRUST 2020-1 PART 2020-1A B
74114BAE3
5480000.00000000
PA
USD
5483682.01000000
0.312003542919
Long
ABS-MBS
US
Y
2
2024-10-15
Fixed
0.77000000
N
N
N
N
N
N
NELNET PRIVATE EDUCATION LOAN TRUST
N/A
NELNET STUDENT LOAN TRUST 2021-A NSLT 2021-A APT1
64035DAB2
8641440.81000000
PA
USD
8529041.59000000
0.485274527030
Long
ABS-MBS
US
Y
2
2062-04-20
Fixed
1.36000000
N
N
N
N
N
N
NATIONSTAR HOME EQUITY LOAN TRUST
N/A
NATIONSTAR HOME EQUITY LOAN TRUST 2006-B NSTR 2006-B AV4
63860FAD5
514003.09000000
PA
USD
513604.07000000
0.029222389118
Long
ABS-MBS
US
N
2
2036-09-25
Floating
0.37163160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3935
3140X7LR8
2847102.42000000
PA
USD
2950773.53000000
0.167889347710
Long
DBT
USGA
US
N
2
2034-11-01
Fixed
2.50000000
N
N
N
N
N
N
BERRY GLOBAL, INC.
549300AP2Q7ERHX6RI89
BERRY GLOBAL INC 0.950000% 02/15/2024
08576PAG6
1415000.00000000
PA
USD
1398048.30000000
0.079544368542
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.95000000
N
N
N
N
N
N
BSPRT ISSUER, LTD.
N/A
BSPRT 2018-FL4 ISSUER LTD BSPRT 2018-FL4 A
05586AAA6
344877.42000000
PA
USD
344426.32000000
0.019596729336
Long
ABS-MBS
KY
N
2
2035-09-15
Floating
1.13950080
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2013-GCJ14 GSMS 2013-GC14 AAB
36198FAF9
398834.07000000
PA
USD
407117.30000000
0.023163640734
Long
ABS-MBS
US
N
2
2046-08-10
Fixed
3.81700000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2003-11 SLMA 2003-11 A6
78442GJS6
319038.62000000
PA
USD
318960.23000000
0.018147792236
Long
ABS-MBS
US
N
2
2025-12-15
Floating
0.66600000
N
N
N
N
N
N
PNC BANK, NATIONAL ASSOCIATION
AD6GFRVSDT01YPT1CS68
PNC BANK NA VARIABLE RATE 02/24/2023
69353RFU7
10875000.00000000
PA
USD
10883020.31000000
0.619208205033
Long
DBT
CORP
US
N
2
2023-02-24
Floating
0.49462920
N
N
N
N
N
N
BANK
N/A
BANK 2020-BNK28 BANK 2020-BN28 A1
06540YAA7
509293.22000000
PA
USD
504231.30000000
0.028689109208
Long
ABS-MBS
US
N
2
2063-03-15
Fixed
0.62800000
N
N
N
N
N
N
MIAMI-DADE CNTY FLA AVIATION REV
N/A
MIAMI-DADE CNTY FL AVIATION RE COUNTY OF MIAMI-DADE FL AVIATION REVENUE
59333P4K1
3145000.00000000
PA
USD
3325276.75000000
0.189197354130
Long
DBT
MUN
US
N
2
2025-10-01
Fixed
2.94900000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 0.650000% 03/01/2023
65339KBU3
1250000.00000000
PA
USD
1248403.00000000
0.071030041180
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
0.65000000
N
N
N
N
N
N
MELLO WAREHOUSE SECURITIZATION TRUST
N/A
MELLO WAREHOUSE SECURITIZATION TRUST 2021-2 MWST 2021-2 A
58552NAA7
5525000.00000000
PA
USD
5502531.48000000
0.313076016015
Long
ABS-MBS
US
Y
2
2055-04-25
Floating
0.84162960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF83 AL
3137FVNB4
1929753.32000000
PA
USD
1931273.58000000
0.109883140234
Long
DBT
USGA
US
N
2
2030-06-25
Floating
0.44750160
N
N
N
N
N
N
SOUTH CAROLINA ST PUB SVCS AUTH REV
N/A
SOUTH CAROLINA ST PUBLIC SVC A SOUTH CAROLINA PUBLIC SERVICE AUTHORITY
837151WM7
6892000.00000000
PA
USD
7113419.28000000
0.404730254887
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
2.38800000
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP MTN VARIABLE RATE 06/09/2025
89788MAF9
11135000.00000000
PA
USD
11103499.09000000
0.631752725370
Long
DBT
CORP
US
N
2
2025-06-09
Floating
0.45000360
N
N
N
N
N
N
STANLEY BLACK & DECKER, INC.
549300DJ09SMTO561131
STANLEY BLACK & DECKER COMMERCIAL PAPER
85462DAC7
20000000.00000000
PA
USD
19996918.40000000
1.137759151040
Long
ABS-APCP
US
N
2
2022-01-12
None
0.00000000
N
N
N
N
N
N
MICHIGAN FIN AUTH REV
N/A
MICHIGAN ST FIN AUTH REVENUE MICHIGAN FINANCE AUTHORITY
59447TB44
1730000.00000000
PA
USD
1721698.42000000
0.097959000157
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
0.48700000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC 5.596000% 01/07/2022
345397ZM8
9000.00000000
PA
USD
9032.40000000
0.000513913971
Long
DBT
CORP
US
N
2
2022-01-07
Fixed
5.59600000
N
N
N
N
N
N
SLC STUDENT LOAN TRUST
N/A
SLC STUDENT LOAN TRUST 2007-1 SLCLT 2007-1 A4
784424AD5
884065.06000000
PA
USD
878746.61000000
0.049997803510
Long
ABS-MBS
US
N
2
2029-05-15
Floating
0.21600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4482 CA
3137BJSY0
362781.18000000
PA
USD
372193.14000000
0.021176570435
Long
DBT
USGA
US
N
2
2034-04-15
Fixed
3.00000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2012-CCRE2 MORTGAGE TRUST COMM 2012-CR2 A4
12624KAD8
1000000.00000000
PA
USD
1006202.00000000
0.057249597682
Long
ABS-MBS
US
N
2
2045-08-15
Fixed
3.14700000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 5326
36202F4K9
163475.28000000
PA
USD
170901.48000000
0.009723734372
Long
DBT
USGA
US
N
2
2027-03-20
Fixed
3.00000000
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2019-1A A1
165183BY9
2128579.59000000
PA
USD
2147900.07000000
0.122208477890
Long
ABS-MBS
US
N
2
2031-04-15
Fixed
2.94000000
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-2 B
46591HAU4
1005156.69000000
PA
USD
1004505.75000000
0.057153086614
Long
ABS-MBS
US
Y
2
2028-02-25
Fixed
0.84000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-116 CB
3136AG4N9
322025.78000000
PA
USD
329394.89000000
0.018741490208
Long
DBT
USGA
US
N
2
2033-04-25
Fixed
2.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 2.858000% 03/17/2023
53944YAK9
1910000.00000000
PA
USD
1921660.23000000
0.109336172111
Long
DBT
NUSS
GB
N
2
2023-03-17
Fixed
2.85800000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY MTN 3.622000% 04/26/2023
63861VAD9
1890000.00000000
PA
USD
1911058.08000000
0.108732944506
Long
DBT
NUSS
GB
N
2
2023-04-26
Fixed
3.62200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4102 LF
3137AUMR7
145998.55000000
PA
USD
146483.59000000
0.008334436419
Long
DBT
USGA
US
N
2
2040-01-15
Floating
0.33924960
N
N
N
N
N
N
BAYCARE HEALTH SYSTEM, INC.
1H90SRZU22X0SF1UZR52
BAYCARE HEALTH SYSTEM INC 2.610000% 11/15/2022
072722AC5
1190000.00000000
PA
USD
1212010.42000000
0.068959422593
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.61000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2016-GS3 GSMS 2016-GS3 AAB
36251PAE4
1242804.90000000
PA
USD
1283433.19000000
0.073023144239
Long
ABS-MBS
US
N
2
2049-10-10
Fixed
2.77700000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 4.875000% 01/16/2024
00774MAK1
580000.00000000
PA
USD
619746.29000000
0.035261533735
Long
DBT
NUSS
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-93 GF
3136A8JF8
59942.35000000
PA
USD
60073.64000000
0.003417993326
Long
DBT
USGA
US
N
2
2040-07-25
Floating
0.34200000
N
N
N
N
N
N
GLP Capital, L.P.
2549005PXW31DRW8EC44
GLP CAPITAL LP / GLP FINANCING II INC 5.375000% 11/01/2023
361841AF6
2803000.00000000
PA
USD
2981747.31000000
0.169651654328
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
5.37500000
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST
N/A
OPTION ONE MORTGAGE LOAN TRUST 2006-1 OOMLT 2006-1 1A1
68389FKL7
117223.54000000
PA
USD
117176.97000000
0.006666985744
Long
ABS-MBS
US
N
2
2036-01-25
Floating
0.53163000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 82737
36225FBF5
97754.21000000
PA
USD
102022.67000000
0.005804755717
Long
DBT
USGA
US
N
2
2041-02-20
Floating
2.00000160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2006-31 FP
31395DAM1
130431.20000000
PA
USD
130840.69000000
0.007444406652
Long
DBT
USGA
US
N
2
2036-05-25
Floating
0.39200040
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC 144A 3.875000% 12/15/2023
07274NAE3
745000.00000000
PA
USD
782443.19000000
0.044518454383
Long
DBT
CORP
DE
N
2
2023-12-15
Fixed
3.87500000
N
N
N
N
N
N
NEW YORK ST MTG AGY HOMEOWNER MTG REV
N/A
NEW YORK ST MTGE AGY HOMEOWNER STATE OF NEW YORK MORTGAGE AGENCY
6498834Y8
1200000.00000000
PA
USD
1200000.00000000
0.068276069039
Long
DBT
MUN
US
N
2
2048-10-01
Floating
0.06999970
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 3.870000% 07/09/2025
53944YAL7
180000.00000000
PA
USD
191142.84000000
0.010875401450
Long
DBT
NUSS
GB
N
2
2025-07-09
Fixed
3.87000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA2569
36179Q2A8
23894.00000000
PA
USD
25134.42000000
0.001430066162
Long
DBT
USGA
US
N
2
2030-02-20
Fixed
3.00000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GSAA TRUST GSAA 2005-10 M4
362341JK6
6534.55000000
PA
USD
6538.77000000
0.000372034593
Long
ABS-MBS
US
N
2
2035-06-25
Floating
1.06662960
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 0.981000% 05/01/2025
172967MX6
1165000.00000000
PA
USD
1157252.44000000
0.065843872907
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.98100000
N
N
N
N
N
N
HCA INC.
