0001752724-20-201119.txt : 20200929
0001752724-20-201119.hdr.sgml : 20200929
20200929150736
ACCESSION NUMBER: 0001752724-20-201119
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200731
FILED AS OF DATE: 20200929
PERIOD START: 20210131
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: VANGUARD FIXED INCOME SECURITIES FUNDS
CENTRAL INDEX KEY: 0000106444
IRS NUMBER: 231899003
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0131
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02368
FILM NUMBER: 201208521
BUSINESS ADDRESS:
STREET 1: PO BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
BUSINESS PHONE: 6106691000
MAIL ADDRESS:
STREET 1: PO BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
FORMER COMPANY:
FORMER CONFORMED NAME: VANGUARD FIXED INCOME SECURITIES FUND INC
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: WESTMINSTER BOND FUND INC
DATE OF NAME CHANGE: 19800619
0000106444
S000048081
Vanguard Ultra-Short-Term Bond Fund
C000151975
Admiral Shares
VUSFX
C000151976
Investor Shares
VUBFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000106444
XXXXXXXX
S000048081
C000151975
C000151976
VANGUARD FIXED INCOME SECURITIES FUNDS
811-02368
0000106444
549300F3N7VQKU6I4K64
100 Vanguard Boulevard
Malvern
19355
610-669-1000
VANGUARD ULTRA-SHORT-TERM BOND FUND
S000048081
549300W8Q3A1OLMSCN32
2021-01-31
2020-07-31
N
10726250691.45
118365950.71
10607884740.74
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
50586491.91000000
USD
CAD
AUD
KRW
GBP
JPY
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913R2D8
40000000.00000000
PA
USD
40162800.00000000
0.378612711031
Long
DBT
CORP
US
N
2
2023-07-07
Fixed
0.65000000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
DISCOVER BANK
25466AAF8
4017000.00000000
PA
USD
4111158.48000000
0.038755685798
Long
DBT
CORP
US
N
2
2021-08-09
Fixed
3.20000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_18-1A
N/A
CFII 2018-1A A1
165183BG8
12961340.18000000
PA
USD
13141762.04000000
0.123886734831
Long
ABS-CBDO
CORP
US
Y
2
2030-04-15
Fixed
3.04000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA_20-A-C 1.68 2/20/2024
88167HAF3
1050000.00000000
PA
USD
1049863.50000000
0.009897010814
Long
ABS-CBDO
CORP
US
Y
2
2024-02-20
Fixed
1.68000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_20-A
N/A
HALST 2020-A A3
44935SAC0
725000.00000000
PA
USD
740014.75000000
0.006976082113
Long
ABS-CBDO
CORP
US
Y
2
2023-07-17
Fixed
1.95000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
ENTERPRISE PRODU
29379VBS1
26500000.00000000
PA
USD
27633935.00000000
0.260503726005
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.50000000
N
N
N
N
N
N
Kinder Morgan Inc
549300WR7IX8XE0TBO16
EL PASO CORP
28336LBV0
5551000.00000000
PA
USD
5585471.71000000
0.052653963033
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
6.50000000
N
N
N
N
N
N
FedEx Corp
549300E707U7WNPZN687
FEDEX CORP
31428XBU9
15000000.00000000
PA
USD
15630600.00000000
0.147348886059
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
3.40000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_20-2
N/A
DRIVE 2020-2 C
26208VAF3
1520000.00000000
PA
USD
1552239.20000000
0.014632881464
Long
ABS-CBDO
CORP
US
N
2
2026-08-17
Fixed
2.28000000
N
N
N
N
N
N
DT AUTO OWNER TRUST DTAOT_20-1
N/A
DTAOT 2020-1A A
23344EAA4
10699715.65000000
PA
USD
10726785.93000000
0.101120875576
Long
ABS-CBDO
CORP
US
Y
2
2023-09-15
Fixed
1.94000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE
225401AB4
16232000.00000000
PA
USD
16825604.24000000
0.158614131386
Long
DBT
CORP
CH
Y
2
2023-01-09
Fixed
3.57400000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_18-2
N/A
DRIVE 2018-2 C
26208JAF0
5789679.67000000
PA
USD
5822796.64000000
0.054891213303
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
3.63000000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863AV0
15000000.00000000
PA
USD
15001050.00000000
0.141414149631
Long
DBT
NUSS
CL
N
2
2020-08-05
Fixed
3.87500000
N
N
N
N
N
N
Fifth Third Bank NA
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK
31677QBC2
5000000.00000000
PA
USD
5132550.00000000
0.048384292678
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
2.87500000
N
N
N
N
N
N
Express Scripts Holding Co
5493003UA6VMND084504
EXPRESS SCRIPTS
30219GAR9
26793000.00000000
PA
USD
26992339.92000000
0.254455441209
Long
DBT
CORP
US
N
2
2020-11-30
Fixed
2.60000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust 2019-R07
N/A
CAS 2019-R07 1M1
20753WAA4
1743797.68900000
PA
USD
1743448.93000000
0.016435406045
Long
ABS-MBS
CORP
US
Y
2
2039-10-25
Floating
0.94160000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22550L2B6
11014000.00000000
PA
USD
11435836.20000000
0.107805057082
Long
DBT
CORP
CH
N
2
2022-04-08
Fixed
2.80000000
N
N
N
N
N
N
EVERGREEN CREDIT CARD TRUST EVGRN_18-1
N/A
EVGRN 2018-1 A
30023JAS7
3750000.00000000
PA
USD
3798531.00000000
0.035808562148
Long
ABS-CBDO
CORP
CA
Y
2
2023-03-15
Fixed
2.95000000
N
N
N
N
N
N
DTE Energy Co
549300IX8SD6XXD71I78
DTE ENERGY CO
233331AV9
6500000.00000000
PA
USD
6776510.00000000
0.063881821547
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
3.30000000
N
N
N
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
WALT DISNEY CO
254687FJ0
754000.00000000
PA
USD
772503.16000000
0.007282348732
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
1.65000000
N
N
N
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LYONDELLBASELL
552081AD3
6103000.00000000
PA
USD
6441899.59000000
0.060727465912
Long
DBT
CORP
NL
N
2
2021-11-15
Fixed
6.00000000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
DISCOVER BANK
25466AAD3
2000000.00000000
PA
USD
2200680.00000000
0.020745700521
Long
DBT
CORP
US
N
2
2023-08-08
Fixed
4.20000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_18-1
N/A
DRIVE 2018-1 D
26208GAG4
15825000.00000000
PA
USD
16180587.75000000
0.152533593128
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
3.81000000
N
N
N
N
N
N
BMW VEHICLE LEASE TRUST BMWLT_19-1
N/A
BMWLT 2019-1 A4
05586VAD4
6500000.00000000
PA
USD
6628635.00000000
0.062487811302
Long
ABS-CBDO
CORP
US
N
2
2022-08-22
Fixed
2.92000000
N
N
N
N
N
N
CenterPoint Energy Inc
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENER
15189TAR8
1137000.00000000
PA
USD
1177909.26000000
0.011104091803
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
2.50000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAM0
15895000.00000000
PA
USD
15959215.80000000
0.150446730804
Long
DBT
CORP
US
Y
2
2023-07-07
Fixed
0.80000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
1360698A2
63386000.00000000
PA
USD
65733183.58000000
0.619663440794
Long
DBT
CORP
CA
N
2
2023-07-22
Variable
2.60600000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_19-4
N/A
DRIVE 2019-4 B
26209AAE1
13400000.00000000
PA
USD
13598052.00000000
0.128188157510
Long
ABS-CBDO
CORP
US
N
2
2024-01-16
Fixed
2.23000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BY4
30429000.00000000
PA
USD
31606602.30000000
0.297953862362
Long
DBT
CORP
US
N
2
2021-11-05
Fixed
3.70000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS HEALTH CORP
126650BZ2
8750000.00000000
PA
USD
