0001752724-22-169796.txt : 20220728
0001752724-22-169796.hdr.sgml : 20220728
20220728153502
ACCESSION NUMBER: 0001752724-22-169796
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220531
FILED AS OF DATE: 20220728
DATE AS OF CHANGE: 20220728
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: 221114950
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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2022-05-31
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0.00000000
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0.00000000
0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
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USD
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EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2018-3 EART 2018-3A D
30166PAG6
272945.83000000
PA
USD
274314.82000000
0.052443666499
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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
294878.10000000
0.056374966304
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
2.29371120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0630
31418MVY5
226.69000000
PA
USD
232.27000000
0.000044405513
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
499531.38000000
PA
USD
454619.41000000
0.086914402664
Long
ABS-MBS
US
Y
2
2056-07-25
Floating
1.15300080
N
N
N
N
N
N
SIERRA TIMESHARE RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE 2018-2 RECEIVABLES FUNDING LLC SRFC 2018-2A A
82653DAA7
92349.65000000
PA
USD
91553.03000000
0.017503161412
Long
ABS-MBS
US
N
2
2035-06-20
Fixed
3.50000000
N
N
N
N
N
N
STRYKER CORPORATION
5493002F0SC4JTBU5137
STRYKER CORP 0.600000% 12/01/2023
863667BB6
410000.00000000
PA
USD
395866.26000000
0.075681941346
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
133513.10000000
PA
USD
128596.60000000
0.024585172625
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
3107029.02000000
0.594003611357
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
0.68924160
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM3 TRUST GCAT 2021-NQM3 A1
36167HAA3
568255.23000000
PA
USD
523232.99000000
0.100031986711
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
313923.71000000
PA
USD
313447.08000000
0.059924994678
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
1195380.38000000
0.228533514844
Long
DBT
CORP
US
N
2
2024-03-22
Floating
0.77141160
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
982644.93000000
0.187862628042
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
23704.69000000
PA
USD
23486.98000000
0.004490254468
Long
ABS-MBS
US
N
2
2035-06-25
Floating
3.25924920
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
1496226.15000000
0.286049383763
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
741241.18000000
PA
USD
737681.74000000
0.141030423202
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
325436.77000000
PA
USD
323729.30000000
0.061890755465
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
482706.71000000
0.092284148979
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
83107.28000000
PA
USD
78650.07000000
0.015036366030
Long
ABS-MBS
GB
N
2
2038-11-15
Floating
1.63128960
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2
03237KAB0
764605.36000000
PA
USD
744870.36000000
0.142404747746
Long
ABS-MBS
US
Y
2
2026-11-20
Fixed
0.75000000
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC
N/A
VOLVO FINANCIAL EQUIPMENT LLC SERIES 2020-1 VFET 2020-1A A3
92888EAC7
625000.00000000
PA
USD
614478.75000000
0.117476404067
Long
ABS-MBS
US
Y
2
2024-10-15
Fixed
0.51000000
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
104110.44000000
PA
USD
103194.47000000
0.019728778668
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
396768.60000000
PA
USD
383207.92000000
0.073261912558
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
761539.80000000
0.145591620960
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.04428880
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
3096605.93000000
0.592010918961
Long
DBT
NUSS
CA
N
2
2023-12-14
Floating
0.68108040
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
1785939.41000000
0.341436932959
Long
DBT
CORP
US
N
2
2023-09-14
Floating
1.15286040
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM1 TRUST GCAT 2021-NQM1 A1
36167TAA7
486320.86000000
PA
USD
451487.84000000
0.086315707293
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
696424.57000000
0.133142853496
Long
DBT
CORP
US
N
2
2023-03-11
Floating
1.35500040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4272 YG
3137B6DF5
299934.29000000
PA
USD
298033.79000000
0.056978272950
Long
DBT
USGA
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
NEW YORK N Y CITY HSG DEV CORP REV
N/A
NEW YORK CITY NY HSG DEV CORP NEW YORK CITY HOUSING DEVELOPMENT CORP
64966WGW1
1910000.00000000
PA
USD
1906964.25000000
0.364574532113
Long
DBT
MUN
US
N
2
2023-01-01
Fixed
2.32400000
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
936572.82000000
0.179054535312
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
965769.11000000
PA
USD
944872.38000000
0.180641250010
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
1.07000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2020-A A
69335PDP7
620000.00000000
PA
USD
605618.79000000
0.115782551772
Long
ABS-MBS
US
N
2
2025-06-15
Fixed
1.27000000
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
837597.38000000
0.160132353248
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
861227.37000000
0.164649948451
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
1.95450840
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1
03465CAA3
745490.70000000
PA
USD
702186.19000000
0.134244363351
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.90900000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 12/06/2023
38141GZF4
800000.00000000
PA
USD
794008.00000000
0.151798910280
Long
DBT
NUSS
US
N
2
2023-12-06
Floating
0.67000320
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XVIII LTD SYMP 2016-18A X
87154GAS4
750000.00000000
PA
USD
748514.25000000
0.143101388751
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-23
Floating
1.93399920
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-III LTD CIFC 2015-3A AR
12550MAJ9
828951.50000000
PA
USD
815800.18000000
0.155965151901
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
1.91428920
N
N
N
N
N
N
MASSACHUSETTS ST SCH BLDG AUTH DEDICATED SALES TAX REV
N/A
MASSACHUSETTS ST SCH BLDG AUTH MASSACHUSETTS SCHOOL BUILDING AUTHORITY
576000XC2
1290000.00000000
PA
USD
1278143.35000000
0.244356187484
Long
DBT
MUN
US
N
2
2023-10-15
Fixed
2.07800000
N
N
N
N
N
N
DISTRICT COLUMBIA WTR & SWR AUTH PUB UTIL REV
N/A
DIST OF COLUMBIA WTR & SWR AUT DISTRICT OF COLUMBIA WATER & SEWER AUTHORITY
254845SV3
565000.00000000
PA
USD
557054.91000000
0.106498081007
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
1.67200000
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
1133775.80000000
0.216755915485
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-18
Floating
1.96428960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AE0643
31419AWD5
29765.92000000
PA
USD
32710.65000000
0.006253641052
Long
DBT
USGA
US
N
2
2040-04-01
Fixed
6.00000000
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
284439.74000000
0.054379354581
Long
ABS-MBS
US
N
2
2036-05-15
Floating
1.67500080
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A
00834HAA2
1265233.74000000
PA
USD
1247517.94000000
0.238501203826
Long
ABS-MBS
US
Y
2
2027-02-15
Fixed
1.75000000
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
2925250.96000000
0.559251176342
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
56114.40000000
PA
USD
53733.49000000
0.010272799805
Long
ABS-MBS
US
N
2
2036-02-25
Floating
1.52570880
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
69717.65000000
PA
USD
67990.31000000
0.012998426927
Long
ABS-MBS
US
N
2
2036-03-25
Floating
3.08585160
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
539555.36000000
PA
USD
534565.61000000
0.102198563580
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
636988.08000000
0.121779750841
Long
DBT
CORP
CA
N
2
2024-08-06
Fixed
0.75000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2019-3 CARMX 2019-3 C
14315PAG0
675000.00000000
PA
USD
665161.67000000
0.127165994129
Long
ABS-MBS
US
N
2
2025-06-16
Fixed
2.60000000
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
1904241.16000000
0.364053930186
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
329588.77000000
PA
USD
314101.92000000
0.060050187369
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
99980.73000000
PA
USD
99935.21000000
0.019105671449
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
429919.08000000
PA
USD
409491.65000000
0.078286851315
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
1.05199920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4721 HV
3137FAUM8
619673.41000000
PA
USD
622597.52000000
0.119028555227
Long
DBT
USGA
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A VARIABLE RATE 01/21/2026
83368RBF8
800000.00000000
PA
USD
780344.53000000
0.149186720155
Long
DBT
NUSS
FR
N
2
2026-01-21
Floating
1.32009120
N
N
N
N
N
N
CNA FINANCIAL CORPORATION
549300YX2GSZD7YG1R84
CNA FINANCIAL CORP 7.250000% 11/15/2023
126117AE0
500000.00000000
PA
USD
528442.91000000
0.101028022241
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
954693.75000000
0.182518905227
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
230984.52000000
PA
USD
228703.85000000
0.043723734782
Long
ABS-MBS
US
N
2
2058-02-25
Floating
2.86466040
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.620000% 04/17/2025
61747YEQ4
550000.00000000
PA
USD
550534.85000000
0.105251572152
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
3.62000000
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
70309.03000000
PA
USD
70162.57000000
0.013413720854
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
1186074.42000000
0.226754396010
Long
DBT
CORP
US
N
2
2026-03-20
Floating
1.06174080
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A
00834TAA6
444632.48000000
PA
USD
434925.40000000
0.083149290401
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
1541985.59000000
PA
USD
1488380.77000000
0.284549499461
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
310162.13000000
0.059296976030
Long
ABS-MBS
US
N
2
2024-08-15
Fixed
1.72000000
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
3245430.56000000
0.620463298102
Long
DBT
CORP
US
N
2
2024-10-15
Floating
0.88239240
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-P3 CRVNA 2021-P3 A2
14687JAD1
497499.85000000
PA
USD
492602.21000000
0.094175976413
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
57239.14000000
PA
USD
57127.94000000
0.010921752726
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
5425.11000000
PA
USD
5482.65000000
0.001048176209
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
813960.38000000
0.155613417869
Long
DBT
NUSS
GB
N
2
2024-11-22
Floating
1.36097280
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
374998.84000000
0.071692495879
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
6085385.73000000
1.163407575807
Long
SN
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERS INCOME TAX REV
N/A
NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY
64990FD27
910000.00000000
PA
USD
894808.64000000
0.171070035140
Long
DBT
MUN
US
N
2
2023-03-15
Fixed
0.26700000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 2.000000% 01/27/2023
63859UBE2
600000.00000000
PA
USD
597576.86000000
0.114245090927
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
2255000.00000000
PA
USD