L3CJ6J7LJ2DX62FTXD46
HCA INC 4.750000% 05/01/2023
404121AF2
1655000.00000000
PA
USD
1738354.06000000
0.098906651512
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.75000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERS INCOME TAX REV
N/A
NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY
649902S95
950000.00000000
PA
USD
1040093.63000000
0.059177920407
Long
DBT
MUN
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2020-A SRT 2020-A B
80286KAE2
750000.00000000
PA
USD
758943.30000000
0.043181387622
Long
ABS-MBS
US
N
2
2024-03-20
Fixed
1.88000000
N
N
N
N
N
N
TIDEWATER AUTO RECEIVABLES TRUST
N/A
TIDEWATER AUTO RECEIVABLES TRUST 2020-A TMCAT 2020-AA A2
88641WAB5
1107704.59000000
PA
USD
1109387.08000000
0.063120490720
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
1.39000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GSAA HOME EQUITY TRUST 2005-MTR1 GSAA 2005-MTR1 A4
362341UC1
439554.76000000
PA
USD
439803.46000000
0.025023376165
Long
ABS-MBS
US
N
2
2035-10-25
Floating
0.83162880
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2017-1 LTD VOYA 2017-1A A1R
92916MAF8
3000000.00000000
PA
USD
3002412.00000000
0.170827407496
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-17
Floating
1.07224920
N
N
N
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
8020000.00000000
PA
USD
7962910.75000000
0.453063536766
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
TERWIN MORTGAGE TRUST
N/A
TERWIN MORTGAGE TRUST 2006-3 TMTS 2006-3 1A2
881561T61
392924.87000000
PA
USD
391843.89000000
0.022294633738
Long
ABS-MBS
US
N
2
2037-04-25
Floating
0.55163160
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.750000% 11/14/2023
00287YBC2
550000.00000000
PA
USD
577501.95000000
0.032857969173
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2003-10 SLMA 2003-10A A3
78442GJG2
423936.27000000
PA
USD
423948.52000000
0.024121282017
Long
ABS-MBS
US
N
2
2027-12-15
Floating
0.58600080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM5111
3140J9VD0
1470637.35000000
PA
USD
1561284.72000000
0.088831986110
Long
DBT
USGA
US
N
2
2033-11-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA 3.335000% 01/25/2023
06050TMJ8
1000000.00000000
PA
USD
1004039.42000000
0.057126553964
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
3.33500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-23 D
38378BCZ0
744423.19000000
PA
USD
761393.66000000
0.043320805080
Long
DBT
USGA
US
N
2
2049-07-16
Floating
3.48800040
N
N
N
N
N
N
IHS MARKIT LTD.
549300HLPTRASHS0E726
IHS MARKIT LTD 3.625000% 05/01/2024
44962LAH0
430000.00000000
PA
USD
450382.00000000
0.025625260438
Long
DBT
NUSS
US
N
2
2024-05-01
Fixed
3.62500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C56 WFCM 2020-C56 A1
95002RAS7
1582027.11000000
PA
USD
1589326.27000000
0.090427458446
Long
ABS-MBS
US
N
2
2053-06-15
Fixed
1.34100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0379
3132CWM43
5681665.30000000
PA
USD
6034390.81000000
0.343337069627
Long
DBT
USGA
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
WISCONSIN HSG & ECONOMIC DEV AUTH HOME OWNERSHIP REV
N/A
WISCONSIN ST HSG & ECON DEV AU WISCONSIN HOUSING & ECONOMIC DEVELOPMENT AUTHORITY
97689P2K3
2280000.00000000
PA
USD
2280000.00000000
0.129724531174
Long
DBT
MUN
US
N
2
2037-09-01
Floating
0.06999840
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-1 LTD CGMS 2015-1A AR3
14311DBN5
4500000.00000000
PA
USD
4497817.50000000
0.255911081796
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
1.11150000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.500000% 04/15/2025
87264ABB0
705000.00000000
PA
USD
745775.71000000
0.042432194886
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF39 A
3137FCKQ6
579698.48000000
PA
USD
580348.21000000
0.033019912043
Long
DBT
USGA
US
N
2
2024-11-25
Floating
0.40749840
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 3.150000% 06/30/2022
37045XBY1
285000.00000000
PA
USD
288648.70000000
0.016423165474
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4379 CD
3137BCZH4
291629.15000000
PA
USD
297519.33000000
0.016927875262
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
2.50000000
N
N
N
N
N
N
HORMEL FOODS CORPORATION
MSD54751OJP1FS2ND863
HORMEL FOODS CORP 0.650000% 06/03/2024
440452AG5
8800000.00000000
PA
USD
8727999.28000000
0.496594567845
Long
DBT
CORP
US
N
2
2024-06-03
Fixed
0.65000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 CGCMT 2015-GC31 AAB
17323YAE9
1371157.53000000
PA
USD
1424277.00000000
0.081036695652
Long
ABS-MBS
US
N
2
2048-06-10
Fixed
3.43100000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C34 WFCM 2016-C34 ASB
95000DBE0
1757212.89000000
PA
USD
1817506.55000000
0.103410168905
Long
ABS-MBS
US
N
2
2049-06-15
Fixed
2.91100000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10 WFRBS 2012-C10 A3
92890NAU3
901000.00000000
PA
USD
912349.36000000
0.051909689909
Long
ABS-MBS
US
N
2
2045-12-15
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-98 QF
38377JSS3
425276.08000000
PA
USD
426419.77000000
0.024261888046
Long
DBT
USGA
US
N
2
2040-01-20
Floating
0.49113000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC VARIABLE RATE 03/25/2024
00206RMH2
10490000.00000000
PA
USD
10496084.83000000
0.597192843744
Long
DBT
CORP
US
N
2
2024-03-25
Floating
0.69000120
N
N
N
N
N
N
CENTEX HOME EQUITY LOAN TRUST
N/A
CENTEX HOME EQUITY LOAN TRUST 2006-A CXHE 2006-A M1
15231AAE6
1477309.77000000
PA
USD
1472753.89000000
0.083794871892
Long
ABS-MBS
US
N
2
2036-06-25
Floating
0.54163080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6017
3140X9VK8
2114398.15000000
PA
USD
2215307.02000000
0.126043712533
Long
DBT
USGA
US
N
2
2035-02-01
Fixed
3.00000000
N
N
N
N
N
N
BLUEMOUNTAIN CLO LTD.
N/A
BLUEMOUNTAIN CLO 2012-2 LTD BLUEM 2012-2A AR2
09626RAW5
551874.34000000
PA
USD
552245.75000000
0.031420974127
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
1.20962880
N
N
N
N
N
N
BAE SYSTEMS HOLDINGS INC.