9133337.50000000
0.086099516757
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.75000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_18-3
N/A
SDART 2018-3 B
80285GAE2
134603.28000000
PA
USD
134712.31000000
0.001269926222
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
3.29000000
N
N
N
N
N
N
DT AUTO OWNER TRUST DTAOT_19-2
N/A
DTAOT 2019-2A A
26252TAA4
3807184.08000000
PA
USD
3821613.31000000
0.036026157932
Long
ABS-CBDO
CORP
US
Y
2
2022-09-15
Fixed
2.85000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
BANCO SANTANDER
05964HAC9
20400000.00000000
PA
USD
21290868.00000000
0.200707949985
Long
DBT
CORP
ES
N
2
2022-04-11
Fixed
3.50000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QBA7
6650000.00000000
PA
USD
6916199.50000000
0.065198667491
Long
DBT
CORP
US
N
2
2022-09-19
Fixed
2.52000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY
25746UCV9
26000000.00000000
PA
USD
26006240.00000000
0.245159526480
Long
DBT
CORP
US
Y
2
2020-12-01
Floating
0.75000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAG5
5000000.00000000
PA
USD
5131300.00000000
0.048372508991
Long
DBT
CORP
US
N
2
2021-03-11
Fixed
4.74200000
N
N
N
N
N
N
ALLY MASTER OWNER TRUST AMOT_18-2
N/A
AMOT 2018-2 A
02005AGU6
3487000.00000000
PA
USD
3557123.57000000
0.033532826354
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Fixed
3.29000000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
1000000.00000000
PA
USD
1084029.70000000
0.010219093876
Long
DBT
NUSS
QA
N
2
2024-03-14
Fixed
3.37500000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_19-A
N/A
CNH 2019-A A2
12596JAB9
1925294.27000000
PA
USD
1933515.28000000
0.018227152040
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
2.96000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913Q2A6
5091000.00000000
PA
USD
5097669.21000000
0.048055473212
Long
DBT
CORP
US
N
2
2020-09-04
Fixed
1.85000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_20-A
N/A
BMWOT 2020-A A3
09661RAD3
27070000.00000000
PA
USD
27089490.40000000
0.255371273935
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Fixed
0.48000000
N
N
N
N
N
N
Chevron Corp
N/A
CHEVRON CORP
166764AY6
3250000.00000000
PA
USD
3265047.50000000
0.030779439820
Long
DBT
CORP
US
N
2
2020-11-17
Fixed
2.41900000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
09659W2A1
3487000.00000000
PA
USD
3618285.55000000
0.034109397287
Long
DBT
CORP
FR
Y
2
2022-05-23
Fixed
2.95000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38148YAC2
10469000.00000000
PA
USD
10735331.36000000
0.101201432918
Long
DBT
CORP
US
N
2
2022-10-31
Variable
2.87600000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
539439AK5
2550000.00000000
PA
USD
2613648.00000000
0.024638729246
Long
DBT
CORP
GB
N
2
2021-07-06
Fixed
3.10000000
N
N
N
N
N
N
Corporate Office Properties LP
H0TWO5VRNEP6CQAWPX27
CORPORATE OFFICE
22003BAJ5
15000000.00000000
PA
USD
15229500.00000000
0.143567736379
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
3.70000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-17418.84000000
-0.00016420653
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4181371.16000000
USD
2020-10-27
-17418.84000000
N
N
N
Gosforth Funding 2017-1 PLC
213800Q7QWXVPNLSAJ10
GFUND 2017-1A A1A
383121AA8
4070538.01000000
PA
USD
4068462.04000000
0.038353188589
Long
ABS-MBS
CORP
GB
Y
2
2059-12-19
Floating
0.78620000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_20-A
N/A
CNH 2020-A A3
12597PAC2
8030000.00000000
PA
USD
8139770.10000000
0.076733206468
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
1.16000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
ABBVIE INC
00287YBG3
5000000.00000000
PA
USD
5100250.00000000
0.048079802191
Long
DBT
CORP
US
Y
2
2021-11-19
Fixed
2.15000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_19-3
N/A
AMCAR 2019-3 B
03066NAE4
23085000.00000000
PA
USD
23706679.05000000
0.223481680178
Long
ABS-CBDO
CORP
US
N
2
2025-07-18
Fixed
2.13000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-37365.87000000
-0.00035224619
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4164064.13000000
USD
2021-01-19
-37365.87000000
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
EL PASO PIPELINE
28370TAE9
700000.00000000
PA
USD
726705.00000000
0.006850611764
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
CAMDEN PROP TRST
133131AT9
1000000.00000000
PA
USD
1043920.00000000
0.009840981736
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.95000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_18-1
N/A
EFF 2018-1 A2
29373LAB7
4262363.86000000
PA
USD
4283590.43000000
0.040381193184
Long
ABS-CBDO
CORP
US
Y
2
2023-10-20
Fixed
2.87000000
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Sep20
N/A
951.00000000
NC
USD
210156140.60000000
1.981131448316
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Long
N/A
CBOT 2 Year US Treasury Note Future
2020-09-30
210008565.30000000
USD
147575.38000000
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAJ5
18511000.00000000
PA
USD
19256623.08000000
0.181531224656
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GVP6
63100000.00000000
PA
USD
63139122.00000000
0.595209351752
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
2.75000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
CIGNA CORP
125523AF7
3200000.00000000
PA
USD
3480320.00000000
0.032808802933
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-DA1
N/A
DLL 2019-DA1 A2
23291GAB0
7040405.96000000
PA
USD
7064061.72000000
0.066592557259
Long
ABS-CBDO
CORP
US
Y
2
2021-11-22
Fixed
2.79000000
N
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
BIOGEN INC
09062XAE3
5786000.00000000
PA
USD
6169438.22000000
0.058158986176
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.62500000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550AR9
26350000.00000000
PA
USD
27002426.00000000
0.254550522181
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
3.87500000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_20-1A
N/A
CPART 2020-1A A2A
13645YAB5
30504211.34000000
PA
USD
30701774.92000000
0.289424099812
Long
ABS-CBDO
CORP
CA
Y
2
2022-11-21
Fixed
1.77000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
CIGNA CORP
125523BT6
10892000.00000000
PA
USD
11464265.68000000
0.108073060371
Long
DBT
CORP
US
N
2
2022-11-30
Fixed
3.05000000
N
N
N
N
N
N
Entergy Corp
4XM3TW50JULSLG8BNC79
ENTERGY CORP
29364GAH6
7719000.00000000
PA
USD
8198427.09000000
0.077286162985
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
4.00000000
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd
JHE42UYNWWTJB8YTTU19
AUST & NZ BANK
N/A
2000000.00000000
PA
1444038.52000000
0.013612879054
Long
DBT
CORP
AU
N
2
2026-05-17
Floating
2.79780000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FCAT 2020-2 A
33844QAA1
6599161.54000000
PA
USD
6646477.53000000
0.062656011942
Long
ABS-CBDO
CORP
US
Y
2
2024-07-15
Fixed
1.49000000
N
N
N
N
N
N
Burlington Northern and Santa Fe Railway Co 1999-2 Pass Through Trust
N/A
BNSF 99-2 TRUST
12189PAF9
88848.68000000
PA
USD
90940.18000000
0.000857288537
Long
DBT
CORP
US
N
2
2021-01-02
Fixed
