0001752724-20-096415.txt : 20200520
0001752724-20-096415.hdr.sgml : 20200520
20200520133529
ACCESSION NUMBER: 0001752724-20-096415
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200331
FILED AS OF DATE: 20200520
PERIOD START: 20200930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: VIRTUS OPPORTUNITIES TRUST
CENTRAL INDEX KEY: 0001005020
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07455
FILM NUMBER: 20897285
BUSINESS ADDRESS:
STREET 1: 101 MUNSON STREET
CITY: GREENFIELD
STATE: MA
ZIP: 01301
BUSINESS PHONE: 800-243-1574
MAIL ADDRESS:
STREET 1: ONE FINANCIAL PLAZA
STREET 2: 26TH FLOOR
CITY: HARTFORD
STATE: CT
ZIP: 06103
FORMER COMPANY:
FORMER CONFORMED NAME: PHOENIX OPPORTUNITIES TRUST
DATE OF NAME CHANGE: 20060127
FORMER COMPANY:
FORMER CONFORMED NAME: PHOENIX SENECA FUNDS
DATE OF NAME CHANGE: 19990122
FORMER COMPANY:
FORMER CONFORMED NAME: SENECA FUNDS
DATE OF NAME CHANGE: 19951218
0001005020
S000055179
Virtus Newfleet Low Duration Core Plus Bond Fund
C000173503
Class A
HIMZX
C000173504
Class C
PCMZX
C000173505
Class I
HIBIX
C000210350
Class R6
VLDRX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001005020
XXXXXXXX
S000055179
C000210350
C000173505
C000173504
C000173503
Virtus Opportunities Trust
811-07455
0001005020
549300O4C4QVD88M4N75
101 Munson Street
Greenfield
01301-9668
800-243-1574
Virtus Newfleet Low Duration Core Plus Bond Fund
S000055179
549300INF8MRMW88KO98
2020-09-30
2020-03-31
N
447495843.78
3777004.56
443718839.22
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1475904.96000000
USD
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2019-SST2
17327XAA5
1200000.00000000
PA
USD
1151210.04000000
0.259445833317
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.62463000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST 2019-1
59166EAB1
1194758.17000000
PA
USD
1232759.01000000
0.277824356560
Long
ABS-MBS
CORP
US
N
2
2058-04-25
Variable
3.75000000
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAG5
243000.00000000
PA
USD
241263.77000000
0.054373118442
Long
DBT
CORP
US
N
2
2020-11-15
Floating
2.40175000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2019-4
23343JAE6
1390000.00000000
PA
USD
1357800.23000000
0.306004638519
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
2.73000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CU9
920000.00000000
PA
USD
925401.65000000
0.208555862001
Long
DBT
CORP
US
N
2
2023-07-01
Fixed
2.95000000
N
N
N
N
N
N
First Investors Auto Owner Tru
N/A
First Investors Auto Owner Trust 2018-1
32059RAJ2
1175000.00000000
PA
USD
1159875.64000000
0.261398781723
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
4.11000000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2019-1 LLC
69359AAA7
1546934.32000000
PA
USD
1561478.91000000
0.351907282716
Long
ABS-MBS
CORP
US
N
2
2024-01-25
Variable
4.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
549300BV8AJIRLDGMR51
JP Morgan Mortgage Trust 2014-2
46641YAN3
817179.50000000
PA
USD
809011.79000000
0.182325319209
Long
ABS-MBS
CORP
US
N
2
2029-06-25
Variable
3.34996400
N
N
N
N
N
N
Aventura Mall Trust
N/A
Aventura Mall Trust 2013-AVM
05357HAJ9
1130000.00000000
PA
USD
1115656.35000000
0.251433171501
Long
ABS-MBS
CORP
US
N
2
2032-12-05
Variable
3.74267000
N
N
N
N
N
N
LEVEL 3 PARENT LLC
N/A
Level 3 Parent LLC
52729KAP1
440348.07110000
PA
USD
409523.71000000
0.092293514226
Long
LON
CORP
US
N
2
2027-03-01
Floating
2.73940000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A
86359A5V1
199455.78000000
PA
USD
171562.57000000
0.038664702698
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
4.14998000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAH5
737550.00000000
PA
USD
704360.25000000
0.158740217394
Long
LON
CORP
US
N
2
2026-01-15
Floating
4.08610000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-2
33845WAE9
1250000.00000000
PA
USD
1222669.38000000
0.275550477448
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
3.09000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2019-IMC1
17328BAA2
1010331.86000000
PA
USD
973931.32000000
0.219492893678
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.72000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
5493003R0K8V08JVGR27
Americredit Automobile Receivables Trust 2018-1
03066HAG2
975000.00000000
PA
USD
944942.90000000
0.212959833227
Long
ABS-O
CORP
US
N
2
2024-03-18
Fixed
3.82000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBE8
660000.00000000
PA
USD
644900.70000000
0.145339941196
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
2.25000000
N
N
N
N
N
N
First Investors Auto Owner Tru
N/A
First Investors Auto Owner Trust 2019-1
32059TAE9
1240000.00000000
PA
USD
1192669.32000000
0.268789425776
Long
ABS-O
CORP
US
N
2
2025-03-17
Fixed
3.26000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2014-A
43284AAA2
55504.85000000
PA
USD
55046.81000000
0.012405786082
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
1.77000000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR30
22541Q2D3
121342.44000000
PA
USD
123571.57000000
0.027849069968
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Variable
3.95835400
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911UAH3
174250.00000000
PA
USD
164666.25000000
0.037110493277
Long
LON
CORP
US
N
2
2025-11-27
Floating
4.33040000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2018-A LLC
20826JAB4
214802.62000000
PA
USD
205778.72000000
0.046375925881
Long
ABS-O
CORP
US
N
2
2023-01-15
Fixed
4.65000000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
549300LRCNJYVPZRKK63
Commonbond Student Loan Trust 2017-A-GS
20267VAA5
373474.38000000
PA
USD
376985.67000000
0.084960483233
Long
ABS-O
CORP
US
N
2
2041-05-25
Fixed
2.55000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404122BB8
1770167.98720000
PA
USD
1667498.24000000
0.375800640543
Long
LON
CORP
US
N
2
2026-03-18
Floating
2.67850000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2019-1
252722AB9
1007990.77000000
PA
USD
957763.60000000
0.215849207954
Long
ABS-O
CORP
US
N
2
2032-02-20
Fixed
3.53000000
N
N
N
N
N
N
GM Financial Securitized Term
N/A
GM Financial Consumer Automobile 2017-1
36254AAF1
915000.00000000
PA
USD
912556.22000000
0.205660913925
Long
ABS-O
CORP
US
N
2
2023-06-16
Fixed
2.30000000
N
N
N
N
N
N
Pawnee Equipment Receivables
N/A
Pawnee Equipment Receivables Series 2019-1 LLC
704102AC6
1365000.00000000
PA
USD
1330105.41000000
0.299763114033
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
2.52000000
N
N
N
N
N
N
Orange Lake Timeshare Trust
N/A
Orange Lake Timeshare Trust 2019-A
68504UAB7
902185.61000000
PA
USD
881832.93000000
0.198736869399
Long
ABS-O
CORP
US
N
2
2038-04-09
Fixed
3.36000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2019-4
30167GAE0
1370000.00000000
PA
USD
1325349.78000000
0.298691347505
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
2.44000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAX7
495000.00000000
PA
USD
501765.31000000
0.113081813447
Long
DBT
CORP
US
N
2
2023-05-14
Fixed
2.85000000
N
N
N
N
N
N
United Auto Credit Securitizat
N/A
United Auto Credit Securitization Trust 2019-1
90945QAD3
1035000.00000000
PA
USD
951045.15000000
0.214335084728
Long
ABS-O
CORP
US
N
2
2024-08-12
Fixed
3.47000000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2019-GS1
69359CAA3
664760.75000000
PA
USD
660962.77000000
0.148959816797
Long
ABS-MBS
CORP
US
N
3
2024-10-25
Variable
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2004-24CB
12667FVN2
139705.79000000
PA
USD
143504.88000000
0.032341398948
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
6.00000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAP7
1100000.00000000
PA
USD
1086740.99000000
0.244916576431
Long
DBT
CORP
US
N
2
2021-03-19
Floating
1.80188000
N
N
N
N
N
N
Fair Square Issuance Trust
N/A
Fair Square Issuance Trust
303394AA8
1720000.00000000
PA
USD
1583018.34000000
0.356761579648
Long
ABS-O
CORP
US
N
2
2024-09-20
Fixed
2.90000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAA7
2434561.38000000
PA
USD
2349651.91000000
0.529536206785
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.70300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFLL8
891896.63000000
PA
USD
936195.20000000
0.210988382112
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
549300BV8AJIRLDGMR51
JP Morgan Mortgage Trust 2014-2
46641YAJ2
578215.63000000
PA
USD
575335.54000000
0.129662184506
Long
ABS-MBS
CORP
US
N
2
2029-06-25
Variable
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828C57
2420000.00000000
PA
USD
2470574.22000000
0.556788218490
Long
DBT
UST
US
N
2
2021-03-31
Fixed
2.25000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
1040000.00000000
PA
USD
977580.78000000
0.220315364954
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
Aventura Mall Trust
N/A
Aventura Mall Trust 2013-AVM
05357HAA8
1721000.00000000
PA
USD
1699154.49000000
0.382934944341
Long
ABS-MBS
CORP
US
N
2
2032-12-05
Variable
3.74267000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2018-3
23343CAE1
2070000.00000000
PA
USD
2033559.10000000
0.458299021870
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
3.79000000
N
N
N
N
N
N
SKOPOS AUTO RECEIVABLES TRUST
N/A
Skopos Auto Receivables Trust 2019-1
83085DAC9
1115000.00000000
PA
USD
895000.80000000
0.201704485113
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
3.63000000
N
N
N
N
N
N
Marlette Funding Trust
549300ICATMFOKQ20083
Marlette Funding Trust 2018-3
57109FAA4
103944.97000000
PA
USD
103246.02000000
0.023268342669
Long
ABS-O
CORP
US
N
2
2028-09-15
Fixed
3.20000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2018-RPL8 Trust
12653AAA0
557850.11000000
PA
USD
512581.47000000
0.115519429127
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
4.12500000
N
N
N
N
N
N
Credit Acceptance Auto Loan Tr
549300J9CNONESCISQ91
Credit Acceptance Auto Loan Trust 2018-1
22534BAA2
1490837.23000000
PA
USD
1491044.01000000
0.336033514515
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
3.01000000
N
N
N
N
N
N
OFFICE PPTY INCOME TRST
N/A
Office Properties Income Trust
81618TAD2
915000.00000000
PA
USD
929170.76000000
0.209405298551
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
4.15000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GAU8
388618.64000000
PA
USD
389769.73000000
0.087841600479
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.50000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-1
64830GAB2
1733709.81000000
PA
USD
1792268.29000000
0.403919809479
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAY6
1000000.00000000
PA
USD
957145.20000000
0.215709840421
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.50000000
N
N
N
N
N
N
TERRAFORM POWER OPERATIN
5493000S2OLR3UT5BE13
TerraForm Power Operating LLC
88104LAC7
735000.00000000
PA
USD
729487.50000000
0.164403093923
Long
DBT
CORP
US
N
2
2023-01-31
Fixed
4.25000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-3
43800KAA5
2204309.33000000
PA
USD
2097353.38000000
0.472676207232
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.67500000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AD2
1380000.00000000
PA
USD
1200600.00000000
0.270576746777
Long
DBT
CORP
US
N
2
N/A
Fixed
4.95000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2019-1
55389PAA7
1063659.33000000
PA
USD
993045.01000000
0.223800506587
Long
ABS-O
CORP
US
N
2
2036-11-20
Fixed
2.89000000
N
N
N
N
N
N
Bayview Financial Acquisition
N/A
Bayview Financial Acquisition Trust
07325VAC8
5449.97000000
PA
USD
5445.51000000
0.001227243361
Long
ABS-MBS
CORP
US
N
2
2037-05-28
Variable
6.20500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDQ6
655000.00000000
PA
USD
687262.42000000
0.154886914697
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.87500000
N
N
N
N
N
N
RCO Mortgage LLC
N/A
RCO V Mortgage LLC 2019-2
74937DAA2
983407.65000000
PA
USD
934452.14000000
0.210595552274
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Variable
3.47480000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2016-1 Receivables Funding LLC
82652XAA4
112093.64000000
PA
USD
111437.46000000
0.025114430614
Long
ABS-O
CORP
US
N
2
2033-03-21
Fixed
3.08000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
000000000
398482.32400000
PA
USD
377063.90000000
0.084978113767
Long
LON
CORP
US
N
2
2025-06-01
Floating
4.46280000
N
N
N
N
N
N
USASF Receivables LLC
549300P0OJXVYBPHN411
US Auto Funding 2019-1 LLC
90352VAB2
825000.00000000
PA
USD
759556.55000000
0.171179693730
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
3.99000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW
12433UAG0
1265000.00000000
PA
USD
1088368.94000000
0.245283464166
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