2195109.23000000
0.419662256628
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
0.65000000
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XII APID 2013-12A AR
03764DAH4
925000.00000000
PA
USD
912703.98000000
0.174491276627
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.12429160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4818 BD
3137FGV36
486520.44000000
PA
USD
489447.49000000
0.093572855212
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
97960.68000000
PA
USD
98076.79000000
0.018750377635
Long
ABS-MBS
US
N
2
2023-10-16
Fixed
4.00000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A A
12659WAA6
1474006.44000000
PA
USD
1455872.18000000
0.278334488357
Long
ABS-MBS
US
Y
2
2029-04-16
Fixed
0.98000000
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
599423.97000000
0.114598222489
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
1307134.20000000
0.249898675014
Long
DBT
NUSS
IE
N
2
2023-09-29
Floating
0.96936120
N
N
N
N
N
N
TIDEWATER AUTO RECEIVABLES TRUST
N/A
TIDEWATER AUTO RECEIVABLES TRUST 2020-A TMCAT 2020-AA B
88641WAC3
779305.09000000
PA
USD
778426.58000000
0.148820045361
Long
ABS-MBS
US
N
2
2025-03-17
Fixed
1.61000000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDING 144A 0.800000% 07/07/2023
00138CAM0
570000.00000000
PA
USD
558058.06000000
0.106689863806
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
450994.34000000
PA
USD
449339.96000000
0.085905074348
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
1085174.49000000
0.207464288831
Long
DBT
CORP
US
N
2
2023-02-04
Fixed
1.16700000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-1 SDART 2021-1 C
80286NAF3
1625000.00000000
PA
USD
1597865.43000000
0.305480840305
Long
ABS-MBS
US
N
2
2026-02-17
Fixed
0.75000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2021-1 MFT 2021-1A A
57110NAA4
51890.97000000
PA
USD
51763.25000000
0.009896128178
Long
ABS-MBS
US
Y
2
2031-06-16
Fixed
0.60000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2019-1 CARMX 2019-1 A3
14315NAC4
311143.53000000
PA
USD
311609.47000000
0.059573679332
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
467723.99000000
0.089419743874
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
281795.07000000
PA
USD
280905.50000000
0.053703676526
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
1.46000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 12/29/2022
912796R27
1250000.00000000
PA
USD
1238386.94000000
0.236755533946
Long
DBT
UST
US
N
2
2022-12-29
None
0.00000000
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
2309765.63000000
0.441582333726
Long
DBT
CORP
US
N
2
2024-10-18
Floating
0.79236720
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
1315275.86000000
0.251455202298
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
0.68924160
N
N
N
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC VARIABLE RATE 02/16/2024
29250NBM6
1400000.00000000
PA
USD
1393930.36000000
0.266492415259
Long
DBT
NUSS
CA
N
2
2024-02-16
Floating
1.42099560
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
856369.19000000
0.163721158779
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
427367.44000000
0.081704355222
Long
DBT
CORP
US
N
2
2024-04-12
Floating
0.74054520
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XIV LTD SYMP 2014-14A AR
87159QBV9
164475.79000000
PA
USD
163361.30000000
0.031231508148
Long
ABS-CBDO
CORP
KY
N
2
2026-07-14
Floating
1.98843120
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC VARIABLE RATE 03/25/2024
00206RMH2
1825000.00000000
PA
USD
1817936.48000000
0.347554151373
Long
DBT
CORP
US
N
2
2024-03-25
Floating
0.91987920
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.375000% 05/03/2024
025816CV9
550000.00000000
PA
USD
552056.24000000
0.105542432375
Long
DBT
CORP
US
N
2
2024-05-03
Fixed
3.37500000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC VARIABLE RATE 05/01/2025
172967MW8
800000.00000000
PA
USD
785730.78000000
0.150216466556
Long
DBT
CORP
US
N
2
2025-05-01
Floating
0.96911280
N
N
N
N
N
N
SEQUOIA INFRASTRUCTURE FUNDING LTD
N/A
SEQUOIA INFRASTRUCTURE FUNDING I LTD SEQI 2021-1A A
81742LAA4
1604879.53000000
PA
USD
1594796.07000000
0.304894038279
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Floating
2.44428840
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2018-3A A1
165183BT0
86253.13000000
PA
USD
86321.30000000
0.016502956234
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
250916.90000000
PA
USD
248578.83000000
0.047523444994
Long
ABS-MBS
US
N
2
2057-02-25
Floating
1.60571160
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-2 WLAKE 2019-2A C
96041LAE2
111817.51000000
PA
USD
111823.29000000
0.021378441484
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
993115.00000000
0.189864302101
Long
DBT
NUSS
JP
N
2
2024-09-16
Floating
0.72108000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-3 A
025286AA3
104189.17000000
PA
USD
103801.56000000
0.019844842487
Long
ABS-MBS
US
Y
2
2025-06-13
Fixed
0.33000000
N
N
N
N
N
N
CITIBANK CREDIT CARD ISSUANCE TRUST
N/A
CITIBANK CREDIT CARD ISSUANCE TRUST CCCIT 2018-A3 A3
17305EGM1
490000.00000000
PA
USD
493237.82000000
0.094297492701
Long
ABS-MBS
US
N
2
2025-05-23
Fixed
3.29000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1
105699AA0
214941.62000000
PA
USD
213198.29000000
0.040759372822
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
3023586.90000000
0.578051098425
Long
DBT
CORP
US
N
2
2023-11-03
Fixed
0.75000000
N
N
N
N
N
N
QORVO, INC.
254900YAUJV2EUEVBR11
QORVO INC 144A 1.750000% 12/15/2024
74739DAA2
635000.00000000
PA
USD
603745.30000000
0.115424376866
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
1.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2017-M13 FA
3136AYP31
68905.78000000
PA
USD
68701.79000000
0.013134448086
Long
DBT
USGA
US
N
2
2024-10-25
Floating
0.84857040
N
N
N
N
N
N
BWAY MORTGAGE TRUST
N/A
BWAY 2013-1515 MORTGAGE TRUST BWAY 2013-1515 A1
05604FAA3
284899.12000000
PA
USD
279887.97000000
0.053509144551
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
2512142.96000000
0.480272949135
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.75000000
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
326690.69000000
0.062456915724
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
582803.94000000
PA
USD
528165.84000000
0.100975051837
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
399822.67000000
PA
USD
388301.70000000
0.074235744375
Long
ABS-MBS
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO LTD
N/A
BENEFIT STREET PARTNERS CLO X LTD BSP 2016-10A X
08181LAS6
281250.00000000
PA
USD
280702.41000000
0.053664849662
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
1.66271040
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 0.972000% 02/15/2024
595017BB9
610000.00000000
PA
USD
584665.52000000
0.111776693452
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VIII LTD OZLM 2014-8A A1R3
67107FBL0
723347.32000000
PA
USD
715114.90000000
0.136716081633
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-17
Floating
2.02429080
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP MTN VARIABLE RATE 06/09/2025
89788MAF9
900000.00000000
PA
USD
884997.00000000
0.169194240110
Long
DBT
CORP
US
N
2
2025-06-09
Floating
0.65899800
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-6 TPMT 2017-6 A1
89175JAA8
106817.63000000
PA
USD
104986.06000000
0.020071295884
Long
ABS-MBS
US
N
2
2057-10-25
Floating
2.75000040
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE CAPITAL US LLC
549300N8C3A3L0UVQB07
GSK CONSUMER HEALTHCARE CAPITAL US LLC 144A 3.024000% 03/24/2024
36264FAA9
735000.00000000
PA
USD
731465.99000000
0.139842092509
Long
DBT
CORP
US
N
2
2024-03-24
Fixed
3.02400000
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
626692.63000000
0.119811460734
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
132252.90000000
PA
USD
127930.11000000
0.024457752680
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
812636.28000000
0.155360275662
Long
DBT
CORP
US
N
2
2024-11-29
Floating
1.22076000
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
68560.47000000
PA
USD
68595.81000000
0.013114186768
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
203487.43000000
PA
USD
197631.49000000
0.037783302963
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
81168.70000000
PA
USD
54048.29000000
0.010332983451
Long
ABS-MBS
US
N
2
2037-05-25
Floating
2.95452720
N
N
N
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
2210000.00000000
PA
USD
2089460.83000000
0.399464334198
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
829735.20000000
0.158629257112
Long
ABS-MBS
US
Y
2
2028-11-15
Floating
2.92500000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM2 IMPRL 2021-NQM2 A1
452761AA7
493862.74000000
PA
USD
439680.76000000
0.084058422886
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
1110000.00000000
PA
USD
1109159.18000000
0.212049695786
Long
ABS-MBS
US
N
2
2046-08-25
Floating
3.49578360
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
1081578.19000000
0.206776746110
Long
DBT
CORP
US
N
2
2024-04-12
Floating
1.05054120
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
255719.41000000
0.048888585222
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
60393.03000000
PA
USD
59472.77000000
0.011370038686
Long
ABS-MBS
US
N
2
2028-03-10
Fixed
0.32000000
N
N
N
N
N
N
BALTIMORE GAS AND ELECTRIC COMPANY
88V8C2WYSOD1SPSSLH72
BALTIMORE GAS 0 6/1/22 CP 0% 6/1/22 CP
05916SF13
550000.00000000
PA
USD
549984.94000000
0.105146440039
Long
ABS-APCP
US
N
2
2022-06-01
None
0.00000000
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
1587329.26000000
0.303466529209
Long
DBT
CORP
US
N
2
2025-04-22
Floating
0.96009120
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2022-MHIL MHP 2022-MHIL A
55293DAA9
390000.00000000
PA
USD
374387.17000000
0.071575556454
Long
ABS-MBS
US
Y
2
2027-01-15
Floating
1.59625080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-99 H
3136AUB83
860254.13000000
PA
USD
860368.11000000
0.164485674625
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
472675.17000000
PA
USD
423128.51000000
0.080893954124
Long
ABS-MBS
US
Y
2
2056-11-25
Floating
1.59500160
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2
46650AAD5
202739.26000000
PA
USD
200886.81000000
0.038405656930
Long
ABS-MBS
US
N
2
2046-04-25
Floating
1.75570920
N
N
N
N
N
N
CIM TRUST
N/A
CIM TRUST 2017-7 CIM 2017-7 A
12553HAA6
97976.92000000
PA
USD
97947.52000000
0.018725663722
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
625855.17000000
PA
USD
610285.71000000
0.116674776246
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
10919.95000000
PA
USD
10887.54000000
0.002081486216
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
846903.34000000
0.161911472082
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
4128.60000000
PA
USD
4110.64000000
0.000785874541
Long
DBT
USGA
US
N
2
2029-01-01
Floating
2.46499920
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 B
14686KAC1
301873.09000000
PA
USD
291966.13000000
0.055818254189
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
388182.84000000
PA
USD
367853.94000000
0.070326529750
Long
ABS-MBS
US
Y
2
2060-11-25
Floating
1.12500000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024
63906YAC2
1265000.00000000
PA
USD
1253383.34000000
0.239622554402
Long
DBT
NUSS
GB
N
2
2024-08-12
Floating
1.31076000
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
193294.45000000
PA
USD
187824.68000000
0.035908431335
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
741968.25000000
0.141849920671
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-20
Floating
2.04270840
N
N
N
N
N
N
7-ELEVEN, INC.