7.57000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_20-2
N/A
GMCAR 2020-2 A4
36258VAE4
9000000.00000000
PA
USD
9377370.00000000
0.088399998955
Long
ABS-CBDO
CORP
US
N
2
2025-08-18
Fixed
1.74000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDR_17-2
N/A
FORDR 2017-2 A
34529SAA7
1009000.00000000
PA
USD
1044234.28000000
0.009843944438
Long
ABS-CBDO
CORP
US
Y
2
2029-03-15
Fixed
2.36000000
N
N
N
N
N
N
Delta Air Lines 2007-1 Class B Pass Through Trust
N/A
DELTA AIR 20071B
247367BJ3
5016209.43000000
PA
USD
4715788.65000000
0.044455504233
Long
DBT
CORP
US
N
2
2024-02-10
Fixed
8.02100000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_18-4
N/A
GFORT 2018-4 A1
361886BU7
71625000.00000000
PA
USD
73671326.25000000
0.694495915543
Long
ABS-CBDO
CORP
US
Y
2
2023-09-15
Fixed
3.50000000
N
N
N
N
N
N
Evergy Inc
549300PGTHDQY6PSUI61
EVERGY INC
391164AE0
13415000.00000000
PA
USD
13753862.90000000
0.129656979088
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
4.85000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S
23636AAS0
23604000.00000000
PA
USD
24909537.24000000
0.234820964299
Long
DBT
CORP
DK
Y
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAH0
3000000.00000000
PA
USD
3037410.00000000
0.028633512469
Long
DBT
CORP
FR
Y
2
2021-04-13
Fixed
2.50000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_17-1
N/A
DRIVE 2017-1 D
26208EAG9
3442504.40000000
PA
USD
3493178.06000000
0.032930015223
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
3.84000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_18-A
N/A
WOART 2018-A A3
98161VAC4
4543925.86000000
PA
USD
4605177.98000000
0.043412782968
Long
ABS-CBDO
CORP
US
N
2
2023-04-17
Fixed
2.50000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
WELLPOINT INC
94973VAX5
10000000.00000000
PA
USD
10462700.00000000
0.098631350695
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.12500000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
CIGNA CORP
125523AE0
6413000.00000000
PA
USD
6613342.12000000
0.062343646086
Long
DBT
CORP
US
N
2
2021-09-17
Fixed
3.40000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-4
N/A
CARMX 2019-4 A2A
14315WAB6
20111881.79000000
PA
USD
20286251.81000000
0.191237483304
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
2.01000000
N
N
N
N
N
N
Interpublic Group of Cos Inc/The
5493008IUOJ5VWTRC333
INTERPUBLIC GRP
460690BM1
35670000.00000000
PA
USD
35840502.60000000
0.337866629172
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
3.50000000
N
N
N
N
N
N
TIDEWATER AUTO RECEIVABLES TRUST TMCAT_20-AA
N/A
TMCAT 2020-AA A2
88641WAB5
20000000.00000000
PA
USD
20092400.00000000
0.189410051966
Long
ABS-CBDO
CORP
US
Y
2
2024-08-15
Fixed
1.39000000
N
N
N
N
N
N
CAPITAL AUTO RECEIVABLES ASSET TRUST AFIN_18-1
N/A
AFIN 2018-1 A4
13976MAD6
4025000.00000000
PA
USD
4066216.00000000
0.038332015282
Long
ABS-CBDO
CORP
US
Y
2
2022-06-20
Fixed
2.93000000
N
N
N
N
N
N
American International Group Inc
ODVCVCQG2BP6VHV36M30
AMER INTL GROUP
026874DG9
6325000.00000000
PA
USD
6411652.50000000
0.060442328105
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
3.30000000
N
N
N
N
N
N
CNPC HK Overseas Capital Ltd
N/A
CNPC HK OVERSEAS
EI6534578
15000000.00000000
PA
USD
15373854.00000000
0.144928554332
Long
DBT
CORP
VG
N
2
2021-04-28
Fixed
4.50000000
N
N
N
N
N
N
QPH Finance Co Pty Ltd
549300DAS54SITV58008
QPH FINANCE CO P
N/A
4800000.00000000
PA
3545521.90000000
0.033423457990
Long
DBT
CORP
AU
N
2
2021-07-07
Fixed
5.00000000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
DISCOVER BANK
25466AAK7
2750000.00000000
PA
USD
2912607.50000000
0.027457005531
Long
DBT
CORP
US
N
2
2023-02-06
Fixed
3.35000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_18-5
N/A
DRIVE 2018-5 D
26208MAG1
300000.00000000
PA
USD
315333.00000000
0.002972628452
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
4.30000000
N
N
N
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC
29250NAQ8
4668000.00000000
PA
USD
4847297.88000000
0.045695235180
Long
DBT
CORP
CA
N
2
2022-07-15
Fixed
2.90000000
N
N
N
N
N
N
Colombia Government International Bond
N/A
COLOMBIA REP OF
195325BN4
40843000.00000000
PA
USD
42016419.39000000
0.396086688504
Long
DBT
NUSS
CO
N
2
2021-07-12
Fixed
4.37500000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S
23636AAD3
54905000.00000000
PA
USD
55005476.15000000
0.518533878283
Long
DBT
CORP
DK
Y
2
2020-09-17
Fixed
2.75000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_19-3
N/A
GMALT 2019-3 A3
38013TAD3
20000000.00000000
PA
USD
20226000.00000000
0.190669492498
Long
ABS-CBDO
CORP
US
N
2
2022-06-20
Fixed
2.03000000
N
N
N
N
N
N
Guardian Life Global Funding
635400NHILJ5JEKILC36
GUARDIAN LIFE
40139LAE3
18931000.00000000
PA
USD
20400424.22000000
0.192313780914
Long
DBT
CORP
US
Y
2
2023-04-25
Fixed
3.40000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC HERTZ_17-1
N/A
HERTZ 2017-1A B
428040CV9
20990000.00000000
PA
USD
20799830.60000000
0.196078964924
Long
ABS-CBDO
CORP
US
Y
2
2021-10-25
Fixed
3.56000000
N
N
N
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
GEN MOTORS FIN
37045XCB0
10000000.00000000
PA
USD
9978000.00000000
0.094062107987
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
2.45000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAS6
11244000.00000000
PA
USD
11623485.00000000
0.109574012954
Long
DBT
CORP
FR
Y
2
2022-11-21
Fixed
2.12500000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
BOSTON PROP LP
10112RAU8
8725000.00000000
PA
USD
9303205.75000000
0.087700856272
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.85000000
N
N
N
N
N
N
MUFG Bank Ltd
C3GTMMZIHMY46P4OIX74
BK TOKYO-MIT UFJ
064255BG6
22000000.00000000
PA
USD
22560340.00000000
0.212675199169
Long
DBT
CORP
JP
Y
2
2021-09-08
Fixed
2.85000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GGQ1
2500000.00000000
PA
USD
2618725.00000000
0.024686589871
Long
DBT
CORP
US
N
2
2021-07-27
Fixed
5.25000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_18-5
N/A
DRIVE 2018-5 B
26208MAE6
11075672.47000000
PA
USD
11131604.62000000
0.104937081162
Long
ABS-CBDO
CORP
US
N
2
2023-07-15
Fixed
3.68000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QBU1
10018000.00000000
PA
USD
10392673.20000000
0.097971211546
Long
DBT
CORP
GB
N
2
2021-11-01
Fixed
3.56100000
N
N
N
N
N
N
Macquarie Bank Ltd
4ZHCHI4KYZG2WVRT8631
MACQUARIE BK LTD
55608YAA3
6700000.00000000
PA
USD
6950982.00000000
0.065526560382
Long
DBT
CORP
AU
N
2
2021-04-07
Fixed
6.62500000
N
N
N
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
TREASURY BILL
9127962F5
225000000.00000000
PA
USD
224831250.00000000
2.119472972180
Long
DBT
UST
US
N
2
2021-03-25
None
0.00000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_19-B
N/A
MMAF 2019-B A2
55316EAB8
15216502.25000000
PA
USD
15382818.62000000
0.145013063357
Long
ABS-CBDO
CORP
US
Y
2
2022-10-12
Fixed
2.07000000
N
N
N
N
N
N
Intercontinental Exchange Inc
5493000F4ZO33MV32P92
INTERCONTINENT
45866FAA2
2497000.00000000
PA
USD
2769672.40000000
0.026109563477
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM SOFI_18-B
N/A
SOFI 2018-B A1FX
83404RAA6
2675072.10000000
PA
USD
2681599.28000000
0.025279302571
Long
ABS-CBDO
CORP
US
