0001752724-22-015903.txt : 20220127
0001752724-22-015903.hdr.sgml : 20220127
20220127162432
ACCESSION NUMBER: 0001752724-22-015903
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: 22563473
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
S000031047
SIIT Ultra Short Duration Bond Fund
C000096276
SIIT Ultra Short Duration Bond Fund - Class A
SUSAX
NPORT-P
1
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SIIT ULTRA SHORT DURATION BOND FUND
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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
163172.99000000
USD
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2018-3 EART 2018-3A D
30166PAG6
499535.19000000
PA
USD
509100.14000000
0.079092587379
Long
ABS-MBS
US
N
2
2024-06-17
Fixed
4.35000000
N
N
N
N
N
N
OCP CLO LTD
N/A
OCP CLO 2014-5 LTD OCP 2014-5A A1R
67102SAL8
300000.00000000
PA
USD
300093.90000000
0.046621874839
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
1.20488040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0630
31418MVY5
413.45000000
PA
USD
427.61000000
0.000066432472
Long
DBT
USGA
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
TRK TRUST
N/A
TRK 2021-INV1 TRUST TRK 2021-INV1 A1
89688WAA9
592363.41000000
PA
USD
587718.16000000
0.091306496054
Long
ABS-MBS
US
Y
2
2056-07-25
Floating
1.15300080
N
N
N
N
N
N
STRYKER CORPORATION
5493002F0SC4JTBU5137
STRYKER CORP 0.600000% 12/01/2023
863667BB6
410000.00000000
PA
USD
406494.62000000
0.063152037734
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.60000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2020-NQM2 TRUST GCAT 2020-NQM2 A1
36166RAA2
206178.72000000
PA
USD
206675.24000000
0.032108573922
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.55499840
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY VARIABLE RATE 02/02/2024
22550UAB7
3130000.00000000
PA
USD
3124522.50000000
0.485418387139
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
0.43999920
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM3 TRUST GCAT 2021-NQM3 A1
36167HAA3
728092.81000000
PA
USD
723216.92000000
0.112357261264
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.09100160
N
N
N
N
N
N
SANTANDER CONSUMER AUTO RECEIVABLES TRUST
N/A
SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-A SCART 2020-AA A
80281MAA1
879188.33000000
PA
USD
882353.14000000
0.137080286061
Long
ABS-MBS
US
N
2
2024-10-15
Fixed
1.37000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC VARIABLE RATE 03/22/2024
92343VGD0
1200000.00000000
PA
USD
1205280.12000000
0.187249453925
Long
DBT
CORP
US
N
2
2024-03-22
Floating
0.55000440
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 03/08/2024
37045XDF0
1000000.00000000
PA
USD
1003813.89000000
0.155950139412
Long
DBT
CORP
US
N
2
2024-03-08
Floating
0.81000360
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-3 BSARM 2005-3 2A1
07387AAW5
25712.37000000
PA
USD
26178.10000000
0.004066967378
Long
ABS-MBS
US
N
2
2035-06-25
Floating
3.00936240
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE 144A 2.100000% 07/15/2022
891160RY1
1495000.00000000
PA
USD
1512381.33000000
0.234959967786
Long
DBT
NUSS
CA
N
2
2022-07-15
Fixed
2.10000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2020-1 LLC EFF 2020-1 A2
29373KAB9
1111725.68000000
PA
USD
1121554.78000000
0.174242084157
Long
ABS-MBS
US
N
2
2025-12-22
Fixed
1.78000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2020-4 FCAT 2020-4 A
33845XAA5
712552.64000000
PA
USD
712570.53000000
0.110703263425
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.53000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIALS, INC.
5299005MZ4WZECVATV08
MARTIN MARIETTA MATERIALS INC 0.650000% 07/15/2023
573284AY2
495000.00000000
PA
USD
493583.27000000
0.076681923347
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.65000000
N
N
N
N
N
N
PARAGON MORTGAGES PLC
N/A
PARAGON MORTGAGES NO 12 PLC PARGN 12A A2C
69913BAB2
88438.50000000
PA
USD
85885.72000000
0.013343001268
Long
ABS-MBS
GB
N
2
2038-11-15
Floating
0.37599840
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2
03237KAB0
1001853.42000000
PA
USD
999002.45000000
0.155202645533
Long
ABS-MBS
US
Y
2
2026-11-20
Fixed
0.75000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE AUTO RECEIVABLES TRUST 2017-3 DRIVE 2017-3 D
26207KAG6
71041.85000000
PA
USD
71223.04000000
0.011065042163
Long
ABS-MBS
US
N
2
2023-12-15
Fixed
3.53000000
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-I CSMC 2019-ICE4 B
12653VAC0
2180000.00000000
PA
USD
2174539.54000000
0.337831293030
Long
ABS-MBS
US
N
2
2036-05-15
Floating
1.32000120
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-1 MCMLT 2018-1 A1
59980VAA9
138051.06000000
PA
USD
140486.94000000
0.021825716994
Long
ABS-MBS
US
N
2
2062-05-25
Floating
3.25000080
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2021-2 FHF 2021-2A A
30322JAA4
491568.44000000
PA
USD
489157.15000000
0.075994291867
Long
ABS-MBS
US
Y
2
2026-12-15
Fixed
0.83000000
N
N
N
N
N
N
KKR FINANCIAL CLO, LTD.
N/A
KKR CLO 21 LTD KKR 21 A
48252KAA7
775000.00000000
PA
USD
775024.80000000
0.120406010329
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.12375080
N
N
N
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE VARIABLE RATE 12/14/2023
13607GRT3
3115000.00000000
PA
USD
3119474.88000000
0.484634200897
Long
DBT
NUSS
CA
N
2
2023-12-14
Floating
0.45000360
N
N
N
N
N
N
NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION
4NYF266XZC35SCTGX023
NATIONAL RURAL UTILITIES COOP COMMERCIAL PAPER
63743CZE6
4500000.00000000
PA
USD
4499861.76000000
0.699087824744
Long
ABS-APCP
US
N
2
2021-12-14
None
0.00000000
N
N
N
N
N
N
SOUTHERN CALIFORNIA GAS COMPANY
XY0N0J73VHV5F4CUJV89
SOUTHERN CALIFORNIA GAS CO VARIABLE RATE 09/14/2023
842434CV2
1795000.00000000
PA
USD
1793402.74000000
0.278618785924
Long
DBT
CORP
US
N
2
2023-09-14
Floating
0.46575000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM1 TRUST GCAT 2021-NQM1 A1
36167TAA7
731095.86000000
PA
USD
725614.25000000
0.112729704753
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.87400080
N
N
N
N
N
N
ONE GAS, INC.
549300HXDWI0LATTX840
ONE GAS INC VARIABLE RATE 03/11/2023
68235PAK4
698000.00000000
PA
USD
698012.90000000
0.108441624638
Long
DBT
CORP
US
N
2
2023-03-11
Floating
0.72412920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4272 YG
3137B6DF5
429875.64000000
PA
USD
435888.01000000
0.067718524922
Long
DBT
USGA
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
N/A
FEDERAL FARM CREDIT BANK 0.530000% 01/18/2022
3133ELTN4
3650000.00000000
PA
USD
3652207.26000000
0.567398236898
Long
DBT
USGA
US
N
2
2022-01-18
Fixed
0.53000000
N
N
N
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP 144A 0.373000% 03/03/2023
62954WAA3
750000.00000000
PA
USD
747815.18000000
0.116178788456
Long
DBT
NUSS
JP
N
2
2023-03-03
Fixed
0.37300000
N
N
N
N
N
N
JDE Peet's N.V.
724500EHG519SE5ZRT89
JDE PEET'S NV 144A 0.800000% 09/24/2024
47216QAA1
1000000.00000000
PA
USD
980086.42000000
0.152263896084
Long
DBT
NUSS
NL
N
2
2024-09-24
Fixed
0.80000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A
00834CAA3
800686.43000000
PA
USD
799240.55000000
0.124168111677
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
1.07000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 09/10/2026
89114TZH8
850000.00000000
PA
USD
853468.14000000
0.132592781134
Long
DBT
NUSS
CA
N
2
2026-09-10
Floating
0.64000440
N
N
N
N
N
N
SREIT COMMERCIAL MORTGAGE TRUST
N/A
SREIT TRUST 2021-MFP SREIT 2021-MFP B
78472UAC2
900000.00000000
PA
USD
894843.54000000
0.139020764910
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
1.17979920
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1
03465CAA3
1094909.58000000
PA
USD
1091390.87000000
0.169555890813
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.90900000
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XVIII LTD SYMP 2016-18A X
87154GAS4
916666.77000000
PA
USD
916436.69000000
0.142375425357
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-23
Floating
0.87868080
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-III LTD CIFC 2015-3A AR
12550MAJ9
842136.83000000
PA
USD
842541.06000000
0.130895175965
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
0.99362880
N
N
N
N
N
N
ATLAS SENIOR LOAN FUND, LTD
N/A
ATLAS SENIOR LOAN FUND IX LTD ATCLO 2018-9A A
04941VAC9
635833.60000000
PA
USD
634809.27000000
0.098622458946
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
1.00149840
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 5.000000% 01/12/2022
23636AAS0
850000.00000000
PA
USD
854206.15000000
0.132707436613
Long
DBT
NUSS
DK
N
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD NEUB 2017-26A AR
64131QAJ9
1150000.00000000
PA
USD
1149711.35000000
0.178616421931
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-18
Floating
1.06499880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AE0643
31419AWD5
35108.60000000
PA
USD
41163.64000000
0.006395085245
Long
DBT
USGA
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 2.825000% 03/30/2023
857477BL6
1365000.00000000
PA
USD
1374950.85000000
0.213609095150
Long
DBT
CORP
US
N
2
2023-03-30
Fixed
2.82500000
N
N
N
N
N
N
KNDL KNSQ MORTGAGE TRUST
N/A
KNDL 2019-KNSQ MORTGAGE TRUST KNDL 2019-KNSQ A
482598AA7
290000.00000000
PA
USD
290000.67000000
0.045053814623
Long
ABS-MBS
US
N
2
2036-05-15
Floating
0.88899840
N
N
N
N
N
N
SIERRA TIMESHARE RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE CONDUIT RECEIVABLES FUNDING LLC SRFC 2017-1A A
82652KAA2
1426267.11000000
PA
USD
1428941.93000000
0.221997020977
Long
ABS-MBS
US
N
2
2034-03-20
Fixed
2.91000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED
PUSS41EMO3E6XXNV3U28
PUBLIC SERVICE ENTERPRISE GROUP INC 0.841000% 11/08/2023
744573AT3
3025000.00000000
PA
USD
3008757.38000000
0.467433393324
Long
DBT
CORP
US
N
2
2023-11-08
Fixed
0.84100000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-8 IMM 2005-8 1A
45254NRG4
66275.63000000
PA
USD
63925.84000000
0.009931366520
Long
ABS-MBS
US
N
2
2036-02-25
Floating
0.61162920
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2006-AR2 1A1
92925CDQ2
91364.23000000
PA
USD
91671.03000000
0.014241793275
Long
ABS-MBS
US
N
2
2036-03-25
Floating
2.95225920
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2021-B SRT 2021-B A2
80286DAB4
928117.97000000
PA
USD
926873.09000000
0.143996799648
Long
ABS-MBS
US
N
2
2024-01-22
Fixed
0.31000000
N
N
N
N
N
N
BANQUE NATIONALE DU CANADA
BSGEFEIOM18Y80CKCV46
NATIONAL BANK OF CANADA 0.750000% 08/06/2024
63307A2P9
675000.00000000
PA
USD
667284.70000000
0.103667764542
Long
DBT
CORP
CA
N
2
2024-08-06
Fixed
0.75000000
N
N
N
N
N
N
GOLDEN ST TOB SECURITIZATION CORP CALIF TOB SETTLEMENT REV
N/A
GOLDEN ST TOBACCO SECURITIZATI GOLDEN STATE TOBACCO SECURITIZATION CORP
38122NA51
1945000.00000000
PA
USD
1944015.05000000
0.302017556329
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
0.67200000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A1
92537QAA9
464310.77000000
PA
USD
459975.08000000
0.071460634851
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.81500040
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2020-Z1 AFFRM 2020-Z1 A
00832PAA6
163554.84000000
PA
USD
165138.61000000
0.025655541837
Long
ABS-MBS
US
N
2
2024-10-15
Fixed
3.46000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A2
92537QAE1
605651.80000000
PA
USD
600315.83000000
0.093263640115
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
1.05199920
N
N
N
N
N
N
TESLA AUTO LEASE TRUST
N/A
TESLA AUTO LEASE TRUST 2020-A TESLA 2020-A A2
88167HAB2
289788.84000000
PA
USD
289883.72000000
0.045035645549
Long
ABS-MBS
US
N
2
2023-05-22
Fixed
0.55000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2020-1 TRUST SCLP 2020-1 A
83407AAA0
97138.24000000
PA
USD
97588.78000000
0.015161160846
Long
ABS-MBS
US
N
2
2029-01-25
Fixed
2.02000000
N
N
N
N
N
N
CENT CLO LIMITED
N/A
COLUMBIA CENT CLO 27 LTD CECLO 2018-27A A1
19736RAC5
697353.02000000
PA
USD
697643.12000000
0.108384176497
Long
ABS-CBDO
CORP
KY
N
2
2028-10-25
Floating
1.27388160
N
N
N
N
N
N
Santander Holdings USA, Inc.
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA INC 4.450000% 12/03/2021
80282KAU0
279000.00000000
PA
USD
279030.69000000
0.043349544611
Long
DBT
CORP
US
N
2
2021-12-03
Fixed
4.45000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2020-A CNH 2020-A A2
12597PAB4
2645.28000000
PA
USD
2646.05000000
0.000411084037
Long
ABS-MBS
US
N
2
2023-07-17
Fixed
1.08000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2017-2 VOYA 2017-2A A1R
92915UAG9
2275000.00000000
PA
USD
2274426.70000000
0.353349524729
Long
ABS-CBDO
CORP
KY
Y
2
2030-06-07
Floating
1.10374920
N
N
N
N
N
N
CNA FINANCIAL CORPORATION
549300YX2GSZD7YG1R84
CNA FINANCIAL CORP 7.250000% 11/15/2023
126117AE0
500000.00000000
PA
USD
559744.82000000
0.086960624458
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
7.25000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 6.000000% 12/19/2023
780097AZ4
925000.00000000
PA
USD
1008652.30000000
0.156701823286
Long
DBT
NUSS
GB
N
2
2023-12-19
Fixed
6.00000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2018-RP2 CMLTI 2018-RP2 A1
17326UAA2
279271.34000000
PA
USD
285293.80000000
0.044322566490
Long
ABS-MBS
US
N
2
2058-02-25
Floating
2.76714720
N
N
N
N
N
N
NRZ MSR
N/A
NRZ EXCESS SPREAD-COLLATERALIZED NOTES NZES 2018-FNT1 A
64829TAA9
265385.44000000
PA
USD
265168.06000000
0.041195879372
Long
ABS-MBS
US
N
2
2023-05-25
Fixed
3.61000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-2 AOMT 2019-2 A1
03463WAA1
207120.98000000
PA
USD
208233.39000000
0.032350644401
Long
ABS-MBS
US
N
2
2049-03-25
Floating
3.62800080
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC VARIABLE RATE 03/20/2026
92343VGE8
1200000.00000000
PA
USD
1215964.96000000
0.188909425264
Long
DBT
CORP
US
N
2
2026-03-20
Floating
0.83999880
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A
00834TAA6
610000.00000000
PA
USD
608371.91000000
0.094515213551
Long
ABS-MBS
US
Y
2
2026-11-16
Fixed
1.17000000
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST
N/A
HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A
43285HAA6
1804020.41000000
PA
USD
1858348.48000000
0.288708601683
Long
ABS-MBS
US
N
2
2039-02-25
Fixed
2.74000000
N
N
N
N
N
N
CAPITAL ONE MULTI-ASSET EXECUTION TRUST
N/A
CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET 2019-A2 A2
14041NFU0
310000.00000000
PA
USD
313157.91000000
0.048651468373
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
1.72000000
N
N
N
N
N
N
OTIS WORLDWIDE CORPORATION
549300ZLBKR8VSU25153
OTIS WORLDWIDE CORP VARIABLE RATE 04/05/2023
68902VAG2
2745000.00000000
PA
USD
2745139.64000000
0.426478367981
Long
DBT
CORP
US
N
2
2023-04-05
Floating
0.58313160
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024
37045XDN3
3325000.00000000
PA
USD
3323082.37000000
0.516266176472
Long
DBT
CORP
US
N
2
2024-10-15
Floating
0.67000320
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-P3 CRVNA 2021-P3 A2
14687JAD1
670000.00000000
PA
USD
668768.14000000
0.103898228253
Long
ABS-MBS
US
N
2
2025-01-10
Fixed
0.38000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-1 AOMT 2019-1 A1
03464MAA2
153457.72000000
PA
USD
154654.92000000
0.024026820683
Long
ABS-MBS
US
N
2
2048-11-25
Floating
3.92000040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AE0381
31419AM79
15210.22000000
PA
USD
15512.05000000
0.002409915208
Long
DBT
USGA
US
N
2
2024-12-01
Fixed
5.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC VARIABLE RATE 11/22/2024
404280CZ0
825000.00000000
PA
USD
825000.00000000
0.128170038586
Long
DBT
NUSS
GB
N
2
2024-11-22
Floating
0.63000360
N
N
N
N
N
N
TEXAS TRANSN COMMN CENT TEX TPK SYS REV
N/A
TEXAS ST TRANSPRTN COMMISSION CENTRAL TEXAS TURNPIKE SYSTEM
88283KBK3
375000.00000000
PA
USD
378493.80000000
0.058801896910
Long
DBT
MUN
US
N
2
2042-08-15
Fixed
1.98000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
WI TREASURY SEC. 0.250000% 06/15/2024
91282CCG4
6375000.00000000
PA
USD
6297802.70000000
0.978411654631
Long
SN
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 2.000000% 01/27/2023
63859UBE2
600000.00000000
PA
USD
609753.84000000
0.094729906910
Long
DBT
NUSS
GB
N
2
2023-01-27
Fixed
2.00000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 0.650000% 08/03/2023
444859BP6
2635000.00000000
PA
USD
2620819.75000000
0.407164325438
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
0.65000000
N
N
N
N
N
N
NXP B.V.