MF62XBVMNYTYMC18DL76
BAE SYSTEMS HOLDINGS INC 144A 3.850000% 12/15/2025
05523UAP5
625000.00000000
PA
USD
674158.03000000
0.038357383499
Long
DBT
CORP
GB
N
2
2025-12-15
Fixed
3.85000000
N
N
N
N
N
N
WELLS FARGO HOME EQUITY TRUST
N/A
WELLS FARGO HOME EQUITY ASSET-BACKED SECURITIES 20 WFHET 2006-1 M3
9497EUAK3
1978000.00000000
PA
USD
1969821.37000000
0.112076383210
Long
ABS-MBS
US
N
2
2036-05-25
Floating
0.58700160
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5 WFCM 2016-NXS5 A2
95000CAX1
7373.55000000
PA
USD
7394.29000000
0.000420710878
Long
ABS-MBS
US
N
2
2059-01-15
Fixed
2.71100000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2012-GCJ7 GSMS 2012-GCJ7 AS
36192KAV9
2260000.00000000
PA
USD
2273919.34000000
0.129378561539
Long
ABS-MBS
US
N
2
2045-05-10
Fixed
4.08500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF66 A
3137FNB41
993560.48000000
PA
USD
1000285.39000000
0.056912961955
Long
DBT
USGA
US
N
2
2029-07-25
Floating
0.60750000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.300000% 06/01/2027
00206RJX1
2000000.00000000
PA
USD
2031217.56000000
0.115569625300
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
PACIFIC LIFE GLOBAL FUNDING II
6354003EUPCHXTWUU869
PACIFIC LIFE GLOBAL FUNDING II 144A 0.500000% 09/23/2023
6944PL2C2
5615000.00000000
PA
USD
5589492.68000000
0.318023823427
Long
DBT
CORP
US
N
2
2023-09-23
Fixed
0.50000000
N
N
N
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE VARIABLE RATE 06/22/2023
13607HVD1
6950000.00000000
PA
USD
6957305.56000000
0.395847895617
Long
DBT
NUSS
CA
N
2
2023-06-22
Floating
0.38999880
N
N
N
N
N
N
LOANCORE ISSUER LTD
N/A
LOANCORE 2018-CRE1 ISSUER LTD LNCR 2018-CRE1 A
53946MAA5
1366903.34000000
PA
USD
1364852.98000000
0.077655663575
Long
ABS-MBS
KY
N
2
2028-05-15
Floating
1.21950000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ34 A1
3137H1LS3
1426510.91000000
PA
USD
1400132.73000000
0.079662965781
Long
DBT
USGA
US
N
2
2026-06-25
Fixed
0.68100000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 0.981000% 05/01/2025
172967MX6
7800000.00000000
PA
USD
7748127.89000000
0.440843095617
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.98100000
N
N
N
N
N
N
FEDERATION DES CAISSES DESJARDINS DU QUEBEC
549300B2Q47IR0CR5B54
FEDERATION DES CAISSES DESJARDINS DU QUEBEC 144A 0.450000% 10/07/2023
31430WET7
7660000.00000000
PA
USD
7608643.53000000
0.432906892456
Long
DBT
NUSS
CA
N
2
2023-10-07
Fixed
0.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BE0522
3140FKSL5
117791.93000000
PA
USD
122719.17000000
0.006982318769
Long
DBT
USGA
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
JERSEY CENTRAL POWER & LIGHT COMPANY
549300W9UGH9ZPLNPF79
JERSEY CENTRAL POWER & LIGHT CO 144A 4.700000% 04/01/2024
476556DB8
1545000.00000000
PA
USD
1644637.41000000
0.093574481124
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.70000000
N
N
N
N
N
N
WISCONSIN HSG & ECONOMIC DEV AUTH HOME OWNERSHIP REV
N/A
WISCONSIN ST HSG & ECON DEV AU WISCONSIN HOUSING & ECONOMIC DEVELOPMENT AUTHORITY
97689P5F1
2600000.00000000
PA
USD
2600000.00000000
0.147931482918
Long
DBT
MUN
US
N
2
2038-03-01
Floating
0.06999840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3940 PF
3137AGZ37
131331.73000000
PA
USD
131396.77000000
0.007476045783
Long
DBT
USGA
US
N
2
2040-05-15
Floating
0.43925040
N
N
N
N
N
N
DBWF MORTGAGE TRUST
N/A
DBWF 2018-AMXP MORTGAGE TRUST DBWF 2018-AMXP A
23306PAA5
1800000.00000000
PA
USD
1799753.04000000
0.102400052343
Long
ABS-MBS
US
N
2
2035-05-05
Floating
3.87309960
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV
N/A
NEW YORK CITY NY TRANSITIONAL NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY FUTUR
64971QWL3
5095000.00000000
PA
USD
5275397.65000000
0.300152845133
Long
DBT
MUN
US
N
2
2023-08-01
Fixed
2.71000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4094 BF
3137ASV27
561615.30000000
PA
USD
561572.73000000
0.031951648736
Long
DBT
USGA
US
N
2
2032-08-15
Floating
0.48925080
N
N
N
N
N
N
Brookfield US Holdings Inc.
N/A
BROOKFIELD US HLDGS INC COMMERCIAL PAPER
11289RA41
20000000.00000000
PA
USD
19994750.00000000
1.137635776183
Long
ABS-APCP
CA
N
2
2022-01-04
None
0.00000000
N
N
N
N
N
N
INTERNATIONAL FLAVORS & FRAGRANCES INC.
BZLRL03D3GPGMOGFO832
INTERNATIONAL FLAVORS & FRAGRANCES INC 144A 0.697000% 09/15/2022
459506AM3
750000.00000000
PA
USD
750428.64000000
0.042696931361
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
0.69700000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2013-LC11 ASB
46639YAR8
857752.01000000
PA
USD
867637.09000000
0.049365708214
Long
ABS-MBS
US
N
2
2046-04-15
Fixed
2.55390000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2012-C8 ASB
46638UAD8
207649.47000000
PA
USD
208584.06000000
0.011867749734
Long
ABS-MBS
US
N
2
2045-10-15
Fixed
2.37910000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2010-43 VF
31398RDQ5
444961.11000000
PA
USD
451377.67000000
0.025681910799
Long
DBT
USGA
US
N
2
2040-05-25
Floating
0.64199880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
CASH MGMT BILL 0.000000% 02/01/2022
912796Q93
1980000.00000000
PA
USD
1979853.36000000
0.112647170578
Long
DBT
UST
US
N
2
2022-02-01
None
0.00000000
N
N
N
N
N
N
KIMCO REALTY CORPORATION
549300EA7I6T15IBYS12
KIMCO REALTY CORP 3.400000% 11/01/2022
49446RAN9
1350000.00000000
PA
USD
1376294.42000000
0.078306644031
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN BW5284
3617NW2R2
2100243.71000000
PA
USD
2102764.00000000
0.119640383364
Long
DBT
USGA
US
N
2
2050-10-15
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2011-151 BF
38378ACT6
379639.18000000
PA
USD
381682.09000000
0.021716460606
Long
DBT
USGA
US
N
2
2041-04-20
Floating
0.44112960
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 144A 3.625000% 05/01/2022
05401AAE1
890000.00000000
PA
USD
898690.36000000
0.051132537553
Long
DBT
NUSS
IE
N
2
2022-05-01
Fixed
3.62500000
N
N
N
N
N
N
MHC COMMERCIAL MORTGAGE TRUST
N/A
MHC COMMERCIAL MORTGAGE TRUST 2021-MHC MHC 2021-MHC B
55316VAC8
11040000.00000000
PA
USD
11012380.13000000
0.626568355034
Long
ABS-MBS
US
N
2
2038-04-15
Floating
1.19046240
N
N
N
N
N
N
GALAXY CLO, LTD
N/A
GALAXY XXIII CLO LTD GALXY 2017-23A AR
36319TAN6
4220487.33000000
PA
USD
4227476.46000000
0.240529562203
Long
ABS-CBDO
CORP
KY
Y
2
2029-04-24
Floating
0.99388080
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.875000% 04/15/2030
87264ABF1
770000.00000000
PA
USD
836869.92000000
0.047615157028
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D NAVSL 2020-DA A
63941HAA0
3279548.15000000
PA
USD
3295167.00000000
0.187484207989
Long
ABS-MBS
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES INC
N/A
BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005- BSABS 2005-HE6 M2
073879XZ6
567335.71000000
PA
USD
567259.91000000
0.032275230648
Long
ABS-MBS
US
N
2
2035-06-25
Floating
1.09662840
N
N
N
N
N
N
FS RIALTO ISSUER, LTD.
N/A
FS RIALTO 2019-FL1 FSRIA 2019-FL1 A
30312UAA1
1800000.00000000
PA
USD
1796164.20000000
0.102195859104
Long
ABS-MBS
KY
N
2
2036-12-16
Floating
1.28913120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K037 A1
3137B7YX1
299314.59000000
PA
USD
303510.89000000
0.017268775399
Long
DBT
USGA
US
N
2
2023-04-25
Fixed
2.59200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 10/15/2023
91282CAP6
33595000.00000000
PA
USD
33348286.72000000
1.897408272025
Long
SN
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
MVW OWNER TRUST
N/A
MVW 2021-1W LLC MVWOT 2021-1WA A
55389TAA9
3050948.56000000
PA
USD
3003750.69000000
0.170903574572
Long
ABS-MBS
US
Y
2
2041-01-22
Fixed
1.14000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC.
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC 1.215000% 10/18/2024
883556CS9
1375000.00000000
PA
USD
1375175.08000000
0.078242957252
Long
DBT
CORP
US
N
2
2024-10-18
Fixed
1.21500000
N
N
N
N
N
N
COMM COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
N/A
CREDIT SUISSE COMMERCIAL MORTGAGE SECURITIES CORP CSMC 2019-SKLZ A
12655GAA5
497378.86000000
PA
USD
499775.58000000
0.028435593336
Long
ABS-MBS
US
N
2
2034-01-15
Floating
1.33999920
N
N
N
N
N
N
FRESENIUS US FINANCE II, INC.
TRJSJR7WPAPZ2OYFQZ47
FRESENIUS US FINANCE II INC 144A 4.500000% 01/15/2023
35804GAK4
955000.00000000
PA
USD
984278.51000000
0.056002222918
Long
DBT
CORP
DE
N
2
2023-01-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2006-56 FE
31395NXU6
605377.20000000
PA
USD
611247.36000000
0.034777972459
Long
DBT
USGA
US
N
2
2036-07-25
Floating
0.52200000
N
N
N
N
N
N
ONE NEW YORK PLAZA TRUST
N/A
ONE NEW YORK PLAZA TRUST 2020-1NYP ONYP 2020-1NYP A
68249DAA7
952000.00000000
PA
USD
950083.34000000
0.054056629762
Long
ABS-MBS
US
Y
2
2026-01-15
Floating
1.04000040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF43 A
3137FEJN1
551454.23000000
PA
USD
552731.29000000
0.031448599763
Long
DBT
USGA
US
N
2
2028-01-25
Floating
0.32749920
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO MTN VARIABLE RATE 04/15/2023
36966TJA1
2000000.00000000
PA
USD
2016641.88000000
0.114740316855
Long
DBT
CORP
US
N
2
2023-04-15
Floating
1.12375080
N
N
N
N
N
N
THE BOEING COMPANY
N/A
THE BOEING COMPANY 2/7/2022
09702EBS9
7500000.00000000
PA
USD
7488000.00000000
0.426042670804
Long
LON
US
N
2
2022-02-07
Floating
0.00000360
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2016-M11 AL
3136AT5G5
590541.20000000
PA
USD
605802.38000000
0.034468170934
Long
DBT
USGA
US
N
2
2039-07-25
Fixed
2.94400000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.950000% 12/01/2025
86765BAS8
748000.00000000
PA
USD
852534.23000000
0.048506404954
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.95000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 0.495000% 02/02/2024
22550L2E0
8365000.00000000
PA
USD
8280020.22000000
0.471106026821
Long
DBT
NUSS
CH
N
2
2024-02-02
Fixed
0.49500000
N
N
N
N
N
N
MACQUARIE GROUP LIMITED
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD MTN 1.201000% 10/14/2025
55608JBA5
910000.00000000
PA
USD
903044.95000000
0.051380299459
Long
DBT
NUSS
AU
N
2
2025-10-14
Fixed
1.20100000
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD.