Y
2
2047-08-25
Fixed
2.64000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_17-3
N/A
FORDF 2017-3 A
34528QFU3
1000000.00000000
PA
USD
1034460.00000000
0.009751802788
Long
ABS-CBDO
CORP
US
N
2
2024-09-15
Fixed
2.48000000
N
N
N
N
N
N
Petronas Capital Ltd
549300G7YFX3540OYR85
PETRONAS CAP LTD
N/A
23118000.00000000
PA
USD
25847900.59000000
0.243666868765
Long
DBT
CORP
MY
N
2
2022-05-22
Fixed
7.87500000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 C
36259PAG1
1180000.00000000
PA
USD
1220544.80000000
0.011506014910
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
2.56000000
N
N
N
N
N
N
Capital One NA
207ALC1P1YM0OVDV0K75
CAPITAL ONE NA
14042RBT7
1505000.00000000
PA
USD
1530645.20000000
0.014429315904
Long
DBT
CORP
US
N
2
2021-09-13
Fixed
2.25000000
N
N
N
N
N
N
Keurig Dr Pepper Inc
DYTQ8KRTKO7Y2BVU5K74
DR PEPPER SNAPPL
26138EAP4
5048000.00000000
PA
USD
5185356.08000000
0.048882092959
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.20000000
N
N
N
N
N
N
Empresa Nacional del Petroleo
549300YP3P0JZBLIV197
ENAP
N/A
16238000.00000000
PA
USD
16818217.84000000
0.158544500162
Long
DBT
CORP
CL
N
2
2021-12-06
Fixed
4.75000000
N
N
N
N
N
N
Discover Financial Services
Z1YLO2USPORE63VVUL20
DISCOVER FIN SVS
254709AJ7
4990000.00000000
PA
USD
5310657.40000000
0.050063302249
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
3.85000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967LQ2
3815000.00000000
PA
USD
3989116.60000000
0.037605203087
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
2.70000000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20200817
N/A
1.00000000
NC
N/A
112.48000000
0.000001060343
N/A
DFE
N/A
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
38052.00000000
USD
53414.00000000
AUD
2020-08-17
112.48000000
N
N
N
CARMAX AUTO OWNER TRUST CARMX_20-3
N/A
CARMX 2020-3 A3
14315FAD9
41050000.00000000
PA
USD
41179307.50000000
0.388195276498
Long
ABS-CBDO
CORP
US
N
2
2025-03-17
Fixed
0.62000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST FCAT_18-3
N/A
FCAT 2018-3 A
33844PAA3
3855174.80000000
PA
USD
3885630.68000000
0.036629646484
Long
ABS-CBDO
CORP
US
Y
2
2023-02-15
Fixed
3.07000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST DEFT_19-1
N/A
DEFT 2019-1 A3
24704BAE4
15220000.00000000
PA
USD
15541750.80000000
0.146511309086
Long
ABS-CBDO
CORP
US
Y
2
2024-03-22
Fixed
2.83000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_20-2
N/A
DRIVE 2020-2 A3
26208VAD8
7270000.00000000
PA
USD
7291155.70000000
0.068733360874
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
0.83000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-A
N/A
TAOT 2020-A A3
89232HAC9
5355000.00000000
PA
USD
5481592.20000000
0.051674696077
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
1.66000000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide Inc
549300CRGMZK3K53BF92
ANHEUSER-BUSCH
AO8492610
6000000.00000000
PA
4280140.32000000
0.040348669170
Long
DBT
CORP
US
N
2
2022-09-06
Floating
1.07060000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
949746SK8
5366000.00000000
PA
USD
5548604.98000000
0.052306422209
Long
DBT
CORP
US
N
2
2023-01-24
Fixed
3.06900000
N
N
N
N
N
N
Freddie Mac Stacr Remic Trust 2020-DNA1
5493003FQV7GR462GO02
STACR 2020-DNA1 M1
35565HAA3
1744777.79000000
PA
USD
1742701.50000000
0.016428360060
Long
ABS-MBS
CORP
US
Y
2
2050-01-25
Floating
0.87160000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61744YAN8
10000000.00000000
PA
USD
10633700.00000000
0.100243359160
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
3.12500000
N
N
N
N
N
N
Korea Monetary Stabilization Bond
N/A
KOREA MSB
N/A
100000000000.00000000
PA
83731677.02000000
0.789334340129
Long
DBT
NUSS
KR
N
2
2021-01-19
None
0.00000000
N
N
N
N
N
N
TCF AUTO RECEIVABLES OWNER TRUST
N/A
TCFAT 2016-PT1A A
87226VAA4
1919406.97000000
PA
USD
1923053.84000000
0.018128532567
Long
ABS-CBDO
CORP
US
Y
2
2022-06-15
Fixed
1.93000000
N
N
N
N
N
N
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST CRART_16-2
N/A
CRART 2016-2 B
13057YAE0
1330000.00000000
PA
USD
1335213.60000000
0.012586991965
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
2.52000000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM SOFI_19-C
N/A
SOFI 2019-C A1FX
83401CAA2
12446262.62000000
PA
USD
12512476.74000000
0.117954493716
Long
ABS-CBDO
CORP
US
Y
2
2048-11-16
Fixed
2.13000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EAT4
10000000.00000000
PA
USD
10381400.00000000
0.097864939653
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
2.45000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJC5
5650000.00000000
PA
USD
5882667.00000000
0.055455608198
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
4.35000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TBJ3
1000000.00000000
PA
USD
1018330.00000000
0.009599746084
Long
DBT
CORP
US
N
2
2021-05-17
Fixed
2.75000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFL7
6455000.00000000
PA
USD
6986633.80000000
0.065862648122
Long
DBT
CORP
US
N
2
2023-06-08
Fixed
3.50000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_19-CA
N/A
NAVSL 2019-CA A1
63940YAA4
12272182.15000000
PA
USD
12342992.64000000
0.116356775565
Long
ABS-CBDO
CORP
US
Y
2
2068-02-15
Fixed
2.82000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QBL1
9850000.00000000
PA
USD
9997553.00000000
0.094246433142
Long
DBT
CORP
CA
N
2
2021-07-13
Fixed
1.80000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_18-2A
N/A
CFII 2018-2A A1
165183BN3
42477117.68000000
PA
USD
43049709.23000000
0.405827460253
Long
ABS-CBDO
CORP
US
Y
2
2030-08-15
Fixed
3.23000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-17104.11000000
-0.00016123959
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4181685.89000000
USD
2020-10-27
-17104.11000000
N
N
N
Aon PLC
635400FALWQYX5E6QC64
AON PLC
00185AAJ3
17806000.00000000
PA
USD
18028931.12000000
0.169957833824
Long
DBT
CORP
IE
N
2
2021-03-15
Fixed
2.80000000
N
N
N
N
N
N
Israel Government International Bond
N/A
STATE OF ISRAEL
46513AGA2
300000.00000000
PA
USD
319155.00000000
0.003008658255
Long
DBT
NUSS
IL
N
2
2022-06-30
Fixed
4.00000000
N
N
N
N
N
N
Kuwait International Government Bond
N/A
KUWAIT INTL BOND
N/A
14866000.00000000
PA
USD
15350022.09000000
0.144703892106
Long
DBT
NUSS
KW
N
2
2022-03-20
Fixed
2.75000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A
N/A
HDMOT 2020-A A2A
41284UAB0
16383685.86000000
PA
USD
16489688.31000000
0.155447468680
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
1.83000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
CONSTELLATION
210371AL4
7358000.00000000
PA
USD
7392729.76000000
0.069690894468
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
5.15000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-15319.73000000
-0.00014441833
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4183470.27000000
USD
2020-10-27
-15319.73000000
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAH3
39080000.00000000
PA
USD
40022218.80000000
0.377287459075
Long
DBT
CORP
JP
N
2
2021-10-19
Fixed
2.44200000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-B
N/A
FORDL 2020-B A4