1.72463000
N
N
N
N
N
N
California Republic Auto Recei
N/A
California Republic Auto Receivables Trust 2016-1
13057BAE0
785000.00000000
PA
USD
784994.35000000
0.176912558272
Long
ABS-O
CORP
US
N
2
2022-02-15
Fixed
3.43000000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123AW0
790000.00000000
PA
USD
775219.10000000
0.174709530332
Long
DBT
NUSS
TR
N
2
2025-02-05
Fixed
7.37500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-3
46647SBY5
761448.84000000
PA
USD
759619.15000000
0.171193801763
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Variable
2.50000000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AD0
630000.00000000
PA
USD
510247.84000000
0.114993503745
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
4.95000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAK6
800000.00000000
PA
USD
797243.28000000
0.179673074373
Long
DBT
CORP
US
N
2
2021-07-09
Fixed
2.87700000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2017-B
00969DAA8
780045.96000000
PA
USD
790857.16000000
0.178233847674
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
3.16300000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW 2019-2 LLC
55400DAA9
1224465.02000000
PA
USD
1124016.15000000
0.253317202392
Long
ABS-O
CORP
US
N
2
2038-10-20
Fixed
2.22000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2017-SFR1 Trust
74333JAD3
690000.00000000
PA
USD
673034.28000000
0.151680348119
Long
ABS-O
CORP
US
N
2
2034-08-17
Fixed
3.01700000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KM2
1020000.00000000
PA
USD
1050600.00000000
0.236771556025
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2017-3
30165YAC7
358162.03000000
PA
USD
355352.43000000
0.080085044535
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
2.81000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Trust 2018-3
36255XAC7
1340000.00000000
PA
USD
1217243.00000000
0.274327545375
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
4.18000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-3 Mortgage Loan Trust
12596DAA4
721280.93000000
PA
USD
713297.50000000
0.160754387001
Long
ABS-MBS
CORP
US
N
2
2048-10-26
Variable
3.69200000
N
N
N
N
N
N
Carvana Auto Receivables trust
549300PQFD4GEYYTOY78
Carvana Auto Receivables Trust 2019-1
146868AF1
1195000.00000000
PA
USD
1163302.74000000
0.262171140185
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
3.88000000
N
N
N
N
N
N
Pretium Mortgage Credit Partne
N/A
Pretium Mortgage Credit Partners I 2019-NPL3 LLC
74142RAA2
1166848.31000000
PA
USD
1012317.10000000
0.228143817778
Long
ABS-MBS
CORP
US
N
2
2059-07-27
Variable
3.10490000
N
N
N
N
N
N
BXG Receivables Note Trust
549300R4HW4HQYM9LE23
BXG Receivables Note Trust 2015-A
05606XAA2
146417.53000000
PA
USD
144696.95000000
0.032610053306
Long
ABS-O
CORP
US
N
2
2030-05-02
Fixed
2.88000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2019-SFR3 Trust
74332WAC7
685000.00000000
PA
USD
619118.34000000
0.139529423877
Long
ABS-O
CORP
US
N
2
2036-09-17
Fixed
2.57100000
N
N
N
N
N
N
MVW Owner Trust
549300Y5CF8WQOLGBR17
MVW Owner Trust 2015-1
55388PAB6
106896.41000000
PA
USD
105491.13000000
0.023774318481
Long
ABS-O
CORP
US
N
2
2032-12-20
Fixed
2.96000000
N
N
N
N
N
N
Foursight Capital Automobile R
N/A
Foursight Capital Automobile Receivables Trust 2017-1
35104XAC2
855000.00000000
PA
USD
850100.94000000
0.191585496233
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
3.05000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBE7
190000.00000000
PA
USD
192836.70000000
0.043459209516
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAW6
840000.00000000
PA
USD
819999.21000000
0.184801531402
Long
DBT
CORP
US
N
2
2024-06-07
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDU6
730000.00000000
PA
USD
756039.61000000
0.170387088213
Long
DBT
CORP
US
N
2
2023-05-22
Fixed
4.10000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2018-2
30167BAC5
915000.00000000
PA
USD
914704.09000000
0.206144974959
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.69000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAL7
380000.00000000
PA
USD
340335.48000000
0.076700705473
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAA8
146000.00000000
PA
USD
146459.18000000
0.033007203448
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
3.76600000
N
N
N
N
N
N
KNDL Mortgage Trust
N/A
KNDL 2019-KNSQ Mortgage Trust
482598AA7
1040000.00000000
PA
USD
946743.10000000
0.213365540589
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.50463000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2019-3
14686XAE9
1580000.00000000
PA
USD
1515657.50000000
0.341580606012
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
2.71000000
N
N
N
N
N
N
BCC Funding CORP
N/A
BCC Funding Corp XVI LLC
05492MAC9
1370000.00000000
PA
USD
1318825.43000000
0.297220968196
Long
ABS-O
CORP
US
N
2
2024-09-20
Fixed
2.64000000
N
N
N
N
N
N
Avant Loans Funding Trust
N/A
Avant Loans Funding Trust 2019-A
05352EAA0
320704.67000000
PA
USD
312016.49000000
0.070318513081
Long
ABS-O
CORP
US
N
2
2022-07-15
Fixed
3.48000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
89364MBR4
720452.50960000
PA
USD
653810.65000000
0.147347958258
Long
LON
CORP
US
N
2
2025-12-09
Floating
3.23450000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBD7
670000.00000000
PA
USD
663427.72000000
0.149515337497
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
3.70000000
N
N
N
N
N
N
First Investors Auto Owner Tru
N/A
First Investors Auto Owner Trust 2016-2
32057HAG2
1490000.00000000
PA
USD
1480050.67000000
0.333555968144
Long
ABS-O
CORP
US
N
2
2022-07-15
Fixed
2.53000000
N
N
N
N
N
N
First Investors Auto Owner Tru
N/A
First Investors Auto Owner Trust 2017-2
32059BAE8
900000.00000000
PA
USD
894236.13000000
0.201532153012
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
2.65000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AQ7
100000.00000000
PA
USD
93750.00000000
0.021128244219
Long
DBT
NUSS
ZA
N
2
2024-01-17
Fixed
4.66500000
N
N
N
N
N
N
CarNow Auto Receivables Trust
N/A
Carnow Auto Receivables Trust 2019-1
14366LAA0
784581.50000000
PA
USD
768372.36000000
0.173166494654
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
2.72000000
N
N
N
N
N
N
Prosper Marketplace Issuance T
N/A
Prosper Marketplace Issuance Trust Series 2019-4
74362GAA9
1013480.58000000
PA
USD
962800.67000000
0.216984402035
Long
ABS-O
CORP
US
N
2
2026-02-17
Fixed
2.48000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAF6
1320000.00000000
PA
USD
1327774.92000000
0.299237896307
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.30000000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT LXXXIII LLC
92870EAA1
800492.57000000
PA
USD
708143.26000000
0.159592786559
Long
ABS-MBS
CORP
US
N
2
2049-11-26
Variable
3.32690000
N
N
N
N
N
N
SELECT MEDICAL CORP
N/A
Select Medical Corp
816194AV6
114850.62800000
PA
USD
108533.84000000
0.024460047761
Long
LON
CORP
US
N
2
2025-03-06
Floating
4.29540000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KY6
715000.00000000
PA
USD
740550.07000000
0.166896242517
Long
DBT
CORP
US
N
2
2026-10-21
Fixed
3.20000000
N
N
N
N
N
N
Foursight Capital Automobile R
N/A
Foursight Capital Automobile Receivables Trust 2018-1
35105DAE1
910000.00000000
PA
USD
901373.66000000
0.203140723432
Long
ABS-O
CORP
US
N
2
2023-08-15
Fixed
3.68000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2004-B Trust
05946XHZ9
18748.92000000
PA
USD
17760.32000000
0.004002606702
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Variable
4.30733500
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2019-A
56847MAA8
1045000.00000000
PA
USD
880546.26000000
0.198446895233
Long
ABS-O
CORP
US
N
3
2032-07-20
Fixed
2.96000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BC7
895000.00000000
PA
USD
924295.48000000
0.208306566749
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.12500000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AF5
1140000.00000000
PA
USD
1050349.84000000
0.236715177982
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187AU3
75000.00000000
PA
USD
45000.00000000
0.010141557225
Long
DBT
CORP
US
N
2
2067-04-20
Floating
3.85913000
N
N
N
N
N
N
iShares iBoxx High Yield Corporate Bond ETF
N/A
iShares iBoxx High Yield Corporate Bond ETF
464288513
28924.00000000
NS
USD
2229172.68000000
0.502384051107
Long
EC
RF
US
N
1
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2013-A
17320XAA2
462899.54000000
PA
USD
426809.44000000
0.096189163559
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Variable
3.00000000
N
N
N
N
N
N
FINCO I LLC
5493001RSEZ0X6VJMC68
FinCo I LLC
31774BAD6
188013.49000000
PA
USD
180022.92000000
0.040571394335
Long
LON
CORP
US
N
2
2022-12-27
Floating
3.45010000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
Vericrest Opportunity Loan Trust 2020-NPL2
91834UAA2
1028039.92000000
PA
USD
885977.14000000
0.199670841462
Long
ABS-O
CORP
US
N
2
2050-02-25
Variable
2.98140000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAL0
467391.00000000
PA
USD
484006.75000000
0.109079603392
Long
DBT
CORP
CN
N
2
2024-04-11
Fixed
3.28000000
N
N
N
N
N
N
Towd Point Asset Funding, LLC
N/A
Towd Point HE Trust 2019-HE1
89178AAA4
1492519.53000000
PA
USD
1447742.90000000
0.326274832627
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Floating
1.84663000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEP5
1226000.00000000
PA
USD
1117527.61000000
0.251854893509
Long
DBT
CORP
US
N
2
2025-05-15
Floating
2.79163000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-XL
056054AF6
988839.56000000
PA
USD
897249.09000000
0.202211177595
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.95463000
N
N
N
N
N
N
Westlake Automobile Receivable
N/A
Westlake Automobile Receivables Trust 2018-2
96042FAF1
1285000.00000000
PA
USD
1289105.19000000
0.290522978980
Long
ABS-O
CORP
US
N
2
2024-01-16
Fixed
4.00000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVAB
N/A
GreatAmerica Leasing Receivables Funding LLC Series 2017-1
39154TAK4
659094.72000000
PA
USD
656613.16000000
0.147979554159
Long
ABS-O
CORP
US
N
2
2023-01-20
Fixed
2.36000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2018-2
43789CAA8
1637025.84000000
PA
USD
1593680.01000000
0.359164378235
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Variable
3.98500000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2019-2
36257NAB9
1240000.00000000
PA
USD
1158742.80000000
0.261143475908
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
3.32000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
1058000.00000000
PA
USD
988602.84000000
0.222799383893
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.87500000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2016-2
14314MAE3
750000.00000000
PA
USD
747231.98000000
0.168402130798
Long
ABS-O
CORP
US
N
2
2021-12-15
Fixed
2.16000000
N
N
N
N
N
N
Acc Trust 2018-1
N/A
ACC Trust 2019-2
00108GAA3
1101418.66000000
PA
USD
1097548.16000000
0.247352166053
Long
ABS-O
CORP
US
N
2
2023-02-21
Fixed
2.82000000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
Ares Capital Corp
04010LAU7
740000.00000000
PA
USD
656473.34000000
0.147948043214
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
3.50000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2018-1
301656AE4
2088157.60000000
PA
USD
2080941.14000000
0.468977414539
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
3.03000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-7
576434TM6
70286.35000000
PA
USD
72756.37000000
0.016396953108
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
6.00000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2019-1
24380RAA8
637844.54000000
PA
USD
621383.56000000
0.140039931838
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.74300000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2019-3
03464QAA3
1653385.01000000
PA
USD
1589787.22000000
0.358287068179
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
2.93000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BGQ8
342037.23000000
PA
USD
298086.81000000
0.067179209817
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
4.01627300
N
N
N
N
N
N
GTL TRADE FIN / GERDAU
N/A
GTL Trade Finance Inc / Gerdau Holdings Inc
36249SAA1
312000.00000000
PA
USD
307944.00000000
0.069400704405
Long
DBT
CORP
VG
N
2
2024-04-29
Fixed
5.89300000
N
N
N
N
N
N
Consumer Loan Underlying Bond
N/A
Consumer Loan Underlying Bond Credit Trust 2018-P2
21052NAA0
266389.86000000
PA
USD
262739.89000000
0.059213147330
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
3.47000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWC4
900000.00000000
PA
USD
906489.55000000
0.204293681015
Long
DBT
CORP
US
N
2
2022-04-26
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Trust 2015-1