549300K23JPL0SS3LB18
7-ELEVEN INC 144A 0.625000% 02/10/2023
817826AA8
795000.00000000
PA
USD
783945.71000000
0.149875195838
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
81342.13000000
PA
USD
81081.92000000
0.015501288525
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
2032222.26000000
0.388521431164
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-18
Floating
1.97429040
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-56 LB
38379LUL8
360333.39000000
PA
USD
357885.03000000
0.068420667751
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
533898.00000000
PA
USD
515535.86000000
0.098560444930
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
243880.96000000
PA
USD
234431.99000000
0.044818843912
Long
ABS-MBS
US
N
2
2065-06-25
Floating
1.46900160
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C03 2M2
30711XCT9
497707.34000000
PA
USD
516446.77000000
0.098734593233
Long
DBT
USGA
US
N
2
2028-10-25
Floating
6.90571080
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
934104.65000000
0.178582669139
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
1110238.88000000
0.212256113458
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
1.96428960
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
490628.75000000
0.093798689184
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
1.23000000
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
763949.84000000
0.146052373806
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
1343999.73000000
0.256946648436
Long
DBT
NUSS
CA
N
2
2023-01-27
Floating
0.75988080
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
2082144.85000000
0.398065660895
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
1023248.72000000
0.195625284181
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
2.04270840
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM5 TRUST GCAT 2021-NQM5 A1
36168KAA5
1499587.96000000
PA
USD
1332896.91000000
0.254824004864
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
6970.05000000
PA
USD
6978.53000000
0.001334159415
Long
DBT
USGA
US
N
2
2039-09-16
Fixed
3.00000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
361779.34000000
PA
USD
364526.76000000
0.069690437547
Long
DBT
USGA
US
N
2
2024-11-25
Floating
6.00571080
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
27053.95000000
0.005172189863
Long
ABS-MBS
US
N
2
2047-09-10
Fixed
3.03100000
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST
N/A
METLIFE SECURITIZATION TRUST MST 2017-1A A
59166BAA9
117361.74000000
PA
USD
114935.07000000
0.021973353390
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
86332.52000000
PA
USD
83749.96000000
0.016011365961
Long
ABS-MBS
US
Y
2
2065-10-25
Floating
1.17799920
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
3902870.37000000
0.746153022554
Long
ABS-MBS
US
N
2
2038-04-15
Floating
1.97596080
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA MTN 0.800000% 04/03/2023
44891ABU0
1445000.00000000
PA
USD
1416505.29000000
0.270808303479
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
718628.78000000
0.137387867251
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
0.93000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE AUTO RECEIVABLES TRUST 2018-2 DRIVE 2018-2 D
26208JAG8
107081.81000000
PA
USD
107314.82000000
0.020516509572
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
263703.48000000
PA
USD
261952.78000000
0.050080284517
Long
ABS-MBS
US
N
2
2058-05-25
Floating
3.49999920
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 2.940000% 03/21/2024
65339KCD0
625000.00000000
PA
USD
623151.41000000
0.119134448239
Long
DBT
CORP
US
N
2
2024-03-21
Fixed
2.94000000
N
N
N
N
N
N
CLOUD PASS-THROUGH TRUST
N/A
CLOUD PASS-THROUGH TRUST 2019-1 CLOUD 2019-1A CLOU
18913AAA3
4982.26000000
PA
USD
4977.17000000
0.000951538249
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
876000.00000000
PA
USD
873718.64000000
0.167038036699
Long
DBT
CORP
US
N
2
2023-03-02
Floating
1.00428840
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
1605660.94000000
0.306971190431
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
1012881.30000000
0.193643234808
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
1.57600080
N
N
N
N
N
N
MASSACHUSETTS ST WTR RES AUTH
N/A
MASSACHUSETTS ST WTR RESOURCES MASSACHUSETTS WATER RESOURCES AUTHORITY
576051ZE9
485000.00000000
PA
USD
484498.80000000
0.092626761786
Long
DBT
MUN
US
N
2
2022-08-01
Fixed
0.53400000
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
1228371.37000000
0.234840751460
Long
DBT
CORP
US
N
2
2023-09-28
Floating
1.21556880
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
ROYALTY PHARMA PLC 0.750000% 09/02/2023
78081BAG8
1450000.00000000
PA
USD
1407705.72000000
0.269125996579
Long
DBT
NUSS
US
N
2
2023-09-02
Fixed
0.75000000
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
597978.21000000
PA
USD
590856.71000000
0.112960328749
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
0.45000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C31 ASB
46644YAW0
213893.50000000
PA
USD
213549.86000000
0.040826586178
Long
ABS-MBS
US
N
2
2048-08-15
Fixed
3.53950000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K28 MORTGAGE TRUST FREMF 2013-K28 B
30291HAE7
715000.00000000
PA
USD
715440.08000000
0.136778249734
Long
ABS-MBS
US
N
2
2046-06-25
Floating
3.48887880
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-4 VERUS 2019-4 A1
92537KAA2
89373.47000000
PA
USD
89122.82000000
0.017038552454
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
2.64200000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST MFT 2022-1A A
57109KAA3
1288970.17000000
PA
USD
1272784.31000000
0.243331643107
Long
ABS-MBS
US
Y
2
2032-04-15
Fixed
1.36000000
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
1181241.04000000
0.225830347617
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
253830.15000000
PA
USD
247067.94000000
0.047234592166
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
842430.70000000
PA
USD
832545.62000000
0.159166554839
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.45000000
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
1199132.70000000
0.229250885560
Long
DBT
NUSS
JP
N
2
2024-05-25
Floating
2.15385840
N
N
N
N
N
N
CONNECTICUT ST
N/A
CONNECTICUT ST STATE OF CONNECTICUT
20772KJV2
790000.00000000
PA
USD
784806.38000000
0.150039739228
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
2.00000000
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
487944.77000000
0.093285564330
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
809359.55000000
PA
USD
757274.19000000
0.144776119164
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.15611840
N
N
N
N
N
N
PHOENIX ARIZ CIVIC IMPT CORP RENT CAR FAC CHARGE REV
N/A
PHOENIX AZ CIVIC IMPT CORP REN CITY OF PHOENIX CIVIC IMPROVEMENT CORP
718846BF4
1870000.00000000
PA
USD
1870440.01000000
0.357591806711
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
2.16300000
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
285361.65000000
0.054555605870
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
657.56000000
PA
USD
673.75000000
0.000128807916
Long
DBT
USGA
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 928005
31412LAE0
7143.66000000
PA
USD
7523.12000000
0.001438274448
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
265240.44000000
PA
USD
263902.67000000
0.050453065619
Long
ABS-MBS
US
N
2
2023-08-14
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
614213.60000000
PA
USD
613686.42000000
0.117324925957
Long
ABS-MBS
US
N
2
2028-11-15
Fixed
2.38000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)SEP22 FINANCIAL COMMODITY FUTURE.
N/A
-40.00000000
NC
USD
-4778125.00000000
-0.91348471071
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Sep 2022
2022-09-24
-4800053.60000000
USD
21928.60000000
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024
37045XDN3
1500000.00000000
PA
USD
1464104.01000000
0.279908254394
Long
DBT
CORP
US
N
2
2024-10-15
Floating
0.88239240
N
N
N
N
N
N
CCG RECEIVABLES TRUST
N/A
CCG RECEIVABLES TRUST 2021-1 CCG 2021-1 A2
12510KAC7
209586.46000000
PA
USD
204623.89000000
0.039120114053
Long
ABS-MBS
US
Y
2
2027-06-14
Fixed
0.30000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2019-B CNH 2019-B B
12596TAE1
1050000.00000000
PA
USD
1048271.07000000
0.200409071577
Long
ABS-MBS
US
N
2
2026-11-16
Fixed
2.87000000
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
326158.91000000
PA
USD
312133.13000000
0.059673792954
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
1039232.52000000
PA
USD
1020825.32000000
0.195161977162
Long
ABS-MBS
US
Y
2
2035-11-21
Floating
1.66070160
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
8954.94000000
PA
USD
8959.62000000
0.001712905351
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
146.93000000
PA
USD
150.55000000
0.000028782236
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
601402.44000000
PA
USD
533156.49000000
0.101929167201
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
333855.35000000
PA
USD
315074.38000000
0.060236102836
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
712232.16000000
PA
USD
703786.44000000
0.134550300075
Long
ABS-MBS
US
Y
2
2025-04-15
Fixed
0.33000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1
85573MAA7
85377.23000000
PA
USD
83788.81000000
0.016018793326
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
635575.46000000
PA
USD
622717.45000000
0.119051483514
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
91500.52000000
PA
USD
85675.88000000
0.016379564464
Long
ABS-MBS
US
N
2
2035-11-19
Floating
3.09624480
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
MOODY'S CORP 2.625000% 01/15/2023
615369AK1
2600000.00000000
PA
USD
2601119.17000000
0.497283472605
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.62500000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 01/07/2025
04685A3H2
800000.00000000
PA
USD
774072.27000000
0.147987585848
Long
DBT
CORP
US
N
2
2025-01-07
Floating
1.01511360
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
20277.08000000
PA
USD
20200.69000000
0.003861979638
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
12442.22000000
PA
USD
12434.34000000
0.002377204338
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
910891.53000000
0.174144771385
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 846789
3128HDRJ0
6401.69000000
PA
USD
6400.54000000
0.001223658952
Long
DBT
USGA
US
N
2
2030-02-01
Floating
2.14499880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0379
3132CWM43
478308.37000000
PA
USD
484097.48000000
0.092550037195
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
776.42000000
PA
USD
777.91000000
0.000148721285
Long
DBT
USGA
US
N
2
2032-10-18
Floating
1.18557000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-1 CARMX 2021-1 A3
14316NAC3
1585000.00000000
PA
USD
1553990.74000000
0.297092851606
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
0.34000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 03/23/2023
912796U31
6225000.00000000
PA
USD
6133674.33000000
1.172639418381
Long
DBT
UST
US
N
2
2023-03-23
None
0.00000000
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
2502175.95000000
0.478367450378
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
576224.54000000
PA
USD
563498.74000000
0.107730016166
Long
ABS-MBS
US
Y
2
2063-10-25
Floating
0.82000080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 01/26/2023
912796S34
6550000.00000000
PA
USD
6477518.22000000
1.238375692838
Long
DBT
UST
US
N
2
2023-01-26
None
0.00000000
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
155963.72000000
PA
USD
155419.48000000
0.029713186391
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
734257.19000000
PA
USD
710985.64000000
0.135926647309
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
620303.18000000
0.118589921975
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
209669.79000000
PA
USD
206151.15000000
0.039412096506
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
6512.07000000
PA
USD
6068.90000000
0.001160255824
Long
ABS-MBS
US
N
2
2035-11-25
Floating
2.46622680
N
N
N
N
N
N
STRATUS CLO LTD.
N/A
STRATUS CLO 2021-2 LTD STRAS 2021-2A A
86315TAA3
1002941.66000000
PA
USD
991041.76000000
0.189467938875
Long
ABS-CBDO
CORP
KY
Y
2
2029-12-28
Floating
1.96270920
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-2 AOMT 2020-2 A1A
03464XAL4
278040.84000000
PA
USD
269610.22000000
0.051544238340
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
676248.31000000
0.129285544398
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
566812.89000000
0.108363617287
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.80100000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-3 STAR 2021-3 A1
85573JAA4
641328.79000000
PA
USD
597214.73000000
0.114175858703
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.12700160
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A A
12659WAA6
508413.99000000
PA
USD
502159.13000000
0.096003073925
Long
ABS-MBS
US
Y
2
2029-04-16
Fixed
0.98000000
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
74397.99000000
PA
USD
71821.85000000
0.013730942968
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
940201.07000000
PA
USD
937408.01000000
0.179214207421
Long
ABS-MBS
US
N
2
2025-02-18
Fixed
0.50000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.200000% 02/23/2023
38141GWT7
2315000.00000000
PA
USD
2325282.72000000
0.444548899999
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
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
435013.05000000
0.083166047379
Long
ABS-MBS
US
N
2
2025-07-25
Floating
1.95571080
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1 EFMT 2021-1 A1
31574XAA6
133805.83000000
PA
USD
122585.56000000
0.023435978509
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
63186.86000000
PA
USD
54593.33000000
0.010437184515
Long
ABS-MBS
US
N
2
2037-07-27
Floating
4.27549680
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 995253
31416BTJ7
1549.10000000
PA
USD
1555.64000000
0.000297408158
Long
DBT
USGA
US
N
2
2023-12-01
Fixed
5.50000000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 3.750000% 07/15/2023
125523AF7
2500000.00000000
PA
USD
2525052.30000000
0.482740964249
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2022-EBO1 TPMT 2022-EBO1 A
89180EAA2
774403.68000000
PA
USD
766807.32000000
0.146598668491
Long
ABS-MBS
US
Y
2
2052-01-25
Floating
2.16100080
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024
04685A2X8
1820000.00000000
PA
USD
1767024.04000000
0.337820681544
Long
DBT
CORP
US
N
2
2024-05-24
Floating
1.48077720
N
N
N
N
N
N
TTAN MHC
N/A
TTAN 2021-MHC TTN 2021-MHC B
87303TAG2
698218.10000000
PA
USD
667164.71000000
0.127548936478
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
1.97499960
N
N
N
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB BANK ASA 144A 2.968000% 03/28/2025
25601B2D6
450000.00000000
PA
USD
445952.01000000
0.085257364101
Long
DBT
NUSS
NO
N
2
2025-03-28
Fixed
2.96800000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1
89180FCD1
1035948.02000000
PA
USD
1014442.05000000
0.193941619899
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
312177.13000000
0.059682204900
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
1.57500000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2015-1 LTD VOYA 2015-1A A1R
92914NAJ0
676902.76000000
PA
USD
669192.84000000
0.127936675549
Long
ABS-CBDO
CORP
KY
N
2
2029-01-18
Floating
1.94429160
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 01/24/2025
38141GZJ6
800000.00000000
PA
USD
790547.14000000
0.151137261057
Long
DBT
CORP
US
N
2
2025-01-24
Floating
0.97922880
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
2668666.84000000
0.510197275360
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
224.71000000
PA
USD
224.74000000
0.000042965923
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
1277464.04000000
0.244226316604
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
1601483.36000000
0.306172518262
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
1084713.86000000
0.207376225320
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.73700000
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.892000% 05/24/2024
05971KAM1
600000.00000000
PA
USD
602720.06000000
0.115228370888
Long
DBT
NUSS
ES
N
2
2024-05-24
Fixed
3.89200000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1
12656YAA5
248959.97000000
PA
USD
244091.76000000
0.046665604347
Long
ABS-MBS
US
Y
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
247473.65000000
0.047312156040
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
347860.81000000
PA
USD
317165.92000000
0.060635964668
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
443593.56000000
PA
USD
438903.45000000
0.083909816309
Long
ABS-MBS
US
Y
2
2033-04-15
Floating
1.10471040
N
N
N
N
N
N
N/A
N/A
TRICOLOR AUTO SECURITIZATION TRUST 2022-1 TAST 2022-1A A
89616BAA2
371228.44000000
PA
USD
370194.46000000
0.070773991722
Long
ABS-MBS
US
N
2
2025-02-18
Fixed
3.30000000
N
N
N
N
N
N
PORT AUTH N Y & N J
N/A
PORT AUTH OF NEW YORK & NEW JE PORT AUTHORITY OF NEW YORK & NEW JERSEY
73358W4V3
3105000.00000000
PA
USD
3055206.98000000
0.584096243672
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
1.08600000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 3.700000% 04/06/2023
718546AU8
455000.00000000
PA
USD
457408.79000000
0.087447677951
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
68463.22000000
PA
USD
67944.01000000
0.012989575266
Long
ABS-MBS
US
N
2
2035-01-25
Floating
1.68571080
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE VARIABLE RATE 09/15/2023
064159YN0
1425000.00000000
PA
USD
1418972.25000000
0.271279938323
Long
DBT
NUSS
CA
N
2
2023-09-15
Floating
0.83169720
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
994835.00000000
PA
USD
950835.54000000
0.181781290400
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
150229.13000000
PA
USD
150962.95000000
0.028861184399
Long
DBT
USGA
US
N
2
2032-01-15
Fixed
3.00000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1
12597QAA4
107478.98000000
PA
USD
103697.17000000
0.019824885146
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
1338660.00000000
0.255925795755
Long
DBT
CORP
US
N
2
2024-05-28
Floating
1.93790160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 03/15/2023
912828ZD5
10800000.00000000
PA
USD
10679343.70000000
2.041683126835
Long
SN
UST
US
N
2
2023-03-15
Fixed
0.50000000
N
N
N
N
N
N
TAKE-TWO INTERACTIVE SOFTWARE, INC.