34531RAE7
7150000.00000000
PA
USD
7158580.00000000
0.067483576367
Long
ABS-CBDO
CORP
US
N
2
2023-10-15
Fixed
0.69000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_19-E
N/A
NAVSL 2019-EA A1
63941MAA9
25205018.03000000
PA
USD
25474207.62000000
0.240144083788
Long
ABS-CBDO
CORP
US
Y
2
2068-05-15
Fixed
2.39000000
N
N
N
N
N
N
Regency Centers Corp
529900053A7X7FJ97S58
REGENCY CENTERS
294752AH3
175000.00000000
PA
USD
182458.50000000
0.001720027172
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.75000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_19-A
N/A
NAVSL 2019-A A1
63941BAA3
550780.38000000
PA
USD
551391.75000000
0.005197942506
Long
ABS-CBDO
CORP
US
Y
2
2043-01-15
Fixed
3.03000000
N
N
N
N
N
N
Kinder Morgan Inc
549300WR7IX8XE0TBO16
KINDER MORGAN
49456BAA9
7205000.00000000
PA
USD
7332384.40000000
0.069122021771
Long
DBT
CORP
US
Y
2
2021-02-15
Fixed
5.00000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-2
N/A
HAROT 2020-2 A3
43813DAC2
18250000.00000000
PA
USD
18410235.00000000
0.173552366470
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.82000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_18-3
N/A
FORDF 2018-3 A1
34528QGH1
51536000.00000000
PA
USD
53033120.80000000
0.499940582841
Long
ABS-CBDO
CORP
US
N
2
2023-10-15
Fixed
3.52000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWJ9
9345000.00000000
PA
USD
9705062.85000000
0.091489143096
Long
DBT
CORP
US
N
2
2023-06-05
Variable
2.90800000
N
N
N
N
N
N
Chevron Corp
N/A
CHEVRON CORP
166764BV1
4665000.00000000
PA
USD
4760166.00000000
0.044873847296
Long
DBT
CORP
US
N
2
2023-05-11
Fixed
1.14100000
N
N
N
N
N
N
BRAZOS HIGHER EDUCATION AUTHORITY INC BRHEA_11-1
N/A
BRHEA 2011-1 A2
10620NCG1
82163.81390000
PA
USD
81310.13000000
0.000766506537
Long
ABS-CBDO
CORP
US
N
2
2030-02-25
Floating
1.15950000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FAX1
11682000.00000000
PA
USD
12102902.46000000
0.114093457421
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.75000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_20-A
N/A
BMWOT 2020-A A4
09661RAE1
4230000.00000000
PA
USD
4235964.30000000
0.039932224034
Long
ABS-CBDO
CORP
US
N
2
2027-04-26
Fixed
0.62000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_18-2
N/A
GFORT 2018-2 A1
361886BK9
35000000.00000000
PA
USD
35419300.00000000
0.333895973284
Long
ABS-CBDO
CORP
US
Y
2
2023-03-15
Fixed
3.13000000
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Sep20
N/A
-7855.00000000
NC
USD
-990711875.00000000
-9.33939139812
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
CBOT 5 Year US Treasury Note
2020-09-30
-985937981.20000000
USD
-4773893.82000000
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_20-1
N/A
HPEFS 2020-1A A2
40438FAB0
17250000.00000000
PA
USD
17415427.50000000
0.164174365819
Long
ABS-CBDO
CORP
US
Y
2
2030-02-20
Fixed
1.73000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_19-3
N/A
AMCAR 2019-3 A2A
03066NAB0
7310680.00000000
PA
USD
7362878.26000000
0.069409485867
Long
ABS-CBDO
CORP
US
N
2
2023-01-18
Fixed
2.17000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST
N/A
FORDF 2017-2 B
34528QFR0
3000000.00000000
PA
USD
3004980.00000000
0.028327796478
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Fixed
2.34000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_18-3
N/A
GFORT 2018-3 C
361886BS2
1430000.00000000
PA
USD
1433060.20000000
0.013509386979
Long
ABS-CBDO
CORP
US
Y
2
2022-09-15
Fixed
3.68000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING GALC_18-1
N/A
GALC 2018-1 A4
39154TAR9
1310000.00000000
PA
USD
1336095.20000000
0.012595302764
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
2.83000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAU4
13817000.00000000
PA
USD
14407124.07000000
0.135815239532
Long
DBT
CORP
JP
N
2
2022-10-18
Fixed
2.77800000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAK4
2560000.00000000
PA
USD
2640460.80000000
0.024891492173
Long
DBT
CORP
US
Y
2
2022-07-01
Fixed
2.30000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CX4
3975000.00000000
PA
USD
4229678.25000000
0.039872965754
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
ANTHEM INC
036752AF0
12900000.00000000
PA
USD
13579572.00000000
0.128013947472
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.95000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913Q2W8
12865000.00000000
PA
USD
13105060.90000000
0.123540755016
Long
DBT
CORP
US
N
2
2021-05-17
Fixed
2.65000000
N
N
N
N
N
N
DTE Energy Co
549300IX8SD6XXD71I78
DTE ENERGY CO
233331BE6
23895000.00000000
PA
USD
24759521.10000000
0.233406769635
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.25000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_16-3
N/A
AMCAR 2016-3 D
03065DAG2
3390000.00000000
PA
USD
3426273.00000000
0.032299304562
Long
ABS-CBDO
CORP
US
N
2
2022-09-08
Fixed
2.71000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
SHELL INTL FIN
822582BS0
31700000.00000000
PA
USD
32096567.00000000
0.302572735134
Long
DBT
CORP
NL
N
2
2021-05-10
Fixed
1.87500000
N
N
N
N
N
N
N/A
N/A
USD/GBP FWD 20200817
N/A
1.00000000
NC
N/A
-140293.92000000
-0.00132254378
N/A
DFE
N/A
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
2989826.18000000
GBP
3773775.95000000
USD
2020-08-17
-140293.92000000
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
AMERICAN TOWER
03027XAL4
8005000.00000000
PA
USD
8210968.65000000
0.077404391645
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.25000000
N
N
N
N
N
N
Corp Andina de Fomento
UKZ46SXGNYCZK0UOZE76
CORP ANDINA FOM
219868CB0
26585000.00000000
PA
USD
27281527.00000000
0.257181593378
Long
DBT
CORP
N/A
N
2
2022-02-11
Fixed
3.25000000
N
N
N
N
N
N
Southwest Airlines Co 2007-1 Pass Through Trust
N/A
SW AIRLN 07-1 TR
84474YAB2
3174561.77100000
PA
USD
3127038.58000000
0.029478436619
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
6.65000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust 2020-R02
N/A
CAS 2020-R02 2M1
20754WAA3
19642136.24000000
PA
USD
19575942.24000000
0.184541430440
Long
ABS-MBS
CORP
US
Y
2
2040-01-25
Floating
0.92160000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
CONSTELLATION BR
21036PAR9
2000000.00000000
PA
USD
2073900.00000000
0.019550551789
Long
DBT
CORP
US
N
2
2022-05-09
Fixed
2.70000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL
06367WJM6
22237000.00000000
PA
USD
23157834.17000000
0.218307746888
Long
DBT
CORP
CA
N
2
2022-03-26
Fixed
2.90000000
N
N
N
N
N
N
Fox Corp
549300DDU6FDRBIELS05
FOX CORP
35137LAF2
43254000.00000000
PA
USD
45261850.68000000
0.426681207292
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
3.66600000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FBG7
10345000.00000000
PA
USD
10839904.80000000
0.102187241518
Long
DBT
CORP
US
N
2
2022-06-20
Fixed
3.05000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_20-1
N/A
DRIVE 2020-1 A3
26208QAD9
3310000.00000000
PA
USD
3355909.70000000
0.031635993244
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
2.02000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC
06738EBE4
3520000.00000000
PA
USD
3702723.20000000
0.034905386799
Long
DBT
CORP
GB
N