724500RKKW4NOJ9YQF60
NXP BV / NXP FUNDING LLC 144A 4.625000% 06/01/2023
62947QAV0
650000.00000000
PA
USD
683595.07000000
0.106201704848
Long
DBT
NUSS
CN
N
2
2023-06-01
Fixed
4.62500000
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XII APID 2013-12A AR
03764DAH4
925000.00000000
PA
USD
925028.68000000
0.143710256496
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.20375000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4818 BD
3137FGV36
794201.15000000
PA
USD
809751.13000000
0.125801010397
Long
DBT
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2018-3 WLAKE 2018-3A D
96042GAL6
1087050.52000000
PA
USD
1096257.62000000
0.170311977522
Long
ABS-MBS
US
N
2
2023-10-16
Fixed
4.00000000
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL FUNDING
635400EVYITCJYWL2I50
PROTECTIVE LIFE GLOBAL FUNDING 144A 1.082000% 06/09/2023
74368CAR5
610000.00000000
PA
USD
613807.01000000
0.095359597765
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
1.08200000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO VARIABLE RATE 09/29/2023
00774MBA2
1325000.00000000
PA
USD
1323900.25000000
0.205677995306
Long
DBT
NUSS
IE
N
2
2023-09-29
Floating
0.72000000
N
N
N
N
N
N
TIDEWATER AUTO RECEIVABLES TRUST
N/A
TIDEWATER AUTO RECEIVABLES TRUST 2020-A TMCAT 2020-AA B
88641WAC3
1405000.00000000
PA
USD
1412573.65000000
0.219454083911
Long
ABS-MBS
US
N
2
2025-03-17
Fixed
1.61000000
N
N
N
N
N
N
NRZ MSR
N/A
NEW RESIDENTIAL MORTGAGE LLC 2018-FNT2 NZES 2018-FNT2 A
64829TAH4
233361.34000000
PA
USD
233579.74000000
0.036288393077
Long
ABS-MBS
US
N
2
2054-07-25
Fixed
3.79000000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDING 144A 0.800000% 07/07/2023
00138CAM0
570000.00000000
PA
USD
570272.28000000
0.088596145615
Long
DBT
CORP
US
N
2
2023-07-07
Fixed
0.80000000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-1 DTAOT 2021-1A A
23344GAA9
1053047.88000000
PA
USD
1052786.83000000
0.163558458939
Long
ABS-MBS
US
Y
2
2025-01-15
Fixed
0.35000000
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE 1.167000% 02/04/2023
097023DD4
1100000.00000000
PA
USD
1100411.36000000
0.170957292693
Long
DBT
CORP
US
N
2
2023-02-04
Fixed
1.16700000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2021-1 MFT 2021-1A A
57110NAA4
198912.71000000
PA
USD
198925.16000000
0.030904539918
Long
ABS-MBS
US
Y
2
2031-06-16
Fixed
0.60000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 01/31/2023
91282CBG5
9250000.00000000
PA
USD
9229043.02000000
1.433802181808
Long
SN
UST
US
N
2
2023-01-31
Fixed
0.12500000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2019-1 CARMX 2019-1 A3
14315NAC4
947180.45000000
PA
USD
956283.80000000
0.148565977631
Long
ABS-MBS
US
N
2
2024-03-15
Fixed
3.05000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.486000% 05/19/2024
06051GJC4
475000.00000000
PA
USD
478163.76000000
0.074286384933
Long
DBT
CORP
US
N
2
2024-05-19
Fixed
1.48600000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-2 SDART 2020-2 C
80285RAF5
300000.00000000
PA
USD
301489.86000000
0.046838747866
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
1.46000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC.
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC VARIABLE RATE 10/18/2024
883556CQ3
2330000.00000000
PA
USD
2333181.80000000
0.362477577376
Long
DBT
CORP
US
N
2
2024-10-18
Floating
0.57012120
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY VARIABLE RATE 02/02/2024
22550UAB7
1325000.00000000
PA
USD
1322681.25000000
0.205488614364
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
0.43999920
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDING II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FUNDING II MTN 0.850000% 06/09/2023
57629WCU2
874000.00000000
PA
USD
876261.22000000
0.136133859853
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 04/12/2024
74256LEM7
430000.00000000
PA
USD
431846.90000000
0.067090707680
Long
DBT
CORP
US
N
2
2024-04-12
Floating
0.50000400
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XIV LTD SYMP 2014-14A AR
87159QBV9
390104.96000000
PA
USD
390349.17000000
0.060643719007
Long
ABS-CBDO
CORP
KY
N
2
2026-07-14
Floating
1.07674920
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC VARIABLE RATE 03/25/2024
00206RMH2
1825000.00000000
PA
USD
1826058.61000000
0.283692124248
Long
DBT
CORP
US
N
2
2024-03-25
Floating
0.69000120
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC VARIABLE RATE 05/01/2025
172967MW8
800000.00000000
PA
USD
804258.13000000
0.124947630976
Long
DBT
CORP
US
N
2
2025-05-01
Floating
0.71900280
N
N
N
N
N
N
CORE MORTGAGE TRUST
N/A
CORE 2019-CORE MORTGAGE TRUST BCORE 2019-CORE A
21871FAA6
343239.01000000
PA
USD
341946.99000000
0.053124071397
Long
ABS-MBS
US
N
2
2031-12-15
Floating
0.96999840
N
N
N
N
N
N
SEQUOIA INFRASTRUCTURE FUNDING LTD
N/A
SEQUOIA INFRASTRUCTURE FUNDING I LTD SEQI 2021-1A A
81742LAA4
1732904.21000000
PA
USD
1732464.05000000
0.269151495925
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Floating
1.52375040
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2018-3A A1
165183BT0
220798.31000000
PA
USD
224291.27000000
0.034845358461
Long
ABS-MBS
US
N
2
2031-01-15
Fixed
3.39000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-5 TPMT 2017-5 A1
89169EAA7
335579.58000000
PA
USD
335396.86000000
0.052106458773
Long
ABS-MBS
US
N
2
2057-02-25
Floating
0.69162840
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-2 WLAKE 2019-2A C
96041LAE2
1134772.88000000
PA
USD
1141374.42000000
0.177321216307
Long
ABS-MBS
US
N
2
2024-07-15
Fixed
2.84000000
N
N
N
N
N
N
Sumitomo Mitsui Trust Bank, Limited.
5493006GGLR4BTEL8O61
SUMITOMO MITSUI TRUST BANK LTD MTN VARIABLE RATE 09/16/2024
86563VAX7
1000000.00000000
PA
USD
999438.41000000
0.155270375242
Long
DBT
NUSS
JP
N
2
2024-09-16
Floating
0.48999960
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-3 A
025286AA3
287969.05000000
PA
USD
287551.58000000
0.044673329823
Long
ABS-MBS
US
Y
2
2025-06-13
Fixed
0.33000000
N
N
N
N
N
N
UBS AG LONDON BRANCH
N/A
UBS AG/LONDON 144A VARIABLE RATE 06/01/2023
902674YG9
2225000.00000000
PA
USD
2225668.86000000
0.345774622627
Long
DBT
NUSS
CH
N
2
2023-06-01
Floating
0.37000440
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1
105699AA0
360873.92000000
PA
USD
361452.36000000
0.056154379307
Long
ABS-MBS
US
N
2
2060-05-25
Floating
1.44900000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 0.750000% 11/03/2023
025816CK3
3105000.00000000
PA
USD
3098834.49000000
0.481427558978
Long
DBT
CORP
US
N
2
2023-11-03
Fixed
0.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2017-M13 FA
3136AYP31
98294.66000000
PA
USD
98317.30000000
0.015274341981
Long
DBT
USGA
US
N
2
2024-10-25
Floating
0.48038040
N
N
N
N
N
N
BWAY MORTGAGE TRUST
N/A
BWAY 2013-1515 MORTGAGE TRUST BWAY 2013-1515 A1
05604FAA3
332671.84000000
PA
USD
341508.64000000
0.053055970383
Long
ABS-MBS
US
N
2
2033-03-10
Fixed
2.80930000
N
N
N
N
N
N
KEURIG DR PEPPER INC.
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC 0.750000% 03/15/2024
49271VAL4
2620000.00000000
PA
USD
2592857.27000000
0.402820141025
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.75000000
N
N
N
N
N
N
CONAGRA BRANDS, INC.
54930035UDEIH090K650
CONAGRA BRANDS INC 3.250000% 09/15/2022
205887BJ0
996000.00000000
PA
USD
1016125.28000000
0.157862807692
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.25000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-3 WLAKE 2020-3A B
96042QAG5
330000.00000000
PA
USD
330375.51000000
0.051326353775
Long
ABS-MBS
US
Y
2
2025-11-17
Fixed
0.78000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-3 AOMT 2021-3 A1
03465EAA9
777736.29000000
PA
USD
771008.25000000
0.119782008670
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.06800120
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
514293.74000000
PA
USD
522667.26000000
0.081200342887
Long
ABS-MBS
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 0.750000% 01/15/2024
723787AS6
2130000.00000000
PA
USD
2114135.57000000
0.328447075860
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.75000000
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO LTD
N/A
BENEFIT STREET PARTNERS CLO X LTD BSP 2016-10A X
08181LAS6
468750.00000000
PA
USD
468632.34000000
0.072805606182
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
0.73149840
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP MTN VARIABLE RATE 06/09/2025
89788MAF9
900000.00000000
PA
USD
897453.90000000
0.139426304233
Long
DBT
CORP
US
N
2
2025-06-09
Floating
0.45000360
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-6 TPMT 2017-6 A1
89175JAA8
134056.07000000
PA
USD
136224.31000000
0.021163484932
Long
ABS-MBS
US
N
2
2057-10-25
Floating
2.75000040
N
N
N
N
N
N
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST
N/A
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST MRAFT 2021-1 A1
61916BBC3
2275000.00000000
PA
USD
2275647.69000000
0.353539214832
Long
ABS-MBS
US
Y
2
2022-03-10
Floating
0.59113080
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT CGCMT 2019-SMRT A
29429MAA1
625000.00000000
PA
USD
659646.94000000
0.102481180307
Long
ABS-MBS
US
N
2
2036-01-10
Fixed
4.14900000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM1 TRUST MFRA 2020-NQM1 A1
552754AA1
186778.65000000
PA
USD
187175.29000000
0.029079108050
Long
ABS-MBS
US
N
2
2065-03-25
Floating
1.47899880
N
N
N
N
N
N
BAXTER INTERNATIONAL INC.
J5OIVXX3P24RJRW5CK77
BAXTER INTERNATIONAL INC 144A VARIABLE RATE 11/29/2024
071813CZ0
825000.00000000
PA
USD
823960.50000000
0.128008544338
Long
DBT
CORP
US
N
2
2024-11-29
Floating
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2012-M4 1A2
3136A56W1
12699.52000000
PA
USD
12737.18000000
0.001978818002
Long
DBT
USGA
US
N
2
2022-04-25
Floating
2.97600120
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2019-3 SDART 2019-3 C
80286HAF6
476790.60000000
PA
USD
479141.51000000
0.074438285848
Long
ABS-MBS
US
N
2
2025-10-15
Fixed
2.49000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM2R NRZT 2021-NQ2R A1
64831EAA8
284899.54000000
PA
USD
283978.23000000
0.044118182662
Long
ABS-MBS
US
N
2
2058-10-25
Floating
0.94053960
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST 2007-AR2 GSR 2007-AR2 1A1
3622N6AA7
90095.32000000
PA
USD
65786.21000000
0.010220389180
Long
ABS-MBS
US
N
2
2037-05-25
Floating
2.80430280
N
N
N
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
2210000.00000000
PA
USD
2194268.42000000
0.340896324922
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
BFLD TRUST
N/A
BFLD TRUST 2020-OBRK BFLD 2020-OBRK A
05553JAA6
840000.00000000
PA
USD
841011.36000000
0.130657525409
Long
ABS-MBS
US
Y
2
2028-11-15
Floating
2.13999840
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM2 IMPRL 2021-NQM2 A1
452761AA7
570249.49000000
PA
USD
565599.28000000
0.087870159445
Long
ABS-MBS
US
Y
2
2056-09-25
Floating
1.07300160
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K33 MORTGAGE TRUST FREMF 2013-K33 B
30265AAN4
2210000.00000000
PA
USD
2295714.85000000
0.356656801101
Long
ABS-MBS
US
N
2
2046-08-25
Floating
3.61168560
N
N
N
N
N
N
BRIGHTHOUSE FINANCIAL GLOBAL FUNDING
549300BLFX3KJ2IFOA78
BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MTN VARIABLE RATE 04/12/2024
10921U2B3
1080000.00000000
PA
USD
1088229.84000000
0.169064800707
Long
DBT
CORP
US
N
2
2024-04-12
Floating
0.81000000
N
N
N
N
N
N
CLECO POWER LLC
TM1ZH54SJKLNHFCBFK92
CLECO POWER LLC 144A VARIABLE RATE 06/15/2023
185508AH1
1350000.00000000
PA
USD
1349605.25000000
0.209671462993
Long
DBT
CORP
US
N
2
2023-06-15
Floating
0.61575120
N
N
N
N
N
N
PNC BANK, NATIONAL ASSOCIATION
AD6GFRVSDT01YPT1CS68
PNC BANK NA 1.743000% 02/24/2023
69353RFT0
850000.00000000
PA
USD
852130.19000000
0.132384920403
Long
DBT
CORP
US
N
2
2023-02-24
Fixed
1.74300000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A3
35105UAC7
265000.00000000
PA
USD
262784.07000000
0.040825508353
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
0.81000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 A1
14686KAA5
147827.15000000
PA
USD
147708.70000000
0.022947672458
Long
ABS-MBS
US
N
2
2028-03-10
Fixed
0.32000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2019-1 LLC EFF 2019-1 A2
29374AAB0
103962.49000000
PA
USD
104322.43000000
0.016207284701
Long
ABS-MBS
US
N
2
2024-10-20
Fixed
2.98000000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 3.050000% 11/30/2022
125523BT6
350000.00000000
PA
USD
357946.39000000
0.055609700143
Long
DBT
CORP
US
N
2
2022-11-30
Fixed
3.05000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-3 SDART 2020-3 A3
80285WAD9
799019.86000000
PA
USD
799271.71000000
0.124172952620
Long
ABS-MBS
US
N
2
2024-07-15
Fixed
0.52000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP VARIABLE RATE 04/22/2025
06051GJU4
1600000.00000000
PA
USD
1608924.59000000
0.249958699131
Long
DBT
CORP
US
N
2
2025-04-22
Floating
0.73032120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-99 H
3136AUB83
1081340.99000000
PA
USD
1103896.57000000
0.171498746633
Long
DBT
USGA
US
N
2
2043-08-25
Fixed
3.00000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM3 IMPRL 2021-NQM3 A1
452762AA5
506192.58000000
PA
USD
503829.37000000
0.078273733083
Long
ABS-MBS
US
Y
2
2056-11-25
Floating
1.59500160
N
N
N
N
N
N
TTX COMPANY
549300I8CNSYS1OGX775
TTX CO MTN 3.050000% 11/15/2022
87305QCD1
700000.00000000
PA
USD
715065.84000000
0.111090928854
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.05000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2
46650AAD5
254797.81000000
PA
USD
254376.02000000
0.039519253695
Long
ABS-MBS
US
N
2
2046-04-25
Floating
0.84162960
N
N
N
N
N
N
CIM TRUST
N/A
CIM TRUST 2017-7 CIM 2017-7 A
12553HAA6
223315.43000000
PA
USD
225734.58000000
0.035069587671
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.99999880
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R2 VERUS 2021-R2 A1
92538DAA7
878895.56000000
PA
USD
875220.28000000
0.135972141890
Long
ABS-MBS
US
Y
2
2064-02-25
Floating
0.91800000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I INC.
3IFG42XD94UUZ7FL2766
MORGAN STANLEY CAPITAL I TRUST 2012-STAR MSC 2012-STAR A1
61761BAA4
33784.06000000
PA
USD
33817.10000000
0.005253744256
Long
ABS-MBS
US
N
2
2034-08-05
Fixed
2.08400000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2021-2A B
36261XAC9
865000.00000000
PA
USD
861461.80000000
0.133834657147
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.77000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 493805
31382VR22
4455.77000000
PA
USD
4448.47000000
0.000691103723
Long
DBT
USGA
US
N
2
2029-01-01
Floating
2.34000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 B
14686KAC1
495000.00000000
PA
USD
492344.52000000
0.076489474092
Long
ABS-MBS
US
N
2
2028-03-10
Fixed
0.75000000
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
471586.24000000
PA
USD
469424.68000000
0.072928702241
Long
ABS-MBS
US
Y
2
2060-11-25
Floating
1.12500000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2020-1 TRUST SCLP 2020-1 A
83407AAA0
120561.65000000
PA
USD
121120.83000000
0.018817044187
Long
ABS-MBS
US
N
2
2029-01-25
Fixed
2.02000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024
63906YAC2
1265000.00000000
PA
USD
1266720.40000000
0.196794669753
Long
DBT
NUSS
GB
N
2
2024-08-12
Floating
0.58000320
N
N
N
N
N
N
BUNKER HILL LOAN DEPOSITARY TRUST
N/A
BUNKER HILL LOAN DEPOSITARY TRUST 2020-1 BHLD 2020-1 A1
12062RAA8
266121.52000000
PA
USD
268010.53000000
0.041637478753
Long
ABS-MBS
US
N
2
2055-02-25
Floating
1.72400040
N
N
N
N
N
N
SOUND POINT CLO
N/A
SOUND POINT CLO XVII SNDPT 2017-3A A1R
83611GAL5
750000.00000000
PA
USD
749811.00000000
0.116488854306
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-20
Floating
1.11150000
N
N
N
N
N
N
7-ELEVEN, INC.
549300K23JPL0SS3LB18
7-ELEVEN INC 144A 0.625000% 02/10/2023
817826AA8
795000.00000000
PA
USD
792559.06000000
0.123130091275
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
0.62500000
N
N
N
N
N
N
NEW YORK CITY TAX LIEN COLLATERALIZED BONDS
N/A
NYCTL 2019-A TRUST NYCTL 2019-A A
62954VAA5
149454.20000000
PA
USD
150024.22000000
0.023307406141
Long
ABS-MBS
US
N
2
2032-11-10
Fixed
2.19000000
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD NEUB 2017-25A AR
64131JAL0
2065000.00000000
PA
USD
2067013.38000000
0.321126284453
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-18
Floating
1.05225120
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-56 LB
38379LUL8
545124.88000000
PA
USD
548935.03000000
0.085281241183
Long
DBT
USGA
US
N
2
2040-04-16
Fixed
1.50000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A
14687DAA0
718883.82000000
PA
USD
716527.03000000
0.111317935858
Long
ABS-MBS
US
N
2
2028-01-10
Fixed
0.70000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-4 AOMT 2020-4 A1
03464LAA4
405536.56000000
PA
USD
405816.54000000
0.063046692837
Long
ABS-MBS
US
N
2
2065-06-25
Floating
1.46900160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C03 2M2
30711XCT9
688721.42000000
PA
USD
722413.40000000
0.112232428307
Long
DBT
USGA
US
N
2
2028-10-25
Floating
5.99199840
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE 2.700000% 05/01/2022
097023CG8
725000.00000000
PA
USD
730953.00000000
0.113559120260
Long
DBT
CORP
US
N
2
2022-05-01
Fixed
2.70000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORMATION SERVICES INC 0.375000% 03/01/2023
31620MBP0
950000.00000000
PA
USD
945709.14000000
0.146923123594
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
0.37500000
N
N
N
N
N
N
DEWOLF PARK CLO, LTD.