N/A
PALMER SQUARE LOAN FUNDING 2020-2 LTD PSTAT 2020-2A A1
69701FAA1
552702.88000000
PA
USD
552912.91000000
0.031458933346
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
1.13150160
N
N
N
N
N
N
HEALTHPEAK PROPERTIES, INC.
PZ9HF5U52KPF0MH0QN75
HEALTHPEAK PROPERTIES INC 4.000000% 06/01/2025
40414LAN9
635000.00000000
PA
USD
687025.55000000
0.039089503236
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2020-2 DTAOT 2020-2A B
23343RAC2
2285000.00000000
PA
USD
2303352.43000000
0.131053207943
Long
ABS-MBS
US
N
2
2026-03-16
Fixed
2.08000000
N
N
N
N
N
N
ONE MARKET PLAZA TRUST
N/A
ONE MARKET PLAZA TRUST 2017-1MKT OMPT 2017-1MKT A
68245HAA2
1500000.00000000
PA
USD
1505303.25000000
0.085646823851
Long
ABS-MBS
US
N
2
2032-02-10
Fixed
3.61390000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4048 GF
3137AQUJ5
104430.04000000
PA
USD
104588.58000000
0.005950747590
Long
DBT
USGA
US
N
2
2040-10-15
Floating
0.43925040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3616 FG
31398LGY8
393926.48000000
PA
USD
400545.59000000
0.022789731963
Long
DBT
USGA
US
N
2
2032-03-15
Floating
0.73924920
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
ROYALTY PHARMA PLC 0.750000% 09/02/2023
78081BAG8
985000.00000000
PA
USD
979522.00000000
0.055731593081
Long
DBT
NUSS
US
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A3
29374EAC0
360000.00000000
PA
USD
355461.70000000
0.020224606308
Long
ABS-MBS
US
Y
2
2026-12-21
Fixed
0.70000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C31 ASB
46644YAW0
1894392.32000000
PA
USD
1970774.60000000
0.112130618875
Long
ABS-MBS
US
N
2
2048-08-15
Fixed
3.53950000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K33 MORTGAGE TRUST FREMF 2013-K33 B
30265AAN4
2000000.00000000
PA
USD
2077570.00000000
0.118206927294
Long
ABS-MBS
US
N
2
2046-08-25
Floating
3.61168560
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-WSS CGCMT 2020-WSS A
17328TAA3
2636920.76000000
PA
USD
2656513.87000000
0.151146936992
Long
ABS-MBS
US
Y
2
2039-02-15
Floating
2.03950080
N
N
N
N
N
N
SREIT COMMERCIAL MORTGAGE TRUST
N/A
SREIT TRUST 2021-MFP SREIT 2021-MFP A
78472UAA6
3270000.00000000
PA
USD
3251257.01000000
0.184985873398
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
0.83080080
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 0.969000% 06/23/2025
46647PCK0
385000.00000000
PA
USD
382129.32000000
0.021741906528
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
0.96900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3895 FM
3137ACUN7
297268.49000000
PA
USD
297763.74000000
0.016941781391
Long
DBT
USGA
US
N
2
2040-12-15
Floating
0.43925040
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD INC.
549300OSW32RVX8CCZ87
ALIMENTATION COUCHE-TARD INC 144A 3.550000% 07/26/2027
01626PAH9
400000.00000000
PA
USD
430142.29000000
0.024473687240
Long
DBT
NUSS
CA
N
2
2027-07-26
Fixed
3.55000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.750000% 11/15/2024
91282CDH1
3810000.00000000
PA
USD
3801070.31000000
0.216268449090
Long
SN
UST
US
N
2
2024-11-15
Fixed
0.75000000
N
N
N
N
N
N
CSAIL COMMERCIAL MORTGAGE TRUST
N/A
CSAIL 2017-C8 COMMERCIAL MORTGAGE TRUST CSAIL 2017-C8 A2
12595BAB7
1692518.42000000
PA
USD
1697930.92000000
0.096606707264
Long
ABS-MBS
US
N
2
2050-06-15
Fixed
2.98551000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2014-C15 A3
61763KAZ7
333959.34000000
PA
USD
347554.29000000
0.019774700582
Long
ABS-MBS
US
N
2
2047-04-15
Fixed
3.77300000
N
N
N
N
N
N
BRAEMAR HOTELS RESORTS TRUST
N/A
BRAEMAR HOTELS & RESORTS TRUST 2018-PRIME BHR 2018-PRME A
10482TAA0
2777000.00000000
PA
USD
2775515.69000000
0.157917750724
Long
ABS-MBS
US
N
2
2035-06-15
Floating
0.91000080
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRU SASC 2006-WF3 M1
86361EAF8
768092.17000000
PA
USD
765775.30000000
0.043570106042
Long
ABS-MBS
US
N
2
2036-09-25
Floating
0.34162920
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC35 CGCMT 2015-GC35 AAB
17324KAQ1
5048071.84000000
PA
USD
5268550.42000000
0.299763260176
Long
ABS-MBS
US
N
2
2048-11-10
Fixed
3.60800000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2008-92 E
38373M4R8
519700.00000000
PA
USD
532526.09000000
0.030298990071
Long
DBT
USGA
US
N
2
2044-03-16
Floating
5.55599880
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XIX LTD MDPK 2015-19A A1R2
55819QAY3
1134126.71000000
PA
USD
1135368.58000000
0.064598752960
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Floating
1.04825160
N
N
N
N
N
N
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8 JPMDB 2018-C8 A2
46591AAX3
1764849.57000000
PA
USD
1820128.89000000
0.103559371461
Long
ABS-MBS
US
N
2
2051-06-15
Fixed
4.03060000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 11/30/2023
91282CDM0
48775000.00000000
PA
USD
48723557.50000000
2.772210813084
Long
SN
UST
US
N
2
2023-11-30
Fixed
0.50000000
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO MTN VARIABLE RATE 05/05/2026
36962GW75
350000.00000000
PA
USD
345810.55000000
0.019675487488
Long
DBT
CORP
US
N
2
2026-05-05
Floating
0.51975000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2019-79 FA
3136B72K6
555638.78000000
PA
USD
560321.81000000
0.031880475486
Long
DBT
USGA
US
N
2
2050-01-25
Floating
0.59199840
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO VARIABLE RATE 12/03/2021
842400GX5
6550000.00000000
PA
USD
6550010.87000000
0.372674161972
Long
DBT
CORP
US
N
2
2021-12-03
Floating
0.38887920
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2013-C7 A4
61690KAE2
4530000.00000000
PA
USD
4597329.39000000
0.261572982356
Long
ABS-MBS
US
N
2
2046-02-15
Fixed
2.91800000
N
N
N
N
N
N
UBS AG LONDON BRANCH
N/A
UBS AG/LONDON 144A 0.700000% 08/09/2024
902674YK0
1170000.00000000
PA
USD
1157563.89000000
0.065861593392
Long
DBT
NUSS
CH
N
2
2024-08-09
Fixed
0.70000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-B NAVSL 2021-BA A
63942LAA0
5765085.17000000
PA
USD
5717250.53000000
0.325292826583
Long
ABS-MBS
US
Y
2
2069-07-15
Fixed
0.94000000
N
N
N
N
N
N
SIERRA TIMESHARE RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE 2019-1 RECEIVABLES FUNDING LLC SRFC 2019-1A A
82653EAA5
1425682.17000000
PA
USD
1462059.88000000
0.083186417755
Long
ABS-MBS
US
N
2
2036-01-20
Fixed
3.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-10 FA
3136B9AC1
1956549.32000000
PA
USD
1968665.84000000
0.112010637339
Long
DBT
USGA
US
N
2
2050-03-25
Floating
0.59199840
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 2.875000% 04/16/2024
80414L2C8
11985000.00000000
PA
USD
12391938.69000000
0.705060717939
Long
DBT
NUSS
SA
N
2
2024-04-16
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-48 UF
3136ATMA9
267314.73000000
PA
USD
269195.32000000
0.015316331877
Long
DBT
USGA
US
N
2
2046-08-25
Floating
0.49200120
N
N
N
N
N
N
CWABS ASSET-BACKED CERTIFICATES TRUST
N/A
COUNTRYWIDE ASSET-BACKED CERTIFICATES CWL 2006-BC4 2A3
12667NAD0
1754368.27000000
PA
USD
1743117.33000000
0.099177665971
Long
ABS-MBS
US
N
2
2036-11-25
Floating
0.57162960
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 0.650000% 08/03/2023
444859BP6
675000.00000000
PA
USD
671367.49000000
0.038198610914
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
0.65000000
N
N
N
N
N
N
NELNET STUDENT LOAN CORPORATION
N/A
NELNET STUDENT LOAN TRUST 2012-5 NSLT 2012-5A A
64033BAA0
313309.47000000
PA
USD
314610.64000000
0.017900314814
Long
ABS-MBS
US
N
2
2036-10-27
Floating
0.69199920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 03/15/2023
912828ZD5
42875000.00000000
PA
USD
42963764.54000000
2.444497461594
Long
SN
UST
US
N
2
2023-03-15
Fixed
0.50000000
N
N
N
N
N
N
SKYWORKS SOLUTIONS, INC.