BOMSTHHJK882EWYX3334
TAKE-TWO INTERACTIVE SOFTWARE INC 3.300000% 03/28/2024
874054AE9
550000.00000000
PA
USD
549256.66000000
0.105007207046
Long
DBT
CORP
US
N
2
2024-03-28
Fixed
3.30000000
N
N
N
N
N
N
VIBRANT CLO LTD
N/A
VIBRANT CLO VI LTD VIBR 2017-6A AR
92558EAJ1
860215.55000000
PA
USD
853997.05000000
0.163267651677
Long
ABS-CBDO
CORP
KY
Y
2
2029-06-20
Floating
1.87786080
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
804710.46000000
0.153845012795
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
1054948.18000000
PA
USD
923975.84000000
0.176646237364
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.39700160
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3 CGCMT 2016-P3 AAB
29429CAE5
190233.91000000
PA
USD
188759.62000000
0.036087173707
Long
ABS-MBS
US
N
2
2049-04-15
Fixed
3.12700000
N
N
N
N
N
N
VIRGINIA COLLEGE BLDG AUTH VA EDL FACS REV 21ST CENTY COLLEGE & EQUIP PROG
N/A
VIRGINIA ST CLG BLDG AUTH EDUC VIRGINIA COLLEGE BUILDING AUTHORITY
92778VLG1
835000.00000000
PA
USD
834426.44000000
0.159526131098
Long
DBT
MUN
US
N
2
2023-02-01
Fixed
2.66000000
N
N
N
N
N
N
MISSISSIPPI POWER COMPANY
LNZ0J6YZ5SC6ILIRU850
MISSISSIPPI POWER CO VARIABLE RATE 06/28/2024
605417CC6
740000.00000000
PA
USD
731419.15000000
0.139833137611
Long
DBT
CORP
US
N
2
2024-06-28
Floating
0.57998880
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2020-Z2 AFFRM 2020-Z2 A
00834AAA7
265876.09000000
PA
USD
262749.81000000
0.050232661175
Long
ABS-MBS
US
Y
2
2025-01-15
Fixed
1.90000000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 1.950000% 02/01/2023
064159TE6
2720000.00000000
PA
USD
2710522.57000000
0.518199278114
Long
DBT
NUSS
CA
N
2
2023-02-01
Fixed
1.95000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-INV3 VERUS 2019-INV3 A1
92537MAA8
143675.48000000
PA
USD
141730.14000000
0.027096050425
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
190194.90000000
PA
USD
191029.19000000
0.036521071417
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
426064.27000000
PA
USD
421025.85000000
0.080491966365
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
350000.00000000
PA
USD
350002.45000000
0.066913671531
Long
ABS-CBDO
CORP
KY
Y
2
2032-04-15
Floating
1.79429040
N
N
N
N
N
N
LENDBUZZ SECURITIZATION TRUST
N/A
CORPORATE CMO LENDBUZZ SECURITISATION TRUST
52607BAA1
1125709.78000000
PA
USD
1099974.25000000
0.210293715537
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
529603.13000000
PA
USD
505966.62000000
0.096730992073
Long
ABS-MBS
US
Y
2
2056-03-25
Floating
0.83000160
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
MAGALLANES INC 144A 3.428000% 03/15/2024
55903VAC7
1320000.00000000
PA
USD
1311935.50000000
0.250816590334
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.42800000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
756835.26000000
PA
USD
747346.51000000
0.142878139540
Long
ABS-MBS
US
N
2
2036-10-15
Floating
1.79499960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 1993-58 H
31358UC95
417.54000000
PA
USD
420.92000000
0.000080471729
Long
DBT
USGA
US
N
2
2023-04-25
Fixed
5.50000000
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
179935.96000000
0.034400261267
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
725000.00000000
PA
USD
724451.10000000
0.138500981767
Long
ABS-MBS
US
N
2
2046-10-25
Floating
3.53108520
N
N
N
N
N
N
VERIZON OWNER TRUST
N/A
VERIZON OWNER TRUST 2020-C VZOT 2020-C A
92348CAA9
400000.00000000
PA
USD
392199.60000000
0.074980947159
Long
ABS-MBS
US
N
2
2025-04-21
Fixed
0.41000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE AUTO RECEIVABLES TRUST 2021-1 DRIVE 2021-1 B
262108AD5
805000.00000000
PA
USD
799698.51000000
0.152886825285
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
1855739.00000000
0.354781259087
Long
ABS-MBS
US
Y
2
2038-09-15
Floating
1.92499920
N
N
N
N
N
N
DUNKIN BRANDS
N/A
DB MASTER FINANCE LLC DNKN 2019-1A A2II
233046AK7
1118375.00000000
PA
USD
1094695.65000000
0.209284549726
Long
ABS-MBS
US
N
2
2049-05-20
Fixed
4.02100000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2020-1 FCAT 2020-1 A
33843FAA6
16425.95000000
PA
USD
16421.75000000
0.003139519696
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
22927.76000000
PA
USD
20627.97000000
0.003943667277
Long
ABS-MBS
US
N
2
2035-08-25
Floating
2.90777040
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2021-NQM2 TRUST MFRA 2021-NQM2 A1
55283WAA9
452371.57000000
PA
USD
413282.87000000
0.079011658955
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
236.34000000
PA
USD
236.36000000
0.000045187441
Long
DBT
USGA
US
N
2
2025-11-01
Floating
2.23400160
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
142619.35000000
0.027266050108
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
797263.11000000
0.152421224099
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
1177268.86000000
0.225070943939
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
3817.47000000
PA
USD
3818.81000000
0.000730082312
Long
DBT
USGA
US
N
2
2031-07-25
Floating
1.45571040
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
750947.18000000
0.143566517720
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
562190.06000000
PA
USD
561707.53000000
0.107387571599
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
997406.03000000
0.190684663707
Long
DBT
CORP
US
N
2
2024-03-18
Floating
0.78793200
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST
N/A
ONEMAIN FINANCIAL ISSUANCE TRUST 2018-1 OMFIT 2018-1A A
68267BAA8
15216.12000000
PA
USD
15218.77000000
0.002909533281
Long
ABS-MBS
US
N
2
2029-03-14
Fixed
3.30000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) SEP22 FINANCIAL COMMODITY FUTURE.
N/A
-1.00000000
NC
USD
-112953.13000000
-0.02159444495
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Sep 2022
2022-10-03
-113169.74000000
USD
216.61000000
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS
N/A
500000.00000000
PA
USD
500000.00000000
0.095590290199
Long
RA
US
N
2
Repurchase
Y
0.78000120
N/A
500016.70520000
USD
510017.04000000
USD
UST
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 3.350000% 02/06/2023
25466AAK7
3080000.00000000
PA
USD
3091691.50000000
0.591071375381
Long
DBT
CORP
US
N
2
2023-02-06
Fixed
3.35000000
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-1 A2
35105JAB4
245000.00000000
PA
USD
240963.63000000
0.046067566638
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
1.15000000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-5 IMM 2005-5 A1
45254NPU5
17955.11000000
PA
USD
17056.09000000
0.003260793185
Long
ABS-MBS
US
N
2
2035-08-25
Floating
1.64571120
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
564693.59000000
0.107958448283
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
514155.17000000
0.098296483815
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
1.57471920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-97 KA
3136AGCX8
42865.60000000
PA
USD
43055.15000000
0.008231308566
Long
DBT
USGA
US
N
2
2031-11-25
Fixed
3.00000000
N
N
N
N
N
N
Takeda Pharmaceutical Company Limited
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL CO LTD 4.400000% 11/26/2023
874060AT3
2010000.00000000
PA
USD
2045166.04000000
0.390996030537
Long
DBT
NUSS
JP
N
2
2023-11-26
Fixed
4.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4379 CB
3137BCZG6
123642.98000000
PA
USD
122807.13000000
0.023478338390
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
2.25000000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
N/A
SILVERSTONE MASTER ISSUER PLC SMI 2022-1A 1A
82846GAY6
1660000.00000000
PA
USD
1652295.94000000
0.315886896798
Long
ABS-MBS
GB
Y
2
2070-01-21
Floating
0.51401880
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
442881.72000000
PA
USD
441793.43000000
0.084462324363
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
262213.37000000
PA
USD
261292.58000000
0.049954067098
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
903757.60000000
PA
USD
841824.99000000
0.160940590181
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
362535.33000000
PA
USD
358051.31000000
0.068452457258
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
250000.00000000
PA
USD
247259.70000000
0.047271252955
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
526857.47000000
PA
USD
525392.12000000
0.100444770438
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
47491.11000000
PA
USD
47358.17000000
0.009053962427
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
729590.29000000
PA
USD
654935.99000000
0.125211042691
Long
ABS-MBS
US
Y
2
2061-05-25
Floating
1.10099880
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
513495.41000000
0.098170350515
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
814449.78000000
0.155706981645
Long
DBT
NUSS
AU
N
2
2025-10-14
Floating
1.00010520
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2020-3 DTAOT 2020-3A A
26253AAA4
57385.47000000
PA
USD
57333.78000000
0.010961105336
Long
ABS-MBS
US
Y
2
2024-04-15
Fixed
0.54000000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-2 IMM 2005-2 1A1
45254NMY0
25625.04000000
PA
USD
24689.23000000
0.004720101320
Long
ABS-MBS
US
N
2
2035-04-25
Floating
1.52570880
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
62574.57000000
PA
USD
62558.91000000
0.011960048722
Long
ABS-MBS
US
Y
2
2053-01-15
Floating
1.37471040
N
N
N
N
N
N
SG RESIDENTIAL MORTGAGE TRUST
N/A
SG RESIDENTIAL MORTGAGE TRUST 2021-1 SGR 2021-1 A1
784212AA0
1050684.91000000
PA
USD
937893.57000000
0.179307037064
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
316952.04000000
PA
USD
311923.60000000
0.059633734887
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
1.91428920
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A
33846QAA9
476591.89000000
PA
USD
464178.29000000
0.088741874890
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
932135.16000000
0.178206140898
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
182635.60000000
PA
USD
181506.09000000
0.034700439631
Long
ABS-MBS
US
N
2
2057-09-25
Floating
3.96479520
N
N
N
N
N
N
SYMPHONY STATIC CLO LTD
N/A
SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A
87190TAA1
1053130.58000000
PA
USD
1042000.04000000
0.199210172421
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-25
Floating
2.01399840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ4793
3138YWKF3
312636.77000000
PA
USD
313513.41000000
0.059937675686
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
898350.63000000
0.171747194844
Long
DBT
CORP
AE
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA 144A 1.900000% 09/23/2022
780082AG8
3375000.00000000
PA
USD
3375858.57000000
0.645398600754
Long
DBT
NUSS
CA
N
2
2022-09-23
Fixed
1.90000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-1 AOMT 2020-1 A1
03464RAA1
44716.30000000
PA
USD
43649.30000000
0.008344898507
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
687379.76000000
0.131413661470
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
CONAGRA BRANDS, INC.