N/A
DEWOLF PARK CLO LTD DWOLF 2017-1A AR
25211AAE9
1125000.00000000
PA
USD
1125266.63000000
0.174818748348
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
1.04375160
N
N
N
N
N
N
ATALAYA EQUIPMENT LEASING TRUST LLC.
N/A
ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A2
046497AB9
500000.00000000
PA
USD
499930.00000000
0.077667936231
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
1.23000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2019-A A2
69335PDE2
400000.00000000
PA
USD
403517.36000000
0.062689497698
Long
ABS-MBS
US
N
2
2024-04-15
Fixed
2.86000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED
PUSS41EMO3E6XXNV3U28
PUBLIC SERVICE ENTERPRISE GROUP INC 0.841000% 11/08/2023
744573AT3
790000.00000000
PA
USD
785758.13000000
0.122073514959
Long
DBT
CORP
US
N
2
2023-11-08
Fixed
0.84100000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 01/27/2023
89114QCF3
1344000.00000000
PA
USD
1348584.38000000
0.209512863057
Long
DBT
NUSS
CA
N
2
2023-01-27
Floating
0.52989120
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2 AMCAR 2020-2 C
03066EAF1
2145000.00000000
PA
USD
2162503.20000000
0.335961355864
Long
ABS-MBS
US
N
2
2026-02-18
Fixed
1.48000000
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
1040000.00000000
PA
USD
1039495.60000000
0.161493565045
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
1.11150000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM5 TRUST GCAT 2021-NQM5 A1
36168KAA5
1771446.64000000
PA
USD
1753216.68000000
0.272375575183
Long
ABS-MBS
US
Y
2
2066-07-25
Floating
1.26200160
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-151 KA
38377NMJ0
30896.25000000
PA
USD
31150.06000000
0.004839399263
Long
DBT
USGA
US
N
2
2039-09-16
Fixed
3.00000000
N
N
N
N
N
N
WHEELS SPV, LLC
N/A
WHEELS SPV 2 LLC WHLS 2021-1A A
96328DBX1
2148938.07000000
PA
USD
2150134.38000000
0.334039765395
Long
ABS-MBS
US
Y
2
2029-08-20
Floating
0.37113120
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-UBS5 MORTGAGE TRUST COMM 2014-UBS5 A2
12592KAZ7
27128.12000000
PA
USD
27514.16000000
0.004274534483
Long
ABS-MBS
US
N
2
2047-09-10
Fixed
3.03100000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2019-4 MFT 2019-4A A
57110AAA2
51218.23000000
PA
USD
51291.57000000
0.007968536371
Long
ABS-MBS
US
N
2
2029-12-17
Fixed
2.39000000
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST
N/A
METLIFE SECURITIZATION TRUST MST 2017-1A A
59166BAA9
132947.08000000
PA
USD
135772.54000000
0.021093299019
Long
ABS-MBS
US
N
2
2055-04-25
Floating
2.99999880
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2 EFMT 2020-2 A1
31573WAA9
129114.04000000
PA
USD
129229.27000000
0.020076752148
Long
ABS-MBS
US
Y
2
2065-10-25
Floating
1.17799920
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2021-A CPS 2021-A A
12656NAA9
466856.38000000
PA
USD
466824.68000000
0.072524772422
Long
ABS-MBS
US
Y
2
2024-01-16
Fixed
0.35000000
N
N
N
N
N
N
DTE ENERGY COMPANY
549300IX8SD6XXD71I78
DTE ENERGY CO 0.550000% 11/01/2022
233331BH9
875000.00000000
PA
USD
873538.14000000
0.135710808619
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.55000000
N
N
N
N
N
N
MHC COMMERCIAL MORTGAGE TRUST
N/A
MHC COMMERCIAL MORTGAGE TRUST 2021-MHC MHC 2021-MHC B
55316VAC8
4075000.00000000
PA
USD
4064805.17000000
0.631498467256
Long
ABS-MBS
US
N
2
2038-04-15
Floating
1.19046240
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA MTN 0.800000% 04/03/2023
44891ABU0
1445000.00000000
PA
USD
1440021.44000000
0.223718307309
Long
DBT
CORP
US
N
2
2023-04-03
Fixed
0.80000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 B
33844WAC4
755000.00000000
PA
USD
747510.85000000
0.116131508470
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
0.93000000
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2019-2 FIAOT 2019-2A A
32058RAA2
71637.15000000
PA
USD
71832.63000000
0.011159746616
Long
ABS-MBS
US
N
2
2024-09-16
Fixed
2.21000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE AUTO RECEIVABLES TRUST 2018-2 DRIVE 2018-2 D
26208JAG8
308961.10000000
PA
USD
313163.90000000
0.048652398966
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
4.14000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-2 MCMLT 2018-2 A1
59980MAC5
383395.32000000
PA
USD
388533.70000000
0.060361671904
Long
ABS-MBS
US
N
2
2058-05-25
Floating
3.49999920
N
N
N
N
N
N
CLOUD PASS-THROUGH TRUST
N/A
CLOUD PASS-THROUGH TRUST 2019-1 CLOUD 2019-1A CLOU
18913AAA3
20982.17000000
PA
USD
21038.86000000
0.003268547270
Long
ABS-MBS
US
N
2
2022-12-05
Floating
3.55422960
N
N
N
N
N
N
CENTERPOINT ENERGY RESOURCES CORP.
2JADVB0458J06WCD4N56
CENTERPOINT ENERGY RESOURCES CORP VARIABLE RATE 03/02/2023
15189WAN0
1550000.00000000
PA
USD
1547546.55000000
0.240423152761
Long
DBT
CORP
US
N
2
2023-03-02
Floating
0.61962840
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2020-3 DTAOT 2020-3A B
26253AAB2
1615000.00000000
PA
USD
1616739.84000000
0.251172857790
Long
ABS-MBS
US
Y
2
2024-12-16
Fixed
0.91000000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP ELP 2021-ELP A
26863LAA2
1060000.00000000
PA
USD
1055023.83000000
0.163905993940
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
0.80100000
N
N
N
N
N
N
PPL ELECTRIC UTILITIES CORPORATION
549300GCZLSGYEYPIR35
PPL ELECTRIC UTILITIES CORP VARIABLE RATE 09/28/2023
69351UAX1
1235000.00000000
PA
USD
1235003.56000000
0.191867216896
Long
DBT
CORP
US
N
2
2023-09-28
Floating
0.38225160
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
ROYALTY PHARMA PLC 0.750000% 09/02/2023
78081BAG8
1450000.00000000
PA
USD
1441935.94000000
0.224015739478
Long
DBT
NUSS
US
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2020-2 DTAOT 2020-2A A
23343RAA6
149137.52000000
PA
USD
149318.10000000
0.023197705016
Long
ABS-MBS
US
N
2
2024-01-16
Fixed
1.14000000
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2021-1 FIAOT 2021-1A A
32059FAA7
1080983.38000000
PA
USD
1080154.81000000
0.167810283245
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
0.45000000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K28 MORTGAGE TRUST FREMF 2013-K28 B
30291HAE7
315000.00000000
PA
USD
324422.22000000
0.050401464794
Long
ABS-MBS
US
N
2
2046-06-25
Floating
3.60905760
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-4 VERUS 2019-4 A1
92537KAA2
157004.49000000
PA
USD
158962.52000000
0.024696039178
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
2.64200000
N
N
N
N
N
N
MERCURY FINANCIAL CREDIT CARD MASTER TRUST
N/A
MERCURY FINANCIAL CREDIT CARD MASTER TRUST MFCC 2021-1A A
58940BAA4
1225000.00000000
PA
USD
1225771.14000000
0.190432890075
Long
ABS-MBS
US
Y
2
2026-03-20
Fixed
1.54000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2
29374EAB2
326163.37000000
PA
USD
324811.32000000
0.050461914445
Long
ABS-MBS
US
Y
2
2026-12-21
Fixed
0.44000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-4 A
02530TAA9
1580000.00000000
PA
USD
1578951.99000000
0.245302227254
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.45000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-3 WLAKE 2019-3A B
96042HAG5
965523.58000000
PA
USD
967105.01000000
0.150247135089
Long
ABS-MBS
US
N
2
2024-10-15
Fixed
2.41000000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP INC VARIABLE RATE 05/25/2024
60687YBC2
1200000.00000000
PA
USD
1203221.45000000
0.186929623848
Long
DBT
NUSS
JP
N
2
2024-05-25
Floating
0.81024840
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3 SDART 2021-3 B
80287EAD7
495000.00000000
PA
USD
492379.92000000
0.076494973752
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
0.60000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1
64831TAA5
1060421.42000000
PA
USD
1057595.08000000
0.164305457227
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.15611840
N
N
N
N
N
N
TRYON PARK CLO, LTD.
N/A
TRYON PARK CLO LTD TPCLO 2013-1A A1SR
89852TAM0
1513737.67000000
PA
USD
1513545.43000000
0.235140819595
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.01374920
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-A AFFRM 2021-A A
00833MAA2
290000.00000000
PA
USD
290171.85000000
0.045080408740
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
0.88000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AE0285
31419AJ73
3566.91000000
PA
USD
3685.82000000
0.000572620232
Long
DBT
USGA
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
ASTRAZENECA PLC
PY6ZZQWO2IZFZC3IOL08
ASTRAZENECA PLC 0.300000% 05/26/2023
046353AY4
1475000.00000000
PA
USD
1467271.94000000
0.227951880202
Long
DBT
NUSS
GB
N
2
2023-05-26
Fixed
0.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 928005
31412LAE0
8621.39000000
PA
USD
9581.48000000
0.001488555953
Long
DBT
USGA
US
N
2
2027-01-01
Fixed
6.00000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2020-B MMAF 2020-BA A2
60700KAB8
547541.53000000
PA
USD
546968.86000000
0.084975781687
Long
ABS-MBS
US
N
2
2023-08-14
Fixed
0.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4297 CA
3137B7KD0
109503.27000000
PA
USD
110170.00000000
0.017115749274
Long
DBT
USGA
US
N
2
2030-12-15
Fixed
3.00000000
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
1830000.00000000
PA
USD
1848220.40000000
0.287135127254
Long
ABS-MBS
US
N
2
2028-11-15
Fixed
2.38000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024
37045XDN3
1500000.00000000
PA
USD
1499134.91000000
0.232902035468
Long
DBT
CORP
US
N
2
2024-10-15
Floating
0.67000320
N
N
N
N
N
N
DBCG
N/A
DBCG 2017-BBG MORTGAGE TRUST DBCG 2017-BBG A
233062AA6
650000.00000000
PA
USD
648381.24000000
0.100730967939
Long
ABS-MBS
US
N
2
2034-06-15
Floating
0.78950160
N
N
N
N
N
N
CCG RECEIVABLES TRUST
N/A
CCG RECEIVABLES TRUST 2021-1 CCG 2021-1 A2
12510KAC7
308915.31000000
PA
USD
307776.03000000
0.047815352292
Long
ABS-MBS
US
Y
2
2027-06-14
Fixed
0.30000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1 NRZT 2020-NQM1 A1
64830VAA1
504685.04000000
PA
USD
506948.70000000
0.078758344776
Long
ABS-MBS
US
N
2
2060-01-26
Floating
2.46413160
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES CORP TRUST 2021-RENT GSMS 2021-RENT A
36260XAA4
1050000.00000000
PA
USD
1045386.93000000
0.162408828068
Long
ABS-MBS
US
Y
2
2035-11-21
Floating
0.79110000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2020-A CNH 2020-A A2
12597PAB4
5109.38000000
PA
USD
5110.87000000
0.000794012612
Long
ABS-MBS
US
N
2
2023-07-17
Fixed
1.08000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR 2018-4 A3
38013FAD3
174224.60000000
PA
USD
175325.26000000
0.027238115562
Long
ABS-MBS
US
N
2
2023-10-16
Fixed
3.21000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0054
31418MBY7
596.64000000
PA
USD
616.53000000
0.000095782635
Long
DBT
USGA
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2 MORTGAGE LOAN TRUST COLT 2021-2 A1
19685WAA9
685735.80000000
PA
USD
679797.95000000
0.105611793312
Long
ABS-MBS
US
Y
2
2066-08-25
Floating
0.92400120
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 BRAVO 2021-NQM1 A1
10569TAA6
438942.65000000
PA
USD
439100.84000000
0.068217662553
Long
ABS-MBS
US
Y
2
2049-02-25
Floating
0.94100040
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-3 DTAOT 2021-3A A
23344QAA7
1133626.58000000
PA
USD
1131964.57000000
0.175859324382
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.33000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2018- ACAR 2018-2 D
02529KAG8
330016.06000000
PA
USD
333893.15000000
0.051872845962
Long
ABS-MBS
US
N
2
2024-07-10
Fixed
4.07000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1
85573MAA7
137930.63000000
PA
USD
138301.24000000
0.021486151839
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.48600080
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2021-2 UPST 2021-2 A
91680FAA0
1045816.17000000
PA
USD
1044886.96000000
0.162331153917
Long
ABS-MBS
US
Y
2
2031-06-20
Fixed
0.91000000
N
N
N
N
N
N
GMACM MORTGAGE LOAN TRUST
N/A
GMACM MORTGAGE LOAN TRUST 2005-AR6 GMACM 2005-AR6 2A1
36185MBJ0
93987.52000000
PA
USD
92456.37000000
0.014363801830
Long
ABS-MBS
US
N
2
2035-11-19
Floating
3.09142080
N
N
N
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN VARIABLE RATE 01/13/2023
459058JQ7
1015000.00000000
PA
USD
1015801.85000000
0.157812560376
Long
DBT
NUSS
XX
N
2
2023-01-13
Floating
0.18000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARETS PLC COMMERCIAL PAPER (ISITC)
63906FBN8
4800000.00000000
PA
USD
4797916.80000000
0.745392947141
Long
ABS-APCP
US
N
2
2022-02-22
None
0.00000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2018-3 AOMT 2018-3 A1
03464NAA0
63552.72000000
PA
USD
63837.19000000
0.009917594067
Long
ABS-MBS
US
N
2
2048-09-25
Floating
3.64899960
N
N
N
N
N
N
CONN'S RECEIVABLES FUNDING LLC
N/A
CONN'S RECEIVABLES FUNDING 2020-A LLC CONN 2020-A A
20825XAA6
109116.56000000
PA
USD
109265.74000000
0.016975265590
Long
ABS-MBS
US
Y
2
2025-06-16
Fixed
1.71000000
N
N
N
N
N
N
KEURIG DR PEPPER INC.
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC 0.750000% 03/15/2024
49271VAL4
950000.00000000
PA
USD
940158.17000000
0.146060738092
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.75000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2019-4 TRUST SCLP 2019-4 A
83405BAA0
69004.60000000
PA
USD
69127.01000000
0.010739407926
Long
ABS-MBS
US
N
2
2028-08-25
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 846789
3128HDRJ0
10317.93000000
PA
USD
10298.84000000
0.001600003297
Long
DBT
USGA
US
N
2
2030-02-01
Floating
2.09000160
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2019-4 DRMT 2019-4A A1
24381MAA8
321937.23000000
PA
USD
321937.04000000
0.050015373138
Long
ABS-MBS
US
N
2
2059-10-25
Floating
2.79100080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0379
3132CWM43
568166.53000000
PA
USD
603439.08000000
0.093748860810
Long
DBT
USGA
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2002-64 FG
31392EP61
1030.34000000
PA
USD
1025.07000000
0.000159252438
Long
DBT
USGA
US
N
2
2032-10-18
Floating
0.33887880
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2019-4 TRUST SCLP 2019-4 A
83405BAA0
36870.12000000
PA
USD
36935.53000000
0.005738216127
Long
ABS-MBS
US
N
2
2028-08-25
Fixed
2.45000000
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
837151WF2
2470000.00000000
PA
USD
2609984.29000000
0.405480954133
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
3.72200000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R1 VERUS 2021-R1 A1
92538BAA1
883222.06000000
PA
USD
880861.12000000
0.136848489381
Long
ABS-MBS
US
Y
2
2063-10-25
Floating
0.82000080
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2017-3 MCMLT 2017-3 A1
59980CAA1
224689.86000000
PA
USD
227821.86000000
0.035393862529
Long
ABS-MBS
US
N
2
2061-01-25
Fixed
2.75000000
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2021-4 UPST 2021-4 A
91682NAA1
1030988.23000000
PA
USD
1022442.37000000
0.158844215776
Long
ABS-MBS
US
Y
2
2031-09-20
Fixed
0.84000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2012-LC5 WFCM 2012-LC5 AS
94988HAE1
620000.00000000
PA
USD
629501.13000000
0.097797798936
Long
ABS-MBS
US
N
2
2045-10-15
Fixed
3.53900000
N
N
N
N
N
N
Avid Automobile Receivables Trust
N/A
AVID AUTOMOBILE RECEIVABLES TRUST 2021-1 AVID 2021-1 A
05369LAA5
394034.27000000
PA
USD
393723.14000000
0.061167890965
Long
ABS-MBS
US
N
2
2025-01-15
Fixed
0.61000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-J TRUST BOAMS 2005-J 2A1
05949CKQ8
6765.25000000
PA
USD
6521.96000000
0.001013236199
Long
ABS-MBS
US
N
2
2035-11-25
Floating
2.43858960
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-2 AOMT 2020-2 A1A
03464XAL4
439599.17000000
PA
USD
445169.55000000
0.069160482910
Long
ABS-MBS
US
N
2
2065-01-26
Floating
2.53100160
N
N
N
N
N
N
Santander Holdings USA, Inc.
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA INC 3.400000% 01/18/2023
80282KAS5
675000.00000000
PA
USD
691881.83000000
0.107489116180
Long
DBT
CORP
US
N
2
2023-01-18
Fixed
3.40000000
N
N
N
N
N
N
HOWARD UNIVERSITY (THE)
N/A
HOWARD UNIVERSITY 2.801000% 10/01/2023
442851AE1
575000.00000000
PA
USD
588795.23000000
0.091473827089
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.80100000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR22 FINANCIAL COMMODITY FUTURE.