549300WZ3ORQ2BVKBD96
SKYWORKS SOLUTIONS INC 0.900000% 06/01/2023
83088MAJ1
1145000.00000000
PA
USD
1141250.93000000
0.064933439406
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.90000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2015-PC1 MORTGAGE TRUST COMM 2015-PC1 A4
12593GAE2
1474197.72000000
PA
USD
1518319.87000000
0.086387426889
Long
ABS-MBS
US
N
2
2050-07-10
Fixed
3.62000000
N
N
N
N
N
N
GE-WMC MORTGAGE SECURITIES, L.L.C.
N/A
GE-WMC ASSET-BACKED PASS-THROUGH CERTIFICATES SERI GEWMC 2005-2 A2C
367910AU0
181773.94000000
PA
USD
181741.17000000
0.010340477225
Long
ABS-MBS
US
N
2
2035-12-25
Floating
0.59163120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
WI TREASURY SEC. 0.250000% 06/15/2024
91282CCG4
59455000.00000000
PA
USD
58735036.81000000
3.341831190212
Long
SN
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.004000% 12/20/2023
06051GHC6
7625000.00000000
PA
USD
7796790.56000000
0.443611842131
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
WISCONSIN GAS LLC
549300FGW43XR75F1O70
WISCONSIN GAS CO COMMERCIAL PAPER
97670RZ73
11575000.00000000
PA
USD
11574729.96000000
0.658564218215
Long
ABS-APCP
US
N
2
2021-12-07
None
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2007-98 FD
31396XJ88
335572.12000000
PA
USD
339187.14000000
0.019298637156
Long
DBT
USGA
US
N
2
2037-06-25
Floating
0.54200160
N
N
N
N
N
N
EFS VOLUNTEER NO 3, LLC
N/A
EFS VOLUNTEER NO 3 LLC EFSV3 2012-1 A3
26845CAC1
469450.93000000
PA
USD
469580.50000000
0.026717592197
Long
ABS-MBS
US
N
2
2033-04-25
Floating
1.09199880
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2012-C5 A4
61761AAZ1
1042721.44000000
PA
USD
1047641.73000000
0.059607382571
Long
ABS-MBS
US
N
2
2045-08-15
Fixed
3.17600000
N
N
N
N
N
N
SLC STUDENT LOAN TRUST
N/A
SLC STUDENT LOAN TRUST 2005-3 SLCLT 2005-3 A3
784420AP6
739799.17000000
PA
USD
738268.23000000
0.042005043867
Long
ABS-MBS
US
N
2
2029-06-15
Floating
0.23600160
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.164000% 02/11/2026
95000U2K8
3485000.00000000
PA
USD
3556042.14000000
0.202327148880
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16400000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-77 FM
38375GAN1
617482.46000000
PA
USD
622847.64000000
0.035437990391
Long
DBT
USGA
US
N
2
2039-11-16
Floating
0.75912840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3762 FP
3137A3PD5
91962.88000000
PA
USD
92393.38000000
0.005256880659
Long
DBT
USGA
US
N
2
2040-03-15
Floating
0.53925120
N
N
N
N
N
N
F&G GLOBAL FUNDING
6354009CCUKJIZ7KFX73
F&G GLOBAL FUNDING 144A 0.900000% 09/20/2024
30321L2B7
10100000.00000000
PA
USD
9968981.18000000
0.567202372746
Long
DBT
CORP
US
N
2
2024-09-20
Fixed
0.90000000
N
N
N
N
N
N
J.P. MORGAN WEALTH MANAGEMENT MORTGAGE TRUST
N/A
JPMORGAN CHASE BANK NA - JPMWM JPMWM 2021-CL1 M1
46591HBK5
3417444.03000000
PA
USD
3421264.73000000
0.194658755755
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
1.34966880
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2017-3 LTD VOYA 2017-3A XR
92915QAS2
2314285.69000000
PA
USD
2314281.06000000
0.131675011190
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
0.98150040
N
N
N
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP 1.300000% 10/01/2023
448579AL6
1400000.00000000
PA
USD
1400581.99000000
0.079688527203
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
1.30000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GSAA HOME EQUITY TRUST 2005-6 GSAA 2005-6 M1
36242D3X9
2045068.60000000
PA
USD
2058106.73000000
0.117099530989
Long
ABS-MBS
US
N
2
2035-06-25
Floating
0.73662840
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57 WFCM 2020-C57 A1
95002XBA2
2083623.65000000
PA
USD
2064459.31000000
0.117460971981
Long
ABS-MBS
US
N
2
2053-08-15
Fixed
0.90300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM0879
3138L06R7
9150259.91000000
PA
USD
9240275.96000000
0.525741432821
Long
DBT
USGA
US
N
2
2022-12-01
Fixed
2.24000000
N
N
N
N
N
N
ARBOR REALTY COMMERCIAL REAL ESTATE NOTES LTD
N/A
ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2019-FL1 ARCLO 2019-FL1 A
03879YAA5
1700000.00000000
PA
USD
1698403.70000000
0.096633606897
Long
ABS-MBS
KY
N
2
2037-05-15
Floating
1.23950160
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 GSMBS 2018-RPL1 A1A
36256BAC4
1030179.37000000
PA
USD
1063272.44000000
0.060496718767
Long
ABS-MBS
US
N
2
2057-10-25
Fixed
3.75000000
N
N
N
N
N
N
GILEAD SCIENCES, INC.
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 0.750000% 09/29/2023
375558BW2
6067000.00000000
PA
USD
6046787.43000000
0.344042396696
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
0.75000000
N
N
N
N
N
N
AMERICAN CAMPUS COMMUNITIES OPERATING PARTNERSHIP LP
RDKVCX5HITZ2GPIR7153
AMERICAN CAMPUS COMMUNITIES OPERATING PARTNERSHIP 3.750000% 04/15/2023
024836AA6
1395000.00000000
PA
USD
1438633.28000000
0.081853520956
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.75000000
N
N
N
N
N
N
GOSFORTH FUNDING PLC
N/A
GOSFORTH FUNDING 2018-1 PLC GFUND 2018-1A A1
38312RAA1
239676.43000000
PA
USD
239865.30000000
0.013647549819
Long
ABS-MBS
GB
N
2
2060-08-25
Floating
0.62799840
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2014-IV-R LTD CIFC 2014-4RA A1A
12552FAC7
750000.00000000
PA
USD
750591.00000000
0.042706169113
Long
ABS-CBDO
CORP
KY
N
2
2030-10-17
Floating
1.25224920
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 2.760000% 10/01/2024
20268JAA1
960000.00000000
PA
USD
993813.29000000
0.056544720666
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.76000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C34 WFCM 2016-C34 A2
95000DBB6
1414918.68000000
PA
USD
1414725.12000000
0.080493224970
Long
ABS-MBS
US
N
2
2049-06-15
Fixed
2.60300000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 1.650000% 10/29/2024
00774MAU9
650000.00000000
PA
USD
648827.68000000
0.036916169561
Long
DBT
NUSS
IE
N
2
2024-10-29
Fixed
1.65000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURANCE COMPANY
Z7LVXXWM8HZPKF5T2355
NATIONWIDE MUTUAL INSURANCE CO 144A VARIABLE RATE 12/15/2024
638671AJ6
1000000.00000000
PA
USD
1001218.41000000
0.056966047737
Long
DBT
CORP
US
N
2
2024-12-15
Floating
2.40599880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-6 MC
3136ABY64
95283.34000000
PA
USD
95833.34000000
0.005452603115
Long
DBT
USGA
US
N
2
2040-02-25
Fixed
2.00000000
N
N
N
N
N
N
THE SOUTHERN COMPANY
549300FC3G3YU2FBZD92
SOUTHERN CO/THE VARIABLE RATE 05/10/2023
842587DK0
11395000.00000000
PA
USD
11376426.15000000
0.647281381029
Long
DBT
CORP
US
N
2
2023-05-10
Floating
0.42000480
N
N
N
N
N
N
CEDAR FUNDING LTD
N/A
CEDAR FUNDING II CLO LTD CEDF 2013-1A AXR
15032TBC9
2991428.58000000
PA
USD
2991428.58000000
0.170202486878
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
0.98150040
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.950000% 02/01/2022
00772BAR2
1000000.00000000
PA
USD
1002621.84000000
0.057045898306
Long
DBT
NUSS
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 0.481000% 01/27/2023
38141GXP4
6270000.00000000
PA
USD
6248978.32000000
0.355546396000
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
0.48100000
N
N
N
N
N
N
ARABELLA FINANCE LIMITED
213800K6AD4EJPK3IP83
ARABELLA FINANCE LTD COMMERCIAL PAPER
03846WAA9
3750000.00000000
PA
USD
3748646.14000000
0.213285685548
Long
ABS-APCP
US
N
2
2022-01-10
None
0.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.486000% 05/19/2024
06051GJC4
2150000.00000000
PA
USD
2164320.16000000
0.123142727222
Long
DBT
CORP
US
N
2
2024-05-19
Fixed
1.48600000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 2.593000% 09/11/2025
225401AM0
2210000.00000000
PA
USD
2259762.15000000
0.128573063804
Long
DBT
NUSS