46643UDJ5
191246.33000000
PA
USD
170339.99000000
0.038389172364
Long
ABS-MBS
CORP
US
N
2
2044-12-25
Variable
2.97040600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQLN0
429170.09000000
PA
USD
449669.47000000
0.101341081390
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
APTIV CORP
N/A
Aptiv Corp
247126AJ4
735000.00000000
PA
USD
718738.93000000
0.161980710862
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.15000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
549300O6TO32N91PEI50
Sofi Consumer Loan Program 2017-5 LLC
83405LAB6
325730.36000000
PA
USD
308091.57000000
0.069433961952
Long
ABS-O
CORP
US
N
2
2026-09-25
Fixed
2.78000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NAH4
805000.00000000
PA
USD
804911.45000000
0.181401234037
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
2.85000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2019-3
91678WAA7
1243296.49000000
PA
USD
1234601.62000000
0.278239621777
Long
ABS-O
CORP
US
N
2
2030-01-21
Fixed
2.68400000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2019-4
57110AAA2
1096211.51000000
PA
USD
1056961.77000000
0.238205295014
Long
ABS-O
CORP
US
N
2
2029-12-17
Fixed
2.39000000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
000000000
90000.00000000
PA
USD
85050.00000000
0.019167543156
Long
LON
CORP
US
N
2
2027-02-04
Floating
2.67360000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2018-C
00969GAA1
766146.96000000
PA
USD
754040.46000000
0.169936543899
Long
ABS-MBS
CORP
US
N
2
2065-09-25
Variable
4.36000000
N
N
N
N
N
N
Verus Securitization Trust
549300LXNRS6WHH3MM19
Verus Securitization Trust 2017-2
92536EAA7
345730.79000000
PA
USD
335212.28000000
0.075546100451
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Variable
2.48500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-5
46590YAA2
1976303.27000000
PA
USD
1898147.20000000
0.427781521139
Long
ABS-MBS
CORP
US
N
2
2048-10-26
Variable
3.14697400
N
N
N
N
N
N
SABIC CAPITAL II BV
2138005PCUTH59D4RJ83
SABIC Capital II BV
78520LAA8
300000.00000000
PA
USD
297268.80000000
0.066994856590
Long
DBT
CORP
NL
N
2
2023-10-10
Fixed
4.00000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAB1
1676252.88000000
PA
USD
1660680.49000000
0.374264138281
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.35000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-NQM1
64828JAA2
772991.13000000
PA
USD
768275.81000000
0.173144735380
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
3.98600000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAD6
365000.00000000
PA
USD
364297.95000000
0.082101077934
Long
DBT
CORP
NL
N
2
2020-04-24
Fixed
3.69800000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
Vericrest Opportunity Loan Trust 2019-NPL2
92872KAA5
621813.52000000
PA
USD
550393.20000000
0.124040980763
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
3.96720000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-5
89171VAB3
275000.00000000
PA
USD
268006.59000000
0.060400092651
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Variable
3.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-3
24381KAA2
152410.39000000
PA
USD
149318.56000000
0.033651616023
Long
ABS-MBS
CORP
US
N
2
2058-08-25
Variable
3.78900000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAS1
430000.00000000
PA
USD
314897.09000000
0.070967707964
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.65000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAR2
1085000.00000000
PA
USD
945163.87000000
0.213009632780
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
03852JAK7
211830.34690000
PA
USD
201238.83000000
0.045352780232
Long
LON
CORP
US
N
2
2024-03-28
Floating
2.67490000
N
N
N
N
N
N
Velocity Commercial Capital Lo
N/A
Velocity Commercial Capital Loan Trust 2017-1
92257LAB6
39892.48000000
PA
USD
39346.81000000
0.008867509450
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Variable
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SJ1
1175000.00000000
PA
USD
1121051.31000000
0.252649022514
Long
DBT
CORP
US
N
2
2023-10-31
Floating
3.00713000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2019-2
26252TAE6
1040000.00000000
PA
USD
1026598.56000000
0.231362400975
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.18000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2020-1
85573AAA3
545429.58000000
PA
USD
523188.60000000
0.117909936147
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.27500000
N
N
N
N
N
N
Upgrade Receivables Trust
549300W601N3GF6G0630
Upgrade Receivables Trust 2019-1
91532HAA6
305575.38000000
PA
USD
302874.86000000
0.068258282774
Long
ABS-O
CORP
US
N
2
2025-03-15
Fixed
3.48000000
N
N
N
N
N
N
IND & COMM BK CHINA/NY
5493002ERZU2K9PZDL40
Industrial & Commercial Bank of China Ltd/New York NY
45580KAJ7
370000.00000000
PA
USD
385750.67000000
0.086935833213
Long
DBT
CORP
US
N
2
2022-11-08
Fixed
2.95700000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Trust
12655CAD8
905000.00000000
PA
USD
904655.20000000
0.203880277337
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
4.40000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2003-8
576434JT2
62564.76000000
PA
USD
64087.00000000
0.014443155064
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QAR9
480000.00000000
PA
USD
427134.77000000
0.096262482510
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.95463000
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust 2019-1
35041JAA3
816285.29000000
PA
USD
780496.49000000
0.175898884837
Long
ABS-O
CORP
US
N
2
2034-11-15
Fixed
3.86000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-H1
36418XAA5
1149966.69000000
PA
USD
1138240.02000000
0.256522806649
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
2.65700000
N
N
N
N
N
N
VCAT Asset Securitization, LLC
N/A
VCAT 2019-NPL2 LLC
91822VAA4
664823.29000000
PA
USD
655819.72000000
0.147800738222
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
3.57330000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
89364MBQ6
228061.74570000
PA
USD
206966.03000000
0.046643507488
Long
LON
CORP
US
N
2
2025-05-30
Floating
3.23450000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2019-2
02530DAC0
1040000.00000000
PA
USD
967381.58000000
0.218016792277
Long
ABS-O
CORP
US
N
2
2025-06-12
Fixed
3.17000000
N
N
N
N
N
N
TRIP Rail Master Funding LLC
5493004VSVYOZVEYVJ29
TRIP Rail Master Funding LLC
89690EAF4
776359.37000000
PA
USD
767814.45000000
0.173040759628
Long
ABS-O
CORP
US
N
2
2047-08-15
Fixed
2.70900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DB92
1276716.70000000
PA
USD
1348221.76000000
0.303845958483
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAD3
1315000.00000000
PA
USD
1290803.67000000
0.290905761916
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
3.62500000
N
N
N
N
N
N
Kabbage Funding LLC
N/A
Kabbage Funding LLC
48283PAE1
1345000.00000000
PA
USD
1308018.82000000
0.294785504780
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
3.82500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAH0
400000.00000000
PA
USD
399401.32000000
0.090012252060
Long
DBT
CORP
CH
N
2
2022-02-01
Fixed
2.65000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
1281000.00000000
PA
USD
1268016.89000000
0.285770352286
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
CENTRAIS ELETRICAS BRASI
254900I8KYDELP4B4Z08
Centrais Eletricas Brasileiras SA
15236FAA8
400000.00000000
PA
USD
355304.00000000
0.080074129965
Long
DBT
CORP
BR
N
2
2025-02-04
Fixed
3.62500000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2016-3
33843PAJ5
1635000.00000000
PA
USD
1634596.81000000
0.368385713095
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
3.89000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2019-FL5 Issuer Ltd
05587TAA4
835000.00000000
PA
USD
753040.49000000
0.169711182721
Long
ABS-CBDO
CORP
KY
N
2
2029-05-15
Floating
1.85463000
N
N
N
N
N
N
Consumer Loan Underlying Bond
N/A
Consumer Loan Underlying Bond CLUB Credit Trust 2019-P2
21054PAB1
766187.88000000
PA
USD
721813.27000000
0.162673568530
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
2.47000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBB4
145000.00000000
PA
USD
136539.27000000
0.030771573783
Long
DBT
CORP
US
N
2
2021-10-05
Floating
2.62025000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2019-2 LLC
69358XAA8
871233.01000000
PA
USD
779291.35000000
0.175627284919
Long
ABS-MBS
CORP
US
N
2
2024-04-25
Variable
3.96700000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2018-1
23342WAE8
620420.86000000
PA
USD
618244.05000000
0.139332386942
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
3.47000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2018-D
22411XAD6
1450000.00000000
PA
USD
1442803.94000000
0.325161749394
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
4.34000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAL6
1200000.00000000
PA
USD
1199868.80000000
0.270411957740
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
3.15000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4
59020ULQ6
263935.78000000
PA
USD
243635.85000000
0.054907709221
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.32242100
N
N
N
N
N
N
SPRUCE HILL MORTGAGE LOAN TRUS
N/A
Spruce Hill Mortgage Loan Trust 2019-SH1
85211XAA1
1476723.32000000
PA
USD
1386753.21000000
0.312529711931
Long
ABS-MBS
CORP
US
N
2
2049-04-29
Variable
3.39500000
N
N
N
N
N
N
Orange Lake Timeshare Trust
N/A
Orange Lake Timeshare Trust 2018-A
68504WAA5
166649.02000000
PA
USD
163449.33000000
0.036836238526
Long
ABS-O
CORP
US
N
2
2030-11-08
Fixed
3.10000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2020-A
12597JAC6
1225000.00000000
PA
USD
1208716.81000000
0.272406015513
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
2.54000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BG3
476000.00000000
PA
USD
456380.71000000
0.102853579713
Long
DBT
CORP
GB
N
2
2022-01-05
Floating
3.40025000
N
N
N
N
N
N
VSE VOI Mortgage LLC
N/A
VSE 2017-A VOI Mortgage LLC
918288AA9
421213.81000000
PA
USD
408520.87000000
0.092067506242
Long
ABS-O
CORP
US
N
2
2035-03-20
Fixed
2.33000000
N
N
N
N
N
N
ISTAR INC
QFFLKWYYS3UPWD86E794
iStar Inc
45031UCG4
965000.00000000
PA
USD
793616.00000000
0.178855601757
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.25000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GHB7
104850.28000000
PA
USD
106299.21000000
0.023956433805
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
6.75000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
570000.00000000
PA
USD
579969.30000000
0.130706485444
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2013-375P
17320QAG4
695000.00000000
PA
USD
684731.10000000
0.154316436327
Long
ABS-MBS
CORP
US
N
2
2035-05-10
Variable
3.51757800
N
N
N
N
N
N
Prosper Marketplace Issuance T
54930091UL0OQ4F85R54
Prosper Marketplace Issuance Trust Series 2018-2
74360PAC7
1245000.00000000
PA
USD
1208348.82000000
0.272323082365
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
3.96000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2017-1
80284TAK1
196280.14000000
PA
USD
196109.22000000
0.044196730601
Long
ABS-O
CORP
US
N
2
2022-05-16
Fixed
2.58000000
N
N
N
N
N
N
BERRY PLASTICS GROUP INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08579JBF8
726350.00000000
PA
USD
686400.75000000
0.154692721906
Long
LON
CORP
US
N
2
2026-07-01
Floating
2.98450000
N
N
N
N
N
N
PARAGON OFFSHORE FINANCE CO
N/A
Paragon Offshore Finance Co
000000000
908.92000000
PA
USD
0.00000000
0.000000
Long
LON
CORP
KY
N
3
2021-07-18
Floating
4.56910000
Y
Y
N
N
N
N
Onslow Bay Financial LLC
549300T9OLE6UGS5GU41
OBX 2018-EXP2 Trust
67097XBJ8
1178287.17000000
PA
USD
1181276.72000000
0.266221899001
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
870000.00000000
PA
USD
921039.39000000
0.207572748459
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp
86359BBS9
69688.95000000
PA
USD
59882.58000000
0.013495613597
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Variable
4.08466300
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Corp
16164AAC9
778413.06000000
PA
USD
740587.71000000
0.166904725366
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Variable
3.75000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13
61763BAW4
1515000.00000000
PA
USD
1551588.92000000
0.349678396059
Long
ABS-MBS
CORP
US
N
2
2046-11-15
Fixed
4.26600000
N
N
N
N
N
N
Springleaf Funding Trust
N/A
Springleaf Funding Trust 2016-A
85172NAA0
110389.76000000
PA
USD
109453.93000000
0.024667406547
Long
ABS-O
CORP
US
N
2
2029-11-15
Fixed
2.90000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2019-2
26252TAC0
1040000.00000000
PA
USD
1029337.71000000
0.231979717563
Long
ABS-O
CORP
US
N
2
2023-04-17