N/A
59.00000000
NC
USD
12905328.13000000
2.004941096238
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2022
2022-04-03
12878697.59000000
USD
26630.54000000
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-3 STAR 2021-3 A1
85573JAA4
895349.21000000
PA
USD
887226.24000000
0.137837359292
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.12700160
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2021-MHC A
466330AA5
1166947.61000000
PA
USD
1167006.07000000
0.181303288512
Long
ABS-MBS
US
Y
2
2038-04-15
Floating
0.88999920
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1
64828EAA3
111678.48000000
PA
USD
112339.34000000
0.017452772778
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.49188040
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2 EART 2021-1A B
30166RAD9
1585000.00000000
PA
USD
1583977.20000000
0.246082931932
Long
ABS-MBS
US
N
2
2025-02-18
Fixed
0.50000000
N
N
N
N
N
N
NAVISTAR FINANCIAL DEALER NOTE MASTER TRUST
N/A
NAVISTAR FINANCIAL DEALER NOTE MASTER TRUST NAVMT 2020-1 A
63938PBM0
435000.00000000
PA
USD
436750.66000000
0.067852544175
Long
ABS-MBS
US
N
2
2025-07-25
Floating
1.04163120
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2019-IMC1 CMLTI 2019-IMC1 A1
17328BAA2
71889.18000000
PA
USD
72268.47000000
0.011227457683
Long
ABS-MBS
US
N
2
2049-07-25
Floating
2.72000160
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1 EFMT 2021-1 A1
31574XAA6
200888.41000000
PA
USD
199496.57000000
0.030993312817
Long
ABS-MBS
US
Y
2
2066-02-25
Floating
0.79700040
N
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED
N/A
RFMSI SERIES 2007-SA3 TRUST RFMSI 2007-SA3 2A1
74958TAB9
68801.10000000
PA
USD
58941.08000000
0.009156946058
Long
ABS-MBS
US
N
2
2037-07-27
Floating
4.26438360
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 995253
31416BTJ7
9429.02000000
PA
USD
9537.59000000
0.001481737307
Long
DBT
USGA
US
N
2
2023-12-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 12/30/2021
912796A90
1025000.00000000
PA
USD
1024923.63000000
0.159229698431
Long
DBT
UST
US
N
2
2021-12-30
None
0.00000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024
04685A2X8
1820000.00000000
PA
USD
1822451.54000000
0.283131738429
Long
DBT
CORP
US
N
2
2024-05-24
Floating
0.75000240
N
N
N
N
N
N
TTAN MHC
N/A
TTAN 2021-MHC TTN 2021-MHC B
87303TAG2
699676.83000000
PA
USD
697711.44000000
0.108394790529
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
1.19000160
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
PUBLIC STORAGE VARIABLE RATE 04/23/2024
74460WAB3
750000.00000000
PA
USD
750510.42000000
0.116597514534
Long
DBT
CORP
US
N
2
2024-04-23
Floating
0.51978240
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1
89180FCD1
1320000.00000000
PA
USD
1333860.00000000
0.207225318387
Long
ABS-MBS
US
Y
2
2068-07-25
Floating
2.25000000
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2021-STOR MHP 2021-STOR A
55293BAB1
325000.00000000
PA
USD
323677.77000000
0.050285808812
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
0.78999840
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC.
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC VARIABLE RATE 10/18/2024
883556CQ3
680000.00000000
PA
USD
680928.59000000
0.105787446854
Long
DBT
CORP
US
N
2
2024-10-18
Floating
0.57012120
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2015-1 LTD VOYA 2015-1A A1R
92914NAJ0
360127.47000000
PA
USD
359978.74000000
0.055925441207
Long
ABS-CBDO
CORP
KY
N
2
2029-01-18
Floating
1.02224880
N
N
N
N
N
N
CENTERPOINT ENERGY RESOURCES CORP.
2JADVB0458J06WCD4N56
CENTERPOINT ENERGY RESOURCES CORP 0.700000% 03/02/2023
15189WAM2
2710000.00000000
PA
USD
2701824.50000000
0.419749030811
Long
DBT
CORP
US
N
2
2023-03-02
Fixed
0.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 313752
31374GQD2
312.42000000
PA
USD
314.39000000
0.000048842882
Long
DBT
USGA
US
N
2
2028-05-01
Floating
2.04500160
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A
5493001DTG5N7T8BG747
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2019-2 B
34528QGX6
1290000.00000000
PA
USD
1353381.31000000
0.210258102697
Long
ABS-MBS
US
N
2
2026-04-15
Fixed
3.25000000
N
N
N
N
N
N
Virginia Electric and Power Company
CQKUMNNZVDJLRYV2PT43
VIRGINIA ELECTRIC AND POWER CO 3.450000% 09/01/2022
927804FJ8
1600000.00000000
PA
USD
1623716.85000000
0.252256789476
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
3.45000000
N
N
N
N
N
N
AMERISOURCEBERGEN CORPORATION
AI8GXW8LG5WK7E9UD086
AMERISOURCEBERGEN CORP 0.737000% 03/15/2023
03073EAS4
1100000.00000000
PA
USD
1098908.35000000
0.170723788633
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.73700000
N
N
N
N
N
N
N/A
N/A
COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1
12656YAA5
403370.60000000
PA
USD
402340.92000000
0.062506728777
Long
ABS-MBS
US
N
2
2054-07-27
Fixed
0.79800000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2020-A ARIFL 2020-A A3
00217TAC9
250000.00000000
PA
USD
252544.08000000
0.039234647852
Long
ABS-MBS
US
N
2
2028-08-15
Fixed
1.80000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1
31572LAA4
416711.22000000
PA
USD
412894.06000000
0.064146239518
Long
ABS-MBS
US
Y
2
2066-06-25
Floating
0.93099960
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2021-1A A2
165183CT9
554057.01000000
PA
USD
554419.31000000
0.086133265885
Long
ABS-MBS
US
Y
2
2033-04-15
Floating
0.31950000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 3.700000% 04/06/2023
718546AU8
455000.00000000
PA
USD
471735.11000000
0.073287645153
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
3.70000000
N
N
N
N
N
N
ACCREDITED MORTGAGE LOAN TRUST
N/A
ACCREDITED MORTGAGE LOAN TRUST 2004-4 ACCR 2004-4 A1A
004375CA7
82337.02000000
PA
USD
82290.71000000
0.012784489061
Long
ABS-MBS
US
N
2
2035-01-25
Floating
0.77163120
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE VARIABLE RATE 09/15/2023
064159YN0
2925000.00000000
PA
USD
2937059.78000000
0.456294624647
Long
DBT
NUSS
CA
N
2
2023-09-15
Floating
0.60000480
N
N
N
N
N
N
VALERO ENERGY CORPORATION
549300XTO5VR8SKV1V74
VALERO ENERGY CORP 2.700000% 04/15/2023
91913YAX8
375000.00000000
PA
USD
384150.10000000
0.059680646230
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
2.70000000
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
1257357.46000000
PA
USD
1263345.62000000
0.196270371956
Long
ABS-MBS
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4387 DA
3137BDY83
260083.29000000
PA
USD
265113.46000000
0.041187396846
Long
DBT
USGA
US
N
2
2032-01-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 4.875000% 11/01/2022
6174824M3
1450000.00000000
PA
USD
1504763.01000000
0.233776403703
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.87500000
N
N
N
N
N
N
MTRO COMMERCIAL MORTGAGE TRUST
N/A
MTRO COMMERCIAL MORTGAGE TRUST 2019-TECH MTRO 2019-TECH A
55378MAA7
775000.00000000
PA
USD
773105.98000000
0.120107907016
Long
ABS-MBS
US
N
2
2033-12-15
Floating
0.98925120
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1
12597QAA4
191911.45000000
PA
USD
192129.25000000
0.029848743498
Long
ABS-MBS
US
N
2
2065-04-27
Floating
1.50599880
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN VARIABLE RATE 05/28/2024
06051GJX8
1350000.00000000
PA
USD
1351316.25000000
0.209937279885
Long
DBT
CORP
US
N
2
2024-05-28
Floating
0.59298840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 03/15/2023
912828ZD5
23745000.00000000
PA
USD
23794159.51000000
3.696604051559
Long
SN
UST
US
N
2
2023-03-15
Fixed
0.50000000
N
N
N
N
N
N
VIBRANT CLO LTD
N/A
VIBRANT CLO VI LTD VIBR 2017-6A AR
92558EAJ1
1250000.00000000
PA
USD
1249348.75000000
0.194095851510
Long
ABS-CBDO
CORP
KY
Y
2
2029-06-20
Floating
1.07200080
N
N
N
N
N
N
UBS AG LONDON BRANCH
N/A
UBS AG/LONDON 144A 0.700000% 08/09/2024
902674YK0
850000.00000000
PA
USD
840965.22000000
0.130650357209
Long
DBT
NUSS
CH
N
2
2024-08-09
Fixed
0.70000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-4 MORTGAGE LOAN TRUST COLT 2021-4 A1
19688GAA1
1143962.81000000
PA
USD
1138182.14000000
0.176825271275
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.39700160
N
N
N
N
N
N
MISSISSIPPI POWER COMPANY
LNZ0J6YZ5SC6ILIRU850
MISSISSIPPI POWER CO VARIABLE RATE 06/28/2024
605417CC6
740000.00000000
PA
USD
735539.64000000
0.114271689746
Long
DBT
CORP
US
N
2
2024-06-28
Floating
0.35000280
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2020-Z2 AFFRM 2020-Z2 A
00834AAA7
418064.05000000
PA
USD
420360.02000000
0.065306133313
Long
ABS-MBS
US
Y
2
2025-01-15
Fixed
1.90000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 144A 0.972000% 02/15/2024
595017AV6
610000.00000000
PA
USD
604388.76000000
0.093896400837
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-INV3 VERUS 2019-INV3 A1
92537MAA8
202527.30000000
PA
USD
205159.00000000
0.031873014480
Long
ABS-MBS
US
N
2
2059-11-25
Floating
2.69200080
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2011-158 CA
38378AU90
309258.30000000
PA
USD
314677.90000000
0.048887610406
Long
DBT
USGA
US
N
2
2026-10-20
Fixed
3.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6 NRZT 2017-6A A1
64830BAA5
488972.45000000
PA
USD
515648.10000000
0.080109862877
Long
ABS-MBS
US
N
2
2057-08-27
Floating
3.99999960
N
N
N
N
N
N
VERDE CDO
N/A
VERDE CLO LTD VERDE 2019-1A XR
92338BAL9
525000.00000000
PA
USD
524998.95000000
0.081562588702
Long
ABS-CBDO
CORP
KY
Y
2
2032-04-15
Floating
0.87374880
N
N
N
N
N
N
LENDBUZZ SECURITIZATION TRUST
N/A
CORPORATE CMO LENDBUZZ SECURITISATION TRUST
52607BAA1
1560129.56000000
PA
USD
1556545.94000000
0.241821276596
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
1.46000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-AFC1 TRUST CSMC 2021-AFC1 A1
12657LAA2
647665.13000000
PA
USD
641043.01000000
0.099590917972
Long
ABS-MBS
US
Y
2
2056-03-25
Floating
0.83000160
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2015-CCRE22 MORTGAGE TRUST COMM 2015-CR22 A2
12592XAZ9
259986.39000000
PA
USD
260066.99000000
0.040403389264
Long
ABS-MBS
US
N
2
2048-03-10
Fixed
2.85600000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
840185.45000000
PA
USD
840185.28000000
0.130529187585
Long
ABS-MBS
US
N
2
2036-10-15
Floating
1.01025000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 1993-58 H
31358UC95
827.32000000
PA
USD
845.97000000
0.000131427887
Long
DBT
USGA
US
N
2
2023-04-25
Fixed
5.50000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2019-2 DTAOT 2019-2A C
26252TAE6
694165.74000000
PA
USD
699303.54000000
0.108642135400
Long
ABS-MBS
US
N
2
2025-02-18
Fixed
3.18000000
N
N
N
N
N
N
HOUSTON TEX ARPT SYS REV
N/A
HOUSTON TX ARPT SYS REVENUE CITY OF HOUSTON TX AIRPORT SYSTEM REVENUE
442349EJ1
180000.00000000
PA
USD
180660.46000000
0.028066979550
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
0.88300000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K32 MORTGAGE TRUST FREMF 2013-K32 B
30291NAE4
1450000.00000000
PA
USD
1504145.90000000
0.233680530961
Long
ABS-MBS
US
N
2
2046-10-25
Floating
3.64477680
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE AUTO RECEIVABLES TRUST 2021-1 DRIVE 2021-1 B
262108AD5
385000.00000000
PA
USD
384786.56000000
0.059779525142
Long
ABS-MBS
US
N
2
2025-07-15
Fixed
0.65000000
N
N
N
N
N
N
BPR TRUST
N/A
BPR TRUST 2021-TY BPR 2021-TY A
05592AAA8
1930000.00000000
PA
USD
1929418.49000000
0.299749869470
Long
ABS-MBS
US
Y
2
2038-09-15
Floating
1.14000120
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2020-1 FCAT 2020-1 A
33843FAA6
163112.18000000
PA
USD
163994.80000000
0.025477842235
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
1.90000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2005-A6 JPMMT 2005-A6 7A1
466247UG6
26731.94000000
PA
USD
24965.04000000
0.003878509260
Long
ABS-MBS
US
N
2
2035-08-25
Floating
3.00542040
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2021-NQM2 TRUST MFRA 2021-NQM2 A1
55283WAA9
618421.13000000
PA
USD
614623.65000000
0.095486469014
Long
ABS-MBS
US
Y
2
2064-11-25
Floating
1.02899880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 344313
31375TN61
487.86000000
PA
USD
489.91000000
0.000076111252
Long
DBT
USGA
US
N
2
2025-11-01
Floating
2.23700040
N
N
N
N
N
N
CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV
N/A
CHICAGO IL TRANSIT AUTH SALES CHICAGO TRANSIT AUTHORITY SALES TAX RECEIPTS FUND
16772PCJ3
145000.00000000
PA
USD
147211.90000000
0.022870490792
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
1.83800000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC 144A 2.450000% 01/15/2023
25746UDC0
800000.00000000
PA
USD
814956.46000000
0.126609698090
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.45000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-3 AMCAR 2020-3 C
03066PAE9
1225000.00000000
PA
USD
1224501.55000000
0.190235649591
Long
ABS-MBS
US
N
2
2026-08-18
Fixed
1.06000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2001-33 FA
31359S6L9
4231.87000000
PA
USD
4251.96000000
0.000660574396
Long
DBT
USGA
US
N
2
2031-07-25
Floating
0.54200160
N
N
N
N
N
N
GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C.
N/A
GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIE GALC 2021-2 A2
39154TBP2
765000.00000000
PA
USD
762786.55000000
0.118504704905
Long
ABS-MBS
US
Y
2
2024-03-15
Fixed
0.38000000
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
1675000.00000000
PA
USD
1691677.14000000
0.262814938557
Long
ABS-MBS
US
N
2
2028-11-15
Fixed
2.38000000
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE VARIABLE RATE 03/18/2024
808513BM6
1000000.00000000
PA
USD
1002894.00000000
0.155807227489
Long
DBT
CORP
US
N
2
2024-03-18
Floating
0.54956880
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST
N/A
ONEMAIN FINANCIAL ISSUANCE TRUST 2018-1 OMFIT 2018-1A A
68267BAA8
186353.36000000
PA
USD
186522.92000000
0.028977757398
Long
ABS-MBS
US
N
2
2029-03-14
Fixed
3.30000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC VARIABLE RATE 03/25/2024
00206RMH2
1575000.00000000
PA
USD
1575913.59000000
0.244830188654
Long
DBT
CORP
US
N
2
2024-03-25
Floating
0.69000120
N
N
N
N
N
N
BMW US CAPITAL, LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAPITAL LLC 144A VARIABLE RATE 04/01/2024
05565EBN4
1685000.00000000
PA
USD
1696750.67000000
0.263603150116
Long
DBT
CORP
DE
N
2
2024-04-01
Floating
0.57999960
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS
N/A
15400000.00000000
PA
USD
15400000.00000000
2.392507386952
Long
RA
US
N
2
Repurchase
Y
0.05000040
N/A
9321722.42177230
USD
9508156.87000000
USD
AMBS
6078278.05422040
USD
6199843.61000000
USD
UST
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-5 IMM 2005-5 A1
45254NPU5
20724.80000000
PA
USD
20200.58000000
0.003138314082
Long
ABS-MBS
US
N
2
2035-08-25
Floating
0.73163160
N
N
N
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLOBAL FUNDING I 144A 0.900000% 06/08/2023
59217GEH8
575000.00000000
PA
USD
577047.55000000
0.089648735454
Long
DBT
CORP
US
N
2
2023-06-08
Fixed
0.90000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A
05609VAA3
540000.00000000
PA
USD
537292.22000000
0.083472441902
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
0.78950880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-97 KA
3136AGCX8
58519.87000000
PA
USD
60367.03000000
0.009378478259
Long
DBT
USGA
US
N
2
2031-11-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4379 CB
3137BCZG6
155535.54000000
PA
USD
158750.32000000
0.024663072290
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
2.25000000
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
503441.25000000
PA
USD
522819.66000000
0.081224019389
Long
ABS-MBS
US
N
2
2059-01-15
Fixed
3.32400000
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2020-3 UPST 2020-3 A
91680EAA3
670664.38000000
PA
USD
673142.02000000
0.104577743851
Long
ABS-MBS
US
Y
2
2030-11-20
Fixed
1.70200000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM4 CSMC 2021-NQM4 A1
12659PAA1
1221505.03000000
PA
USD
1211977.54000000
0.188289949173
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.10099880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4030 AN
3137APJB7
469149.40000000
PA
USD
475630.37000000
0.073892803485
Long
DBT
USGA
US
N
2
2027-04-15
Fixed
1.75000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C3 UBSCM 2017-C3 ASB
90276GAQ5
1000000.00000000
PA
USD
1053248.40000000
0.163630167356
Long
ABS-MBS
US
N
2
2050-08-15
Fixed
3.21500000
N
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-1 CAALT 2020-1A A
22534GAA1
885000.00000000
PA
USD
893231.30000000
0.138770291136
Long
ABS-MBS
US
N
2
2029-02-15
Fixed
2.01000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1 STAR 2020-1 A1
85573AAA3
199606.36000000
PA
USD
200575.27000000
0.031160897085
Long
ABS-MBS
US
N
2
2050-02-25
Floating
2.27499840
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1
670857AA9
901286.98000000
PA
USD
897126.37000000
0.139375419951
Long
ABS-MBS
US
Y
2
2061-05-25
Floating
1.10099880
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2019-4 GCAR 2019-4A A
36258HAA3
25651.07000000
PA
USD
25681.80000000
0.003989863390
Long
ABS-MBS
US
N
2
2023-11-15
Fixed
2.47000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST
N/A
HPEFS EQUIPMENT TRUST 2021-2 HPEFS 2021-2A B
40441JAD3
535000.00000000
PA
USD
530271.78000000
0.082381763035
Long
ABS-MBS
US
Y
2
2028-09-20
Fixed
0.61000000
N
N
N
N
N
N
MACQUARIE GROUP LIMITED
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD MTN VARIABLE RATE 10/14/2025
55608JBB3
825000.00000000
PA
USD
825221.93000000
0.128204517103
Long
DBT
NUSS
AU
N
2
2025-10-14
Floating
0.75741120
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2020-3 DTAOT 2020-3A A
26253AAA4
393694.51000000
PA
USD
393887.26000000
0.061193388258
Long
ABS-MBS
US
Y
2
2024-04-15
Fixed
0.54000000
N
N
N
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE VII LTD MAGNE 2012-7A A1R2
55951PBA4
1225701.94000000
PA
USD
1227295.35000000
0.190669687717
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
0.92374920
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2016-GS4 GSMS 2016-GS4 A2
36251XAP2
5513.73000000
PA
USD
5543.25000000
0.000861186141
Long
ABS-MBS
US
N
2
2049-11-10
Fixed
2.90500000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-2 IMM 2005-2 1A1
45254NMY0
28327.96000000
PA
USD
28348.72000000
0.004404189740
Long
ABS-MBS
US
N
2
2035-04-25
Floating
0.61162920
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-A SMB 2021-A A1
78448YAA9
604391.83000000
PA
USD
604874.56000000
0.093971873570
Long
ABS-MBS
US
Y
2
2053-01-15
Floating
0.58950000
N
N
N
N
N
N
BANQUE NATIONALE DU CANADA
BSGEFEIOM18Y80CKCV46
NATIONAL BANK OF CANADA 0.900000% 08/15/2023
63307A2L8
850000.00000000
PA
USD
851241.74000000
0.132246892924
Long
DBT
CORP
CA
N
2
2023-08-15
Fixed
0.90000000
N
N
N
N
N
N
SG RESIDENTIAL MORTGAGE TRUST
N/A
SG RESIDENTIAL MORTGAGE TRUST 2021-1 SGR 2021-1 A1
784212AA0
1302357.66000000
PA
USD
1290797.93000000
0.200535297570
Long
ABS-MBS
US
Y
2
2061-07-25
Floating
1.15999920
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-III LTD CIFC 2015-3A AR
12550MAJ9
321993.49000000
PA
USD
322148.05000000
0.050048155150
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
0.99362880
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A
33846QAA9
661367.72000000
PA
USD
657113.21000000
0.102087546038
Long
ABS-MBS
US
Y
2
2027-07-15
Fixed
0.36000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-1 WLAKE 2021-1A B
96043FAD5
950000.00000000
PA
USD
948194.43000000
0.147309232340
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
0.64000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-1 NRZT 2019-1A A1
64830CAA3
217918.10000000
PA
USD
227131.15000000
0.035286555466
Long
ABS-MBS
US
N
2
2057-09-25
Floating
3.99999960
N
N
N
N
N
N
SYMPHONY STATIC CLO LTD
N/A
SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A
87190TAA1
1110000.00000000
PA
USD
1109720.28000000
0.172403504373
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-25
Floating
0.95910840
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 2.750000% 04/16/2022
80414L2A2
3525000.00000000
PA
USD
3552530.25000000
0.551912653603
Long
DBT
NUSS
SA
N
2
2022-04-16
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ4793
3138YWKF3
366027.64000000
PA
USD
387189.03000000
0.060152767170
Long
DBT
USGA
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC MTN 1.550000% 08/01/2024
23371DAJ3
965000.00000000
PA
USD
946954.50000000
0.147116599763
Long
DBT
CORP
AE
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-1 AOMT 2020-1 A1
03464RAA1
69896.83000000
PA
USD
70101.93000000
0.010890869179
Long
ABS-MBS
US
N
2
2059-12-25
Floating
2.46600000
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE COMPANY
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE CO 4.450000% 10/02/2023
42824CBG3
675000.00000000
PA
USD
714042.90000000
0.110932007328
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2018-1 AMCAR 2018-1 C
03066HAF4
482537.69000000
PA
USD
487623.11000000
0.075755967059
Long
ABS-MBS
US
N
2
2024-01-18
Fixed
3.50000000
N
N
N
N
N
N
CONAGRA BRANDS, INC.