2
2023-02-15
Variable
4.61000000
N
N
N
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES IN
26875PAG6
20986000.00000000
PA
USD
21327022.50000000
0.201048776652
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
4.10000000
N
N
N
N
N
N
Citizens Bank NA/Providence RI
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA
17401QAN1
3500000.00000000
PA
USD
3511095.00000000
0.033098917322
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
2.25000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
BOSTON PROP LP
10112RAV6
225000.00000000
PA
USD
239402.25000000
0.002256833061
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.12500000
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GRP
928668AN2
3515000.00000000
PA
USD
3546740.45000000
0.033434945200
Long
DBT
CORP
US
Y
2
2020-11-13
Fixed
3.87500000
N
N
N
N
N
N
N/A
N/A
USD/JPY FWD 20200901
N/A
1.00000000
NC
N/A
2806729.00000000
0.026458894196
N/A
DFE
N/A
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
13000000000.00000000
JPY
125660928.00000000
USD
2020-09-01
2806729.00000000
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_19-A
N/A
FORDL 2019-A A3
34532FAD4
16490000.00000000
PA
USD
16694476.00000000
0.157377992012
Long
ABS-CBDO
CORP
US
N
2
2022-05-15
Fixed
2.90000000
N
N
N
N
N
N
DT AUTO OWNER TRUST DTAOT_19-3A
N/A
DTAOT 2019-3A A
26253KAA2
4453628.63000000
PA
USD
4465742.50000000
0.042098331657
Long
ABS-CBDO
CORP
US
Y
2
2022-08-15
Fixed
2.55000000
N
N
N
N
N
N
TRIP RAIL MASTER FUNDING LLC TRMF_17-1A
N/A
TRMF 2017-1A A1
89690EAF4
331147.01000000
PA
USD
330034.36000000
0.003111217439
Long
ABS-CBDO
CORP
US
Y
2
2047-08-15
Fixed
2.70900000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
53944YAM5
13000000.00000000
PA
USD
13026390.00000000
0.122799128368
Long
DBT
CORP
GB
N
2
2023-06-15
Variable
1.32600000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGY9
25202000.00000000
PA
USD
25467377.06000000
0.240079692440
Long
DBT
CORP
US
N
2
2022-01-23
Variable
2.73800000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_19-A
N/A
SOFI 2019-A A1FX
78471HAA6
6191577.48000000
PA
USD
6235228.10000000
0.058779184091
Long
ABS-CBDO
CORP
US
Y
2
2048-06-15
Fixed
3.18000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-41108.00000000
-0.00038752306
N/A
DFE
N/A
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5000000000.00000000
KRW
4160322.00000000
USD
2021-01-19
-41108.00000000
N
N
N
Thai Oil PCL
549300HG5527UPZLTT69
THAI OIL PCL
EJ5222306
1100000.00000000
PA
USD
1148833.62000000
0.010829997196
Long
DBT
CORP
TH
N
2
2023-01-23
Fixed
3.62500000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAP LLC
05565EBA2
18000000.00000000
PA
USD
18010980.00000000
0.169788609512
Long
DBT
CORP
US
Y
2
2020-08-14
Fixed
3.25000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
ANTHEM INC
036752AE3
25000000.00000000
PA
USD
25155500.00000000
0.237139642961
Long
DBT
CORP
US
N
2
2020-11-21
Fixed
2.50000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GMCAR 2017-3A B
36254MAF5
40000.00000000
PA
USD
40633.60000000
0.000383050919
Long
ABS-CBDO
CORP
US
Y
2
2023-03-16
Fixed
2.33000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-40172.97000000
-0.00037870858
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4161257.03000000
USD
2021-01-19
-40172.97000000
N
N
N
FIFTH THIRD AUTO TRUST FITAT_19-1
N/A
FITAT 2019-1 A2A
31680YAB3
7271001.38000000
PA
USD
7304229.86000000
0.068856610328
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
2.66000000
N
N
N
N
N
N
Sky Ltd
2138003TS48MQKF4BZ29
BRIT SKY BROADCA
111013AK4
10960000.00000000
PA
USD
11622970.40000000
0.109569161845
Long
DBT
CORP
GB
Y
2
2022-11-26
Fixed
3.12500000
N
N
N
N
N
N
Credit Suisse Group Funding Guernsey Ltd
549300PXR5FKNXF0OH19
CRED SUIS GP FUN
225433AM3
4665000.00000000
PA
USD
4764037.95000000
0.044910347976
Long
DBT
CORP
GG
N
2
2021-04-16
Fixed
3.45000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280AL3
17935000.00000000
PA
USD
19013610.90000000
0.179240360964
Long
DBT
CORP
GB
N
2
2022-01-14
Fixed
4.87500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHC6
41655000.00000000
PA
USD
43820643.45000000
0.413095018667
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00400000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP
26441CAJ4
5432000.00000000
PA
USD
5670953.68000000
0.053459797297
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.05000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_20-2
N/A
AMCAR 2020-2 B
03066EAE4
1840000.00000000
PA
USD
1841729.60000000
0.017361893016
Long
ABS-CBDO
CORP
US
N
2
2026-02-18
Fixed
0.97000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
GENERAL MOTORS C
37045VAW0
5000000.00000000
PA
USD
5505650.00000000
0.051901487757
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
Welltower Inc
T6IZ0MBEG5ACZDTR7D06
WELLTOWER INC
95040QAE4
1590000.00000000
PA
USD
1726358.40000000
0.016274294472
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.95000000
N
N
N
N
N
N
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST CRART_18-1
N/A
CRART 2018-1 A3
13057FAC5
7027161.03000000
PA
USD
7065318.51000000
0.066604404956
Long
ABS-CBDO
CORP
US
N
2
2022-08-15
Fixed
3.14000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AT1
3100000.00000000
PA
USD
3310738.00000000
0.031210161883
Long
DBT
CORP
JP
N
2
2023-03-02
Fixed
3.45500000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP
30231GBB7
10545000.00000000
PA
USD
10884232.65000000
0.102605117947
Long
DBT
CORP
US
N
2
2022-08-16
Fixed
1.90200000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69349LAM0
1500000.00000000
PA
USD
1633380.00000000
0.015397791736
Long
DBT
CORP
US
N
2
2023-07-25
Fixed
3.80000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
ABBVIE INC
00287YCF4
35000000.00000000
PA
USD
36409800.00000000
0.343233367347
Long
DBT
CORP
US
Y
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERG
30040WAC2
62800000.00000000
PA
USD
65038192.00000000
0.613111789857
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
2.75000000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
APACHE CORP
037411AX3
16096000.00000000
PA
USD
16096000.00000000
0.151736188631
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
3.62500000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_20-B
N/A
NAVSL 2020-BA A1
63941GAA2
35105120.83000000
PA
USD
35272572.26000000
0.332512778202
Long
ABS-CBDO
CORP
US
Y
2
2069-01-15
Fixed
1.80000000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22550L2A8
9600000.00000000
PA
USD
9808704.00000000
0.092466163045
Long
DBT
CORP
CH
N
2
2021-11-12
Fixed
2.10000000
N
N
N
N
N
N
Pernod Ricard SA
52990097YFPX9J0H5D87
PERNOD RICARD SA
714264AD0
25000000.00000000
PA
USD
26344000.00000000
0.248343573142
Long
DBT
CORP
FR
Y
2
2022-01-15
Fixed
4.45000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2020-A A3
44891LAC7
14760000.00000000
PA
USD
15023908.80000000
0.141629638398
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
1.41000000
N
N
N
N
N
N
Fifth Third Bank NA
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK
31677QBG3
28867000.00000000
PA
USD
29300871.01000000
0.276217848573
Long
DBT