Fixed
2.99000000
N
N
N
N
N
N
AVID AUTOMOBILE RECEIVABLES TR
549300MXT4YCVL1BDV18
Avid Automobile Receivables Trust 2018-1
05367MAA5
161768.77000000
PA
USD
160866.47000000
0.036254144692
Long
ABS-O
CORP
US
N
2
2023-08-15
Fixed
2.84000000
N
N
N
N
N
N
REYNOLDS CONSUMER PRODUC
549300DWNZYMOSR1X343
REYNOLDS CONSUMER PRODUCTS LLC
76171JAB7
145000.00000000
PA
USD
135865.00000000
0.030619614943
Long
LON
CORP
US
N
2
2027-02-04
Floating
2.73450000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RFY3
475000.00000000
PA
USD
448276.52000000
0.101027155121
Long
DBT
CORP
US
N
2
2023-02-15
Floating
2.59375000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DBC2
2140000.00000000
PA
USD
2070920.59000000
0.466719103845
Long
ABS-O
CORP
US
N
2
2022-07-25
Fixed
2.65000000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2019-1
02528CAE2
1200000.00000000
PA
USD
1173430.44000000
0.264453599054
Long
ABS-O
CORP
US
N
2
2025-04-14
Fixed
3.50000000
N
N
N
N
N
N
Social Professional Loan Progr
549300MIP15HTYPHSM46
Sofi Professional Loan Program 2016-A LLC
78469PAB0
164382.77000000
PA
USD
165709.29000000
0.037345561051
Long
ABS-O
CORP
US
N
2
2036-12-26
Fixed
2.76000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2018-3
30166PAE1
1105000.00000000
PA
USD
1103650.24000000
0.248727379243
Long
ABS-O
CORP
US
N
2
2023-06-15
Fixed
3.71000000
N
N
N
N
N
N
Mello Warehouse Securitization
N/A
Mello Warehouse Securitization Trust 2019-1
585503AC9
1040000.00000000
PA
USD
1040000.00000000
0.234382655879
Long
ABS-MBS
CORP
US
N
3
2052-06-25
Floating
2.14663000
N
N
N
N
N
N
RCO Mortgage LLC
N/A
RCO V Mortgage LLC 2019-1
74937LAA4
1297312.91000000
PA
USD
1233411.95000000
0.277971508302
Long
ABS-MBS
CORP
US
N
2
2024-05-24
Variable
3.72100000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2014-1
61763YAJ3
345051.12000000
PA
USD
334229.63000000
0.075324642647
Long
ABS-MBS
CORP
US
N
2
2044-06-25
Variable
3.01685000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AG9
245000.00000000
PA
USD
250975.35000000
0.056561797205
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
7.00000000
N
N
N
N
N
N
Dreyfus Government Cash Management
549300F7IDB6WRO7VJ11
Dreyfus Government Cash Management
262006208
20272467.44000000
NS
USD
20272467.44000000
4.568764192125
Long
STIV
RF
US
N
1
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
20337EAQ4
328350.00000000
PA
USD
308649.00000000
0.069559588802
Long
LON
CORP
US
N
2
2026-04-04
Floating
4.68340000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust 2018-1
042856AA2
1444813.16000000
PA
USD
1406295.89000000
0.316934005432
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
3.76300000
N
N
N
N
N
N
Exantas Capital Corp
549300RUJWPCMY4JFR46
Exantas Capital Corp
30070RAA0
1280000.00000000
PA
USD
1103560.45000000
0.248707143455
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
2.85000000
N
N
N
N
N
N
MASTR Specialized Loan Trust
N/A
Mastr Specialized Loan Trust
576436CN7
97254.82000000
PA
USD
97281.08000000
0.021924036439
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
5.70400000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2018-1
31573NAA9
1252568.89000000
PA
USD
1237327.26000000
0.278853893644
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.14000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCQ5
1110000.00000000
PA
USD
1042176.00000000
0.234873056512
Long
ABS-O
CORP
US
N
2
2023-09-20
Fixed
3.07000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2004-9
07384M3D2
282130.73000000
PA
USD
242997.56000000
0.054763859120
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
4.36370500
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2015-A
17323MAA3
279525.31000000
PA
USD
279751.45000000
0.063047007535
Long
ABS-MBS
CORP
US
N
2
2058-06-25
Variable
3.50000000
N
N
N
N
N
N
Orange Lake Timeshare Trust
N/A
Orange Lake Timeshare Trust 2015-A
68504TAA2
112260.73000000
PA
USD
110994.64000000
0.025014633184
Long
ABS-O
CORP
US
N
2
2027-09-08
Fixed
2.88000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2020-1
33843FAE8
1490000.00000000
PA
USD
1388763.89000000
0.312982854737
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
2.24000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2018-2 Receivables Funding LLC
82653DAA7
387716.80000000
PA
USD
373819.71000000
0.084246977355
Long
ABS-O
CORP
US
N
2
2035-06-20
Fixed
3.50000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCS7
550000.00000000
PA
USD
523875.00000000
0.118064628700
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
N
Upstart Securitization Trust
5493001JGB0VWKP2NJ75
Upstart Securitization Trust 2019-1
91679KAA2
183467.13000000
PA
USD
182050.62000000
0.041028372903
Long
ABS-O
CORP
US
N
2
2026-04-20
Fixed
3.45000000
N
N
N
N
N
N
Small Business Lending Trust 2
N/A
Small Business Lending Trust 2020-A
83165WAA4
1158201.83000000
PA
USD
1147126.41000000
0.258525514043
Long
ABS-O
CORP
US
N
3
2026-12-15
Fixed
2.62000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAJ7
725000.00000000
PA
USD
705419.13000000
0.158978854997
Long
DBT
CORP
US
N
2
2022-07-22
Floating
2.73213000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAM3
1005000.00000000
PA
USD
995255.10000000
0.224298590014
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.15000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-IMC1
85572TAA3
1468393.74000000
PA
USD
1461142.37000000
0.329294643555
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
3.46800000
N
N
N
N
N
N
Welk Resorts LLC
549300F550YAS8CK8S36
Welk Resorts 2013-A LLC
949456AA5
28898.26000000
PA
USD
28892.85000000
0.006511522037
Long
ABS-O
CORP
US
N
2
2029-03-15
Fixed
3.10000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAZ5
455000.00000000
PA
USD
334041.27000000
0.075282192342
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.35000000
N
N
N
N
N
N
TRI POINTE GROUP / HOMES
N/A
TRI Pointe Group Inc / TRI Pointe Homes Inc
962178AN9
175000.00000000
PA
USD
162571.50000000
0.036638403788
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
5.87500000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
577749.24000000
PA
USD
545973.03000000
0.123044816163
Long
LON
CORP
US
N
2
2026-06-21
Floating
2.95410000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65336RAW8
643618.80390000
PA
USD
596634.63000000
0.134462316508
Long
LON
CORP
US
N
2
2026-09-19
Floating
3.67360000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AR5
575000.00000000
PA
USD
551568.75000000
0.124305912043
Long
DBT
NUSS
ZA
N
2
2025-09-16
Fixed
5.87500000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV1 Trust
67098AAC3
395541.04000000
PA
USD
398501.82000000
0.089809533600
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.50000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SoFi Consumer Loan Program 2019-3 Trust
83405TAA1
755234.38000000
PA
USD
731698.10000000
0.164901292288
Long
ABS-O
CORP
US
N
2
2028-05-25
Fixed
2.90000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2019-1
03066GAF6
1200000.00000000
PA
USD
1207177.32000000
0.272059063825
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.36000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2019-RP1
17327RAA8
1706013.86000000
PA
USD
1728399.83000000
0.389525906323
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
3.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-D
00968FAA4
1001792.88000000
PA
USD
978765.57000000
0.220582378634
Long
ABS-MBS
CORP
US
N
2
2065-09-25
Variable
2.95600000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAU3
495000.00000000
PA
USD
493498.28000000
0.111218689940
Long
DBT
CORP
US
N
2
2021-05-14
Fixed
2.30000000
N
N
N
N
N
N
Towd Point Mortgage Trust
549300ZHISOOIT5VZP03
Towd Point Mortgage Trust 2015-3
89172HAK3
166963.59000000
PA
USD
166410.94000000
0.037503690465
Long
ABS-MBS
CORP
US
N
2
2054-03-25
Variable
3.00000000
N
N
N
N
N
N
TELENET FINANCING USD LLC
N/A
Telenet Financing USD LLC
000000000
980000.00000000
PA
USD
892780.00000000
0.201203987995
Long
LON
CORP
NL
N
2
2028-04-30
Floating
3.74530000
N
N
N
N
N
N
Verus Securitization Trust
549300KJ08SBZIO7LD46
Verus Securitization Trust 2017-1
92536BAA3
58428.68000000
PA
USD
57012.32000000
0.012848749018
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Variable
2.85300000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-2
92537GAA1
736962.45000000
PA
USD
721571.95000000
0.162619182739
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
3.21100000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-2
07324YAC3
201171.96000000
PA
USD
176374.56000000
0.039749170963
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.22663000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR1 Trust
00180AAA7
940000.00000000
PA
USD
871568.56000000
0.196423609493
Long
ABS-O
CORP
US
N
2
2037-04-17
Fixed
1.81900000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2014-1
64828AAA1
1012917.72000000
PA
USD
1042306.62000000
0.234902494073
Long
ABS-MBS
CORP
US
N
2
2054-01-25
Variable
3.75000000
N
N
N
N
N
N
Residential Mortgage Loan Trus
N/A
Residential Mortgage Loan Trust 2020-1
76119CAA9
954599.73000000
PA
USD
913200.36000000
0.205806082429
Long
ABS-MBS
CORP
US
N
2
2024-02-25
Variable
2.37600000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAK4
205000.00000000
PA
USD
176238.50000000
0.039718507402
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225AAY6
2269.88000000
PA
USD
2460.62000000
0.000554544856
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
7.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
531000.00000000
PA
USD
464731.20000000
0.104735512428
Long
DBT
CORP
US
N
2
N/A
Fixed
4.60000000
N
N
N
N
N
N
AXIS Equipment Finance Receiva
549300CLUTIE6U42KJ43
Amur Equipment Finance Receivables V LLC
03236TAG1
550341.09000000
PA
USD
549534.79000000
0.123847522671
Long
ABS-O
CORP
US
N
2
2023-12-20
Fixed
3.24000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TWU7
30516.10000000
PA
USD
32120.79000000
0.007238996220
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust
9292274D5
120316.66000000
PA
USD
111975.85000000
0.025235766458
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Variable
4.67799600
N
N
N
N
N
N
Thornburg Mortgage Securities
N/A
Thornburg Mortgage Securities Trust 2004-2
885220FE8
996850.25000000
PA
USD
875106.03000000
0.197220841814
Long
ABS-MBS
CORP
US
N
2
2044-06-25
Floating
1.56663000
N
N
N
N
N
N
NextGear Floorplan Master Owne
N/A
NextGear Floorplan Master Owner Trust
65341KAX4
920000.00000000
PA
USD
887189.12000000
0.199943982896
Long
ABS-O
CORP
US
N
2
2022-10-17
Fixed
2.56000000
N
N
N
N
N
N
Bunker Hill Loan Depositary Tr
N/A
Bunker Hill Loan Depositary Trust 2019-2
12061RAA9
1579311.60000000
PA
USD
1445587.81000000
0.325789144436
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.87900000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2019-2
31573TAC2
1085345.78000000
PA
USD
1042619.19000000
0.234972937329
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.04600000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2019-4
36258HAC9
1400000.00000000
PA
USD
1350433.14000000
0.304344332635
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
2.78000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Trust 2017-1
36253UAD3
560000.00000000
PA
USD
556660.22000000
0.125453366140
Long
ABS-O
CORP
US
N
2
2022-07-15
Fixed
3.50000000
N
N
N
N
N
N
Foundation Finance Trust
549300RIQ1R4PTXR5G48
Foundation Finance Trust 2017-1
35040UAA9
662079.00000000
PA
USD
660661.49000000
0.148891917945
Long
ABS-O
CORP
US
N
2
2033-07-15
Fixed
3.30000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2014-3
64829DAG1
826520.91000000
PA
USD
854727.01000000
0.192628064091
Long
ABS-MBS
CORP
US
N
2
2054-11-25
Variable
3.75000000
N
N
N
N
N
N
BRE Grand Islander Timeshare I
N/A
BRE Grand Islander Timeshare Issuer 2019-A LLC
05588UAA0
1026782.12000000
PA
USD
1013885.94000000
0.228497384015
Long
ABS-O
CORP
US
N
2
2033-09-26
Fixed
3.28000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-CLS
61691LAA7
1080000.00000000
PA
USD
1022406.62000000
0.230417672100
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
1.40463000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAA4
1455000.00000000
PA
USD
1367564.69000000
0.308205234739
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.68463000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
CoreVest American Finance 2018-2 Trust
21872MAA0
1014250.46000000
PA
USD
1025353.16000000
0.231081727745
Long
ABS-O
CORP
US
N
2
2052-11-15
Fixed
4.02600000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
N/A
Commonbond Student Loan Trust 2019-A-GS
20268CAA6
1292345.91000000
PA
USD
1306358.82000000
0.294411394002
Long
ABS-O
CORP
US
N
2
2047-01-25
Fixed