54930035UDEIH090K650
CONAGRA BRANDS INC 0.500000% 08/11/2023
205887CG5
675000.00000000
PA
USD
655438.88000000
0.125307185493
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
1610000.00000000
PA
USD
1569096.89000000
0.299980854130
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
434999.98000000
PA
USD
434149.99000000
0.083001047067
Long
ABS-CBDO
CORP
KY
Y
2
2034-01-25
Floating
1.78400160
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIV LTD LCM 24A AR
50188YAE4
1000000.00000000
PA
USD
982571.00000000
0.187848494062
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-20
Floating
2.04270840
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
344151.85000000
0.065795150428
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
2.06429040
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2020-2 DRMT 2020-2 A1
24380NAA7
8245.00000000
PA
USD
8230.80000000
0.001573569121
Long
ABS-MBS
US
N
2
2065-05-25
Fixed
1.69200000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CFMT 2022-EBO2 LLC CFMT 2022-EBO2 A
12527QAA9
156220.92000000
PA
USD
155471.93000000
0.029723213812
Long
ABS-MBS
US
Y
2
2054-07-25
Floating
3.16900080
N
N
N
N
N
N
The Huntington National Bank
2WHM8VNJH63UN14OL754
HUNTINGTON NATIONAL BANK/THE 4.008000% 05/16/2025
44644MAD3
345000.00000000
PA
USD
346790.76000000
0.066299658773
Long
DBT
CORP
US
N
2
2025-05-16
Fixed
4.00800000
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
1451168.46000000
0.277435228438
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
57228.61000000
PA
USD
56974.95000000
0.010892504009
Long
ABS-MBS
US
N
2
2025-04-15
Fixed
0.70000000
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
510205.78000000
0.097541437142
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
508800.00000000
0.097272679306
Long
DBT
CORP
US
N
2
2024-04-08
Fixed
2.30000000
N
N
N
N
N
N
SCF EQUIPMENT LEASING LLC
N/A
SCF EQUIPMENT LEASING 2022-1 LLC SCFET 2022-1A A2
784033AC6
1280000.00000000
PA
USD
1257336.06000000
0.240378237706
Long
ABS-MBS
US
Y
2
2028-02-22
Fixed
2.06000000
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2
257812AD9
563757.29000000
PA
USD
550949.74000000
0.105330891063
Long
ABS-MBS
US
Y
2
2034-12-11
Fixed
0.56000000
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
516345.66000000
0.098715262964
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
0.81000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN VARIABLE RATE 01/10/2025
06368FAF6
800000.00000000
PA
USD
788878.97000000
0.150818339348
Long
DBT
NUSS
CA
N
2
2025-01-10
Floating
0.75565080
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-3 SDART 2022-3 A2
80285UAC5
2085000.00000000
PA
USD
2081719.67000000
0.397984374736
Long
ABS-MBS
US
N
2
2025-03-17
Fixed
2.76000000
N
N
N
N
N
N
CARBONE CLO
N/A
CARBONE CLO LTD CRBN 2017-1A A1
141312AA6
350000.00000000
PA
USD
344663.20000000
0.065892910617
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
2.20271040
N
N
N
N
N
N
FREED ABS TRUST
N/A
FREED ABS TRUST 2022-1FP FREED 2022-1FP A
35633KAA4
193112.88000000
PA
USD
191329.81000000
0.036578544123
Long
ABS-MBS
US
Y
2
2029-03-19
Fixed
0.94000000
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
884551.24000000
0.169109019454
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
677251.97000000
0.129477424700
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.02429080
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1
89173UAA5
374382.44000000
PA
USD
368292.96000000
0.070410461849
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
419747.01000000
PA
USD
408395.46000000
0.078077281074
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
799570.40000000
PA
USD
778609.42000000
0.148855000818
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
978924.39000000
0.187151333045
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
361834.16000000
PA
USD
361470.37000000
0.069106115133
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
2164591.19000000
PA
USD
2160676.96000000
0.413079475265
Long
ABS-MBS
US
Y
2
2025-03-13
Fixed
0.61000000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2020-B17 MORTGAGE TRUST BMARK 2020-B17 A2
08162MAV0
285000.00000000
PA
USD
271742.88000000
0.051951961517
Long
ABS-MBS
US
N
2
2053-03-15
Fixed
2.21080000
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
245457.63000000
PA
USD
237490.96000000
0.045403659572
Long
ABS-MBS
US
N
2
2057-10-28
Floating
3.49999920
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
1228127.84000000
0.234794193254
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
469872.61000000
0.089830518292
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
0.62000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM1 IMPRL 2021-NQM1 A1
452764AA1
803625.29000000
PA
USD
743393.57000000
0.142122414176
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.07100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 2.250000% 03/25/2025
3134GXMT8
3150000.00000000
PA
USD
3111287.26000000
0.594817704151
Long
DBT
USGA
US
N
2
2025-03-25
Fixed
2.25000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK ABP 144A 1.000000% 06/09/2023
65557CBE2
875000.00000000
PA
USD
860384.45000000
0.164488798516
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
808729.10000000
0.154613298722
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
285649.26000000
PA
USD
282082.39000000
0.053928675040
Long
ABS-MBS
US
Y
2
2033-04-15
Fixed
1.13000000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
2369332.19000000
PA
USD
2357338.87000000
0.450677413361
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
603899.65000000
PA
USD
586150.56000000
0.112060604261
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.80899920
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-2 MORTGAGE LOAN TRUST COLT 2020-2 A1
19688JAA5
133763.06000000
PA
USD
132212.26000000
0.025276416602
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
1561376.00000000
0.298504769899
Long
DBT
CORP
US
N
2
2027-04-22
Floating
1.15498080
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 A1
89177HAA0
315221.76000000
PA
USD
312876.79000000
0.059815966305
Long
ABS-MBS
US
N
2
2058-05-25
Floating
2.00571120
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
692714.37000000
NS
USD
692714.37000000
0.132433535306
Long
STIV
RF
US
N
2
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2015-CCRE23 MORTGAGE TRUST COMM 2015-CR23 A2
12593AAX3
334091.84000000
PA
USD
333843.58000000
0.063824409386
Long
ABS-MBS
US
N
2
2048-05-10
Fixed
2.85200000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-HQ2 M3
3137G0FJ3
273492.95000000
PA
USD
274347.40000000
0.052449895162
Long
DBT
USGA
US
N
2
2025-05-25
Floating
4.25571120
N
N
N
N
N
N
CARGILL, INCORPORATED
QXZYQNMR4JZ5RIRN4T31
CARGILL INC 144A 1.375000% 07/23/2023
141781BL7
475000.00000000
PA
USD
467890.94000000
0.089451661472
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
712990.02000000
0.136309845841
Long
DBT
CORP
US
N
2
2023-09-23
Fixed
0.50000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2020-1 GMALT 2020-1 B
36259KAF4
800000.00000000
PA
USD
799870.96000000
0.152919794376
Long
ABS-MBS
US
N
2
2023-12-20
Fixed
1.84000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-DNA3 M3
3137G0GW3
905279.05000000
PA
USD
928538.02000000
0.177518437585
Long
DBT
USGA
US
N
2
2028-04-25
Floating
5.70570840
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2012-K22 MORTGAGE TRUST FREMF 2012-K22 B
30290UAJ8
1635000.00000000
PA
USD
1635199.63000000
0.312618414330
Long
ABS-MBS
US
N
2
2045-08-25
Floating
3.65078880
N
N
N
N
N
N
CFMT TRUST
N/A
CFMT 2021-AL1 LLC CFMT 2021-AL1 B
12529UAF7
1082327.94000000
PA
USD
1050798.75000000
0.200892314906
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
123780.14000000
PA
USD
80320.00000000
0.015355624217
Long
ABS-MBS
US
N
2
2035-07-25
Floating
3.08118960
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC VARIABLE RATE 09/15/2023
25746UDH9
1726000.00000000
PA
USD
1726010.46000000
0.329979681515
Long
DBT
CORP
US
N
2
2023-09-15
Floating
1.35600120
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1
10569EAA9
324350.90000000
PA
USD
313820.88000000
0.059996457979
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
579681.20000000
0.110823788261
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
292099.04000000
PA
USD
290343.38000000
0.055508015903
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
191760.76000000
PA
USD
191630.29000000
0.036635990064
Long
ABS-MBS
US
N
2
2028-08-15
Fixed
1.77000000
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2022-1 FHF 2022-1A A
30327CAA4
675000.00000000
PA
USD
674044.07000000
0.128864136516
Long
ABS-MBS
US
Y
2
2028-01-18
Fixed
4.43000000
N
N
N
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC 0.600000% 08/15/2023
928563AG0
830000.00000000
PA
USD
805097.39000000
0.153918986297
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
1287893.82000000
0.246220287998
Long
DBT
CORP
US
N
2
2024-08-23
Floating
1.16076240
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1
92538LAA9
188198.38000000
PA
USD
180781.12000000
0.034561839446
Long
ABS-MBS
US
N
2
2065-05-25
Floating
1.50199920
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 2.125000% 03/17/2024
609207AZ8
515000.00000000
PA
USD
507058.86000000
0.096939807150
Long
DBT
CORP
US
N
2
2024-03-17
Fixed
2.12500000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2021-LGCY BX 2021-LGCY A
12434DAA0
1200000.00000000
PA
USD
1132841.28000000
0.216577253409
Long
ABS-MBS
US
Y
2
2023-10-15
Floating
1.38099960
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3 BRAVO 2021-NQM3 A1
105690AA9
534941.77000000
PA
USD
519045.71000000
0.099231460090
Long
ABS-MBS
US
Y
2
2060-04-25
Floating
1.69899840
N
N
N
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC VARIABLE RATE 02/17/2023
29250NBD6
1885000.00000000
PA
USD
1880928.40000000
0.359596983199
Long
DBT
NUSS
CA
N
2
2023-02-17
Floating
1.19100960
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
472388.19000000
PA
USD
437098.24000000
0.083564695214