54930035UDEIH090K650
CONAGRA BRANDS INC 0.500000% 08/11/2023
205887CG5
675000.00000000
PA
USD
670474.13000000
0.104163266804
Long
DBT
CORP
US
N
2
2023-08-11
Fixed
0.50000000
N
N
N
N
N
N
SKYWORKS SOLUTIONS, INC.
549300WZ3ORQ2BVKBD96
SKYWORKS SOLUTIONS INC 0.900000% 06/01/2023
83088MAJ1
210000.00000000
PA
USD
209312.40000000
0.032518276829
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.90000000
N
N
N
N
N
N
HPS LOAN MANAGEMENT LTD
N/A
HPS LOAN MANAGEMENT 14-2019 LTD HLM 14A-19 XR
40437WAN8
724999.99000000
PA
USD
724818.02000000
0.112606004353
Long
ABS-CBDO
CORP
KY
Y
2
2034-01-25
Floating
0.72388080
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIV LTD LCM 24A AR
50188YAE4
1000000.00000000
PA
USD
1000669.00000000
0.155461556778
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-20
Floating
1.11150000
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS, LTD.
N/A
OCTAGON INVESTMENT PARTNERS XVI LTD OCT16 2013-1A A1R
67590BAQ3
350000.00000000
PA
USD
350122.85000000
0.054394253569
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
1.14225120
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2018-CH3 SEMT 2018-CH3 A11
81746WAL2
0.01000000
PA
USD
0.01000000
0.000000001553
Long
ABS-MBS
US
N
2
2048-08-25
Floating
3.99999960
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS, LTD.
N/A
OCTAGON INVESTMENT PARTNERS XXI LTD OCT21 2014-1A XR3
67590QBJ5
100000.00000000
PA
USD
99974.90000000
0.015531862776
Long
ABS-CBDO
CORP
KY
Y
2
2031-02-14
Floating
0.80600040
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2020-2 DRMT 2020-2 A1
24380NAA7
230033.46000000
PA
USD
229936.16000000
0.035722335151
Long
ABS-MBS
US
N
2
2065-05-25
Fixed
1.69200000
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-II LTD CIFC 2015-2A AR2
12550LAS1
1550000.00000000
PA
USD
1550545.60000000
0.240889078039
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
1.13375160
N
N
N
N
N
N
RIVERSIDE CNTY CALIF INFRASTRUCTURE FING AUTH LEASE REV
N/A
RIVERSIDE CNTY CA INFRASTRUCTU RIVERSIDE COUNTY INFRASTRUCTURE FINANCING AUTHORIT
76913DFT9
1460000.00000000
PA
USD
1460028.91000000
0.226826620281
Long
DBT
MUN
US
N
2
2022-11-01
Fixed
0.39800000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2020-3 FCAT 2020-3 A
33844TAA5
124060.20000000
PA
USD
124234.41000000
0.019300762573
Long
ABS-MBS
US
N
2
2025-04-15
Fixed
0.70000000
N
N
N
N
N
N
REGIONAL MANAGEMENT ISSUANCE TRUST (RMGIT)
N/A
REGIONAL MANAGEMENT ISSUANCE TRUST 2019-1 RMIT 2019-1 A
75907TAA0
159027.28000000
PA
USD
159734.04000000
0.024815900691
Long
ABS-MBS
US
N
2
2028-11-15
Fixed
3.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2012-M9 A2
3136A72D3
64368.91000000
PA
USD
64623.33000000
0.010039726908
Long
DBT
USGA
US
N
2
2022-04-25
Fixed
2.48200000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 1.700000% 11/15/2023
694308JY4
525000.00000000
PA
USD
524474.29000000
0.081481078772
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.70000000
N
N
N
N
N
N
NORDSTROM, INC.
549300S3IZB5P35KNV16
NORDSTROM INC 2.300000% 04/08/2024
655664AX8
530000.00000000
PA
USD
522050.00000000
0.081104446841
Long
DBT
CORP
US
N
2
2024-04-08
Fixed
2.30000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2020-F A
69335PDV4
2015000.00000000
PA
USD
2020874.93000000
0.313958324554
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
0.93000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 3.666000% 01/25/2022
35137LAF2
120000.00000000
PA
USD
120571.78000000
0.018731745084
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
3.66600000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-2 DTAOT 2021-2A B
23345EAC9
530000.00000000
PA
USD
529237.17000000
0.082221028485
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
0.81000000
N
N
N
N
N
N
MUFG Union Bank, N.A.
OX3PU53ZLPQKJ4700D47
MUFG UNION BANK NA VARIABLE RATE 03/07/2022
90520EAJ0
1375000.00000000
PA
USD
1376329.78000000
0.213823322437
Long
DBT
CORP
US
N
2
2022-03-07
Floating
0.71550000
N
N
N
N
N
N
CARBONE CLO
N/A
CARBONE CLO LTD CRBN 2017-1A A1
141312AA6
350000.00000000
PA
USD
350102.55000000
0.054391099809
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.27149840
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 0.627000% 11/17/2023
38141GXL3
895000.00000000
PA
USD
892680.04000000
0.138684648693
Long
DBT
CORP
US
N
2
2023-11-17
Fixed
0.62700000
N
N
N
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE VIII LTD MAGNE 2014-8A AR2
55952YAP2
685000.00000000
PA
USD
685263.04000000
0.106460836701
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.10612880
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1
89173UAA5
468896.24000000
PA
USD
477663.47000000
0.074208661068
Long
ABS-MBS
US
N
2
2057-06-25
Floating
2.75000040
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021-3R A1
19688DAA8
642084.87000000
PA
USD
639754.68000000
0.099390766086
Long
ABS-MBS
US
Y
2
2064-12-25
Floating
1.05099840
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-CM1 TRUST GCAT 2021-CM1 A
36168AAA7
1076872.40000000
PA
USD
1073169.68000000
0.166725090055
Long
ABS-MBS
US
Y
2
2065-04-25
Floating
1.46900160
N
N
N
N
N
N
ILLUMINA, INC.
SQ95QG8SR5Q56LSNF682
ILLUMINA INC 0.550000% 03/23/2023
452327AL3
1000000.00000000
PA
USD
996506.26000000
0.154814843389
Long
DBT
CORP
US
N
2
2023-03-23
Fixed
0.55000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2019-3 LLC EFF 2019-3 A2
29374WAB2
664804.42000000
PA
USD
670890.04000000
0.104227881593
Long
ABS-MBS
US
N
2
2025-05-20
Fixed
2.06000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-1 B
02528BAC8
3195000.00000000
PA
USD
3195124.61000000
0.496386963094
Long
ABS-MBS
US
Y
2
2025-03-13
Fixed
0.61000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND TRUST
N/A
BAYVIEW OPPORTUNITY MASTER FUND IVB TRUST 2017-RT6 BOMFT 2017-RT6 A
07332GAA6
286121.81000000
PA
USD
286915.48000000
0.044574506839
Long
ABS-MBS
US
N
2
2057-10-28
Floating
3.49999920
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
1713978.32000000
PA
USD
1713977.98000000
0.266279544040
Long
ABS-MBS
US
N
2
2036-10-15
Floating
1.01025000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2021-1 GCAR 2021-1A B
36261AAC9
1235000.00000000
PA
USD
1235819.42000000
0.191993966966
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.82000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A B
96042RAD0
485000.00000000
PA
USD
482628.93000000
0.074980083128
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
0.62000000
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST
N/A
ONEMAIN FINANCIAL ISSUANCE TRUST 2019-1 OMFIT 2019-1A A
68267DAA4
221157.39000000
PA
USD
221310.39000000
0.034382256031
Long
ABS-MBS
US
N
2
2031-02-14
Fixed
3.48000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM1 IMPRL 2021-NQM1 A1
452764AA1
1014930.27000000
PA
USD
1003197.68000000
0.155854406491
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.07100000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK ABP 144A 1.000000% 06/09/2023
65557CBE2
875000.00000000
PA
USD
878785.84000000
0.136526078814
Long
DBT
NUSS
FI
N
2
2023-06-09
Fixed
1.00000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 4.250000% 05/15/2023
37045XAL0
800000.00000000
PA
USD
837171.59000000
0.130060987871
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
FCI FUNDING LIMITED
N/A
FCI FUNDING 2021-1 LLC FCITL 2021-1A A
30260GAA4
393852.14000000
PA
USD
392575.55000000
0.060989604111
Long
ABS-MBS
US
Y
2
2033-04-15
Fixed
1.13000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2019-4 DTAOT 2019-4A B
23343JAC0
316081.83000000
PA
USD
316449.28000000
0.049162807791
Long
ABS-MBS
US
N
2
2024-01-16
Fixed
2.36000000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
2421314.93000000
PA
USD
2453464.18000000
0.381164361965
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM1 CSMC 2021-NQM1 A1
126407AA3
835184.64000000
PA
USD
832170.54000000
0.129284036633
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.80899920
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST
N/A
SECURITIZED TERM AUTO RECEIVABLES TRUST 2019-1 SSTRT 2019-1A A3
81377DAC0
95772.07000000
PA
USD
96099.99000000
0.014929865971
Long
ABS-MBS
CA
N
2
2023-02-27
Fixed
2.98600000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-2 MORTGAGE LOAN TRUST COLT 2020-2 A1
19688JAA5
392219.84000000
PA
USD
393201.72000000
0.061086884393
Long
ABS-MBS
US
N
2
2065-03-25
Floating
1.85299920
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 04/22/2027
46647PCF1
1600000.00000000
PA
USD
1619318.19000000
0.251573424117
Long
DBT
CORP
US
N
2
2027-04-22
Floating
0.92511000
N
N
N
N
N
N
NISSAN MASTER OWNER TRUST RECEIVABLES
N/A
NISSAN MASTER OWNER TRUST RECEIVABLES NMOTR 2019-A A
65474VAQ4
2000000.00000000
PA
USD
2001428.80000000
0.310937220029
Long
ABS-MBS
US
N
2
2024-02-15
Floating
0.64950120
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 A1
89177HAA0
382529.95000000
PA
USD
383992.29000000
0.059656129244
Long
ABS-MBS
US
N
2
2058-05-25
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
2306779.06000000
NS
USD
2306779.06000000
0.358375710462
Long
STIV
RF
US
N
2
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2015-CCRE23 MORTGAGE TRUST COMM 2015-CR23 A2
12593AAX3
407830.08000000
PA
USD
412544.60000000
0.064091948243
Long
ABS-MBS
US
N
2
2048-05-10
Fixed
2.85200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-HQ2 M3
3137G0FJ3
389894.07000000
PA
USD
394979.46000000
0.061363069853
Long
DBT
USGA
US
N
2
2025-05-25
Floating
3.34199880
N
N
N
N
N
N
CARGILL, INCORPORATED
QXZYQNMR4JZ5RIRN4T31
CARGILL INC 144A 1.375000% 07/23/2023
141781BL7
475000.00000000
PA
USD
479849.40000000
0.074548261956
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
PACIFIC LIFE GLOBAL FUNDING II
6354003EUPCHXTWUU869
PACIFIC LIFE GLOBAL FUNDING II 144A 0.500000% 09/23/2023
6944PL2C2
735000.00000000
PA
USD
731661.11000000
0.113669130546
Long
DBT
CORP
US
N
2
2023-09-23
Fixed
0.50000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST
N/A
TESLA AUTO LEASE TRUST 2019-A TESLA 2019-A A2
88165GAB6
16858.07000000
PA
USD
16873.41000000
0.002621412861
Long
ABS-MBS
US
N
2
2022-04-20
Fixed
2.13000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2017-CH2 SEMT 2017-CH2 A10
81746JAK3
0.02000000
PA
USD
0.02000000
0.000000003107
Long
ABS-MBS
US
N
2
2047-12-25
Floating
3.99999960
N
N
N
N
N
N
INTER AMERICAN DEVELOPMENT BANK
VKU1UKDS9E7LYLMACP54
INTER-AMERICAN DEVELOPMENT BANK VARIABLE RATE 09/16/2022
45818WCP9
3645000.00000000
PA
USD
3650840.75000000
0.567185939153
Long
DBT
NUSS
XX
N
2
2022-09-16
Floating
0.30999960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-DNA3 M3
3137G0GW3
1216529.63000000
PA
USD
1255142.65000000
0.194995978039
Long
DBT
USGA
US
N
2
2028-04-25
Floating
4.79199960
N
N
N
N
N
N
CFMT TRUST
N/A
CFMT 2021-AL1 LLC CFMT 2021-AL1 B
12529UAF7
1500000.00000000
PA
USD
1500841.35000000
0.233167143929
Long
ABS-MBS
US
Y
2
2031-09-22
Fixed
1.39000000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST 2005-AR4 GSR 2005-AR4 2A1
362341FH7
124954.89000000
PA
USD
87005.54000000
0.013516973841
Long
ABS-MBS
US
N
2
2035-07-25
Floating
2.63328840
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC VARIABLE RATE 09/15/2023
25746UDH9
2466000.00000000
PA
USD
2466569.74000000
0.383200410609
Long
DBT
CORP
US
N
2
2023-09-15
Floating
0.64599840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
MORTGAGE-LINKED AMORTIZING NOTES MLAN 2012-1 A10
3134G3KS8
172709.56000000
PA
USD
173059.90000000
0.026886174619
Long
ABS-MBS
US
N
2
2022-01-15
Fixed
2.06000000
N
N
N
N
N
N
ARABELLA FINANCE LIMITED
213800K6AD4EJPK3IP83
ARABELLA FIN LTD / ARABELLA COMMERCIAL PAPER
03846WA76
4200000.00000000
PA
USD
4198603.50000000
0.652285057703
Long
ABS-APCP
US
N
2
2022-01-07
None
0.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 2.700000% 09/26/2022
928668AZ5
1125000.00000000
PA
USD
1143237.62000000
0.177610678629
Long
DBT
CORP
DE
N
2
2022-09-26
Fixed
2.70000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1
10569EAA9
564179.87000000
PA
USD
562010.20000000
0.087312568509
Long
ABS-MBS
US
Y
2
2060-03-25
Floating
0.96999840
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-3 B
025286AB1
590000.00000000
PA
USD
587608.73000000
0.091289495270
Long
ABS-MBS
US
Y
2
2026-02-13
Fixed
0.66000000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A2
35105UAB9
535000.00000000
PA
USD
533604.88000000
0.082899585526
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.40000000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2020-A ARIFL 2020-A A2
00217TAB1
468709.14000000
PA
USD
470254.90000000
0.073057683246
Long
ABS-MBS
US
N
2
2028-08-15
Fixed
1.77000000
N
N
N
N
N
N
LENNAR CORPORATION
529900G61XVRLX5TJX09
LENNAR CORP 4.750000% 11/15/2022
526057BN3
1245000.00000000
PA
USD
1278303.75000000
0.198594231470
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
4.75000000
N
N
N
N
N
N
FIFTH THIRD BANK, NATIONAL ASSOCIATION
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK NA MTN 1.800000% 01/30/2023
31677QBS7
250000.00000000
PA
USD
252996.84000000
0.039304987569
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
1.80000000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC VARIABLE RATE 03/28/2022
345397YJ6
750000.00000000
PA
USD
749116.36000000
0.116380936687
Long
DBT
CORP
US
N
2
2022-03-28
Floating
1.40225040
N
N
N
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC 0.600000% 08/15/2023
928563AG0
830000.00000000
PA
USD
825092.97000000
0.128184482184
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
0.60000000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 08/23/2024
74256LER6
1300000.00000000
PA
USD
1301817.09000000
0.202247208070
Long
DBT
CORP
US
N
2
2024-08-23
Floating
0.43000200
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1
92538LAA9
294488.79000000
PA
USD
294487.23000000
0.045750835918
Long
ABS-MBS
US
N
2
2065-05-25
Floating
1.50199920
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2021-LGCY BX 2021-LGCY A
12434DAA0
1200000.00000000
PA
USD
1188962.76000000
0.184714427669
Long
ABS-MBS
US
Y
2
2023-10-15
Floating
0.59600160
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3 BRAVO 2021-NQM3 A1
105690AA9
726905.14000000
PA
USD
725089.33000000
0.112648154430
Long
ABS-MBS
US
Y
2
2060-04-26
Floating
1.69899840
N
N
N
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC VARIABLE RATE 02/17/2023
29250NBD6
1885000.00000000
PA
USD
1884491.05000000
0.292770049205
Long
DBT
NUSS
CA
N
2
2023-02-17
Floating
0.45000000
N
N
N
N
N
N
NEXTGEAR FLOORPLAN MASTER OWNER TRUST
N/A
NEXTGEAR FLOORPLAN MASTER OWNER TRUST NFMOT 2020-1A A1
65341KBM7
2250000.00000000
PA
USD
2265831.68000000
0.352014222856
Long
ABS-MBS
US
N
2
2025-02-15
Floating
0.88949880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4385 Q
3137BDV94
227.96000000
PA
USD
227.86000000
0.000035399787
Long
DBT
USGA
US
N
2
2039-07-15
Fixed
3.00000000
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
594598.24000000
PA
USD
587380.47000000
0.091254033339
Long
ABS-MBS
US
Y
2
2069-05-15
Fixed
0.84000000
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2
257812AD9
1010000.00000000
PA
USD
1006434.30000000
0.156357240080
Long
ABS-MBS
US
Y
2
2034-12-11
Fixed
0.56000000
N
N
N
N
N
N
INTERNATIONAL FLAVORS & FRAGRANCES INC.