2.54000000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAA8
900000.00000000
PA
USD
895500.00000000
0.201816988788
Long
DBT
CORP
US
N
2
2021-09-20
Variable
3.36000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4
46636DAJ5
90947.21000000
PA
USD
92311.54000000
0.020804061455
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Fixed
4.38780000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2013-HYB1
12647JBJ0
251078.55000000
PA
USD
246062.70000000
0.055454643402
Long
ABS-MBS
CORP
US
N
2
2043-04-25
Variable
3.09982500
N
N
N
N
N
N
CITADEL LP
N/A
Citadel LP
17288XAB0
450000.00000000
PA
USD
433948.43000000
0.097798063017
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.87500000
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
Conagra Brands Inc
205887CA8
1090000.00000000
PA
USD
1131728.69000000
0.255055361631
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
4.30000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHB8
705000.00000000
PA
USD
640353.72000000
0.144315197688
Long
DBT
CORP
US
N
2
2026-02-05
Floating
2.51100000
N
N
N
N
N
N
TRANS UNION LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
89334GAX2
766123.55750000
PA
USD
731264.94000000
0.164803671912
Long
LON
CORP
US
N
2
2026-11-13
Floating
2.56140000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust
25272XAA3
757588.06000000
PA
USD
748766.55000000
0.168747973675
Long
ABS-O
CORP
US
N
2
2029-10-22
Fixed
3.27000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-2
24381CAA0
879686.97000000
PA
USD
854104.71000000
0.192487817623
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Variable
2.45300000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2018-1
68268XAC5
1030000.00000000
PA
USD
1018772.49000000
0.229598655714
Long
ABS-O
CORP
US
N
2
2025-10-14
Fixed
3.85000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVa Trust 2017-RT1
07332BAA7
479186.65000000
PA
USD
471428.91000000
0.106244961523
Long
ABS-MBS
CORP
US
N
2
2057-03-28
Variable
3.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV1
92537FAA3
786321.34000000
PA
USD
753239.78000000
0.169756096298
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
3.40200000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2017-A
03837PAA5
430905.99000000
PA
USD
430297.90000000
0.096975350597
Long
ABS-O
CORP
US
N
2
2035-11-15
Fixed
3.72000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2019-3
36258AAB6
1285000.00000000
PA
USD
1267325.98000000
0.285614643324
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
2.72000000
N
N
N
N
N
N
CNH INDUSTRIAL NV
549300WGC2HZ5J67V817
CNH Industrial NV
12594KAA0
1314000.00000000
PA
USD
1374491.13000000
0.309766232242
Long
DBT
CORP
GB
N
2
2023-08-15
Fixed
4.50000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding VIII LLC
68376HAA3
250000.00000000
PA
USD
236370.68000000
0.053270372836
Long
ABS-O
CORP
US
N
2
2024-03-08
Fixed
3.61000000
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
Mylan NV
62854AAN4
955000.00000000
PA
USD
953781.79000000
0.214951835643
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2004-U Trust
949803AA8
32442.86000000
PA
USD
32358.55000000
0.007292579701
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.58156400
N
N
N
N
N
N
AMERICA WEST AIR 2001-1
N/A
America West Airlines 2001-1 Pass Through Trust
023650AH7
547403.69400000
PA
USD
547025.11000000
0.123281921263
Long
DBT
CORP
US
N
2
2021-04-02
Fixed
7.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CHQ8
2759.38000000
PA
USD
2882.82000000
0.000649695200
Long
ABS-MBS
USGA
US
N
2
2023-09-15
Fixed
7.00000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YAE9
565000.00000000
PA
USD
558451.39000000
0.125857038430
Long
DBT
CORP
JP
N
2
2021-09-13
Fixed
2.27300000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2019-1
36256DAB2
1250000.00000000
PA
USD
1239742.25000000
0.279398154962
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
3.65000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DAH2
925000.00000000
PA
USD
914659.98000000
0.206135033979
Long
ABS-O
CORP
US
N
2
2021-09-25
Fixed
2.67000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2018-2
52603JAA8
1425000.00000000
PA
USD
1333325.05000000
0.300488717662
Long
ABS-O
CORP
US
N
2
2027-04-20
Fixed
4.23000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2019-3
30167EAC9
1060000.00000000
PA
USD
1033152.96000000
0.232839552590
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
2.79000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-3
64829HAA5
677006.78000000
PA
USD
695902.17000000
0.156834037342
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
3.75000000
N
N
N
N
N
N
Westlake Automobile Receivable
N/A
Westlake Automobile Receivables Trust 2017-2
96042MAJ8
418212.34000000
PA
USD
417632.45000000
0.094120964242
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
2.59000000
N
N
N
N
N
N
Oasis Securitisation
N/A
Oasis 2020-1 LLC
67420BAA4
1158873.96000000
PA
USD
1151829.74000000
0.259585493828
Long
ABS-O
CORP
US
N
2
2032-01-15
Fixed
3.81960000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAG3
1035000.00000000
PA
USD
1050950.18000000
0.236850475370
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.93100000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR1 Trust
89613DAA1
774480.79000000
PA
USD
761007.07000000
0.171506594432
Long
ABS-O
CORP
US
N
2
2034-09-17
Fixed
2.71600000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBM7
975000.00000000
PA
USD
931037.14000000
0.209825920764
Long
DBT
CORP
US
N
2
2021-07-06
Fixed
3.20000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
1031000.00000000
PA
USD
1045151.94000000
0.235543737975
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Trust
36242DSS3
10067.05000000
PA
USD
10030.08000000
0.002260458451
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
5.61900000
N
N
N
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
Station Casinos LLC
85769EAZ4
352684.54220000
PA
USD
298900.15000000
0.067362510576
Long
LON
CORP
US
N
2
2027-02-08
Floating
3.23450000
N
N
N
N
N
N
GENESEE & WYOMING INC
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
155000.00000000
PA
USD
147735.15000000
0.033294766176
Long
LON
CORP
US
N
2
2026-12-30
Floating
2.98450000
N
N
N
N
N
N
ENRGY TRANS PT/REG FIN
N/A
Energy Transfer Partners LP / Regency Energy Finance Corp
75886AAJ7
310000.00000000
PA
USD
280808.40000000
0.063285210178
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
4.50000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
Corevest American Finance 2020-1 Trust
21872UAA2
1275000.00000000
PA
USD
1226922.30000000
0.276508949260
Long
ABS-O
CORP
US
N
2
2050-03-15
Fixed
1.83200000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAL4
730000.00000000
PA
USD
725879.66000000
0.163590002461
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
3.16800000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Trust 2015-5
46644XAC6
297259.13000000
PA
USD
295975.95000000
0.066703489651
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Variable
3.05301500
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust LLC
03463LAA5
129861.04000000
PA
USD
127132.33000000
0.028651551109
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
2.70800000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26209BAG4
220000.00000000
PA
USD
220372.02000000
0.049664787816
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
4.09000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2018-2 Mortgage Loan Trust
19687VAA9
202159.27000000
PA
USD
199297.85000000
0.044915345571
Long
ABS-MBS
CORP
US
N
2
2048-07-27
Variable
3.47000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAD9
445000.00000000
PA
USD
397976.18000000
0.089691071197
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
4.42600000
N
N
N
N
N
N
BOYD GAMING CORP
254900787YGRYS2A1Z35
Boyd Gaming Corp
10330JAU2
509698.59370000
PA
USD
438498.80000000
0.098823570522
Long
LON
CORP
US
N
2
2023-09-15
Floating
3.70010000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2014-1
46641CBF7
524828.46000000
PA
USD
519711.70000000
0.117126354362
Long
ABS-MBS
CORP
US
N
2
2044-01-25
Variable
3.50000000
N
N
N
N
N
N
BXG Receivables Note Trust
N/A
BXG Receivables Note Trust 2012-A
05606UAA8
11762.70000000
PA
USD
11512.66000000
0.002594584449
Long
ABS-O
CORP
US
N
2
2027-12-02
Fixed
2.66000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579CP1
123182.41000000
PA
USD
113351.57000000
0.025545809639
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
3.92425100
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust 2019-1
042859AA6
1332073.58000000
PA
USD
1293570.13000000
0.291529233303
Long
ABS-MBS
CORP
US
N
2
2049-01-25
Variable
3.80500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-4
64829LAA6
2821524.12000000
PA
USD
2901876.33000000
0.653989885825
Long
ABS-MBS
CORP
US
N
2
2056-11-25
Variable
3.75000000
N
N
N
N
N
N
Capital Auto Receivables Asset
N/A
Capital Auto Receivables Asset Trust 2017-1
13975WAF0
920000.00000000
PA
USD
908221.06000000
0.204683907854
Long
ABS-O
CORP
US
N
2
2022-09-20
Fixed
2.70000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-2
80285FAF1
920000.00000000
PA
USD
915726.42000000
0.206375375363
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.35000000
N
N
N
N
N
N
Commercial Mortgage Lease-Back
N/A
Commercial Mortgage Lease-Backed Certificates Series 2001-CMLB-1
201736AC9
324827.57000000
PA
USD
327283.07000000
0.073759110741
Long
ABS-MBS
CORP
US
N
2
2031-06-20
Variable
7.47100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AAJ7
220081.78000000
PA
USD
240314.67000000
0.054159221732
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
4.00000000
N
N
N
N
N
N
Welk Resorts LLC
549300TIITBU8G1Z5089
Welk Resorts 2015-A LLC
949458AA1
734654.48000000
PA
USD
726989.54000000
0.163840133828
Long
ABS-O
CORP
US
N
2
2031-06-16
Fixed
2.79000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2005-2
576434J39
288551.42000000
PA
USD
283340.79000000
0.063855929691
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Fixed
6.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AY5
860000.00000000
PA
USD
865425.96000000
0.195039264395
Long
DBT
CORP
GB
N
2
2021-05-25
Fixed
2.95000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-1 Trust
67112FAD2
593462.75000000
PA
USD
553689.29000000
0.124783813771
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
1.59663000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DCD9
970000.00000000
PA
USD
941441.07000000
0.212170633019
Long
ABS-O
CORP
US
N
2
2023-03-25
Fixed
3.71000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-1
03065FAF9
915000.00000000
PA
USD
908591.16000000
0.204767316528
Long
ABS-O
CORP
US
N
2
2022-08-18
Fixed
2.71000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113AAP5
962804.37000000
PA
USD
951012.13000000
0.214327643079
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2019-A
038370AA0
1385113.44000000
PA
USD
1379500.41000000
0.310895163348
Long
ABS-O
CORP
US
N
2
2040-07-16
Fixed
3.14000000
N
N
N
N
N
N
BANCO BRADESCO (CAYMAN)
549300CTUU1RFXHQJE44
Banco Bradesco SA/Cayman Islands
05947KAZ3
500000.00000000
PA
USD
456630.00000000
0.102909761686
Long
DBT
CORP
KY
N
2
2025-01-27
Fixed
3.20000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
228227BE3
930000.00000000
PA
USD
976340.89000000
0.220035933501
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
4.87500000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-1
43789EAA4
1583867.08000000
PA
USD
1523686.31000000
0.343390042369
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.45400000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AM8
740000.00000000
PA
USD
584600.00000000
0.131750096756
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
4.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HKK5
1155000.00000000
PA
USD
1082812.50000000
0.244031220739
Long
DBT
CORP
US
N
2
N/A
Fixed
5.30000000
N
N
N
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05970FAC5
950000.00000000
PA
USD
910052.50000000
0.205096655711
Long
DBT
CORP
CL
N
2
2025-01-10
Fixed
2.70000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-1
24380TAB2
132767.22000000
PA
USD
129701.76000000
0.029230618250
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Variable
2.92800000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2020-1
30167HAG3
1225000.00000000
PA
USD
992942.74000000
0.223777458208
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
2.73000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVb Trust 2017-SPL4
07331YAA8
367614.19000000
PA
USD
364568.76000000
0.082162109826
Long
ABS-MBS
CORP
US
N
2
2055-01-28
Variable
3.50000000
N
N
N
N
N
N
RCKT Mortgage Trust 2020-1
N/A
RCKT Mortgage Trust 2020-1