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16 WFCM 2014-LC16 A4
94988XAT3
2214110.70000000
PA
USD
2268707.57000000
0.129082028899
Long
ABS-MBS
US
N
2
2050-08-15
Fixed
3.54800000
N
N
N
N
N
N
CD COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
N/A
CD 2016-CD1 MORTGAGE TRUST CD 2016-CD1 ASB
12514MBA2
6592657.86000000
PA
USD
6780929.66000000
0.385812684679
Long
ABS-MBS
US
N
2
2049-08-10
Fixed
2.62200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6719
3138WGPD0
2065493.55000000
PA
USD
2150574.91000000
0.122360667524
Long
DBT
USGA
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 05/15/2023
912828ZP8
25100000.00000000
PA
USD
25004894.59000000
1.422696591119
Long
SN
UST
US
N
2
2023-05-15
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0380
3132CWM50
808310.71000000
PA
USD
865735.70000000
0.049257525352
Long
DBT
USGA
US
N
2
2034-02-01
Fixed
3.50000000
N
N
N
N
N
N
DENVER COLO CITY & CNTY ARPT REV
N/A
DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE
249182PK6
2350000.00000000
PA
USD
2356634.52000000
0.134084784322
Long
DBT
MUN
US
N
2
2023-11-15
Fixed
0.87700000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 0.732000% 08/17/2024
404280CU1
700000.00000000
PA
USD
695011.96000000
0.039543903803
Long
DBT
NUSS
GB
N
2
2024-08-17
Fixed
0.73200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ4793
3138YWKF3
989125.89000000
PA
USD
1046310.85000000
0.059531659859
Long
DBT
USGA
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
DBCG
N/A
DBCG 2017-BBG MORTGAGE TRUST DBCG 2017-BBG A
233062AA6
4400000.00000000
PA
USD
4389042.24000000
0.249722125828
Long
ABS-MBS
US
N
2
2034-06-15
Floating
0.78950160
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2018-B5 MORTGAGE TRUST BMARK 2018-B5 A2
08160BAB0
1750000.00000000
PA
USD
1813353.85000000
0.103173893879
Long
ABS-MBS
US
N
2
2051-07-15
Fixed
4.07650000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C21 ASB
46642EAZ9
529937.07000000
PA
USD
545629.57000000
0.031044535159
Long
ABS-MBS
US
N
2
2047-08-15
Fixed
3.42820000
N
N
N
N
N
N
CITYLINE MORTGAGE TRUST
N/A
CITYLINE COMMERCIAL MORTGAGE TRUST 2016-CLNE CLMT 2016-CLNE A
178772AA7
1000000.00000000
PA
USD
1022112.80000000
0.058154870082
Long
ABS-MBS
US
N
2
2031-11-10
Floating
2.87070480
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2012-2 SLMA 2012-2 A
78446YAA1
920425.27000000
PA
USD
905416.17000000
0.051515214110
Long
ABS-MBS
US
N
2
2029-01-25
Floating
0.79200000
N
N
N
N
N
N
RBS COMMERCIAL FUNDING INC TRUST
N/A
RBS COMMERCIAL FUNDING INC 2013-GSP TRUST RBSCF 2013-GSP A
74932QAA8
2010000.00000000
PA
USD
2089529.27000000
0.118887370581
Long
ABS-MBS
US
N
2
2032-01-15
Floating
3.96138600
N
N
N
N
N
N
GE CAPITAL FUNDING, LLC
549300XAGH9TOLX5XM67
GE CAPITAL FUNDING LLC 4.400000% 05/15/2030
36166NAJ2
1190000.00000000
PA
USD
1413912.93000000
0.080447014019
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS Q004 AFL
3137FARM2
532765.68000000
PA
USD
532403.61000000
0.030292021360
Long
DBT
USGA
US
N
2
2044-05-25
Floating
0.82316880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9574
3138ERT83
1546635.73000000
PA
USD
1627491.12000000
0.092598913391
Long
DBT
USGA
US
N
2
2026-01-01
Floating
2.97699840
N
N
N
N
N
N
HOST HOTELS & RESORTS, L.P.
FXB7X4WXVA8QPMNOGS12
HOST HOTELS & RESORTS LP 3.750000% 10/15/2023
44107TAU0
1025000.00000000
PA
USD
1074273.53000000
0.061122644750
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
3.75000000
N
N
N
N
N
N
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2016-JP3 ASB
46590RAF6
2735975.54000000
PA
USD
2820965.34000000
0.160503686925
Long
ABS-MBS
US
N
2
2049-08-15
Fixed
2.77650000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 2922 FE
31395MT90
683469.90000000
PA
USD
687352.83000000
0.039108124396
Long
DBT
USGA
US
N
2
2035-02-15
Floating
0.33924960
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2018-3 NAVSL 2018-3A A2
63940TAB3
589279.63000000
PA
USD
589269.49000000
0.033527503651
Long
ABS-MBS
US
N
2
2067-03-25
Floating
0.51199920
N
N
N
N
N
N
LEVEL 3 FINANCING, INC.
254900AE5FEFIJOXWL19
LEVEL 3 FINANCING INC 144A 3.400000% 03/01/2027
527298BP7
700000.00000000
PA
USD
717500.00000000
0.040823399612
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2020-B MMAF 2020-BA A3
60700KAC6
2770000.00000000
PA
USD
2744456.45000000
0.156150581712
Long
ABS-MBS
US
N
2
2025-08-14
Fixed
0.49000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 1.050000% 03/08/2024
37045XDG8
9230000.00000000
PA
USD
9170717.37000000
0.521783776910
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
1.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A
3137BJQ71
900000.00000000
PA
USD
945841.50000000
0.053815282961
Long
DBT
USGA
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM6 TRUST GCAT 2021-NQM6 A1
36167KAA6
4250000.00000000
PA
USD
4245354.75000000
0.241546778338
Long
ABS-MBS
US
Y
2
2066-08-25
Floating
1.85500080
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.352000% 04/24/2025
172967MF5
1645000.00000000
PA
USD
1722325.15000000
0.097994659041
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
3.35200000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2013-4 SLMA 2013-4 A
78448AAA1
1162902.72000000
PA
USD
1161858.67000000
0.066105952305
Long
ABS-MBS
US
N
2
2043-06-25
Floating
0.64199880
N
N
N
N
N
N
NATIONSTAR HOME EQUITY LOAN TRUST
N/A
NATIONSTAR HOME EQUITY LOAN TRUST 2007-B NSTR 2007-B 2AV4
63860LAE0
981092.95000000
PA
USD
976692.85000000
0.055570623713
Long
ABS-MBS
US
N
2
2037-04-25
Floating
0.41163120
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIV LTD LCM 24A AR
50188YAE4
1180000.00000000
PA
USD
1180789.42000000
0.067183049967
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-20
Floating
1.11150000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-UBS5 MORTGAGE TRUST COMM 2014-UBS5 A2
12592KAZ7
152182.24000000
PA
USD
154347.85000000
0.008781887052
Long
ABS-MBS
US
N
2
2047-09-10
Fixed
3.03100000
N
N
N
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.222000% 08/15/2024
05526DAZ8
860000.00000000
PA
USD
895696.89000000
0.050962218916
Long
DBT
CORP
GB
N
2
2024-08-15
Fixed
3.22200000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLE TRUST
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2021-B WOART 2021-B B
98163LAE0
3050000.00000000
PA
USD
3014214.35000000
0.171498922549
Long
ABS-MBS
US
N
2
2027-06-15
Fixed
1.04000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-54 CF
3136A5ZN9
216961.41000000
PA
USD
220993.83000000
0.012573824995
Long
DBT
USGA
US
N
2
2042-05-25
Floating
0.79200000
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS TRUST 2018-BXH BBCMS 2018-BXH A
05491RAA3
1200132.26000000
PA
USD
1200141.74000000
0.068284133580
Long
ABS-MBS
US
N
2
2037-10-15
Floating
1.08924840
N
N
N
N
N
N
ICG US CLO
N/A
ICG US CLO 2017-1 LTD ICG 2017-1A XRR
449259AG5
1824375.00000000
PA
USD
1823917.08000000
0.103774907063
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-28
Floating
0.83588040
N
N
N
N
N
N
KILROY REALTY, L.P.
5493008CT3N3JR7P1552
KILROY REALTY LP 3.450000% 12/15/2024
49427RAM4
395000.00000000
PA
USD
413170.71000000
0.023508059934
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.45000000
N
N
N
N
N
N
CHC COMMERCIAL MORTGAGE SECURITIES INC
N/A
CHC COMMERCIAL MORTGAGE TRUST 2019 - CHC CHC 2019-CHC A
162665AA1
2943514.95000000
PA
USD
2937977.61000000
0.167161301779
Long
ABS-MBS
US
N
2
2034-06-15
Floating
1.20999960
N
N
N
N
N
N
ALABAMA FED AID HWY FIN AUTH SPL OBLIG REV
N/A
ALABAMA FEDERAL AID HIGHWAY FI ALABAMA FEDERAL AID HIGHWAY FINANCE AUTHORITY
010268CM0
5635000.00000000
PA
USD
5617413.17000000
0.319612407846
Long
DBT
MUN
US
N
2
2025-09-01
Fixed
1.03800000
N
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.