CORP
US
N
2
2021-06-14
Fixed
2.25000000
N
N
N
N
N
N
CenterPoint Energy Inc
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENER
15189TAT4
27000000.00000000
PA
USD
28081080.00000000
0.264718939603
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
3.60000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST FCAT_20-3
N/A
FCAT 2020-3 A
33844TAA5
29100000.00000000
PA
USD
29096799.00000000
0.274294071920
Long
ABS-CBDO
CORP
US
Y
2
2025-04-15
Fixed
0.70000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967KK6
25000000.00000000
PA
USD
25382750.00000000
0.239281917369
Long
DBT
CORP
US
N
2
2021-03-30
Fixed
2.70000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05578DAU6
3907000.00000000
PA
USD
3946070.00000000
0.037199404937
Long
DBT
CORP
FR
N
2
2021-02-03
Fixed
2.65000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GMCAR 2017-3A A4
36254MAE8
1500000.00000000
PA
USD
1522545.00000000
0.014352955723
Long
ABS-CBDO
CORP
US
Y
2
2023-03-16
Fixed
2.13000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_18-3
N/A
CARMX 2018-3 A3
14313FAD1
12560321.36000000
PA
USD
12816551.92000000
0.120820995261
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
3.13000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CQ0
25000000.00000000
PA
USD
25437750.00000000
0.239800399624
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
N/A
15000000.00000000
PA
11131111.98000000
0.104932437069
Long
DBT
CORP
FR
N
2
2021-11-26
Fixed
4.25000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
ABBVIE INC
00287YCG2
16630000.00000000
PA
USD
17430734.50000000
0.164318664144
Long
DBT
CORP
US
Y
2
2022-10-01
Fixed
3.25000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST
N/A
FORDF 2019-3 B
34528QHC1
2050000.00000000
PA
USD
2072980.50000000
0.019541883708
Long
ABS-CBDO
CORP
US
N
2
2024-09-15
Fixed
2.42000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406HBU2
17664000.00000000
PA
USD
18007034.88000000
0.169751419063
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
4.15000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_16-3
N/A
CARMX 2016-3 D
14314EAG6
1360000.00000000
PA
USD
1364025.60000000
0.012858601251
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
2.94000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-B
N/A
FORDL 2020-B B
34531RAF4
4790000.00000000
PA
USD
4791676.50000000
0.045170895207
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
1.00000000
N
N
N
N
N
N
Colombia Government International Bond
N/A
COLOMBIA REP OF
N/A
30405000.00000000
PA
USD
31238097.00000000
0.294479981291
Long
DBT
NUSS
CO
N
2
2023-03-15
Fixed
2.62500000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-16719.37000000
-0.00015761266
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4182070.63000000
USD
2020-10-27
-16719.37000000
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WCJ8
1355000.00000000
PA
USD
1465364.75000000
0.013813920360
Long
DBT
CORP
US
N
2
2023-07-14
Fixed
3.45000000
N
N
N
N
N
N
DuPont de Nemours Inc
5493004JF0SDFLM8GD76
DUPONT DE NEM
26614NAA0
29000000.00000000
PA
USD
29586960.00000000
0.278914795202
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
2.16900000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-DA1
N/A
DLL 2019-DA1 A3
23291GAC8
14950000.00000000
PA
USD
15259614.50000000
0.143851624267
Long
ABS-CBDO
CORP
US
Y
2
2023-04-20
Fixed
2.89000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BF5
7383000.00000000
PA
USD
7603161.06000000
0.071674619830
Long
DBT
CORP
GB
N
2
2022-01-05
Fixed
2.65000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406HBY4
16040000.00000000
PA
USD
16590492.80000000
0.156397747576
Long
DBT
CORP
US
N
2
2021-09-23
Fixed
3.55000000
N
N
N
N
N
N
Continental Airlines 2010-1 Class A Pass Through Trust
N/A
CONTL AIRLINES
21079VAA1
2794878.38000000
PA
USD
2697616.61000000
0.025430297141
Long
DBT
CORP
US
N
2
2022-07-12
Fixed
4.75000000
N
N
N
N
N
N
NextEra Energy Capital Holdings Inc
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY
65339KBD1
15190000.00000000
PA
USD
16057956.60000000
0.151377555398
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.30000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_16-C
N/A
DRIVE 2016-CA D
26208BAN0
798247.77000000
PA
USD
809095.96000000
0.007627307232
Long
ABS-CBDO
CORP
US
Y
2
2024-03-15
Fixed
4.18000000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748AR3
3816000.00000000
PA
USD
3930060.24000000
0.037048481728
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
4.80000000
N
N
N
N
N
N
American International Group Inc
ODVCVCQG2BP6VHV36M30
AMER INTL GROUP
026874CU9
29115000.00000000
PA
USD
31378982.40000000
0.295808100925
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
4.87500000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BL7
9600000.00000000
PA
USD
9977088.00000000
0.094053510608
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.62300000
N
N
N
N
N
N
ANZ New Zealand Int'l Ltd/London
213800VD256NU2D97H12
ANZ NZ INTL/LDN
00182EBA6
30000000.00000000
PA
USD
30448800.00000000
0.287039317867
Long
DBT
CORP
NZ
Y
2
2021-07-28
Fixed
2.12500000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XBB0
7004000.00000000
PA
USD
7245567.96000000
0.068303607524
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.50000000
N
N
N
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANK
316773CL2
5000000.00000000
PA
USD
5232700.00000000
0.049328401730
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.50000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_16-B
N/A
WOART 2016-B B
98161PAF0
2510000.00000000
PA
USD
2517128.40000000
0.023728843794
Long
ABS-CBDO
CORP
US
N
2
2023-07-15
Fixed
1.73000000
N
N
N
N
N
N
American International Group Inc
ODVCVCQG2BP6VHV36M30
AMER INTL GROUP
026874BW6
13359000.00000000
PA
USD
13648355.94000000
0.128662370242
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
6.40000000
N
N
N
N
N
N
Honeywell International Inc
ISRPG12PN4EIEOEMW547
HONEYWELL INTL
438516BT2
445000.00000000
PA
USD
461260.30000000
0.004348277826
Long
DBT
CORP
US
N
2
2022-08-08
Fixed
2.15000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BE7
10483000.00000000
PA
USD
10706707.22000000
0.100931594579
Long
DBT
CORP
US
N
2
2021-05-11
Fixed
3.00000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_20-2
N/A
GMCAR 2020-2 A3
36258VAD6
15000000.00000000
PA
USD
15304200.00000000
0.144271929550
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
1.49000000
N
N
N
N
N
N
Aetna Inc
549300QKBENKLBXQ8968
AETNA INC
008117AP8
12818000.00000000
PA
USD
13363149.54000000
0.125973743744
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.75000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PBV3
9315000.00000000
PA
USD
9630033.30000000
0.090781843273
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
2.87500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBB1
13226000.00000000
PA
USD
13814557.00000000
0.130229139339
Long
DBT
CORP
US
N
2
2023-04-01
Variable
3.20700000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833DV9
5000000.00000000
PA
USD
5052050.00000000
0.047625423196
Long
DBT
CORP
US
N
2
2023-05-11
Fixed