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
790826.20000000
PA
USD
772860.05000000
0.147755832925
Long
ABS-MBS
US
Y
2
2034-12-11
Fixed
0.56000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM3 CSMC 2021-NQM3 A1
12660LAA7
886930.29000000
PA
USD
814217.53000000
0.155662579955
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
587646.50000000
0.112346598938
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
1316452.21000000
0.251680097574
Long
DBT
CORP
US
N
2
2023-11-03
Floating
0.69947280
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1RMORTGAGE PASS-THROUGH CERTIFICATES COLT 2021-1R A1
19688BAA2
520879.21000000
PA
USD
511874.35000000
0.097860435323
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.85700160
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 SDART 2021-4 C
80285VAE9
3200000.00000000
PA
USD
3019631.68000000
0.577294937170
Long
ABS-MBS
US
N
2
2027-02-16
Fixed
1.26000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2013-2 LTD INGIM 2013-2A A1R
92916WAA7
950000.00000000
PA
USD
938378.65000000
0.179399774940
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
2.15399880
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
KEYCORP MTN 3.878000% 05/23/2025
49326EEL3
470000.00000000
PA
USD
474266.45000000
0.090670535174
Long
DBT
CORP
US
N
2
2025-05-23
Fixed
3.87800000
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
996940.20000000
0.190595606058
Long
ABS-MBS
US
N
2
2025-10-15
Fixed
2.74000000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 B
90944DAC5
805000.00000000
PA
USD
790628.74000000
0.151152861392
Long
ABS-MBS
US
Y
2
2025-03-10
Fixed
2.10000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2021-B CPS 2021-B A
12656QAA2
152978.13000000
PA
USD
152333.80000000
0.029123264298
Long
ABS-MBS
US
Y
2
2025-03-17
Fixed
0.37000000
N
N
N
N
N
N
City of New York
549300ABYZD2SFD5JB29
NEW YORK NY CITY OF NEW YORK NY
64966QJD3
1925000.00000000
PA
USD
1907990.12000000
0.364770658535
Long
DBT
MUN
US
N
2
2023-03-01
Fixed
1.15000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 0.550000% 01/22/2024
63859UBG7
750000.00000000
PA
USD
717532.95000000
0.137178365835
Long
DBT
NUSS
GB
N
2
2024-01-22
Fixed
0.55000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2020-E A
69335PDT9
1240000.00000000
PA
USD
1197579.60000000
0.228953963000
Long
ABS-MBS
US
N
2
2025-10-15
Fixed
1.00000000
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
388422.44000000
PA
USD
387142.08000000
0.074014047550
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
91393.53000000
PA
USD
89786.66000000
0.017165465770
Long
ABS-MBS
US
N
2
2060-01-26
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
1256655.56000000
0.240248139321
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
616963.34000000
0.117951409425
Long
DBT
CORP
US
N
2
2024-05-13
Floating
1.45014120
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 0.650000% 08/03/2023
444859BP6
905000.00000000
PA
USD
880964.01000000
0.168423210741
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
0.65000000
N
N
N
N
N
N
MF1 LTD
N/A
MF1 2022-FL8 LTD MF1 2022-FL8 A
55284JAA7
750000.00000000
PA
USD
725335.50000000
0.138670061873
Long
ABS-MBS
KY
Y
2
2037-02-19
Floating
1.83242160
N
N
N
N
N
N
MFA LLC
N/A
MFA 2021-INV1 TRUST MFRA 2021-INV1 A1
552747AA5
393099.70000000
PA
USD
371802.97000000
0.071081507598
Long
ABS-MBS
US
Y
2
2056-01-25
Floating
0.85200120
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH BLDG AID REV
N/A
NEW YORK CITY NY TRANSITIONAL NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY BUILD
64972H5C2
3705000.00000000
PA
USD
3612623.24000000
0.690663407782
Long
DBT
MUN
US
N
2
2023-07-15
Fixed
0.38000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2022-2 CARMX 2022-2 A2A
14317HAB7
1745000.00000000
PA
USD
1743435.78000000
0.333311064307
Long
ABS-MBS
US
N
2
2025-05-15
Fixed
2.81000000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2004-29 CWHL 2004-29 1A1
12669GHY0
9791.10000000
PA
USD
9191.76000000
0.001757286011
Long
ABS-MBS
US
N
2
2035-02-25
Floating
1.54571040
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-B BHG 2022-B A
05553DAA9
1020000.00000000
PA
USD
1019927.69000000
0.194990367738
Long
ABS-MBS
US
Y
2
2035-06-18
Fixed
3.75000000
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
1600000.00000000
PA
USD
1578012.96000000
0.301685433568
Long
ABS-MBS
US
N
2
2026-01-15
Fixed
1.01000000
N
N
N
N
N
N
SAN FRANCISCO CALIF BAY AREA RAPID TRAN DIST SALES TAX REV
N/A
SAN FRANCISCO CA BAY AREA RAPI SAN FRANCISCO BAY AREA RAPID TRANSIT DISTRICT SALE
797669XV5
810000.00000000
PA
USD
810761.89000000
0.155001928694
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
2.53700000
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
322439.22000000
PA
USD
318599.19000000
0.060909978058
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
1312785.78000000
PA
USD
1304772.01000000
0.249447070158
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
414944.99000000
PA
USD
410966.08000000
0.078568733698
Long
ABS-MBS
US
Y
2
2025-01-15
Fixed
0.42000000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2022-A ARIFL 2022-A A2
00217QAB7
1475000.00000000
PA
USD
1463366.38000000
0.279767233863
Long
ABS-MBS
US
Y
2
2031-01-15
Fixed
3.12000000
N
N
N
N
N
N
PENSKE TRUCK LEASING CO., L.P.
549300ZX07JYMI8GHQ39
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 144A 4.875000% 07/11/2022
709599AH7
2350000.00000000
PA
USD
2356749.34000000
0.450564706673
Long
DBT
CORP
US
N
2
2022-07-11
Fixed
4.87500000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N4 CRVNA 2021-N4 A1
14687HAA1
606136.77000000
PA
USD
594660.12000000
0.113687466881
Long
ABS-MBS
US
N
2
2028-09-11
Fixed
0.83000000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST UACST 2021-1 B
90943UAB0
1747741.74000000
PA
USD
1742477.72000000
0.333127901840
Long
ABS-MBS
US
Y
2
2024-03-11
Fixed
0.68000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1
19688EAA6
494357.16000000
PA
USD
440502.63000000
0.084215548470
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
6482.17000000
PA
USD
6470.86000000
0.001237102770
Long
DBT
USGA
US
N
2
2024-09-01
Floating
1.99400040
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2021-4 DTAOT 2021-4A A
26253WAA6
1621822.58000000
PA
USD
1596601.94000000
0.305239285553
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
313604.59000000
0.059955107531
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
706050.13000000
0.134983073643
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
1.03000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.600000% 05/25/2023
404280BA6
1430000.00000000
PA
USD
1442294.20000000
0.275738642260
Long
DBT
NUSS
GB
N
2
2023-05-25
Fixed
3.60000000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 2.760000% 10/01/2024
20268JAA1
640000.00000000
PA
USD
628061.27000000
0.120073118124
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.76000000
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
224674.02000000
PA
USD
224322.92000000
0.042886186042
Long
ABS-MBS
US
N
2
2035-07-25
Floating
1.78571160
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-3 IMM 2005-3 A1
45254NNP8
25900.26000000
PA
USD
24196.13000000
0.004625830176
Long
ABS-MBS
US
N
2
2035-08-25
Floating
1.48570920
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2013-K24 MORTGAGE TRUST FREMF 2013-K24 B
30290XAN3
1200000.00000000
PA
USD
1202161.32000000
0.229829898889
Long
ABS-MBS
US
N
2
2045-11-25
Floating
3.49052040
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2021-2 LLC EFF 2021-2 A2
29374YAB8
487328.27000000
PA
USD
470828.41000000
0.090013248691
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
425978.89000000
PA
USD
400743.43000000
0.076614361538
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
9207.52000000
PA
USD
8775.45000000
0.001677695624
Long
ABS-MBS
US
N
2
2035-01-20
Floating
1.46729160
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2021-3 MFT 2021-3A A
57108QAA1
313668.86000000
PA
USD
308537.46000000
0.058986370677
Long
ABS-MBS
US
Y
2
2031-12-15
Fixed
0.65000000
N
N
N
N
N
N
SALESFORCE, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE INC 0.625000% 07/15/2024
79466LAG9
2740000.00000000
PA
USD
2613255.27000000
0.499603659246
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
331928.01000000
0.063458189602
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
604242.17000000
PA
USD
598657.28000000
0.114451646249
Long
ABS-MBS
US
N
2
2058-07-15
Fixed
3.02000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A
14687DAA0
487626.83000000
PA
USD
470856.08000000
0.090018538658
Long
ABS-MBS
US
N
2
2028-01-10
Fixed
0.70000000
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
983939.83000000
0.188110187776
Long
ABS-MBS
US
Y
2
2038-05-15
Floating
1.52732880
N
N
N
N
N
N
HARLEY DAVIDSON MOTORCYCLE TRUST
N/A
HARLEY-DAVIDSON MOTORCYCLE TRUST 2022-A HDMOT 2022-A A2A
41284YAB2
1525000.00000000
PA
USD
1521732.23000000
0.290925650941
Long
ABS-MBS
US
N
2
2025-05-15
Fixed
2.45000000
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-1 B
46591HAN0
496453.87000000
PA
USD
490449.21000000
0.093764364623
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
49817.36000000
PA
USD
46152.27000000
0.008823417765
Long
ABS-MBS
US
N
2
2037-05-25
Floating
3.13589160
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-3 WLAKE 2020-3A A2
96042QAC4
451712.92000000
PA
USD
450440.04000000
0.086115388281
Long
ABS-MBS
US
Y
2
2024-05-15
Fixed
0.56000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N3 CRVNA 2021-N3 B
14687GAC9
1475913.29000000
PA
USD
1449871.10000000
0.277187198400
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
1423456.49000000
0.272137237929
Long
DBT
CORP
US
N
2
2023-11-01
Floating
1.76600160
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
1142725.82000000
0.218466985503
Long
DBT
NUSS
DE
N
2
2023-11-08
Floating
1.29011040
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
566284.15000000
0.108262532467
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
2.10270960
N
N
N
N
N
N
CONSTELLATION BRANDS, INC.