N/A
RAMP SERIES 2006-RZ4 TRUST RAMP 2006-RZ4 A3
75156XAC5
591007.77000000
PA
USD
590727.63000000
0.033610467040
Long
ABS-MBS
US
N
2
2036-10-25
Floating
0.36163080
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL B
056054AE9
2809249.99000000
PA
USD
2803091.55000000
0.159486726825
Long
ABS-MBS
US
N
2
2036-10-15
Floating
1.17000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 3.850000% 10/01/2024
444859BD3
1500000.00000000
PA
USD
1599553.11000000
0.091009332141
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2007-1 F
38375JEJ0
452272.84000000
PA
USD
453293.94000000
0.025790940285
Long
DBT
USGA
US
N
2
2037-01-20
Floating
0.39112920
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND
N/A
DRYDEN 33 SENIOR LOAN FUND DRSLF 2014-33A AR3
26249GAS9
973313.96000000
PA
USD
973068.68000000
0.055364420312
Long
ABS-CBDO
CORP
KY
Y
2
2029-04-15
Floating
1.12613040
N
N
N
N
N
N
BANK
N/A
BANK 2017-BNK8 BANK 2017-BNK8 ASB
06650AAC1
2230000.00000000
PA
USD
2365404.93000000
0.134583791921
Long
ABS-MBS
US
N
2
2050-11-15
Fixed
3.31400000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.050000% 03/15/2025
29273RBD0
1000000.00000000
PA
USD
1060520.48000000
0.060340141258
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.05000000
N
N
N
N
N
N
TRICON AMERICAN HOMES TRUST
N/A
TRICON AMERICAN HOMES 2017-SFR2 TRUST TAH 2017-SFR2 A
89613FAA6
1948043.51000000
PA
USD
1964071.43000000
0.111749230460
Long
ABS-MBS
US
N
2
2036-01-17
Fixed
2.92800000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.023000% 12/05/2024
46647PAY2
11510000.00000000
PA
USD
12161747.88000000
0.691963614909
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/28/2022
912796P37
6510000.00000000
PA
USD
6507899.09000000
0.370278139640
Long
DBT
UST
US
N
2
2022-04-28
None
0.00000000
N
N
N
N
N
N
SL GREEN OPERATING PARTNERSHIP, L.P.
2K1OXW4LY7IS2U150Y32
SL GREEN OPERATING PARTNERSHIP LP 3.250000% 10/15/2022
78444FAF3
210000.00000000
PA
USD
212982.27000000
0.012117993475
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
3.25000000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC MLCC 2004-A A1
59020UAR6
261347.91000000
PA
USD
255400.60000000
0.014531457498
Long
ABS-MBS
US
N
2
2029-04-25
Floating
0.55199880
N
N
N
N
N
N
NATIONAL SECURITIES CLEARING CORPORATION
549300RYC9NELN2ICA34
NATIONAL SECURITIES CLEARING CORP 144A 1.200000% 04/23/2023
637639AA3
7290000.00000000
PA
USD
7347464.88000000
0.418046682841
Long
DBT
CORP
US
N
2
2023-04-23
Fixed
1.20000000
N
N
N
N
N
N
NEW JERSEY ST TPK AUTH TPK REV
N/A
NEW JERSEY ST TURNPIKE AUTH TU NEW JERSEY TURNPIKE AUTHORITY
646140DM2
3595000.00000000
PA
USD
3577784.26000000
0.203564204285
Long
DBT
MUN
US
N
2
2024-01-01
Fixed
0.63800000
N
N
N
N
N
N
SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED
549300MJAANHLHOVTO40
SYDNEY AIRPORT FINANCE CO PTY LTD 144A 3.900000% 03/22/2023
87124VAD1
965000.00000000
PA
USD
1000714.65000000
0.056937385443
Long
DBT
NUSS
AU
N
2
2023-03-22
Fixed
3.90000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A NAVSL 2021-A A
63942BAA2
2576592.37000000
PA
USD
2545315.37000000
0.144820106607
Long
ABS-MBS
US
Y
2
2069-05-15
Fixed
0.84000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.800000% 03/15/2025
00287YCX5
35000.00000000
PA
USD
37409.98000000
0.002128505314
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 1.008000% 07/30/2024
902613AB4
7365000.00000000
PA
USD
7360484.67000000
0.418787466241
Long
DBT
NUSS
CH
N
2
2024-07-30
Fixed
1.00800000
N
N
N
N
N
N
SEI Daily Income Trust: Government Fund; Class F Shares
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
34183879.78000000
NS
USD
34183879.78000000
1.944950779903
Long
STIV
RF
US
N
2
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C36 WFCM 2016-C36 A2
95000MBM2
128373.79000000
PA
USD
129409.97000000
0.007363003371
Long
ABS-MBS
US
N
2
2059-11-15
Fixed
2.50400000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2021-LBA MORTGAGE TRUST COMM 2021-LBA B
12598GAC1
6795000.00000000
PA
USD
6726899.83000000
0.382738564343
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
1.04000040
N
N
N
N
N
N
KEURIG DR PEPPER INC.
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC 0.750000% 03/15/2024
49271VAL4
7575000.00000000
PA
USD
7496524.36000000
0.426527678964
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.75000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2020-A CNH 2020-A A3
12597PAC2
2704000.00000000
PA
USD
2715345.98000000
0.154494291329
Long
ABS-MBS
US
N
2
2025-06-16
Fixed
1.16000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-UBS5 MORTGAGE TRUST COMM 2014-UBS5 A3
12592KBB9
1900000.00000000
PA
USD
1978896.17000000
0.112592709603
Long
ABS-MBS
US
N
2
2047-09-10
Fixed
3.56500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 10/31/2023
91282CDD0
77890000.00000000
PA
USD
77677019.14000000
4.419567934629
Long
SN
UST
US
N
2
2023-10-31
Fixed
0.37500000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-LC6 MORTGAGE TRUST COMM 2013-LC6 ASB
20048EAW1
462859.97000000
PA
USD
466275.51000000
0.026529549093
Long
ABS-MBS
US
N
2
2046-01-10
Fixed
2.47800000
N
N
N
N
N
N
NATIONSTAR HOME EQUITY LOAN TRUST
N/A
NATIONSTAR HOME EQUITY LOAN TRUST 2007-A NSTR 2007-A AV4
63860HAD1
508448.02000000
PA
USD
505560.54000000
0.028764738610
Long
ABS-MBS
US
N
2
2037-03-25
Floating
0.32163120
N
N
N
N
N
N
TTAN MHC
N/A
TTAN 2021-MHC TTN 2021-MHC B
87303TAG2
3798245.65000000
PA
USD
3787576.38000000
0.215500688676
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
1.19000160
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST
N/A
HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A
43285HAA6
2400987.24000000
PA
USD
2473292.97000000
0.140722267978
Long
ABS-MBS
US
N
2
2039-02-25
Fixed
2.74000000
N
N
N
N
N
N
NEWCASTLE MORTGAGE SECURITIES TRUST
N/A
NEWCASTLE MORTGAGE SECURITIES TRUST 2007-1 NCMT 2007-1 1A1
65106FAA0
2074898.61000000
PA
USD
2029900.49000000
0.115494688331
Long
ABS-MBS
US
N
2
2037-04-25
Floating
0.28163160
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I, INC.
N/A
MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-HE7 MSAC 2007-HE7 A2B
61756YAC7
2368905.77000000
PA
USD
2366064.50000000
0.134621319294
Long
ABS-MBS
US
N
2
2037-07-25
Floating
1.09163160
N
N
N
N
N
N
SEI Daily Income Trust: Government Fund; Class F Shares
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
21227187.29000000
NS
USD
21227187.29000000
1.207757420765
Long
STIV
RF
US
N
2
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 0.550000% 10/04/2023
29250NBG9
11500000.00000000
PA
USD
11416581.53000000
0.649566090610
Long
DBT
NUSS
CA
N
2
2023-10-04
Fixed
0.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 2761 FT
31394RY37
66447.44000000
PA
USD
66370.36000000
0.003776256067
Long
DBT
USGA
US
N
2
2033-12-15
Floating
0.43925040
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS MORTGAGE TRUST 2020-C7 BBCMS 2020-C7 A1
05492VAA3
1187235.03000000
PA
USD
1183463.18000000
0.067335178152
Long
ABS-MBS
US
N
2
2053-04-15
Fixed
1.07900000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2015-2 LTD VOYA 2015-2A AR
92914XAL3
3097366.14000000
PA
USD
3097019.23000000
0.176210248969
Long
ABS-CBDO
CORP
KY
N
2
2027-07-23
Floating
1.09388160
N
N
N
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
1155000.00000000
PA
USD
1146778.29000000
0.065247928083
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2013-GC13 GSMS 2013-GC13 AAB
36198EAF2
306805.85000000
PA
USD
312663.69000000
0.017789539737
Long
ABS-MBS
US
N
2
2046-07-10
Floating
3.71900160
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-UBS6 MORTGAGE TRUST COMM 2014-UBS6 ASB
12592PBD4
1221744.00000000
PA
USD
1262510.05000000
0.071832686113
Long
ABS-MBS
US
N
2
2047-12-10
Fixed
3.38700000
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE 1.433000% 02/04/2024
097023DE2
680000.00000000
PA
USD
680052.99000000
0.038692787412
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 A1
89177HAA0
2905315.03000000
PA
USD
2916421.47000000
0.165934828027
Long
ABS-MBS
US
N
2
2058-05-25
Floating
1.09163160
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 0.697000% 03/16/2024
46647PBZ8
2325000.00000000
PA
USD
2321856.20000000
0.132106011841
Long
DBT
CORP
US
N
2
2024-03-16
Fixed
0.69700000
N
N
N
N
N
N
CHICAGO ILL O HARE INTL ARPT REV
N/A
CHICAGO IL O'HARE INTERNATIONA CHICAGO O'HARE INTERNATIONAL AIRPORT
167593S60
2375000.00000000
PA
USD
2389522.18000000
0.135955984443
Long
DBT
MUN
US
N
2
2024-01-01
Fixed
1.16800000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
504111.28000000
PA
USD
504111.18000000
0.028682274774
Long
ABS-MBS
US
N
2
2036-10-15
Floating
1.01025000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 4.363000% 08/01/2024
63861VAC1
335000.00000000
PA
USD
352525.33000000
0.020057536474
Long
DBT
NUSS
GB
N
2
2024-08-01
Fixed
4.36300000
N
N
N
N
N
N
IHS MARKIT LTD.