749389AA0
1385000.00000000
PA
USD
1375806.09000000
0.310062582066
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Tr
N/A
Credit Acceptance Auto Loan Trust 2019-3
22535KAC7
1180000.00000000
PA
USD
1134600.33000000
0.255702537218
Long
ABS-O
CORP
US
N
2
2029-01-16
Fixed
2.86000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-2 Receivables Funding LLC
82652MAB6
735657.25000000
PA
USD
722344.50000000
0.162793290740
Long
ABS-O
CORP
US
N
2
2036-05-20
Fixed
2.82000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2018-IMC1
85572KAA2
1922901.68000000
PA
USD
1873472.34000000
0.422220598812
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
3.79300000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2019-A
038370AC6
1450000.00000000
PA
USD
1441256.07000000
0.324812909123
Long
ABS-O
CORP
US
N
2
2040-07-16
Fixed
4.01000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DD9
265000.00000000
PA
USD
259560.16000000
0.058496538135
Long
DBT
CORP
US
N
2
2021-03-09
Floating
1.71888000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2017-2
24702JAD1
90443.87000000
PA
USD
90326.78000000
0.020356760185
Long
ABS-O
CORP
US
N
2
2022-10-24
Fixed
2.19000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2018-3
03464NAA0
1784162.58000000
PA
USD
1748371.39000000
0.394026855626
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
3.64900000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2004-K Trust
94981VAB3
94842.47000000
PA
USD
94505.23000000
0.021298448847
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
4.99082300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFSR8
403632.50000000
PA
USD
423607.76000000
0.095467607538
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2019-3 Mortgage Loan Trust
19688CAA0
274724.78000000
PA
USD
265731.06000000
0.059887261146
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
2.76400000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36416UAG0
493692.85000000
PA
USD
490149.22000000
0.110463919192
Long
ABS-MBS
CORP
US
N
2
2056-07-25
Variable
3.50000000
N
N
N
N
N
N
TRANSOCEAN GUARDIAN LTD
N/A
Transocean Guardian Ltd
893800AA0
225450.00000000
PA
USD
180360.00000000
0.040647361359
Long
DBT
CORP
KY
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
CoreVest American Finance 2017-1 Trust
21871VAA1
1185561.96000000
PA
USD
1166528.24000000
0.262898064470
Long
ABS-O
CORP
US
N
2
2049-10-15
Fixed
2.96800000
N
N
N
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320AM4
1168000.00000000
PA
USD
1098328.80000000
0.247528097281
Long
DBT
CORP
US
N
2
2043-06-15
Fixed
5.62500000
N
N
N
N
N
N
Small Business Lending Trust
N/A
Small Business Lending Trust 2019-A
831645AA4
885519.31000000
PA
USD
874354.15000000
0.197051392169
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
2.85000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables 2015-4
03065MAF4
13784.79000000
PA
USD
13780.52000000
0.003105687381
Long
ABS-O
CORP
US
N
2
2021-07-08
Fixed
2.88000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-4
26209AAF8
1120000.00000000
PA
USD
1078945.06000000
0.243159623760
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
2.51000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-1 Mortgage Loan Trust
12597KAA7
1426831.28000000
PA
USD
1380046.34000000
0.311018198466
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.48800000
N
N
N
N
N
N
CarMax Auto Owner Trust
549300LQMUNTYT3DC014
Carmax Auto Owner Trust 2019-1
14315NAF7
1175000.00000000
PA
USD
1184050.20000000
0.266846952471
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
3.74000000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2017-2
02529LAE1
15345.89000000
PA
USD
15337.23000000
0.003456519905
Long
ABS-O
CORP
US
N
2
2023-06-12
Fixed
2.86000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
1046382.81000000
PA
USD
1004294.89000000
0.226335868850
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust 2019-1
00085MAA7
771300.02000000
PA
USD
770006.40000000
0.173534754880
Long
ABS-O
CORP
US
N
2
2022-05-20
Fixed
3.75000000
N
N
N
N
N
N
CAMPBELL SOUP CO
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429BE8
285000.00000000
PA
USD
290288.56000000
0.065421734292
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.65000000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAC8
1167000.00000000
PA
USD
1116037.11000000
0.251518982597
Long
ABS-O
CORP
US
N
2
2046-05-25
Fixed
4.97000000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27
22541QP71
22838.13000000
PA
USD
22602.16000000
0.005093802201
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.25000000
N
N
N
N
N
N
BXG Receivables Note Trust
549300IYSLLRKXUYO938
BXG Receivables Note Trust 2013-A
05606VAA6
504839.37000000
PA
USD
488998.82000000
0.110204655916
Long
ABS-O
CORP
US
N
2
2028-12-04
Fixed
3.01000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-1
64829FAA9
682922.70000000
PA
USD
702714.35000000
0.158369284305
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
3.75000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GBR9
650000.00000000
PA
USD
652291.87000000
0.147005673941
Long
DBT
CORP
US
N
2
2020-12-03
Fixed
2.50000000
N
N
N
N
N
N
National City Mortgage Capital
N/A
National City Mortgage Capital Trust
635419AE4
90329.72000000
PA
USD
85511.64000000
0.019271582011
Long
ABS-MBS
CORP
US
N
2
2038-03-25
Fixed
6.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDU5
1475000.00000000
PA
USD
1298564.63000000
0.292654833471
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
2.33000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare Conduit Receivables Funding LLC
82652KAA2
383158.62000000
PA
USD
378017.36000000
0.085192993081
Long
ABS-O
CORP
US
N
2
2034-03-20
Fixed
2.91000000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT LXXXV LLC
91834TAA5
461179.00000000
PA
USD
406276.93000000
0.091561794111
Long
ABS-O
CORP
US
N
2
2050-01-25
Variable
3.22820000
N
N
N
N
N
N
Galton Funding Mortgage Trust
N/A
Galton Funding Mortgage Trust 2020-H1
36418HAA0
1267814.08000000
PA
USD
1222247.45000000
0.275455387954
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.31000000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT LXIV LLC
91830UAA6
648468.38000000
PA
USD
590548.94000000
0.133090797099
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
3.37500000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAA4
470000.00000000
PA
USD
381884.40000000
0.086064499914
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-1
33844RAE1
1400000.00000000
PA
USD
1387231.44000000
0.312637489640
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.60000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2014-IVR2
12648HAK1
493011.71000000
PA
USD
486819.63000000
0.109713536359
Long
ABS-MBS
CORP
US
N
2
2044-04-25
Variable
3.76039300
N
N
N
N
N
N
Westlake Automobile Receivable
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAJ1
1348000.00000000
PA
USD
1344151.33000000
0.302928614066
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
3.61000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-MH1
89177WAA7
1168019.29000000
PA
USD
1174707.37000000
0.264741378135
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Variable
3.00000000
N
N
N
N
N
N
Arbys Funding LLC
N/A
Arbys Funding 2015-1A LLC
038779AA2
488325.00000000
PA
USD
472000.30000000
0.106373734509
Long
ABS-O
CORP
US
N
2
2045-10-30
Fixed
4.96900000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YE4
1105000.00000000
PA
USD
1148768.36000000
0.258895556929
Long
DBT
UST
US
N
2
2024-08-31
Fixed
1.25000000
N
N
N
N
N
N
Tidewater Auto Receivables Tru
N/A
Tidewater Auto Receivables Trust 2020-A
88641WAD1
1530000.00000000
PA
USD
1422017.50000000
0.320477152265
Long
ABS-O
CORP
US
N
2
2026-09-15
Fixed
1.91000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVX9
2015000.00000000
PA
USD
1813626.32000000
0.408733224667
Long
DBT
CORP
US
N
2
2027-10-28
Floating
3.54538000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187BC2
470000.00000000
PA
USD
477219.63000000
0.107550004151
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
4.20000000
N
N
N
N
N
N
Homeward Opportunities Fund Tr
N/A
Homeward Opportunities Fund I Trust 2018-1
43789AAA2
1242958.36000000
PA
USD
1200375.97000000
0.270526257598
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.76600000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Koitere Fund Trust 2017-RT4
07332CAA5
196319.45000000
PA
USD
195538.75000000
0.044068164954
Long
ABS-MBS
CORP
US
N
2
2057-07-28
Variable
3.50000000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331AW7
1074000.00000000
PA
USD
1043984.37000000
0.235280605131
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.52900000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV2
92537HAA9
689396.55000000
PA
USD
668564.57000000
0.150673018791
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.91300000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
Sofi Consumer Loan Program 2017-1 LLC
83405AAA2
262589.86000000
PA
USD
257861.56000000
0.058113728155
Long
ABS-O
CORP
US
N
2
2026-01-26
Fixed
3.28000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-2
64829KBV1
1250179.56000000
PA
USD
1298273.34000000
0.292589186044
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
4.00000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAT3
735000.00000000
PA
USD
727595.98000000
0.163976805960
Long
DBT
CORP
US
N
2
2022-03-28
Fixed
3.70000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAE4
365000.00000000
PA
USD
343950.10000000
0.077515324930
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
3.93300000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAK8
279399.89000000
PA
USD
266360.30000000
0.060029071668
Long
LON
CORP
US
N
2
2027-04-15
Floating
3.48450000
N
N
N
N
N
N
Residential Mortgage Loan Trus
N/A
Residential Mortgage Loan Trust 2019-1
76119MAA7
801750.20000000
PA
USD
782020.81000000
0.176242417692
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
3.93600000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A2
466247K51
53374.67000000
PA
USD
51187.06000000
0.011535922182
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.67009700
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR1
02666AAA6
182052.54000000
PA
USD
176970.27000000
0.039883424898
Long
ABS-O
CORP
US
N
2
2052-04-17
Fixed
3.46700000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCA4
723000.00000000
PA
USD
738046.71000000
0.166332065435
Long
DBT
CORP
CA
N
2
2024-06-12
Fixed
2.65000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2014-A
17322GAA7
210891.22000000
PA
USD
212909.96000000
0.047983078738
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
4.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAA5
1980138.28000000
PA
USD
1925364.09000000
0.433915335527
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.67700000
N
N
N
N
N
N
REPUBLIC OF KAZAKHSTAN
5493007OEK8EF02UO833
Kazakhstan Government International Bond
486661AG6
570000.00000000
PA
USD
612978.00000000
0.138145588111
Long
DBT
NUSS
KZ
N
2
2025-07-21
Fixed
5.12500000
N
N
N
N
N
N
PNM RESOURCES INC
5493003JOBJGLZSDDQ28
PNM Resources Inc
69349HAC1
810000.00000000
PA
USD
815128.57000000
0.183703845307
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.25000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2018-SFR2 Trust
74332UAC1
1750000.00000000
PA
USD
1716952.83000000
0.386946119533
Long
ABS-O
CORP
US
N
2
2035-08-17
Fixed
3.84100000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AJ8
640000.00000000
PA
USD
592000.00000000
0.133417819500
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.25000000
N
N
N
N
N
N
Washington Mutual MSC Mortgage
N/A
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR4 Trust
939336J38
45942.44000000
PA
USD
42501.96000000
0.009578579100
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
3.61767300
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-1
92536FAA4
1292811.41000000
PA
USD
1227685.52000000
0.276680954578
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
2.92900000
N
N
N
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series 2004-4
66987WBX4
630247.94000000
PA
USD
621120.88000000
0.139980732188
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.67163000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NAW1
1046000.00000000
PA
USD
1012538.58000000
0.228193732269
Long
DBT
CORP
US
N
2
2022-06-01
Variable
3.49700000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
1235000.00000000
PA
USD
1101348.05000000
0.248208539429
Long
ABS-MBS
CORP
KY
N
2
2037-02-16
Floating
1.70013000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2018-3
02530AAE2
1090000.00000000
PA
USD
1084318.59000000
0.244370645137