BZLRL03D3GPGMOGFO832
INTERNATIONAL FLAVORS & FRAGRANCES INC 144A 0.697000% 09/15/2022
459506AM3
380000.00000000
PA
USD
380217.18000000
0.059069637129
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
0.69700000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM3 CSMC 2021-NQM3 A1
12660LAA7
1141844.68000000
PA
USD
1132646.55000000
0.175965275174
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
1.01499840
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 0.731000% 04/05/2024
61772BAA1
600000.00000000
PA
USD
598468.59000000
0.092976657300
Long
DBT
CORP
US
N
2
2024-04-05
Fixed
0.73100000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC VARIABLE RATE 11/03/2023
65339KBX7
1325000.00000000
PA
USD
1322634.88000000
0.205481410431
Long
DBT
CORP
US
N
2
2023-11-03
Floating
0.45000360
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1RMORTGAGE PASS-THROUGH CERTIFICATES COLT 2021-1R A1
19688BAA2
818346.30000000
PA
USD
814297.61000000
0.126507340720
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.85700160
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2013-2 LTD INGIM 2013-2A A1R
92916WAA7
950000.00000000
PA
USD
951140.00000000
0.147766849092
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
1.09388160
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2018-A MMAF 2018-A A3
60700DAC2
27846.75000000
PA
USD
27869.55000000
0.004329747028
Long
ABS-MBS
US
N
2
2022-09-12
Fixed
3.20000000
N
N
N
N
N
N
GALAXY CLO, LTD
N/A
GALAXY XV CLO LTD GALXY 2013-15A ARR
36318WAK6
1000000.00000000
PA
USD
1000246.00000000
0.155395840504
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
1.09374840
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2019-3 FCAT 2019-3 C
33846AAE6
1000000.00000000
PA
USD
1021410.00000000
0.158683829227
Long
ABS-MBS
US
N
2
2025-10-15
Fixed
2.74000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-39.00000000
NC
USD
-5101687.50000000
-0.79258604088
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Mar 2022
2022-03-25
-5028749.31000000
USD
-72938.19000000
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2021-B CPS 2021-B A
12656QAA2
409220.44000000
PA
USD
409070.26000000
0.063552183041
Long
ABS-MBS
US
Y
2
2025-03-17
Fixed
0.37000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 0.550000% 01/22/2024
63859UBG7
750000.00000000
PA
USD
740753.78000000
0.115081746140
Long
DBT
NUSS
GB
N
2
2024-01-22
Fixed
0.55000000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST
N/A
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2020-1 COPAR 2020-1 A3
14043MAC5
622503.93000000
PA
USD
627428.37000000
0.097475779870
Long
ABS-MBS
US
N
2
2024-11-15
Fixed
1.60000000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2020-1 RMLT 2020-1 A1
76119CAA9
140663.72000000
PA
USD
141378.39000000
0.021964210547
Long
ABS-MBS
US
N
2
2024-02-25
Floating
2.37600000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2 EART 2021-2A B
30165XAD7
1275000.00000000
PA
USD
1271302.50000000
0.197506533915
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
0.57000000
N
N
N
N
N
N
CENTERPOINT ENERGY, INC.
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC VARIABLE RATE 05/13/2024
15189TAZ0
625000.00000000
PA
USD
624968.73000000
0.097093656048
Long
DBT
CORP
US
N
2
2024-05-13
Floating
0.69999840
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2020-B A
69335PDR3
1750000.00000000
PA
USD
1756752.38000000
0.272924873129
Long
ABS-MBS
US
N
2
2024-06-15
Fixed
1.21000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 0.650000% 08/03/2023
444859BP6
905000.00000000
PA
USD
900129.74000000
0.139842016374
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
0.65000000
N
N
N
N
N
N
MFA LLC
N/A
MFA 2021-INV1 TRUST MFRA 2021-INV1 A1
552747AA5
563012.18000000
PA
USD
558430.84000000
0.086756487649
Long
ABS-MBS
US
Y
2
2056-01-25
Floating
0.85200120
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2004-29 CWHL 2004-29 1A1
12669GHY0
11723.03000000
PA
USD
11483.90000000
0.001784111401
Long
ABS-MBS
US
N
2
2035-02-25
Floating
0.63163080
N
N
N
N
N
N
GALAXY CLO, LTD
N/A
GALAXY XXIII CLO LTD GALXY 2017-23A AR
36319TAN6
1415017.88000000
PA
USD
1417361.15000000
0.220197858529
Long
ABS-CBDO
CORP
KY
Y
2
2029-04-24
Floating
0.99388080
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4 SDART 2020-4 C
80286WAF3
860000.00000000
PA
USD
862274.70000000
0.133960947359
Long
ABS-MBS
US
N
2
2026-01-15
Fixed
1.01000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-2 SDART 2020-2 B
80285RAE8
1450000.00000000
PA
USD
1451656.92000000
0.225525967819
Long
ABS-MBS
US
N
2
2024-11-15
Fixed
0.96000000
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2021-1 FIAOT 2021-1A A
32059FAA7
582883.19000000
PA
USD
582436.41000000
0.090485935932
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
0.45000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TRUST
N/A
MERCEDES-BENZ AUTO LEASE TRUST 2020-B MBALT 2020-B A3
58769EAC2
1515000.00000000
PA
USD
1514701.70000000
0.235320454953
Long
ABS-MBS
US
N
2
2023-11-15
Fixed
0.40000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2021-3 GCAR 2021-3A A
36263LAA7
760132.60000000
PA
USD
759860.32000000
0.118050092769
Long
ABS-MBS
US
Y
2
2025-01-15
Fixed
0.42000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C NAVSL 2020-CA A1
63941KAA3
877289.11000000
PA
USD
878074.55000000
0.136415574491
Long
ABS-MBS
US
N
2
2068-11-15
Floating
0.83949840
N
N
N
N
N
N
NEW YORK ST URBAN DEV CORP REV
N/A
NEW YORK ST URBAN DEV CORP REV NEW YORK STATE URBAN DEVELOPMENT CORP
6500356Z6
1625000.00000000
PA
USD
1636098.10000000
0.254180311040
Long
DBT
MUN
US
N
2
2022-03-15
Fixed
2.55000000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST UACST 2021-1 B
90943UAB0
2025000.00000000
PA
USD
2025496.73000000
0.314676356413
Long
ABS-MBS
US
Y
2
2024-03-11
Fixed
0.68000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2020-1 GCAR 2020-1A A
36258XAA8
73996.31000000
PA
USD
74162.68000000
0.011521737645
Long
ABS-MBS
US
N
2
2024-02-15
Fixed
2.17000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1
19688EAA6
604209.29000000
PA
USD
598137.65000000
0.092925243249
Long
ABS-MBS
US
Y
2
2066-06-25
Floating
0.91000080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 555561
31385XFA0
8438.50000000
PA
USD
8452.48000000
0.001313157197
Long
DBT
USGA
US
N
2
2024-09-01
Floating
2.00499840
N
N
N
N
N
N
ASSET BACKED SECURITIES CORPORATION
N/A
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUS ABSHE 2006-HE1 A4
04541GVK5
807224.40000000
PA
USD
807185.98000000
0.125402494791
Long
ABS-MBS
US
N
2
2036-01-25
Floating
0.69162840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-46 BA
3136APPM8
79796.84000000
PA
USD
80241.51000000
0.012466130221
Long
DBT
USGA
US
N
2
2041-05-25
Fixed
3.00000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-4 DTAOT 2021-4A A
26253WAA6
2520000.00000000
PA
USD
2519568.32000000
0.391434143995
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.56000000
N
N
N
N
N
N
PACCAR FINANCIAL CORP.
PH3S12DWZBHHQKVYZ297
PACCAR FINANCIAL CORP MTN 0.800000% 06/08/2023
69371RQ82
320000.00000000
PA
USD
320429.85000000
0.049781219683
Long
DBT
CORP
US
N
2
2023-06-08
Fixed
0.80000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-B AFFRM 2021-B A
00834DAA1
740000.00000000
PA
USD
736354.69000000
0.114398313976
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
1.03000000
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XXX LTD MDPK 2018-30A A
55821TAA5
1666097.14000000
PA
USD
1666756.91000000
0.258943390872
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
0.87374880
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LOAN TRUST
N/A
STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-6 SAIL 2005-6 M2
86358EUB0
746060.53000000
PA
USD
745965.71000000
0.115891459194
Long
ABS-MBS
US
N
2
2035-07-25
Floating
0.87162840
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-3 IMM 2005-3 A1
45254NNP8
29299.38000000
PA
USD
28650.79000000
0.004451118617
Long
ABS-MBS
US
N
2
2035-08-25
Floating
0.57162960
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2021-2 LLC EFF 2021-2 A2
29374YAB8
515000.00000000
PA
USD
511077.76000000
0.079399825721
Long
ABS-MBS
US
Y
2
2027-05-20
Fixed
0.48000000
N
N
N
N
N
N
AQUA FINANCE TRUST
N/A
AQUA FINANCE TRUST 2021-A AQFIT 2021-A A
03842VAA5
518634.56000000
PA
USD
514627.74000000
0.079951342174
Long
ABS-MBS
US
Y
2
2046-07-17
Fixed
1.54000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2004-12 SEMT 2004-12 A1
81744FFY8
10537.48000000
PA
USD
10527.75000000
0.001635566210
Long
ABS-MBS
US
N
2
2035-01-20
Floating
0.63113040
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2021-3 MFT 2021-3A A
57108QAA1
555000.00000000
PA
USD
553967.37000000
0.086063053562
Long
ABS-MBS
US
Y
2
2031-12-15
Fixed
0.65000000
N
N
N
N
N
N
SALESFORCE.COM, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM INC 0.625000% 07/15/2024
79466LAG9
2740000.00000000
PA
USD
2716865.77000000
0.422085806758
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.62500000
N
N
N
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP 1.300000% 10/01/2023
448579AL6
340000.00000000
PA
USD
340141.34000000
0.052843549906
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
1.30000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2 WFCM 2015-NXS2 A2
94989MAB5
611184.77000000
PA
USD
621200.68000000
0.096508260758
Long
ABS-MBS
US
N
2
2058-07-15
Fixed
3.02000000
N
N
N
N
N
N
MACQUARIE BANK LIMITED
4ZHCHI4KYZG2WVRT8631
MACQUARIE BANK LTD MTN 0.441000% 12/16/2022
55608PBG8
675000.00000000
PA
USD
674034.47000000
0.104716392762
Long
DBT
NUSS
AU
N
2
2022-12-16
Fixed
0.44100000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A
14687DAA0
656580.55000000
PA
USD
654428.02000000
0.101670381303
Long
ABS-MBS
US
N
2
2028-01-10
Fixed
0.70000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2015-2 LTD VOYA 2015-2A AR
92914XAL3
1162423.29000000
PA
USD
1162293.10000000
0.180571092698
Long
ABS-CBDO
CORP
KY
N
2
2027-07-23
Floating
1.09388160
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO A
05608KAA8
1025000.00000000
PA
USD
1021879.49000000
0.158756768077
Long
ABS-MBS
US
Y
2
2038-05-15
Floating
0.74233080
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 03/16/2024
46647PCA2
2805000.00000000
PA
USD
2815259.93000000
0.437372089527
Long
DBT
CORP
US
N
2
2024-03-16
Floating
0.63000360
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-1 B
46591HAN0
792745.37000000
PA
USD
793649.34000000
0.123299474584
Long
ABS-MBS
US
N
2
2028-01-25
Fixed
0.99100000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2007-A3 JPMMT 2007-A3 1A1
46630UAA2
54826.50000000
PA
USD
51485.79000000
0.007998709928
Long
ABS-MBS
US
N
2
2037-05-25
Floating
3.05163000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-3 WLAKE 2020-3A A2
96042QAC4
501493.94000000
PA
USD
501713.29000000
0.077944983925
Long
ABS-MBS
US
Y
2
2024-05-15
Fixed
0.56000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 3.450000% 04/10/2022
37045XAW6
1450000.00000000
PA
USD
1457844.08000000
0.226487190287
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2021-N3 B
14687GAC9
1725000.00000000
PA
USD
1719194.51000000
0.267089971739
Long
ABS-MBS
US
N
2
2028-06-12
Fixed
0.66000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER COMPANY, INC.
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER CO INC VARIABLE RATE 11/01/2023
025537AS0
1430000.00000000
PA
USD
1430395.65000000
0.222222867460
Long
DBT
CORP
US
N
2
2023-11-01
Floating
0.61162920
N
N
N
N
N
N
Deutsche Bank AG (New York Branch)
N/A
DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/08/2023
251526CL1
1150000.00000000
PA
USD
1148608.50000000
0.178445085777
Long
DBT
NUSS
DE
N
2
2023-11-08
Floating
0.55000440
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2018-II LTD CIFC 2018-2A A1
17180WAA3
575000.00000000
PA
USD
575021.28000000
0.089333938964
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.17150120
N
N
N
N
N
N
CALIFORNIA CMNTY COLLEGE DISTS TAX & REV ANTIC NT PROG
N/A
CALIFORNIA CMNTY CLG DISTS TRA CALIFORNIA COMMUNITY COLLEGE DISTRICTS
13013KAA1
1585000.00000000
PA
USD
1584994.45000000
0.246240969474
Long
DBT
MUN
US
N
2
2021-12-30
Fixed
0.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2018-C03 1EA2
30711XK29
147198.10000000
PA
USD
146848.86000000
0.022814089760
Long
DBT
USGA
US
N
2
2030-10-25
Floating
0.94200120
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C6 UBSCM 2017-C6 ASB
90276UAU5
1000000.00000000
PA
USD
1061932.10000000
0.164979246343
Long
ABS-MBS
US
N
2
2050-12-15
Fixed
3.50420000
N
N
N
N
N
N
FREED ABS TRUST
N/A
FREED ABS TRUST 2021-3FP FREED 2021-3FP A
30322MAA7
269124.76000000
PA
USD
268863.57000000
0.041770005019
Long
ABS-MBS
US
Y
2
2028-11-20
Fixed
0.62000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2016-4 TPMT 2016-4 A1
89172UAA6
104720.40000000
PA
USD
105129.24000000
0.016332628784
Long
ABS-MBS
US
N
2
2056-07-25
Floating
2.25000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2017-1 LTD VOYA 2017-1A A1R
92916MAF8
1000000.00000000
PA
USD
1000804.00000000
0.155482530057
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-17
Floating
1.07224920
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP MTN 0.875000% 07/07/2023
02665WDK4
550000.00000000
PA
USD
551150.19000000
0.085625383175
Long
DBT
CORP
US
N
2
2023-07-07
Fixed
0.87500000
N
N
N
N
N
N
NEXTGEAR FLOORPLAN MASTER OWNER TRUST
N/A
NEXTGEAR FLOORPLAN MASTER OWNER TRUST NFMOT 2019-1A A1
65341KBF2
1140000.00000000
PA
USD
1141208.97000000
0.177295512388
Long
ABS-MBS
US
N
2
2024-02-15
Floating
0.73950120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-137 UE
3136AAL29
268003.89000000
PA
USD
272158.51000000
0.042281899064
Long
DBT
USGA
US
N
2
2041-09-25
Fixed
1.75000000
N
N
N
N
N
N
SCF EQUIPMENT LEASING LLC
N/A
SCF EQUIPMENT LEASING 2021-1 LLC SCFET 2021-1A A2
783897AB7
1465360.76000000
PA
USD
1461790.85000000
0.227100351091
Long
ABS-MBS
US
Y
2
2026-08-20
Fixed
0.42000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A A2A
96042RAB4
615000.00000000
PA
USD
614578.36000000
0.095479432867
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.32000000
N
N
N
N
N
N
DRIVETIME AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2020-2 DTAOT 2020-2A B
23343RAC2
1501000.00000000
PA
USD
1513055.58000000
0.235064717663
Long
ABS-MBS
US
N
2
2026-03-16
Fixed
2.08000000
N
N
N
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP VARIABLE RATE 10/01/2023
448579AM4
1150000.00000000
PA
USD
1152288.86000000
0.179016857756
Long
DBT
CORP
US
N
2
2023-10-01
Floating
1.10000160
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 NRZT 2017-3A A1
64828MAA5
205071.09000000
PA
USD
217431.87000000
0.033779698385
Long
ABS-MBS
US
N
2
2057-04-25
Floating
3.99999960
N
N
N
N
N
N
JACKSON FINANCIAL INC
213800WXW2KG1N4CO374
JACKSON FINANCIAL INC 144A 1.125000% 11/22/2023
46817MAH0
825000.00000000
PA
USD
824538.28000000
0.128098306865
Long
DBT
CORP
US
N
2
2023-11-22
Fixed
1.12500000
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-1 LTD CGMS 2014-1A A1R2
14310MAW7
996968.84000000
PA
USD
997290.86000000
0.154936736979
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
1.09225080
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-2 B
46591HAU4
1636401.96000000
PA
USD
1635342.23000000
0.254062880874
Long
ABS-MBS
US
Y
2
2028-02-25
Fixed
0.84000000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-1 DRMT 2021-1 A1
24380VAA9
334964.37000000
PA
USD
333146.22000000
0.051756804693
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.71499960
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-2 SDART 2021-2 B
80286XAD6
410000.00000000
PA
USD
408974.59000000
0.063537319977
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
0.59000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2019-2 LLC EFF 2019-2 A2
29374DAB4
300066.46000000
PA
USD
302826.02000000
0.047046330507
Long
ABS-MBS
US
N
2
2025-02-20
Fixed
2.29000000
N
N
N
N
N
N
BX TRUST
N/A
BX 2021-MFM1 BX 2021-MFM1 B
05608VAE6
1370000.00000000
PA
USD
1358882.31000000
0.211112724978
Long
ABS-MBS
US
Y
2
2034-01-15
Floating
1.03950000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A
83407CAA6
250648.35000000
PA
USD
249996.99000000
0.038838938005
Long
ABS-MBS
US
Y
2
2030-09-25
Fixed
0.49000000
N
N
N
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE VARIABLE RATE 10/18/2024
13607HYE6
825000.00000000
PA
USD
824518.19000000
0.128095185730
Long
DBT
NUSS
CA
N
2
2024-10-18
Floating
0.45110160
N
N
N
N
N
N
DEXT ABS LLC
N/A
DEXT ABS 2021-1 LLC DEXT 2021-1 A
23345CAA7
455000.00000000
PA
USD
454789.11000000
0.070654954881
Long
ABS-MBS
US
Y
2
2028-02-15
Fixed
1.12000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 144A VARIABLE RATE 06/10/2022
29878TDE1
3295000.00000000
PA
USD
3299349.40000000
0.512579078677
Long
DBT
NUSS
XX
N
2
2022-06-10
Floating
0.33999840
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A1
257812AC1
1315000.00000000
PA
USD
1315811.75000000
0.204421385176
Long
ABS-MBS
US
Y
2
2034-12-11
Floating
0.42113160
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-3 AOMT 2020-3 A1
03465LAA3
629622.37000000
PA
USD
632793.27000000
0.098309257979
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.69099920
N
N
N
N
N
N
THE PEOPLES GAS LIGHT AND COKE COMPANY
549300VH4MUMYIT6HH52
PEOPLES GAS LIGHT AND COKE COMMERCIAL PAPER
71112JZ15
4500000.00000000
PA
USD
4499985.02000000
0.699106974125
Long
ABS-APCP
US
N
2
2021-12-01
None
0.00000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-1.00000000
NC
USD
-121398.44000000
-0.01886017301
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2022
2022-04-03
-120466.99000000
USD
-931.45000000
N
N
N
Barton Capital S.A.