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 3.600000% 05/09/2024
21036PBM9
550000.00000000
PA
USD
554461.68000000
0.106002305790
Long
DBT
CORP
US
N
2
2024-05-09
Fixed
3.60000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C6 UBSCM 2017-C6 ASB
90276UAU5
250000.00000000
PA
USD
247486.43000000
0.047314599328
Long
ABS-MBS
US
N
2
2050-12-15
Fixed
3.50420000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2022-LBA6 BX 2022-LBA6 A
12433EAA9
670000.00000000
PA
USD
646486.75000000
0.123595712084
Long
ABS-MBS
US
Y
2
2039-01-15
Floating
1.78165080
N
N
N
N
N
N
FREED ABS TRUST
N/A
FREED ABS TRUST 2021-3FP FREED 2021-3FP A
30322MAA7
90654.51000000
PA
USD
90191.43000000
0.017242849934
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
29842.86000000
PA
USD
29778.05000000
0.005692984882
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
988842.00000000
0.189047387481
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-17
Floating
1.99428840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-137 UE
3136AAL29
193792.99000000
PA
USD
187365.44000000
0.035820633565
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
353285.68000000
PA
USD
352032.51000000
0.067301779580
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
381288.94000000
PA
USD
377310.72000000
0.072134482439
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
931396.77000000
PA
USD
931198.85000000
0.178027136608
Long
ABS-MBS
US
N
2
2026-03-16
Fixed
2.08000000
N
N
N
N
N
N
DAIMLER TRUCKS FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 12/13/2024
233853AE0
1125000.00000000
PA
USD
1119071.25000000
0.213944691081
Long
DBT
CORP
DE
N
2
2024-12-13
Floating
1.04186160
N
N
N
N
N
N
VERIZON OWNER TRUST
N/A
VERIZON OWNER TRUST 2020-A VZOT 2020-A A1A
92348TAA2
1058280.07000000
PA
USD
1057644.36000000
0.202201062599
Long
ABS-MBS
US
N
2
2024-07-22
Fixed
1.85000000
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
172793.27000000
PA
USD
170612.45000000
0.032617787214
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
796165.10000000
0.152211305910
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
979202.86000000
0.187204571102
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
2.01429000
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2020-2 B
46591HAU4
1105659.76000000
PA
USD
1086163.11000000
0.207653293776
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
184210.69000000
PA
USD
177073.76000000
0.033853064210
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.71499960
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST
N/A
KUBOTA CREDIT OWNER TRUST 2020-2 KCOT 2020-2A A3
50116YAC5
200000.00000000
PA
USD
196632.64000000
0.037592342240
Long
ABS-MBS
US
N
2
2024-10-15
Fixed
0.59000000
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
404965.32000000
0.077421504918
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
0.59000000
N
N
N
N
N
N
BX TRUST
N/A
BX 2021-MFM1 BX 2021-MFM1 B
05608VAE6
1370000.00000000
PA
USD
1310852.72000000
0.250609583825
Long
ABS-MBS
US
Y
2
2034-01-15
Floating
1.82471040
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
154792.38000000
PA
USD
151187.37000000
0.028904089145
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
816416.35000000
0.156082951639
Long
DBT
NUSS
CA
N
2
2024-10-18
Floating
0.68206320
N
N
N
N
N
N
DEXT ABS LLC
N/A
DEXT ABS 2021-1 LLC DEXT 2021-1 A
23345CAA7
374660.45000000
PA
USD
363802.57000000
0.069551986482
Long
ABS-MBS
US
Y
2
2028-02-15
Fixed
1.12000000
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A1
257812AC1
1029643.80000000
PA
USD
1022636.04000000
0.195508151663
Long
ABS-MBS
US
Y
2
2034-12-11
Floating
1.17213840
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-3 AOMT 2020-3 A1
03465LAA3
414118.79000000
PA
USD
398119.27000000
0.076112673106
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.69099920
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
309584.76000000
PA
USD
302374.75000000
0.057808180202
Long
ABS-MBS
US
Y
2
2030-09-25
Fixed
0.49000000
N
N
N
N
N
N
BSPRT ISSUER, LTD.
N/A
BSPRT 2022-FL8 ISSUER LTD BSPRT 2022-FL8 A
055983AA8
825000.00000000
PA
USD
800624.55000000
0.153063866149
Long
ABS-MBS
KY
Y
2
2037-02-15
Floating
1.76703120
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
885503.70000000
0.169291111310
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
2.04270840
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
889980.51000000
0.170146990444
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
225976.24000000
PA
USD
213438.54000000
0.040805303956
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
742181.25000000
0.141890642135
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
2.22428880
N
N
N
N
N
N
ARROYO MORTGAGE TRUST
N/A
ARROYO MORTGAGE TRUST 2019-3 ARRW 2019-3 A1
04285AAA3
188612.85000000
PA
USD
184018.88000000
0.035180836282
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
129735.46000000
PA
USD
129301.87000000
0.024720006553
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.75000040
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022- ACAR 2022-1 A
02530WAA2
1118741.95000000
PA
USD
1105342.78000000
0.211320074219
Long
ABS-MBS
US
Y
2
2025-12-15
Fixed
0.99000000
N
N
N
N
N
N
CARLISLE COMPANIES INCORPORATED
XR64VGX1ZPX6G7ZN7Z11
CARLISLE COS INC 0.550000% 09/01/2023
142339AK6
300000.00000000
PA
USD
290892.05000000
0.055612910952
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.55000000
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
546431.64000000
0.104467118083
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
225197.02000000
PA
USD
204680.45000000
0.039130927227
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
563259.96000000
PA
USD
561525.46000000
0.107352763351
Long
ABS-MBS
US
Y
2
2025-02-18
Fixed
0.61000000
N
N
N
N
N
N
United States of America
N/A
US LONG BOND(CBT) SEP22 FINANCIAL COMMODITY FUTURE.
N/A
-1.00000000
NC
USD
-139437.50000000
-0.02665774217
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US Long Bond (CBT) Sep 2022
2022-09-24
-140896.49000000
USD
1458.99000000
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE VARIABLE RATE 07/31/2024
0641596F8
1375000.00000000
PA
USD
1361407.05000000
0.260274589976
Long
DBT
NUSS
CA
N
2
2024-07-31
Floating
0.67902480
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2019-3 TRUST SCLP 2019-3 C
83405TAC7
202049.58000000
PA
USD
202032.32000000
0.038624656196
Long
ABS-MBS
US
N
2
2028-05-25
Fixed
3.35000000
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
739022.25000000
0.141286702682
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
2.24628840
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.750000% 02/25/2023
61746BDJ2
3820000.00000000
PA
USD
3854163.98000000
0.736841306645
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
3.75000000
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
1335205.93000000
0.255265444648
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
2016925.22000000
0.385596934178
Long
ABS-MBS
US
Y
2
2055-04-25
Floating
1.75570920
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
1665258.54000000
0.318365094189
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-21
Floating
2.09828880
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
411990.75000000
0.078764630703
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
397578.28000000
0.076009246324
Long
ABS-MBS
US
Y
2
2025-05-13
Fixed
0.68000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 10/15/2023
91282CAP6
3155000.00000000
PA
USD
3062814.84000000
0.585550718762
Long
SN
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP 144A 0.373000% 03/03/2023
62954WAA3
2925000.00000000
PA
USD
2877381.00000000
0.550099369606
Long
DBT
NUSS
JP
N
2
2023-03-03
Fixed
0.37300000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-5 AOMT 2021-5 A1
03465HAA2
999326.03000000
PA
USD
919415.62000000
0.175774411858
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
9153.18000000
PA
USD
8656.90000000
0.001655031166
Long
ABS-MBS
US
N
2
2034-09-25
Floating
2.68232400
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2019-AFC1 TRUST CSMC 2019-AFC1 A1
12596XAA0
765087.56000000
PA
USD
741400.60000000
0.141741397015
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
527593.37000000
0.100865606690
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
962205.83000000
0.183955069041
Long
ABS-MBS
US
N
2
2036-10-15
Floating
1.95500160
N
N
N
N
N
N
USAA CAPITAL CORPORATION
5493007XLF4LU3U2W757
USAA CAPITAL CORP 144A 1.500000% 05/01/2023
90327QD48
890000.00000000
PA
USD
879942.52000000
0.168227921690
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.50000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2006-AR2 CMLTI 2006-AR2 1A1
17307G6K9
55996.23000000
PA
USD
46283.58000000
0.008848521687
Long
ABS-MBS
US
N
2
2036-03-25
Floating
2.80982520
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
3453526.61000000
0.660247221719
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
987812.01000000
0.188850473395
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.55000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2
29374EAB2
1439633.66000000
PA
USD
1401280.81000000
0.267897678556
Long
ABS-MBS
US
Y
2
2026-12-21
Fixed
0.44000000
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
59788.08000000
PA
USD
40553.53000000
0.007753047402
Long
ABS-MBS
US
N
2
2037-06-25
Floating
3.35755800
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B
30227FAE0
496941.57000000
PA
USD
483555.16000000
0.092446356143
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
2.25500040
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2020-1 LLC EFF 2020-1 A2
29373KAB9
1069981.63000000
PA
USD
1064843.58000000
0.203577413657
Long
ABS-MBS
US
N
2
2025-12-22
Fixed
1.78000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY 2.800000% 05/01/2023
664397AK2
1370000.00000000
PA
USD
1367121.93000000
0.261367164052
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
2.80000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY3 TPMT 2019-HY3 A1A
89177XAA5
309888.26000000
PA
USD
305571.98000000
0.058419428489
Long
ABS-MBS
US
N
2
2059-10-25
Floating
1.18685880
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-6 BSARM 2005-6 3A1
07387ADJ1
48187.44000000
PA
USD
46899.20000000
0.008966216276
Long
ABS-MBS
US
N
2
2035-08-25
Floating
2.48980680
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2019-2A A1
165183CD4
321795.09000000
PA
USD
321815.72000000
0.061524916130
Long
ABS-MBS
US
N
2
2031-09-15
Fixed
1.95000000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
CONOCOPHILLIPS CO 2.400000% 12/15/2022
20826FAA4
1145000.00000000
PA
USD
1146629.58000000
0.219213308605
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.40000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2018-1 TRUST OBX 2018-1 A2
67112FAD2
31280.09000000
PA
USD
30786.21000000
0.005885725496
Long
ABS-MBS
US
N
2
2057-06-25
Floating
1.65570840
N
N
N
N
N
N
AON CORPORATION
LTS3U8DGK38SETRUWX71
AON CORP 2.200000% 11/15/2022
037389BD4
55000.00000000
PA
USD
54958.54000000
0.010507005575
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.20000000
N
N
N
N
N
N
PERKINELMER, INC.
549300IKL1SDPFI7N655
PERKINELMER INC 0.550000% 09/15/2023
714046AK5
1250000.00000000
PA
USD
1210784.10000000
0.231478406974
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
2340634.15000000
0.447483795296
Long
DBT
NUSS
GB
N
2
2023-05-05
Fixed
0.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 2.940000% 11/24/2023
3134GXTV6
850000.00000000
PA
USD
850589.09000000
0.162616115906
Long
DBT
USGA
US
N
2
2023-11-24
Fixed
2.94000000
N
N
N
N
N
N
ATMOS ENERGY CORPORATION
QVLWEGTD2S8GJMO8D383
ATMOS ENERGY CORP 0.625000% 03/09/2023
049560AU9
1000000.00000000
PA
USD
987493.66000000
0.188789611058
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.62500000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1
92538EAA5
400217.27000000
PA
USD
385068.37000000
0.073617594469
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
837229.75000000
0.160062069531
Long
DBT
NUSS
AU
N
2
2026-06-15
Floating
0.57000240
N
N
N
N
N
N
ANALOG DEVICES, INC.