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
3.75000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
818507.35420000
PA
USD
782353.88000000
0.176317480992
Long
LON
CORP
US
N
2
2027-02-01
Floating
2.67490000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RHT1
59894.08000000
PA
USD
65597.80000000
0.014783640945
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
1257000.00000000
PA
USD
1051031.15000000
0.236868723412
Long
DBT
CORP
IE
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton USA Trust 2016-SFP
43289VAJ2
1070000.00000000
PA
USD
1019395.74000000
0.229739116281
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
3.32283500
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2005-1 Trust
05946XPV9
93919.49000000
PA
USD
89735.05000000
0.020223403215
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
5.50000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2018-A
43284BAA0
780082.88000000
PA
USD
777625.62000000
0.175251882783
Long
ABS-O
CORP
US
N
2
2032-02-25
Fixed
3.54000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RGD8
805000.00000000
PA
USD
747605.11000000
0.168486222337
Long
DBT
CORP
US
N
2
2024-06-12
Floating
1.96413000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BQ8
755000.00000000
PA
USD
819323.89000000
0.184649335926
Long
DBT
NUSS
ID
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-1 Receivables Funding LLC
82653EAB3
692592.11000000
PA
USD
685972.59000000
0.154596228369
Long
ABS-O
CORP
US
N
2
2036-01-20
Fixed
3.42000000
N
N
N
N
N
N
Oportun Funding LLC
549300GGHBCT645S8T42
Oportun Funding IX LLC
68376VAA2
905000.00000000
PA
USD
851615.32000000
0.191926788931
Long
ABS-O
CORP
US
N
2
2024-07-08
Fixed
3.91000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AE1
1122170.00000000
PA
USD
1079594.87000000
0.243306070100
Long
ABS-O
CORP
US
N
2
2047-11-20
Fixed
3.62900000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A5
466247SE4
279502.88000000
PA
USD
250965.52000000
0.056559581838
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.01876000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36417JAL3
365117.44000000
PA
USD
362021.54000000
0.081588048106
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
3.50000000
N
N
N
N
N
N
DELL INTERNATIONAL LLC
N/A
Dell International LLC
24702NBE9
816511.12750000
PA
USD
776199.97000000
0.174930586982
Long
LON
CORP
US
N
2
2025-09-19
Floating
2.92360000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AC0
1000000.00000000
PA
USD
940000.00000000
0.211845862044
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
3.87500000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2017-2
68267CAC2
925000.00000000
PA
USD
920281.48000000
0.207401939845
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
2.82000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAG5
350000.00000000
PA
USD
349508.18000000
0.078767937961
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
2.35000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
2155000.00000000
PA
USD
2290584.67000000
0.516224344683
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2006-2 Trust
05949QBE4
19116.12000000
PA
USD
17904.39000000
0.004035075461
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6.00000000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2018-4
02529MAE9
1110000.00000000
PA
USD
1069966.07000000
0.241136047295
Long
ABS-O
CORP
US
N
2
2025-01-13
Fixed
3.97000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Corp
16163YAC8
484694.70000000
PA
USD
477920.99000000
0.107708068208
Long
ABS-MBS
CORP
US
N
2
2045-04-25
Variable
3.75000000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust
12510GAC6
1030000.00000000
PA
USD
1028914.17000000
0.231884265227
Long
ABS-O
CORP
US
N
2
2026-09-14
Fixed
3.22000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2016-2 Receivables Funding LLC
82652WAA6
146382.34000000
PA
USD
144369.07000000
0.032536159666
Long
ABS-O
CORP
US
N
2
2033-07-20
Fixed
2.33000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2015-2
64829EAA2
1193700.48000000
PA
USD
1229902.55000000
0.277180602059
Long
ABS-MBS
CORP
US
N
2
2055-08-25
Variable
3.75000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
03852JAL5
345085.14000000
PA
USD
320929.18000000
0.072327147651
Long
LON
CORP
US
N
2
2025-03-11
Floating
2.45460000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2015-PS1
17324VAH7
142524.51000000
PA
USD
142658.07000000
0.032150555124
Long
ABS-MBS
CORP
US
N
2
2042-09-25
Variable
3.75000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
445000.00000000
PA
USD
442775.00000000
0.099787288900
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
DT Auto Owner Trust
549300XVMF0FUK76JG97
DT Auto Owner Trust 2019-1
23343GAE2
800000.00000000
PA
USD
795147.12000000
0.179200667115
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
3.61000000
N
N
N
N
N
N
CPS Auto Trust
54930087Z25SUMBR4I05
CPS Auto Receivables Trust 2017-D
12652BAB7
61528.61000000
PA
USD
61473.94000000
0.013854255119
Long
ABS-O
CORP
US
N
2
2022-01-18
Fixed
2.43000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AA9
440006.20000000
PA
USD
428213.99000000
0.096505704096
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.42000000
N
N
N
N
N
N
First Investors Auto Owner Tru
N/A
First Investors Auto Owner Trust 2017-1
32058NAJ2
880000.00000000
PA
USD
876814.84000000
0.197605952801
Long
ABS-O
CORP
US
N
2
2023-04-17
Fixed
3.60000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAU0
932000.00000000
PA
USD
950720.66000000
0.214261955086
Long
DBT
CORP
US
N
2
2021-12-03
Fixed
4.45000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAJ9
750000.00000000
PA
USD
748900.43000000
0.168778145935
Long
DBT
CORP
US
N
2
2020-10-08
Fixed
3.15600000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC27
17323CAD9
1200000.00000000
PA
USD
1204803.72000000
0.271524130487
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
2.87800000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAE8
1035000.00000000
PA
USD
907621.72000000
0.204548835833
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Fixed
3.09900000
N
N
N
N
N
N
BBVA BANCO CONTINENTAL
549300H1JNU0HLNFU552
Banco BBVA Peru SA
000000000
520000.00000000
PA
USD
514805.20000000
0.116020586573
Long
DBT
CORP
PE
N
2
2022-08-26
Fixed
5.00000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2019-NQM1 LLC
36166PAA6
2346015.03000000
PA
USD
2402321.50000000
0.541406243697
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
2.98500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-SJ1
89176BAA4
703120.93000000
PA
USD
704773.55000000
0.158833361963
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.00000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAR3
420000.00000000
PA
USD
315473.10000000
0.071097522150
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFP9
420000.00000000
PA
USD
441674.86000000
0.099539352617
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
3.95000000
N
N
N
N
N
N
CORPORATE OFFICE PROP LP
H0TWO5VRNEP6CQAWPX27
Corporate Office Properties LP
22003BAJ5
220000.00000000
PA
USD
222988.96000000
0.050254562188
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
3.70000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAX3
1030000.00000000
PA
USD
949266.34000000
0.213934197986
Long
DBT
CORP
US
N
2
2022-08-15
Floating
2.57175000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2003-3F
36228FPE0
221236.83000000
PA
USD
227173.41000000
0.051197603058
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
6.00000000
N
N
N
N
N
N
Tricolor Auto Securitization T
N/A
Tricolor Auto Securitization Trust 2018-2
89614SAB5
866520.56000000
PA
USD
862299.74000000
0.194334714639
Long
ABS-O
CORP
US
N
2
2022-02-15
Fixed
4.76000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCD2
855000.00000000
PA
USD
690583.50000000
0.155635379650
Long
DBT
CORP
MX
N
2
2023-09-21
Fixed
4.62500000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Trust 2018-1
36255GAA8
199907.45000000
PA
USD
198989.95000000
0.044845954782
Long
ABS-O
CORP
US
N
2
2022-07-15
Fixed
2.82000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-4
576434QC1
89609.09000000
PA
USD
91634.96000000
0.020651582015
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
5.50000000
N
N
N
N
N
N
Flagship Credit Auto Trust
549300ART2GPPJ3NZO09
Flagship Credit Auto Trust 2015-2
33843KAE7
209089.39000000
PA
USD
206594.16000000
0.046559699913
Long
ABS-O
CORP
US
N
2
2021-12-15
Fixed
4.08000000
N
N
N
N
N
N
PG&E CORP
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co
69431EBK8
460000.00000000
PA
USD
445431.80000000
0.100386046439
Long
LON
CORP
US
N
2
2020-12-31
Floating
4.00110000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust 2019-2
042858AA8
1369586.05000000
PA
USD
1301393.13000000
0.293292286684
Long
ABS-MBS
CORP
US
N
2
2049-04-25
Variable
3.34700000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AJ2
665000.00000000
PA
USD
656183.44000000
0.147882709049
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.37500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-2
64829GAA7
1616858.35000000
PA
USD
1664640.23000000
0.375156536721
Long
ABS-MBS
CORP
US
N
2
2035-11-26
Variable
3.75000000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAB4
810000.00000000
PA
USD
743490.90000000
0.167559011311
Long
DBT
CORP
US
N
2
2024-10-25
Fixed
5.87500000
N
N
N
N
N
N
CITYCENTER HOLDINGS LLC
54930012KUDSU3GT0X08
CityCenter Holdings LLC
17875LAL3
605154.67500000
PA
USD
525274.26000000
0.118379977042
Long
LON
CORP
US
N
2
2024-04-18
Floating
3.96310000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886VAP5
131672.99250000
PA
USD
118505.69000000
0.026707383037
Long
LON
CORP
US
N
2
2026-08-28
Floating
3.48940000
N
N
N
N
N
N
UPSTART PASS-THROUGH TRUST
N/A
Upstart Pass-Through Trust Series 2020-ST1
91679MAA8
958190.86000000
PA
USD
780656.59000000
0.175934966244
Long
ABS-O
CORP
US
N
3
2028-02-20
Fixed
3.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-8
46650MAC1
205995.83000000
PA
USD
209877.18000000
0.047299587362
Long
ABS-MBS
CORP
US
N
2
2049-01-25
Variable
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-1
89177BAA3
640204.79000000
PA
USD
657230.27000000
0.148118630968
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.75000000
N
N
N
N
N
N
Starwood Waypoint Homes Trust
N/A
Starwood Waypoint Homes 2017-1 Trust
85572MAA8
630279.91000000
PA
USD
577436.23000000
0.130135612681
Long
ABS-O
CORP
US
N
2
2035-01-17
Floating
1.65463000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCD4
800000.00000000
PA
USD
781315.52000000
0.176083467939
Long
ABS-O
CORP
US
N
2
2022-06-20
Fixed
2.99000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-3
24381FAC9
156186.42000000
PA
USD
156203.69000000
0.035203303577
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
2.81300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LVWK5
96546.63000000
PA
USD
101013.01000000
0.022765093809
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
3.00000000
N
N
N
N
N
N
Westgate Resorts
N/A
Westgate Resorts 2018-1 LLC
96033WAA6
892967.34000000
PA
USD
887541.94000000
0.200023497212
Long
ABS-O
CORP
US
N
2
2031-12-20
Fixed
3.38000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2016-1
553894AA4
513153.90000000
PA
USD
499978.16000000
0.112679047136
Long
ABS-O
CORP
US
N
2
2033-12-20
Fixed
2.25000000
N
N
N
N
N
N
Gold Key Resorts LLC
549300MORAF4RGEXUA95
Gold Key Resorts 2014-A LLC
38061LAA7
89890.31000000
PA
USD
89820.00000000
0.020242548222
Long
ABS-O
CORP
US
N
2
2031-03-17
Fixed
3.22000000
N
N
N
N
N
N
CNOOC FINANCE 2013 LTD
5493006KAH3PSSMCES09
CNOOC Finance 2013 Ltd
12625GAC8
870000.00000000
PA
USD
887054.67000000
0.199913682177
Long
DBT
CORP
HK
N
2
2023-05-09
Fixed
3.00000000
N
N
N
N
N
N
Freedom Financial
N/A
FREED ABS Trust 2019-2
30312JAB4
1370000.00000000
PA
USD
1195052.78000000
0.269326581242
Long
ABS-O
CORP
US
N
2
2026-11-18
Fixed
3.19000000
N
N
N
N
N
N
PSEG POWER LLC
N/A
PSEG Power LLC
69362BBC5
1022000.00000000
PA
USD
1039555.47000000
0.234282473069
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.85000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AH9
1475000.00000000
PA
USD
1430675.32000000
0.322428347309
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.25000000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189TAU1
1260000.00000000
PA
USD
1278159.85000000
0.288056250270
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
3.85000000
N
N
N
N
N
N
Octane Receivables Trust
N/A
Octane Receivables Trust 2019-1
67576TAA7
1023177.10000000
PA
USD
1016877.81000000
0.229171655588
Long
ABS-O
CORP
US
N
2
2023-09-20
Fixed
3.16000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2017-1
24380TAA4
81651.84000000
PA
USD
79743.74000000