549300KOFKIMD0C37W24
BARTON CAPITAL CORP COMMERCIAL PAPER
06945LZF8
4500000.00000000
PA
USD
4499831.25000000
0.699083084783
Long
ABS-APCP
US
N
2
2021-12-15
None
0.00000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN VARIABLE RATE 03/10/2023
06367WYH0
2765000.00000000
PA
USD
2779765.10000000
0.431857697126
Long
DBT
NUSS
CA
N
2
2023-03-10
Floating
0.73000080
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A
83407CAA6
501296.69000000
PA
USD
499993.97000000
0.077677874458
Long
ABS-MBS
US
Y
2
2030-09-25
Fixed
0.49000000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2020-ATRUST SOFI 2020-A A1FX
83406TAA0
64862.32000000
PA
USD
64899.04000000
0.010082560558
Long
ABS-MBS
US
N
2
2046-05-15
Fixed
2.06000000
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
900000.00000000
PA
USD
899563.50000000
0.139754046674
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
1.11150000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-190 GA
38378PPK8
25848.65000000
PA
USD
25872.76000000
0.004019530481
Long
DBT
USGA
US
N
2
2038-11-20
Fixed
2.50000000
N
N
N
N
N
N
ILLINOIS ST SALES TAX REV
N/A
ILLINOIS ST SALES TAX REVENUE STATE OF ILLINOIS SALES TAX REVENUE
452227LA7
890000.00000000
PA
USD
895845.34000000
0.139176402176
Long
DBT
MUN
US
N
2
2022-06-15
Fixed
1.90000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 STAR 2021-2 A1
85573HAA8
324336.01000000
PA
USD
322478.12000000
0.050099434040
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.94299840
N
N
N
N
N
N
KKR CLO LTD/LLC
N/A
KKR CLO 11 LTD KKR 11 AR
48250MAK3
750000.00000000
PA
USD
750209.25000000
0.116550725479
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
1.30375080
N
N
N
N
N
N
ARROYO MORTGAGE TRUST
N/A
ARROYO MORTGAGE TRUST 2019-3 ARRW 2019-3 A1
04285AAA3
250879.84000000
PA
USD
252193.87000000
0.039180240059
Long
ABS-MBS
US
N
2
2048-10-25
Floating
2.96200080
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1
89173HAA4
216465.78000000
PA
USD
218652.78000000
0.033969376060
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.75000040
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST STATE OF CALIFORNIA
13063DAF5
1150000.00000000
PA
USD
1150000.00000000
0.178661265908
Long
DBT
MUN
US
N
2
2047-04-01
Floating
0.86799920
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-I CSMC 2019-ICE4 A
12653VAA4
745000.00000000
PA
USD
744999.85000000
0.115741405480
Long
ABS-MBS
US
N
2
2036-05-15
Floating
1.06999920
N
N
N
N
N
N
CARLISLE COMPANIES INCORPORATED
XR64VGX1ZPX6G7ZN7Z11
CARLISLE COS INC 0.550000% 09/01/2023
142339AK6
300000.00000000
PA
USD
298235.87000000
0.046333215716
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.55000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-RC1 WFCM 2017-RC1 A2
95001FAV7
122590.17000000
PA
USD
122902.41000000
0.019093826220
Long
ABS-MBS
US
N
2
2060-01-15
Fixed
3.11800000
N
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 CAALT 2021-3A A
22535GAA0
570000.00000000
PA
USD
566473.75000000
0.088006015025
Long
ABS-MBS
US
Y
2
2030-05-15
Fixed
1.00000000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2 DRMT 2021-2 A1
24381WAA6
283410.20000000
PA
USD
281571.29000000
0.043744246186
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
0.89899920
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2021-A CPS 2021-A B
12656NAC5
895000.00000000
PA
USD
895028.37000000
0.139049479659
Long
ABS-MBS
US
Y
2
2025-02-18
Fixed
0.61000000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE VARIABLE RATE 07/31/2024
0641596F8
1375000.00000000
PA
USD
1374343.97000000
0.213514811716
Long
DBT
NUSS
CA
N
2
2024-07-31
Floating
0.43000200
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-I LTD CIFC 2015-1A ARR
12548MBF1
750000.00000000
PA
USD
750624.75000000
0.116615276571
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
1.23824880
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 0.520000% 08/09/2023
22550L2F7
1375000.00000000
PA
USD
1368181.91000000
0.212557488725
Long
DBT
NUSS
CH
N
2
2023-08-09
Fixed
0.52000000
N
N
N
N
N
N
MELLO WAREHOUSE SECURITIZATION TRUST
N/A
MELLO WAREHOUSE SECURITIZATION TRUST 2021-2 MWST 2021-2 A
58552NAA7
2045000.00000000
PA
USD
2036683.60000000
0.316414321940
Long
ABS-MBS
US
Y
2
2055-04-25
Floating
0.84162960
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2
55818YBN0
1685000.00000000
PA
USD
1685729.61000000
0.261890944437
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-21
Floating
1.12950000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-1 SDART 2021-1 A2
80286NAB2
102041.59000000
PA
USD
102039.28000000
0.015852579945
Long
ABS-MBS
US
N
2
2023-11-15
Fixed
0.29000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAVISKA ENSKILDA BANKEN AB 144A 0.550000% 09/01/2023
83051GAN8
425000.00000000
PA
USD
423648.50000000
0.065817023748
Long
DBT
NUSS
SE
N
2
2023-09-01
Fixed
0.55000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-2 B
025291AB1
400000.00000000
PA
USD
399453.00000000
0.062058068392
Long
ABS-MBS
US
Y
2
2025-05-13
Fixed
0.68000000
N
N
N
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP 144A 0.373000% 03/03/2023
62954WAA3
2925000.00000000
PA
USD
2916479.21000000
0.453097276222
Long
DBT
NUSS
JP
N
2
2023-03-03
Fixed
0.37300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2017-C05 1M2A
30711XNT7
449435.42000000
PA
USD
449781.44000000
0.069876975176
Long
DBT
USGA
US
N
2
2030-01-25
Floating
2.29200120
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-5 AOMT 2021-5 A1
03465HAA2
1277538.21000000
PA
USD
1264189.72000000
0.196401509325
Long
ABS-MBS
US
Y
2
2066-07-25
Floating
0.95100120
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC CMLTI 2004-HYB3 1A
17307GJX7
9409.71000000
PA
USD
9362.11000000
0.001454475151
Long
ABS-MBS
US
N
2
2034-09-25
Floating
2.66039280
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLE TRUST
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2020-B WOART 2020-B A2A
98163WAG1
149290.71000000
PA
USD
149342.98000000
0.023201570314
Long
ABS-MBS
US
N
2
2023-07-17
Fixed
0.55000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-3 AMCAR 2020-3 A2
03066PAB5
927368.07000000
PA
USD
927537.87000000
0.144100078289
Long
ABS-MBS
US
N
2
2024-03-18
Fixed
0.42000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2019-AFC1 TRUST CSMC 2019-AFC1 A1
12596XAA0
1153235.50000000
PA
USD
1166296.58000000
0.181193063832
Long
ABS-MBS
US
N
2
2049-07-25
Fixed
2.57300000
N
N
N
N
N
N
OGE ENERGY CORP.
CE5OG6JPOZMDSA0LAQ19
OGE ENERGY CORP 0.703000% 05/26/2023
670837AC7
540000.00000000
PA
USD
537179.49000000
0.083454928437
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
0.70300000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL B
056054AE9
977499.99000000
PA
USD
975357.11000000
0.151529161726
Long
ABS-MBS
US
N
2
2036-10-15
Floating
1.17000000
N
N
N
N
N
N
USAA CAPITAL CORPORATION
5493007XLF4LU3U2W757
USAA CAPITAL CORP 144A 1.500000% 05/01/2023
90327QD48
890000.00000000
PA
USD
900961.36000000
0.139971214880
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.50000000
N
N
N
N
N
N
BUNGE LIMITED FINANCE CORP.
549300QHC068L40NNM71
BUNGE LTD FINANCE CORP 3.000000% 09/25/2022
120568AY6
1000000.00000000
PA
USD
1017602.62000000
0.158092323722
Long
DBT
CORP
US
N
2
2022-09-25
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2006-AR2 CMLTI 2006-AR2 1A1
17307G6K9
61953.98000000
PA
USD
53935.48000000
0.008379287942
Long
ABS-MBS
US
N
2
2036-03-25
Floating
2.80191960
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-119 TG
38379MVW1
186513.61000000
PA
USD
187011.43000000
0.029053651150
Long
DBT
USGA
US
N
2
2041-05-20
Fixed
1.80000000
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST 144A VARIABLE RATE 09/13/2024
36143L2E4
3525000.00000000
PA
USD
3528948.00000000
0.548248971309
Long
DBT
CORP
US
N
2
2024-09-13
Floating
0.55000440
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 0.550000% 05/15/2023
723787AU1
1010000.00000000
PA
USD
1005216.52000000
0.156168048674
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.55000000
N
N
N
N
N
N
CHC COMMERCIAL MORTGAGE SECURITIES INC
N/A
CHC COMMERCIAL MORTGAGE TRUST 2019 - CHC CHC 2019-CHC A
162665AA1
1270724.84000000
PA
USD
1268334.35000000
0.197045409188
Long
ABS-MBS
US
N
2
2034-06-15
Floating
1.20999960
N
N
N
N
N
N
MERIT HILL
N/A
MERIT 2020-HILL MHP 2020-HILL A
590027AA6
1985086.21000000
PA
USD
1981979.75000000
0.307915661861
Long
ABS-MBS
US
N
2
2037-08-15
Floating
1.23999840
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2
29374EAB2
1849881.78000000
PA
USD
1842213.47000000
0.286201904890
Long
ABS-MBS
US
Y
2
2026-12-21
Fixed
0.44000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 09/30/2022
912828L57
11500000.00000000
PA
USD
11646445.37000000
1.809364063601
Long
SN
UST
US
N
2
2022-09-30
Fixed
1.75000000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST
N/A
MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST SER MLMBS 2007-3 2A1
59025JAB1
62602.07000000
PA
USD
51046.83000000
0.007930514146
Long
ABS-MBS
US
N
2
2037-06-25
Floating
2.92169880
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD.
N/A
PALMER SQUARE LOAN FUNDING 2021-4 LTD PSTAT 2021-4A A1
69702HAA6
1600000.00000000
PA
USD
1599856.00000000
0.248549824549
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-15
Floating
0.00000000
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B
30227FAE0
497412.26000000
PA
USD
497100.53000000
0.077228356498
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
1.46999880
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2020-1 LLC EFF 2020-1 A2
29373KAB9
1604776.01000000
PA
USD
1618964.32000000
0.251518447715
Long
ABS-MBS
US
N
2
2025-12-22
Fixed
1.78000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY3 TPMT 2019-HY3 A1A
89177XAA5
372568.59000000
PA
USD
374004.17000000
0.058104398667
Long
ABS-MBS
US
N
2
2059-10-25
Floating
1.09163160
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM XII LTD OZLM 2015-12A A1R
67109WAJ7
122474.23000000
PA
USD
122431.00000000
0.019020589083
Long
ABS-CBDO
CORP
KY
N
2
2027-04-30
Floating
1.18163160
N
N
N
N
N
N
United States of America
N/A
US LONG BOND(CBT) MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-1.00000000
NC
USD
-162125.00000000
-0.02518735455
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US Long Bond (CBT) Mar 2022
2022-03-25
-158318.49000000
USD
-3806.51000000
N
N
N
TTAN MHC
N/A
TTAN 2021-MHC TTN 2021-MHC A
87303TAA5
1084499.09000000
PA
USD
1081777.65000000
0.168062403809
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
0.93999960
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2021-LBA MORTGAGE TRUST COMM 2021-LBA B
12598GAC1
2470000.00000000
PA
USD
2445245.41000000
0.379887513398
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
1.04000040
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-6 BSARM 2005-6 3A1
07387ADJ1
51916.82000000
PA
USD
51762.19000000
0.008041650775
Long
ABS-MBS
US
N
2
2035-08-25
Floating
2.34275040
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 2.350000% 09/15/2022
45866FAE4
1100000.00000000
PA
USD
1113662.00000000
0.173015880621
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.35000000
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2019-2A A1
165183CD4
611664.90000000
PA
USD
616027.54000000
0.095704574027
Long
ABS-MBS
US
N
2
2031-09-15
Fixed
1.95000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2018-1 TRUST OBX 2018-1 A2
67112FAD2
38753.48000000
PA
USD
38781.36000000
0.006024979888
Long
ABS-MBS
US
N
2
2057-06-25
Floating
0.74162880
N
N
N
N
N
N
AON CORPORATION
LTS3U8DGK38SETRUWX71
AON CORP 2.200000% 11/15/2022
037389BD4
55000.00000000
PA
USD
55832.62000000
0.008674023102
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.20000000
N
N
N
N
N
N
NEW YORK TRANSN DEV CORP SPL FAC REV
N/A
NEW YORK ST TRANSPRTN DEV CORP NEW YORK TRANSPORTATION DEVELOPMENT CORP
650116DY9
535000.00000000
PA
USD
535000.00000000
0.083116328053
Long
DBT
MUN
US
N
2
2021-12-01
Fixed
1.36000000
N
N
N
N
N
N
Capital One Bank (USA), National Association
LKE37K2B8CFZUR7F9816
CAPITAL ONE BANK USA NA 2.014000% 01/27/2023
14042TCS4
575000.00000000
PA
USD
576068.72000000
0.089496666752
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
2.01400000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-1R MORTGAGE LOAN TRUST COLT 2020-1R A1
12597VAA3
409484.44000000
PA
USD
410163.53000000
0.063722030869
Long
ABS-MBS
US
Y
2
2065-09-25
Floating
1.25499960
N
N
N
N
N
N
PERKINELMER, INC.
549300IKL1SDPFI7N655
PERKINELMER INC 0.550000% 09/15/2023
714046AK5
1250000.00000000
PA
USD
1241364.14000000
0.192855381483
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.55000000
N
N
N
N
N
N
COCA-COLA EUROPACIFIC PARTNERS PLC
549300LTH67W4GWMRF57
COCA-COLA EUROPACIFIC PARTNERS PLC 144A 0.500000% 05/05/2023
19123MAD5
2400000.00000000
PA
USD
2386557.74000000
0.370769936515
Long
DBT
NUSS
GB
N
2
2023-05-05
Fixed
0.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 3.450000% 02/13/2023
94974BFJ4
850000.00000000
PA
USD
876437.08000000
0.136161181045
Long
DBT
CORP
US
N
2
2023-02-13
Fixed
3.45000000
N
N
N
N
N
N
BX TRUST
N/A
BX 2021-MFM1 BX 2021-MFM1 A
05608VAA4
1265000.00000000
PA
USD
1259849.55000000
0.195727230832
Long
ABS-MBS
US
Y
2
2034-01-15
Floating
0.78950160
N
N
N
N
N
N
ATMOS ENERGY CORPORATION
QVLWEGTD2S8GJMO8D383
ATMOS ENERGY CORP 0.625000% 03/09/2023
049560AU9
1000000.00000000
PA
USD
997951.82000000
0.155039422154
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.62500000
N
N
N
N
N
N
WISCONSIN GAS LLC
549300FGW43XR75F1O70
WISCONSIN GAS CO COMMERCIAL PAPER
97670RZ73
800000.00000000
PA
USD
799981.34000000
0.124283199050
Long
ABS-APCP
US
N
2
2021-12-07
None
0.00000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1
92538EAA5
661191.08000000
PA
USD
657662.70000000
0.102172913498
Long
ABS-MBS
US
Y
2
2064-04-25
Floating
1.01999880
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA 144A VARIABLE RATE 06/15/2026
2027A0KE8
850000.00000000
PA
USD
854137.80000000
0.132696817920
Long
DBT
NUSS
AU
N
2
2026-06-15
Floating
0.57000240
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2019-B MMAF 2019-B A2
55316EAB8
15622.90000000
PA
USD
15632.26000000
0.002428590748
Long
ABS-MBS
US
N
2
2022-10-12
Fixed
2.07000000
N
N
N
N
N
N
ANALOG DEVICES, INC.