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES INC VARIABLE RATE 10/01/2024
032654AT2
590000.00000000
PA
USD
585325.46000000
0.111902861164
Long
DBT
CORP
US
N
2
2024-10-01
Floating
0.54966960
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO LTD
N/A
BENEFIT STREET PARTNERS CLO XII LTD BSP 2017-12A A1R
08179HAE0
1200000.00000000
PA
USD
1183485.60000000
0.226259463900
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
1.99428840
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
59651.66000000
PA
USD
59440.64000000
0.011363896054
Long
ABS-MBS
US
N
2
2049-07-26
Floating
2.99300040
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-2 CARMX 2021-2 A3
14314QAC8
1070000.00000000
PA
USD
1036913.46000000
0.198237717105
Long
ABS-MBS
US
N
2
2026-02-17
Fixed
0.52000000
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
1057716.00000000
0.202214758776
Long
DBT
NUSS
DE
N
2
2027-11-16
Floating
2.00999880
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
690421.21000000
0.131995127646
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
757953.03000000
PA
USD
717925.53000000
0.137253419507
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
20374.33000000
PA
USD
19407.02000000
0.003710245347
Long
ABS-MBS
US
N
2
2035-01-25
Floating
1.76571000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP VARIABLE RATE 02/04/2025
06051GKF5
950000.00000000
PA
USD
942539.20000000
0.180195191303
Long
DBT
CORP
US
N
2
2025-02-04
Floating
0.96011280
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VII LTD OZLM 2014-7RA A1R
67108WBE8
798778.97000000
PA
USD
790261.59000000
0.151082669442
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
2.05428960
N
N
N
N
N
N
CHASE MORTGAGE REFERENCE NOTES
N/A
CHASE MORTGAGE FINANCE CORP CHASE 2021-CL1 M1
46591HBX7
518674.54000000
PA
USD
497889.95000000
0.095186889615
Long
ABS-MBS
US
N
2
2050-02-25
Floating
1.78445880
N
N
N
N
N
N
VERIZON OWNER TRUST
N/A
VERIZON OWNER TRUST 2019-B VZOT 2019-B B
92349GAC5
505000.00000000
PA
USD
504973.54000000
0.096541134462
Long
ABS-MBS
US
N
2
2023-12-20
Fixed
2.40000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 3.250000% 02/16/2024
694308KA4
625000.00000000
PA
USD
616262.58000000
0.117817437721
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
3.25000000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-F TRUST BOAMS 2005-F 2A2
05949CCA2
39814.38000000
PA
USD
38105.76000000
0.007285081313
Long
ABS-MBS
US
N
2
2035-07-25
Floating
2.70761400
N
N
N
N
N
N
N/A
N/A
NYCTL 2021-A TRUST NYCTL 2021-A A
62955UAA6
1308847.22000000
PA
USD
1283428.62000000
0.245366628471
Long
ABS-MBS
US
N
2
2034-11-10
Fixed
2.10000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM3 TRUST MFRA 2020-NQM3 A1
552757AA4
167574.94000000
PA
USD
161871.26000000
0.030946641436
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
586639.75000000
0.112154127889
Long
ABS-MBS
US
Y
2
2030-07-15
Fixed
1.21000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 323626
31374TPK9
2.49000000
PA
USD
2.49000000
0.000000476039
Long
DBT
USGA
US
N
2
2023-11-01
Floating
2.16600120
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP VARIABLE RATE 12/06/2024
14040HCL7
800000.00000000
PA
USD
792840.00000000
0.151575611362
Long
DBT
CORP
US
N
2
2024-12-06
Floating
0.74000160
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 12/06/2023
38141GZF4
3365000.00000000
PA
USD
3339796.15000000
0.638504166368
Long
DBT
NUSS
US
N
2
2023-12-06
Floating
0.67000320
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1
89173FAA8
165805.80000000
PA
USD
165155.53000000
0.031574530081
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
355756.41000000
PA
USD
345255.33000000
0.066006114374
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
3654332.04000000
0.698637320374
Long
DBT
CORP
DE
N
2
2022-08-15
Fixed
2.55000000
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
569915.37000000
0.108956751214
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
174278.01000000
PA
USD
172809.02000000
0.033037728741
Long
ABS-MBS
US
Y
2
2031-09-15
Fixed
0.51000000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
CONOCOPHILLIPS CO 2.125000% 03/08/2024
20826FAT3
775000.00000000
PA
USD
770118.17000000
0.147231638715
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
2.12500000
N
N
N
N
N
N
LSTAR SECURITIES INVESTMENT LTD.
N/A
LSTAR SECURITIES INVESTMENT LTD 2019-4 LSTRZ 2019-4 A1
54912JAA0
350174.13000000
PA
USD
344000.56000000
0.065766226718
Long
ABS-MBS
US
N
2
2024-05-01
Floating
4.29999840
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1
92536PAA2
38586.32000000
PA
USD
37998.13000000
0.007264504547
Long
ABS-MBS
US
N
2
2060-01-25
Floating
2.41700040
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2022-1 FIAOT 2022-1A A
32057KAA8
3206670.41000000
PA
USD
3152934.31000000
0.602779811342
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
2.03000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 374614
31377EDT3
2596.78000000
PA
USD
2589.42000000
0.000495046818
Long
DBT
USGA
US
N
2
2024-09-01
Floating
2.00900160
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-2 VERUS 2021-2 A1
92538FAA2
430020.42000000
PA
USD
401980.81000000
0.076850924564
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
421265.23000000
PA
USD
397640.25000000
0.076021093784
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
1.21899960
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-2 WLAKE 2019-2A E
96041LAG7
1050000.00000000
PA
USD
1051327.94000000
0.200993485757
Long
ABS-MBS
US
N
2
2025-04-15
Fixed
4.02000000
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
611269.81000000
0.116862917055
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.55000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2019-3 CARMX 2019-3 A3
14315PAD7
405793.44000000
PA
USD
405425.06000000
0.077509398278
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
1292693.82000000
0.247137954784
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
1967676.64000000
0.376181562070
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
1329052.25000000
0.254088980534
Long
DBT
NUSS
CA
N
2
2026-09-15
Floating
0.67000320
N
N
N
N
N
N
7-ELEVEN, INC.
549300K23JPL0SS3LB18
7-ELEVEN INC 144A 0.625000% 02/10/2023
817826AA8
4895000.00000000
PA
USD
4826936.15000000
0.922816454701
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
705488.06000000
PA
USD
701301.76000000
0.134075277510
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
325423.90000000
PA
USD
324085.56000000
0.061958865459
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
322316.17000000
0.061620592452
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
194512.00000000
0.037186917054
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
1711678.06000000
0.327239604965
Long
DBT
CORP
US
N
2
2023-03-01
Floating
0.58980960
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP MTN VARIABLE RATE 12/15/2022
00914AAN2
1200000.00000000
PA
USD
1199286.96000000
0.229280377076
Long
DBT
CORP
US
N
2
2022-12-15
Floating
1.17600120
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO VARIABLE RATE 03/16/2024
46647PCA2
1200000.00000000
PA
USD
1194835.86000000
0.228429413195
Long
DBT
CORP
US
N
2
2024-03-16
Floating
0.86945040
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2018-1 NAVSL 2018-1A A2
63940DAB8
201725.75000000
PA
USD
201204.65000000
0.038466421765
Long
ABS-MBS
US
N
2
2067-03-25
Floating
1.35570960
N
N
N
N
N
N
COREBRIDGE FINANCIAL, INC.
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 144A 3.500000% 04/04/2025
21871XAA7
385000.00000000
PA
USD
381388.77000000
0.072914126405
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 9.150000% 02/01/2023
00206RHN5
1200000.00000000
PA
USD
1253208.64000000
0.239589155155
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
986140.59000000
PA
USD
909308.21000000
0.173842071348
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
150244.79000000
PA
USD
149655.54000000
0.028611232996
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
196469.55000000
PA
USD
192822.90000000
0.036863993936
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
542074.05000000
0.103634031497
Long
DBT
CORP
US
N
2
2024-09-10
Floating
0.55000440
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC VARIABLE RATE 01/25/2026
17327CAP8
650000.00000000
PA
USD
636320.83000000
0.121652185598
Long
DBT
CORP
US
N
2
2026-01-25
Floating
0.97332840
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
660474.61000000
0.126269919277
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-17
Floating
2.06271000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1
89173HAA4
262567.81000000
PA
USD
261690.28000000
0.050030099614
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.75000040
N
N
N
N
N
N
DAIMLER TRUCKS FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 04/05/2024
233853AK6
750000.00000000
PA
USD
751500.00000000
0.143672206169
Long
DBT
CORP
DE
N
2
2024-04-05
Floating
1.30010400
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2021-A MMAF 2021-A A3
55317JAC4
185000.00000000
PA
USD
174400.92000000
0.033342069107
Long
ABS-MBS
US
Y
2
2028-06-13
Fixed
0.56000000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 A
90944DAA9
413646.15000000
PA
USD
411453.12000000
0.078661846288
Long
ABS-MBS
US
Y
2
2024-07-10
Fixed
1.11000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1
69360GAA1
282742.05000000
PA
USD
263579.69000000
0.050391318115
Long
ABS-MBS
US
Y
2
2051-07-25
Fixed
1.31900000
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
148361.93000000
PA
USD
143982.11000000
0.027526583356
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
1863823.81000000
0.356326917755
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
159278.16000000
PA
USD
159012.37000000
0.030400077187
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
378997.89000000
PA
USD
373707.16000000
0.071445551747
Long
ABS-MBS
US
Y
2
2024-03-20
Fixed
0.82000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 05/15/2023
912828ZP8
23205000.00000000
PA
USD
22767186.86000000
4.352643997924
Long
SN
UST
US
N
2
2023-05-15
Fixed
0.12500000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2019-1 LTD VOYA 2019-1A AR
92917NAJ7
1150000.00000000
PA
USD
1133878.15000000
0.216775482817
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.10429000
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
748548.50000000
0.143107936686
Long
DBT
CORP
US
N
2
2022-11-14
Floating
1.95035040
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
1684152.60000000
0.321977271546
Long
DBT
CORP
US
N
2
2024-04-01
Floating
1.12966920
N
N
N
N
N
N
UNIFY AUTO RECEIVABLES TRUST
N/A
UNIFY AUTO RECEIVABLES TRUST 2021-1 UART 2021-1A A2
90775QAB2
71906.73000000
PA
USD
71850.67000000
0.013736452792
Long
ABS-MBS
US
Y
2
2024-02-15
Fixed
0.39000000
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-A BHG 2022-A A
054977AA1
1167470.41000000
PA
USD
1127436.92000000
0.215544044727
Long
ABS-MBS
US
Y
2
2035-02-20
Fixed
1.71000000
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
1080712.05000000
0.206611156962
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
988923.57000000
PA
USD
956403.81000000
0.182845835490
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
1.88445960
N
N
N
N
N
N
MORTGAGEIT TRUST
N/A
MORTGAGEIT TRUST 2005-5 MHL 2005-5 A1
61915RAU0
51152.97000000
PA
USD
49357.78000000
0.009436249027
Long
ABS-MBS
US
N
2
2035-12-25
Floating
1.52570880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0213
31418MGX4
52398.94000000
PA
USD
57582.40000000
0.011008636652
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
222528.13000000
PA
USD
222328.54000000
0.042504899316
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
24407.99000000
PA
USD
24383.74000000
0.004661697565
Long
ABS-MBS
US
N
2
2048-08-25
Floating
4.50000000
N
N
N
N
N
N
OHA CREDIT FUNDING LTD
N/A
OHA CREDIT FUNDING 3 LTD OAKC 2019-3A XR
67112RAQ7
468750.00000000
PA
USD
468598.13000000
0.089586862466
Long
ABS-CBDO
CORP
KY
Y
2
2035-07-02
Floating
1.66271040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 889091
31410GXU2
331.19000000
PA
USD
339.35000000
0.000064877129
Long
DBT
USGA
US
N
2
2023-02-01
Fixed
5.00000000
N
N
N
N
N
N
CITIZENS BANK, NATIONAL ASSOCIATION
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA/PROVIDENCE RI 4.119000% 05/23/2025
75524KNQ3
400000.00000000
PA
USD
401884.14000000
0.076832443137
Long
DBT
CORP
US
N
2
2025-05-23
Fixed
4.11900000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A2
00217FAB1
299106.64000000
PA
USD
294551.57000000
0.056312540109
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
694096.48000000
0.132697767898
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
932193.56000000
PA
USD
922542.56000000
0.176372222062
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
2.13270840
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 0.613000% 03/15/2024
125523CN8
570000.00000000
PA
USD
545427.36000000
0.104275119249
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.61300000
N
N
N
N
N
N
2022-05-31
SEI INSTITUTIONAL INVESTMENTS TRUST
Peter Rodriguez
Peter Rodriguez
CFO