0.017971682279
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Variable
2.72500000
N
N
N
N
N
N
CENTURYLINK INC
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
000000000
987525.00000000
PA
USD
916551.58000000
0.206561339971
Long
LON
CORP
US
N
2
2027-03-15
Floating
3.23450000
N
N
N
N
N
N
Morgan Stanley Capital Barclay
N/A
Morgan Stanley Capital Barclays Bank Trust 2016-MART
61691BAA9
1660000.00000000
PA
USD
1549879.58000000
0.349293165628
Long
ABS-MBS
CORP
US
N
2
2031-09-13
Fixed
2.20040000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DH0
360000.00000000
PA
USD
368917.75000000
0.083142232736
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
Centre Point Funding LLC
CRYY0P1QBVL5M2COWL45
Centre Point Funding LLC
151608AB2
91007.43000000
PA
USD
90326.73000000
0.020356748917
Long
ABS-O
CORP
US
N
2
2021-08-20
Fixed
2.61000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286Y1
10940000.00000000
PA
USD
11307088.31000000
2.548255181113
Long
DBT
UST
US
N
2
2022-06-15
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417NBY6
147423.95000000
PA
USD
163829.18000000
0.036921844537
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.00000000
N
N
N
N
N
N
INGERSOLL-RAND SERVICES
N/A
Ingersoll-Rand Services Co
365556AU3
100000.00000000
PA
USD
93500.00000000
0.021071902235
Long
LON
CORP
US
N
2
2027-02-28
Floating
2.73940000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2018-B
88161NAB5
925000.00000000
PA
USD
909912.33000000
0.205065065887
Long
ABS-O
CORP
US
N
2
2021-10-20
Fixed
4.12000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAB7
305000.00000000
PA
USD
318635.11000000
0.071810137825
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
5.62500000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-INV1
92536MAC5
368753.77000000
PA
USD
352551.69000000
0.079453847535
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
4.05200000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAA3
354485.30000000
PA
USD
348006.16000000
0.078429430810
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.66000000
N
N
N
N
N
N
Marlette Funding Trust
549300Y3KZXU3NUCX480
Marlette Funding Trust 2019-2
57109HAA0
702727.79000000
PA
USD
674384.25000000
0.151984588075
Long
ABS-O
CORP
US
N
2
2029-07-16
Fixed
3.13000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2016-2
33843NAE1
414785.08000000
PA
USD
414654.30000000
0.093449784717
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
3.84000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Loan Trust 2017-A
63939XAB7
846269.26000000
PA
USD
852215.82000000
0.192062122378
Long
ABS-O
CORP
US
N
2
2058-12-16
Fixed
2.88000000
N
N
N
N
N
N
Foursight Capital Automobile R
N/A
Foursight Capital Automobile Receivables Trust 2016-1
35104VAB8
1303.67000000
PA
USD
1302.86000000
0.000293622872
Long
ABS-O
CORP
US
N
2
2021-10-15
Fixed
2.87000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MB4
1080000.00000000
PA
USD
998179.24000000
0.224957597417
Long
DBT
CORP
US
N
2
2026-07-01
Floating
3.15938000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust 2019-2
12510FAC8
1185000.00000000
PA
USD
1160695.77000000
0.261583612731
Long
ABS-O
CORP
US
N
2
2027-03-15
Fixed
2.55000000
N
N
N
N
N
N
SCIENCE APPLICATIONS INTERN
549300LZPNZIXQGZPZ48
Science Applications International Corp
80862QAG6
220000.00000000
PA
USD
205700.00000000
0.046358184917
Long
LON
CORP
US
N
2
2027-03-13
Floating
3.05010000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2017-1
14314JAE0
900000.00000000
PA
USD
898465.41000000
0.202485297126
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
2.54000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2014-2
64828YAR2
97597.69000000
PA
USD
100168.18000000
0.022574696214
Long
ABS-MBS
CORP
US
N
2
2054-05-25
Variable
3.75000000
N
N
N
N
N
N
IND & COMM BK CHINA/NY
5493002ERZU2K9PZDL40
Industrial & Commercial Bank of China Ltd/New York NY
45580KAH1
370000.00000000
PA
USD
370710.94000000
0.083546360269
Long
DBT
CORP
US
N
2
2020-11-08
Floating
2.48413000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
Sofi Consumer Loan Program 2016-3 LLC
78471FAA0
133826.02000000
PA
USD
132534.41000000
0.029869006741
Long
ABS-O
CORP
US
N
2
2025-12-26
Fixed
3.05000000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust 2018-1
12508VAB9
949131.70000000
PA
USD
947123.15000000
0.213451191674
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359Q5F7
506.78000000
PA
USD
502.17000000
0.000113173017
Long
ABS-MBS
USGSE
US
N
2
2022-04-25
None
0.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2020-GC45
36258YBL1
1225000.00000000
PA
USD
1152760.04000000
0.259795153621
Long
ABS-MBS
CORP
US
N
2
2053-02-13
Fixed
3.17310000
N
N
N
N
N
N
Residential Mortgage Loan Trus
N/A
Residential Mortgage Loan Trust 2019-2
76119DAA7
479085.17000000
PA
USD
477703.49000000
0.107659050681
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
2.91300000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2020-NP1
14687PAG0
1270000.00000000
PA
USD
1233170.00000000
0.277916980529
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
3.43000000
N
N
N
N
N
N
Earnest Student Loan Program L
549300RPRMBC4KSBJ337
Earnest Student Loan Program 2017-A LLC
27035BAB3
275244.63000000
PA
USD
274252.40000000
0.061807697974
Long
ABS-O
CORP
US
N
2
2041-01-25
Fixed
2.65000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDQ4
1270000.00000000
PA
USD
1112222.69000000
0.250659334626
Long
ABS-O
CORP
US
N
2
2026-03-20
Fixed
2.36000000
N
N
N
N
N
N
IMC Home Equity Loan Trust
N/A
Imc Home Equity Loan Trust 1997-5
449670DD7
59794.58000000
PA
USD
57952.46000000
0.013060626432
Long
ABS-MBS
CORP
US
N
2
2028-11-20
Fixed
7.31000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
Sofi Consumer Loan Program 2017-6 LLC
83405QAB5
514331.39000000
PA
USD
501908.02000000
0.113113975706
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
2.82000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAN3
1220000.00000000
PA
USD
1208214.48000000
0.272292806436
Long
DBT
CORP
US
N
2
2024-03-19
Fixed
4.37500000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AB1
1295000.00000000
PA
USD
1298244.65000000
0.292582720238
Long
DBT
CORP
US
N
2
2022-08-21
Fixed
2.95000000
N
N
N
N
N
N
Centex Home Equity
N/A
Centex Home Equity Loan Trust 2004-D
152314LE8
114519.55000000
PA
USD
113907.08000000
0.025671003782
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
5.85000000
N
N
N
N
N
N
SBA SENIOR FINANCE II LLC
549300PVT2ADFWMYEW87
SBA Senior Finance II LLC
78404XAH8
397912.50000000
PA
USD
375231.49000000
0.084565147303
Long
LON
CORP
US
N
2
2025-04-11
Floating
2.67360000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM1
64829YAA8
1633193.64000000
PA
USD
1610684.15000000
0.362996566211
Long
ABS-MBS
CORP
US
N
2
2049-01-25
Variable
3.67461000
N
N
N
N
N
N
AXIS Equipment Finance Receiva
549300NOANH9X4RIOF97
Amur Equipment Finance Receivables VI LLC
03237JAB3
771400.41000000
PA
USD
786043.44000000
0.177148989522
Long
ABS-O
CORP
US
N
2
2022-07-20
Fixed
3.89000000
N
N
N
N
N
N
BRE Grand Islander Timeshare I
N/A
BRE Grand Islander Timeshare Issuer 2017-A LLC
05584AAA8
384018.52000000
PA
USD
375041.36000000
0.084522298097
Long
ABS-O
CORP
US
N
2
2029-05-25
Fixed
2.94000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BT3
1060000.00000000
PA
USD
1001700.00000000
0.225751063840
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568BA7
735000.00000000
PA
USD
761419.42000000
0.171599524901
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.35000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-KEYS
04410CAG4
1100000.00000000
PA
USD
865485.61000000
0.195052707593
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
2.15463000
N
N
N
N
N
N
Veros Auto Receivables Trust
N/A
Veros Automobile Receivables Trust 2020-1
92511FAB1
1270000.00000000
PA
USD
1221979.01000000
0.275394890184
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
2.19000000
N
N
N
N
N
N
CAPITAL ONE NA
207ALC1P1YM0OVDV0K75
Capital One NA
14042E3Y4
1085000.00000000
PA
USD
1088032.15000000
0.245207562498
Long
DBT
CORP
US
N
2
2021-07-23
Fixed
2.95000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJY7
1260000.00000000
PA
USD
1330485.65000000
0.299848807938
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-3
26209WAF0
1255000.00000000
PA
USD
1221876.28000000
0.275371738136
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
2.90000000
N
N
N
N
N
N
TURKIYE IS BANKASI A.S
789000FIRX9MDN0KTM91
Turkiye Is Bankasi AS
900151AJ0
800000.00000000
PA
USD
750491.20000000
0.169136654490
Long
DBT
CORP
TR
N
2
2022-04-21
Fixed
5.50000000
N
N
N
N
N
N
RMF Proprietary Issuance Trust
N/A
RMF Proprietary Issuance Trust 2019-1
74968RAA3
1433893.89000000
PA
USD
1353027.15000000
0.304928939320
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
2.75000000
N
N
N
N
N
N
KESTREL BIDCO INC
5493004LHNGMD0JHE251
Kestrel Bidco Inc
000000000
420000.00000000
PA
USD
319200.00000000
0.071937445919
Long
LON
CORP
CA
N
2
2026-12-11
Floating
4.00000000
N
N
N
N
N
N
BROOKFIELD FINANCE INC
N/A
Brookfield Finance Inc
11271LAC6
715000.00000000
PA
USD
734180.15000000
0.165460666779
Long
DBT
CORP
CA
N
2
2028-01-25
Fixed
3.90000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DAY7
395000.00000000
PA
USD
398508.44000000
0.089811025536
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.00000000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AB8
1364225.00000000
PA
USD
1309369.51000000
0.295089907000
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.25000000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA Inc
44969CBJ8
524724.11640000
PA
USD
498487.91000000
0.112343192566
Long
LON
CORP
US
N
2
2025-06-11
Floating
2.52250000
N
N
N
N
N
N
LHFC Depositor, LLC
549300VCHJCK9EK5QK41
LHOME Mortgage Trust 2019-RTL1
501890AA5
1195000.00000000
PA
USD
1045054.99000000
0.235521888553
Long
ABS-MBS
CORP
US
N
2
2023-10-25
Variable
4.58000000
N
N
N
N
N
N
STANLEY BLACK & DECKER I
549300DJ09SMTO561131
Stanley Black & Decker Inc
854502AM3
1287500.00000000
PA
USD
1221974.63000000
0.275393903073
Long
DBT
CORP
US
N
2
2060-03-15
Fixed
4.00000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851CK8
1195000.00000000
PA
USD
1145801.83000000
0.258226996179
Long
DBT
CORP
US
N
2
2021-10-30
Fixed
2.20000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Corp
46652DAE5
690000.00000000
PA
USD
631555.48000000
0.142332356478
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.95463000
N
N
N
N
N
N
DRAWBRIDGE SPEC OPPOR FU
N/A
Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Fin
26150TAA7
935000.00000000
PA
USD
898005.04000000
0.202381544488
Long
DBT
CORP
US
N
2
2021-08-01
Fixed
5.00000000
N
N
N
N
N
N
OneMain Financial Issuance Tru
549300I1P51W2UFIED29
Onemain Financial Issuance Trust 2018-1
68267BAA8
1895000.00000000
PA
USD
1889312.54000000
0.425790472029
Long
ABS-O
CORP
US
N
2
2029-03-14
Fixed
3.30000000
N
N
N
N
N
N
NMEF Funding LLC
549300LKWL3P0UPHKL72
NMEF Funding 2019-A LLC
65489MAB0
1205000.00000000
PA
USD
1179498.83000000
0.265821219597
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
3.06000000
N
N
N
N
N
N
Westgate Resorts
549300K8T4A858DBUE44
Westgate Resorts 2016-1 LLC
96033CAA0
286804.05000000
PA
USD
285290.76000000
0.064295390410
Long
ABS-O
CORP
US
N
2
2028-12-20
Fixed
3.50000000
N
N
N
N
N
N
SPRUCE HILL MORTGAGE LOAN TRUS
N/A
Spruce Hill Mortgage Loan Trust 2020-SH1
85209FAA4
1132849.67000000
PA
USD
1050747.41000000
0.236804777513
Long
ABS-MBS
CORP
US
N
2
2050-01-28
Variable
2.52100000
N
N
N
N
N
N
Upstart Securitization Trust
549300PN2KS41LBX8D66
Upstart Securitization Trust 2019-2
916780AA7
894453.98000000
PA
USD
828582.99000000
0.186736040204
Long
ABS-O
CORP
US
N
2
2029-09-20
Fixed
2.89700000
N
N
N
N
N
N
VSE VOI Mortgage LLC
N/A
VSE 2016-A VOI Mortgage LLC
918290AA5
443084.73000000
PA
USD
434482.86000000
0.097918506404
Long
ABS-O
CORP
US
N
2
2033-07-20
Fixed
2.54000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-2
24381HAA9
737768.59000000
PA
USD
720363.60000000
0.162346859391
Long
ABS-MBS
CORP
US
N
2
2058-04-25
Variable
3.47900000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
03852JAR2
215000.00000000
PA
USD
198875.00000000
0.044820048738
Long
LON
CORP
US
N
2
2027-01-15
Floating
2.55010000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM4
64828EAA3
1281496.14000000
PA
USD
1261972.93000000
0.284408237481
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.49188000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2020-1
36258XAB6
1810000.00000000
PA
USD
1745093.94000000
0.393288223476
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
2.43000000
N
N
N
N
N
N
2020-05-20
Virtus Opportunities Trust
Amy Hackett
Amy Hackett
Vice President and Asst Treasurer