549300HLPTRASHS0E726
IHS MARKIT LTD 144A 5.000000% 11/01/2022
44962LAA5
1500000.00000000
PA
USD
1542750.00000000
0.087777421258
Long
DBT
NUSS
US
N
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K28 MORTGAGE TRUST FREMF 2013-K28 B
30291HAE7
2855000.00000000
PA
USD
2940398.19000000
0.167299024852
Long
ABS-MBS
US
N
2
2046-06-25
Floating
3.60905760
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2015-2 NAVSL 2015-2 A3
63939GAC2
850813.83000000
PA
USD
847332.98000000
0.048210470868
Long
ABS-MBS
US
N
2
2040-11-26
Floating
0.66200040
N
N
N
N
N
N
NXP B.V.
724500RKKW4NOJ9YQF60
NXP BV / NXP FUNDING LLC 144A 4.625000% 06/01/2023
62947QAV0
1485000.00000000
PA
USD
1561751.82000000
0.088858562570
Long
DBT
NUSS
CN
N
2
2023-06-01
Fixed
4.62500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.350000% 02/12/2028
71654QCK6
1200000.00000000
PA
USD
1153980.00000000
0.065657681791
Long
DBT
NUSS
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-I CSMC 2019-ICE4 A
12653VAA4
2925000.00000000
PA
USD
2924999.42000000
0.166422885282
Long
ABS-MBS
US
N
2
2036-05-15
Floating
1.06999920
N
N
N
N
N
N
AMERIQUEST MORTGAGE SECURITIES INC
N/A
AMERIQUEST MORTGAGE SECURITIES INC ASSET-BACKED PA AMSI 2005-R9 M1
03072SQ32
2133117.91000000
PA
USD
2130343.15000000
0.121209546655
Long
ABS-MBS
US
N
2
2035-11-25
Floating
0.79662960
N
N
N
N
N
N
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP JPMCC 2017-JP5 A2
46647TAP3
159477.91000000
PA
USD
159695.98000000
0.009086178129
Long
ABS-MBS
US
N
2
2050-03-15
Fixed
3.23970000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F NAVSL 2020-FA A
63941XAA5
5214564.45000000
PA
USD
5210109.65000000
0.296438171803
Long
ABS-MBS
US
N
2
2069-07-15
Fixed
1.22000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ24 A1
3137FMD66
1542589.89000000
PA
USD
1583555.52000000
0.090099121675
Long
DBT
USGA
US
N
2
2026-05-25
Fixed
2.28300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.004000% 12/20/2023
06051GHC6
750000.00000000
PA
USD
766897.43000000
0.043633951563
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES CORP II GSMS 2018-GS10 A1
36250SAA7
708974.59000000
PA
USD
718841.89000000
0.040899748758
Long
ABS-MBS
US
N
2
2051-07-10
Fixed
3.19900000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C8 WFRBS 2012-C8 A3
92936YAC5
1569000.00000000
PA
USD
1579208.54000000
0.089851792753
Long
ABS-MBS
US
N
2
2045-08-15
Fixed
3.00100000
N
N
N
N
N
N
BANQUE NATIONALE DU CANADA
BSGEFEIOM18Y80CKCV46
NATIONAL BANK OF CANADA 0.900000% 08/15/2023
63307A2L8
13785000.00000000
PA
USD
13805138.09000000
0.785467134439
Long
DBT
CORP
CA
N
2
2023-08-15
Fixed
0.90000000
N
N
N
N
N
N
CARLYLE US CLO LTD
N/A
CARLYLE US CLO 2020-1 LTD CGMS 2020-1A X
14317XAN6
1250000.00000000
PA
USD
1249685.00000000
0.071102982780
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
1.13150160
N
N
N
N
N
N
DENVER COLO CITY & CNTY ARPT REV
N/A
DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE
249182PL4
610000.00000000
PA
USD
611448.51000000
0.034789417235
Long
DBT
MUN
US
N
2
2024-11-15
Fixed
1.11500000
N
N
N
N
N
N
PALMER SQUARE CLO
N/A
PALMER SQUARE CLO 2018-1 LTD PLMRS 2018-1A A1
69703PAA7
500000.00000000
PA
USD
500706.00000000
0.028488531186
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
1.15224840
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-86.00000000
NC
USD
-12632593.75000000
-0.71875320251
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2022
2022-03-25
-12433864.60000000
USD
-198729.15000000
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2011-2 SLMA 2011-2 A1
78446JAA4
2031.05000000
PA
USD
2031.23000000
0.000115570333
Long
ABS-MBS
US
N
2
2027-11-25
Floating
0.69199920
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES INC
N/A
BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005- BSABS 2005-HE11 M2
0738793P1
384367.52000000
PA
USD
384256.36000000
0.021862928136
Long
ABS-MBS
US
N
2
2035-11-25
Floating
0.76663080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4203 DM
3137B2CM0
287240.92000000
PA
USD
300571.17000000
0.017101514961
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3960 JF
3137AJFC3
132245.56000000
PA
USD
132694.59000000
0.007549887489
Long
DBT
USGA
US
N
2
2041-04-15
Floating
0.53925120
N
N
N
N
N
N
MARGARITAVILLE BEACH RESORT TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES COR JPMCC 2019-MARG A
56658LAA8
1418000.00000000
PA
USD
1417074.90000000
0.080626919755
Long
ABS-MBS
US
N
2
2034-05-15
Floating
1.19000160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF51 A
3137FHX40
637681.84000000
PA
USD
639430.55000000
0.036381503647
Long
DBT
USGA
US
N
2
2025-08-25
Floating
0.48750120
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2017-3 NAVSL 2017-3A A2
63940JAB5
933693.03000000
PA
USD
935591.13000000
0.053232070486
Long
ABS-MBS
US
N
2
2066-07-26
Floating
0.69199920
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN VARIABLE RATE 03/10/2023
06367WYH0
2270000.00000000
PA
USD
2282121.80000000
0.129845254643
Long
DBT
NUSS
CA
N
2
2023-03-10
Floating
0.73000080
N
N
N
N
N
N
PEOPLE'S CHOICE HOME LOAN SECURITIES CORP
N/A
PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES PCHLT 2005-4 1A3
71085PDE0
2351320.08000000
PA
USD
2317873.96000000
0.131879435430
Long
ABS-MBS
US
N
2
2035-12-25
Floating
0.77163120
N
N
N
N
N
N
LONG IS PWR AUTH N Y ELEC SYS REV
N/A
LONG ISLAND NY PWR AUTH ELEC S LONG ISLAND POWER AUTHORITY
542691DP2
3610000.00000000
PA
USD
3612985.47000000
0.205567037822
Long
DBT
MUN
US
N
2
2023-03-01
Fixed
0.76400000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 12/31/2024
912828YY0
71380000.00000000
PA
USD
73320643.75000000
4.171704445556
Long
SN
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C6 UBSCM 2017-C6 ASB
90276UAU5
500000.00000000
PA
USD
530966.05000000
0.030210228906
Long
ABS-MBS
US
N
2
2050-12-15
Fixed
3.50420000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8617
3132A9SE8
559048.25000000
PA
USD
581217.85000000
0.033069391711
Long
DBT
USGA
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2013-GCJ14 GSMS 2013-GC14 A4
36198FAD4
1382120.79000000
PA
USD
1424488.60000000
0.081048734999
Long
ABS-MBS
US
N
2
2046-08-10
Fixed
3.95500000
N
N
N
N
N
N
TTAN MHC
N/A
TTAN 2021-MHC TTN 2021-MHC A
87303TAA5
4372980.19000000
PA
USD
4362006.63000000
0.248183888182
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
0.93999960
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 WFCM 2016-LC24 A2
95000HBD3
47446.16000000
PA
USD
47661.67000000
0.002711792892
Long
ABS-MBS
US
N
2
2049-10-15
Fixed
2.50100000
N
N
N
N
N
N
INVITATION HOMES TRUST
N/A
INVITATION HOMES 2018-SFR2 TRUST IHSFR 2018-SFR2 B
46185HAC6
1999685.94000000
PA
USD
1999844.12000000
0.113784579337
Long
ABS-MBS
US
N
2
2037-06-17
Floating
1.17000000
N
N
N
N
N
N
SIERRA TIMESHARE RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE 2019-3 RECEIVABLES FUNDING LLC SRFC 2019-3A A
82652NAA6
1086556.00000000
PA
USD
1096098.79000000
0.062364430549
Long
ABS-MBS
US
N
2
2036-08-20
Fixed
2.34000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 144A 2.528000% 11/18/2027
05401AAR2
133000.00000000
PA
USD
129701.55000000
0.007379593318
Long
DBT
NUSS
IE
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP MTN 0.700000% 02/15/2024
00914AAL6
400000.00000000
PA
USD
394355.98000000
0.022437563430
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.70000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C1 JPMBB 2013-C17 ASB
46640UAE2
173292.45000000
PA
USD
178240.40000000
0.010141294879
Long
ABS-MBS
US
N
2
2047-01-15
Fixed
3.70500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF37 A
3137FBC53
175858.32000000
PA
USD
176596.36000000
0.010047754389
Long
DBT
USGA
US
N
2
2027-09-25
Floating
0.44750160
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2020-BXLP BX 2020-BXLP A
05607QAA6
1670082.02000000
PA
USD
1668511.47000000
0.094932836931
Long
ABS-MBS
US
N
2
2036-12-15
Floating
0.88999920
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 0.529000% 01/25/2024
6174468W2
2745000.00000000
PA
USD
2734209.46000000
0.155567561548
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.52900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF59 A
3137FL6K5
1143107.57000000
PA
USD
1150837.83000000
0.065478902611
Long
DBT
USGA
US
N
2
2029-02-25
Floating
0.62750160
N
N
N
N
N
N
2021-11-30
SEI INSTITUTIONAL INVESTMENTS TRUST
Peter Rodriguez
Peter Rodriguez
CFO