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES INC VARIABLE RATE 10/01/2024
032654AT2
590000.00000000
PA
USD
590997.27000000
0.091815930788
Long
DBT
CORP
US
N
2
2024-10-01
Floating
0.29999880
N
N
N
N
N
N
N/A
N/A
BENEFIT STREET PARTNERS CLO XII LTD BSP 2017-12A A1R
08179HAE0
1200000.00000000
PA
USD
1199697.60000000
0.186382166890
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.07375040
N
N
N
N
N
N
PNC BANK, NATIONAL ASSOCIATION
AD6GFRVSDT01YPT1CS68
PNC BANK NA VARIABLE RATE 02/24/2023
69353RFU7
2630000.00000000
PA
USD
2631939.63000000
0.408891883557
Long
DBT
CORP
US
N
2
2023-02-24
Floating
0.49462920
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-4 AOMT 2019-4 A1
03463UAA5
168427.02000000
PA
USD
169237.88000000
0.026292394678
Long
ABS-MBS
US
N
2
2049-07-26
Floating
2.99300040
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 06/01/2025
46647PCG9
925000.00000000
PA
USD
926744.06000000
0.143976753854
Long
DBT
CORP
US
N
2
2025-06-01
Floating
0.58500360
N
N
N
N
N
N
UNIVERSITY CALIF REVS
N/A
UNIV OF CALIFORNIA CA REVENUES UNIVERSITY OF CALIFORNIA
91412HFJ7
230000.00000000
PA
USD
230294.63000000
0.035778026198
Long
DBT
MUN
US
N
2
2022-05-15
Fixed
0.45500000
N
N
N
N
N
N
Deutsche Bank AG (New York Branch)
N/A
DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/16/2027
251526CN7
1100000.00000000
PA
USD
1096700.00000000
0.170380704627
Long
DBT
NUSS
DE
N
2
2027-11-16
Floating
1.26900360
N
N
N
N
N
N
SOUTHERN NATURAL GAS COMPANY, L.L.C.
N/A
SOUTHERN NATURAL GAS CO LLC 144A 0.625000% 04/28/2023
84346LAC4
695000.00000000
PA
USD
692678.24000000
0.107612844544
Long
DBT
CORP
US
N
2
2023-04-28
Fixed
0.62500000
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS MORTGAGE TRUST 2020-C8 BBCMS 2020-C8 A1
05552AAY4
823538.99000000
PA
USD
814047.62000000
0.126468502868
Long
ABS-MBS
US
N
2
2053-10-15
Fixed
0.60100000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2004-9 IMM 2004-9 1A1
45254NKX4
23645.67000000
PA
USD
23315.17000000
0.003622189380
Long
ABS-MBS
US
N
2
2035-01-25
Floating
0.85163040
N
N
N
N
N
N
OKLAHOMA TRANSN AUTH OK F/K/A OKLAHOMA ST TPK AUTH
N/A
OKLAHOMA ST TURNPIKE AUTH OKLAHOMA TURNPIKE AUTHORITY
679111ZP2
1575000.00000000
PA
USD
1575401.31000000
0.244750602051
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
0.49100000
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VII LTD OZLM 2014-7RA A1R
67108WBE8
874473.02000000
PA
USD
874252.65000000
0.135821813194
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
1.13225040
N
N
N
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA MTN 6.572000% 01/14/2022
904678AJ8
515000.00000000
PA
USD
518326.90000000
0.080526034877
Long
DBT
NUSS
IT
N
2
2022-01-14
Fixed
6.57200000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-F TRUST BOAMS 2005-F 2A2
05949CCA2
43308.18000000
PA
USD
43362.32000000
0.006736666942
Long
ABS-MBS
US
N
2
2035-07-25
Floating
2.67676560
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM3 TRUST MFRA 2020-NQM3 A1
552757AA4
261688.02000000
PA
USD
260797.50000000
0.040516879561
Long
ABS-MBS
US
Y
2
2065-01-26
Floating
1.01400120
N
N
N
N
N
N
Avant Loans Funding Trust
N/A
AVANT LOANS FUNDING TRUST 2021-REV1 AVNT 2021-REV1 A
05353LAA3
610000.00000000
PA
USD
606105.88000000
0.094163168517
Long
ABS-MBS
US
N
2
2030-07-15
Fixed
1.21000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2019-2 FCAT 2019-2 A
33845WAA7
24128.85000000
PA
USD
24151.75000000
0.003752158459
Long
ABS-MBS
US
N
2
2023-10-16
Fixed
2.83000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 0.750000% 01/15/2024
723787AS6
1285000.00000000
PA
USD
1275429.20000000
0.198147648216
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 323626
31374TPK9
44.23000000
PA
USD
44.21000000
0.000006868360
Long
DBT
USGA
US
N
2
2023-11-01
Floating
2.16799920
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP 5.000000% 10/01/2022
75886AAQ1
1315000.00000000
PA
USD
1346573.08000000
0.209200392270
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1
89173FAA8
275325.98000000
PA
USD
278034.28000000
0.043194744722
Long
ABS-MBS
US
N
2
2056-10-25
Floating
2.75000040
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-R1 AOMT 2020-R1 A1
034651AA7
519249.50000000
PA
USD
517564.17000000
0.080407538957
Long
ABS-MBS
US
Y
2
2053-04-25
Floating
0.99000000
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NORTH AMERICA LLC 144A 2.550000% 08/15/2022
233851DU5
3650000.00000000
PA
USD
3700198.67000000
0.574854068257
Long
DBT
CORP
DE
N
2
2022-08-15
Fixed
2.55000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.650000% 02/15/2022
86765BAJ8
1150000.00000000
PA
USD
1159566.10000000
0.180147432461
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
4.65000000
N
N
N
N
N
N
SHACKLETON CLO LTD
N/A
SHACKLETON 2014-VI-R CLO LTD SHACK 2014-6RA A
81881GAC2
519085.60000000
PA
USD
519461.42000000
0.080702291206
Long
ABS-CBDO
CORP
KY
N
2
2028-07-17
Floating
1.14225120
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-1 DTAOT 2021-1A B
23344GAC5
580000.00000000
PA
USD
579307.13000000
0.089999778431
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.62000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2021-2 MFT 2021-2A A
57108TAA5
371279.53000000
PA
USD
370673.38000000
0.057586935051
Long
ABS-MBS
US
Y
2
2031-09-15
Fixed
0.51000000
N
N
N
N
N
N
LSTAR SECURITIES INVESTMENT LTD.
N/A
LSTAR SECURITIES INVESTMENT LTD 2019-4 LSTRZ 2019-4 A1
54912JAA0
416477.95000000
PA
USD
410962.12000000
0.063846097912
Long
ABS-MBS
US
N
2
2024-05-01
Floating
2.58238080
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1
92536PAA2
77933.31000000
PA
USD
78294.12000000
0.012163588341
Long
ABS-MBS
US
N
2
2060-01-25
Floating
2.41700040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 374614
31377EDT3
3467.80000000
PA
USD
3467.17000000
0.000538651288
Long
DBT
USGA
US
N
2
2024-09-01
Floating
2.01600000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-2 VERUS 2021-2 A1
92538FAA2
596882.49000000
PA
USD
592726.52000000
0.092084582957
Long
ABS-MBS
US
Y
2
2066-02-25
Floating
1.03100040
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STAR 2021-1 TRUST STAR 2021-1 A1
85573GAA0
601652.48000000
PA
USD
600392.38000000
0.093275532741
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
1.21899960
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 0.550000% 05/15/2023
723787AU1
625000.00000000
PA
USD
622039.93000000
0.096638644643
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.55000000
N
N
N
N
N
N
COLD STORAGE TRUST
N/A
COLD STORAGE TRUST 2020-ICE5 COLD 2020-ICE5 A
193051AA7
1617019.40000000
PA
USD
1615076.07000000
0.250914378439
Long
ABS-MBS
US
Y
2
2037-11-15
Floating
0.98949960
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2019-3 CARMX 2019-3 A3
14315PAD7
696941.32000000
PA
USD
704218.71000000
0.109405744526
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
2.18000000
N
N
N
N
N
N
TD SYNNEX CORPORATION
5493004HI6PFLF46NS53
TD SYNNEX CORP 144A 1.250000% 08/09/2024
87162WAC4
1375000.00000000
PA
USD
1364177.10000000
0.211935310965
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
1.25000000
N
N
N
N
N
N
HSBC BANK CANADA
DMB80L5QKUQ124HSYW98
HSBC BANK CANADA 144A 0.950000% 05/14/2023
40427HTL7
2000000.00000000
PA
USD
2010776.40000000
0.312389440942
Long
DBT
NUSS
CA
N
2
2023-05-14
Fixed
0.95000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN VARIABLE RATE 09/15/2026
06368FAD1
1350000.00000000
PA
USD
1353224.81000000
0.210233789229
Long
DBT
NUSS
CA
N
2
2026-09-15
Floating
0.67000320
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-1 MORTGAGE LOAN TRUST COLT 2020-1 A1
12597KAA7
139481.13000000
PA
USD
139454.36000000
0.021665297820
Long
ABS-MBS
US
N
2
2050-02-25
Floating
2.48799960
N
N
N
N
N
N
7-ELEVEN, INC.
549300K23JPL0SS3LB18
7-ELEVEN INC 144A 0.625000% 02/10/2023
817826AA8
4895000.00000000
PA
USD
4879970.54000000
0.758140621107
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
0.62500000
N
N
N
N
N
N
PRESTIGE AUTO RECEIVABLES TRUST
N/A
PRESTIGE AUTO RECEIVABLES TRUST 2021-1 PART 2021-1A A2
74113XAB2
900000.00000000
PA
USD
899690.13000000
0.139773719609
Long
ABS-MBS
US
Y
2
2024-09-16
Fixed
0.55000000
N
N
N
N
N
N
TRICOLOR AUTO SECURITIZATION TRUST
N/A
TRICOLOR AUTO SECURITIZATION TRUST 2021-1 TAST 2021-1A A
89615BAA3
741507.57000000
PA
USD
741067.78000000
0.115130528433
Long
ABS-MBS
US
Y
2
2024-04-15
Fixed
0.74000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2017-REV2 FORDR 2017-2 A
34529SAA7
322000.00000000
PA
USD
326897.27000000
0.050785982678
Long
ABS-MBS
US
N
2
2029-03-15
Fixed
2.36000000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO 144A 1.250000% 11/24/2023
80414L2G9
200000.00000000
PA
USD
200146.80000000
0.031094331004
Long
DBT
NUSS
SA
N
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC VARIABLE RATE 03/01/2023
65339KBV1
1715000.00000000
PA
USD
1719920.28000000
0.267202725640
Long
DBT
CORP
US
N
2
2023-03-01
Floating
0.59000040
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP MTN VARIABLE RATE 12/15/2022
00914AAN2
1200000.00000000
PA
USD
1199640.18000000
0.186373246255
Long
DBT
CORP
US
N
2
2022-12-15
Floating
0.46599840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4159 LA
3137AXXS7
101940.21000000
PA
USD
102432.99000000
0.015913745794
Long
DBT
USGA
US
N
2
2040-02-15
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 03/16/2024
46647PCA2
1200000.00000000
PA
USD
1204389.28000000
0.187111055140
Long
DBT
CORP
US
N
2
2024-03-16
Floating
0.63000360
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2018-1 NAVSL 2018-1A A2
63940DAB8
325341.36000000
PA
USD
325402.85000000
0.050553813140
Long
ABS-MBS
US
N
2
2067-03-25
Floating
0.44200080
N
N
N
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP 3.100000% 03/01/2023
855244AN9
1150000.00000000
PA
USD
1181815.51000000
0.183604047901
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
3.10000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 9.150000% 02/01/2023
00206RHN5
1200000.00000000
PA
USD
1313551.98000000
0.204070312681
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
9.15000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-HX1 MORTGAGE LOAN TRUST COLT 2021-HX1 A1
19688KAA2
1130895.27000000
PA
USD
1122288.93000000
0.174356139955
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.10999880
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1
89173FAA8
249486.37000000
PA
USD
251940.49000000
0.039140875545
Long
ABS-MBS
US
N
2
2056-10-25
Floating
2.75000040
N
N
N
N
N
N
N/A
N/A
COLT 2020-2R MORTGAGE LOAN TRUST COLT 2020-2R A1
12656GAA4
323694.91000000
PA
USD
323849.44000000
0.050312479055
Long
ABS-MBS
US
N
2
2065-10-26
Floating
1.32500160
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 09/10/2024
38141GYF5
550000.00000000
PA
USD
550957.01000000
0.085595371189
Long
DBT
CORP
US
N
2
2024-09-10
Floating
0.55000440
N
N
N
N
N
N
TIDEWATER AUTO RECEIVABLES TRUST
N/A
TIDEWATER AUTO RECEIVABLES TRUST 2020-A TMCAT 2020-AA A2
88641WAB5
252425.96000000
PA
USD
252809.37000000
0.039275862676
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
1.39000000
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS, LTD.
N/A
OCTAGON INVESTMENT PARTNERS 30 LTD OCT30 2017-1A A1R
675920AJ1
670000.00000000
PA
USD
670116.58000000
0.104107718686
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-17
Floating
1.13150160
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1
89173HAA4
438098.71000000
PA
USD
442524.91000000
0.068749617927
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.75000040
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD.
N/A
PALMER SQUARE LOAN FUNDING 2021-3 LTD PSTAT 2021-3A A1
69702BAA9
1300000.00000000
PA
USD
1299669.80000000
0.201913610201
Long
ABS-CBDO
CORP
KY
Y
2
2029-07-20
Floating
0.97099920
N
N
N
N
N
N
PRPM LLC
N/A
PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1
69360GAA1
329162.97000000
PA
USD
325269.70000000
0.050533127272
Long
ABS-MBS
US
Y
2
2051-07-25
Floating
1.31900040
N
N
N
N
N
N
ANTHEM, INC.
8MYN82XMYQH89CTMTH67
ANTHEM INC 2.950000% 12/01/2022
036752AF0
925000.00000000
PA
USD
945422.71000000
0.146878624510
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.95000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM NRZT 2020-NQM2 A1
64830UAA3
249747.73000000
PA
USD
250514.13000000
0.038919279646
Long
ABS-MBS
US
N
2
2060-05-24
Floating
1.65017160
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2021-C CPS 2021-C B
12598CAC0
1900000.00000000
PA
USD
1891477.74000000
0.293855484753
Long
ABS-MBS
US
Y
2
2025-07-15
Fixed
0.84000000
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1 GSMBS 2019-SL1 A1
36257EAA1
368429.73000000
PA
USD
371879.37000000
0.057774294790
Long
ABS-MBS
US
N
2
2059-01-25
Floating
2.62500120
N
N
N
N
N
N
CROSSROADS ASSET TRUST
N/A
CROSSROADS ASSET TRUST 2021-A XROAD 2021-A A2
22767CAB6
691132.56000000
PA
USD
691531.62000000
0.107434708387
Long
ABS-MBS
US
Y
2
2024-03-20
Fixed
0.82000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.750000% 05/19/2022
61744YAH1
2530000.00000000
PA
USD
2556391.34000000
0.397154880837
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
2.75000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2019-1 LTD VOYA 2019-1A AR
92917NAJ7
1150000.00000000
PA
USD
1149997.70000000
0.178660908586
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.18374840
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO VARIABLE RATE 11/14/2022
694308JX6
750000.00000000
PA
USD
750717.91000000
0.116629749687
Long
DBT
CORP
US
N
2
2022-11-14
Floating
1.20000240
N
N
N
N
N
N
BSREP COMMERCIAL MORTGAGE TRUST
N/A
BSREP COMMERCIAL MORTGAGE TRUST 2021-DC BSREP 2021-DC A
05591UAA5
1840000.00000000
PA
USD
1837120.03000000
0.285410600161
Long
ABS-MBS
US
Y
2
2038-08-15
Floating
1.04000040
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO VARIABLE RATE 04/01/2024
842400HC0
1690000.00000000
PA
USD
1693373.09000000
0.263078417317
Long
DBT
CORP
US
N
2
2024-04-01
Floating
0.88000200
N
N
N
N
N
N
UNIFY AUTO RECEIVABLES TRUST
N/A
UNIFY AUTO RECEIVABLES TRUST 2021-1 UART 2021-1A A2
90775QAB2
824688.24000000
PA
USD
824638.43000000
0.128113865931
Long
ABS-MBS
US
Y
2
2024-02-15
Fixed
0.39000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-1 FCAT 2021-1 A
33843WAA9
770399.79000000
PA
USD
768460.15000000
0.119386141912
Long
ABS-MBS
US
Y
2
2025-06-16
Fixed
0.31000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2021-B CPS 2021-B B
12656QAB0
1100000.00000000
PA
USD
1097688.24000000
0.170534235244
Long
ABS-MBS
US
Y
2
2025-12-15
Fixed
0.81000000
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
1123039.69000000
PA
USD
1124295.25000000
0.174667837061
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
1.34966880
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-1 A2
35105WAC3
757027.39000000
PA
USD
756836.01000000
0.117580243158
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
0.40000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2016-3 TPMT 2016-3 A1
89172YAA8
23432.43000000
PA
USD
23452.94000000
0.003643592999
Long
ABS-MBS
US
N
2
2056-04-25
Floating
2.25000000
N
N
N
N
N
N
MORTGAGEIT TRUST
N/A
MORTGAGEIT TRUST 2005-5 MHL 2005-5 A1
61915RAU0
62327.58000000
PA
USD
62735.94000000
0.009746506485
Long
ABS-MBS
US
N
2
2035-12-25
Floating
0.61162920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0213
31418MGX4
63798.50000000
PA
USD
74801.28000000
0.011620949022
Long
DBT
USGA
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST
N/A
NISSAN AUTO RECEIVABLES 2019-C OWNER TRUST NAROT 2019-C A3
65479JAD5
406538.89000000
PA
USD
410193.76000000
0.063726727329
Long
ABS-MBS
US
N
2
2024-07-15
Fixed
1.93000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2018-CH3 SEMT 2018-CH3 A1
81746WAA6
63603.13000000
PA
USD
64311.78000000
0.009991325241
Long
ABS-MBS
US
N
2
2048-08-25
Floating
4.50000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2019-1 LLC EFF 2019-1 A2
29374AAB0
68113.31000000
PA
USD
68349.13000000
0.010618558338
Long
ABS-MBS
US
N
2
2024-10-20
Fixed
2.98000000
N
N
N
N
N
N
OHA CREDIT FUNDING LTD
N/A
OHA CREDIT FUNDING 3 LTD OAKC 2019-3A XR
67112RAQ7
656250.00000000
PA
USD
656249.34000000
0.101953337248
Long
ABS-CBDO
CORP
KY
Y
2
2035-07-02
Floating
0.73149840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 889091
31410GXU2
830.11000000
PA
USD
857.78000000
0.000133262661
Long
DBT
USGA
US
N
2
2023-02-01
Fixed
5.00000000
N
N
N
N
N
N
HSBC USA INC.
549300LBOHZ4QSIWU288
HSBC USA INC 0 2/4/22 CP 0% 2/4/22 CP
40434RB43
4900000.00000000
PA
USD
4897700.28000000
0.760895071362
Long
ABS-APCP
US
N
2
2022-02-04
None
0.00000000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A2
00217FAB1
300000.00000000
PA
USD
298878.18000000
0.046433003470
Long
ABS-MBS
US
Y
2
2030-03-15
Fixed
0.37000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A
3137BJQ71
700000.00000000
PA
USD
735654.50000000
0.114289534123
Long
DBT
USGA
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIII LTD LCM 23A A1R
52111PAF8
940000.00000000
PA
USD
940111.86000000
0.146053543481
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
1.20150000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 0.613000% 03/15/2024
125523CN8
570000.00000000
PA
USD
563138.36000000
0.087487836764
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.61300000
N
N
N
N
N
N
2021-11-30
SEI INSTITUTIONAL INVESTMENTS TRUST
Peter Rodriguez
Peter Rodriguez
CFO