0.75000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
MARATHON PETRO
56585AAL6
11733000.00000000
PA
USD
11782630.59000000
0.111074270488
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
3.40000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-38024.67000000
-0.00035845666
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4163405.33000000
USD
2021-01-19
-38024.67000000
N
N
N
Santander UK Group Holdings PLC
549300F5XIFGNNW4CF72
SANTANDER UK GRP
80281LAD7
5000000.00000000
PA
USD
5056000.00000000
0.047662659649
Long
DBT
CORP
GB
N
2
2021-01-08
Fixed
3.12500000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-MT3
N/A
DLL 2019-MT3 A2
23291RAB6
48652312.65000000
PA
USD
48978769.67000000
0.461720417095
Long
ABS-CBDO
CORP
US
Y
2
2022-01-20
Fixed
2.13000000
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINL
14040HAY1
1983000.00000000
PA
USD
2061883.74000000
0.019437275106
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
4.75000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_20-A
N/A
VZOT 2020-A A1A
92348TAA2
46445000.00000000
PA
USD
47682759.25000000
0.449502991551
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.85000000
N
N
N
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUN
05348EAR0
500000.00000000
PA
USD
523145.00000000
0.004931661804
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.85000000
N
N
N
N
N
N
Capital One Bank USA NA
LKE37K2B8CFZUR7F9816
CAPITAL ONE BANK
14042TCS4
15600000.00000000
PA
USD
15885636.00000000
0.149753097702
Long
DBT
CORP
US
N
2
2023-01-27
Variable
2.01400000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-17313.94000000
-0.00016321764
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4181476.06000000
USD
2020-10-27
-17313.94000000
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAV ENSKIL
83051GAK4
13750000.00000000
PA
USD
14335887.50000000
0.135143695942
Long
DBT
CORP
SE
Y
2
2022-03-25
Fixed
3.05000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_19-B
N/A
SMB 2019-B A1
83192CAA5
5848616.02800000
PA
USD
5834930.27000000
0.055005596427
Long
ABS-CBDO
CORP
US
Y
2
2026-07-15
Floating
0.52480000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 A4
36259PAE6
2010000.00000000
PA
USD
2033275.80000000
0.019167589483
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.01000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS
00440EAP2
1687000.00000000
PA
USD
1782332.37000000
0.016801958293
Long
DBT
CORP
US
N
2
2023-03-13
Fixed
2.70000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_18-5
N/A
DRIVE 2018-5 C
26208MAF3
4488000.00000000
PA
USD
4598853.60000000
0.043353163353
Long
ABS-CBDO
CORP
US
N
2
2025-01-15
Fixed
3.99000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FIN
74432QBP9
1423000.00000000
PA
USD
1439848.32000000
0.013573378248
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
4.50000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 D
36259PAH9
1680000.00000000
PA
USD
1726401.60000000
0.016274701716
Long
ABS-CBDO
CORP
US
N
2
2024-12-20
Fixed
3.21000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_18-ST2
N/A
DLL 2018-ST2 A4
23291JAD0
180000.00000000
PA
USD
185218.20000000
0.001746042726
Long
ABS-CBDO
CORP
US
Y
2
2024-06-20
Fixed
3.59000000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748BA9
305000.00000000
PA
USD
324858.55000000
0.003062425336
Long
DBT
CORP
US
N
2
2023-03-14
Fixed
3.30000000
N
N
N
N
N
N
USAA Capital Corp
N/A
USAA CAP CORP
90327QD48
2548000.00000000
PA
USD
2621076.64000000
0.024708758664
Long
DBT
CORP
US
Y
2
2023-05-01
Fixed
1.50000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_20-B
N/A
HART 2020-B A4
44933FAD8
8020000.00000000
PA
USD
8028902.20000000
0.075688060308
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Fixed
0.62000000
N
N
N
N
N
N
Jackson National Life Global Funding
635400PQXLYXWJI5QD78
JACKSON NAT LIFE
46849LTB7
565000.00000000
PA
USD
578379.20000000
0.005452351850
Long
DBT
CORP
US
Y
2
2021-06-11
Fixed
3.30000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05583JAA0
21658000.00000000
PA
USD
22448083.84000000
0.211616965951
Long
DBT
CORP
FR
Y
2
2022-05-22
Fixed
3.00000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_20-2
N/A
DRIVE 2020-2 B
26208VAE6
1820000.00000000
PA
USD
1840620.60000000
0.017351438528
Long
ABS-CBDO
CORP
US
N
2
2025-03-17
Fixed
1.42000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL
06367WRC9
4515000.00000000
PA
USD
4667516.70000000
0.044000446970
Long
DBT
CORP
CA
N
2
2022-11-01
Fixed
2.05000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
17325FAY4
8320000.00000000
PA
USD
8470508.80000000
0.079851063685
Long
DBT
CORP
US
N
2
2022-05-20
Variable
2.84400000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BD0
4014000.00000000
PA
USD
4215101.40000000
0.039735550517
Long
DBT
CORP
US
N
2
2022-12-02
Fixed
2.65000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
DOMINION RES
25746UCJ6
8793000.00000000
PA
USD
8899571.16000000
0.083895813138
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
2.00000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_20-B
N/A
HART 2020-B A3
44933FAC0
36200000.00000000
PA
USD
36218824.00000000
0.341433046127
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
0.48000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-40901.00000000
-0.00038557168
N/A
DFE
N/A
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5000000000.00000000
KRW
4160529.00000000
USD
2021-01-19
-40901.00000000
N
N
N
CHESAPEAKE FUNDING II LLC CFII_19-1A
N/A
CFII 2019-1A A1
165183BY9
28865778.00000000
PA
USD
29482351.02000000
0.277928651569
Long
ABS-CBDO
CORP
US
Y
2
2031-04-15
Fixed
2.94000000
N
N
N
N
N
N
HSBC USA Inc
549300LBOHZ4QSIWU288
HSBC USA INC
40428HPB2
15000000.00000000
PA
USD
15107250.00000000
0.142415291730
Long
DBT
CORP
US
N
2
2020-09-27
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHH5
20660000.00000000
PA
USD
21124230.20000000
0.199137063762
Long
DBT
CORP
US
N
2
2022-05-17
Variable
3.49900000
N
N
N
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
REALTY INCOME
756109AN4
5669000.00000000
PA
USD
5952846.83000000
0.056117189953
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
3.25000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-B
N/A
FORDL 2020-B A3
34531RAD9
43870000.00000000
PA
USD
43937559.80000000
0.414197183263
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
0.62000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_19-F
N/A
NAVSL 2019-FA A1
63935CAA9
10509881.93000000
PA
USD
10571364.74000000
0.099655727775
Long
ABS-CBDO
CORP
US
Y
2
2068-08-15
Fixed
2.18000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-40796.25000000
-0.00038458421
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4160633.75000000
USD
2021-01-19
-40796.25000000
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913R2B2
24700000.00000000
PA
USD
24948976.00000000
0.235192751521
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
0.95000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST FCAT_18-1
N/A
FCAT 2018-1 A
33844MAA0
1025891.54000000
PA
USD
1025850.50000000
0.009670641462
Long
ABS-CBDO
CORP
US
Y
2
2022-06-15
Fixed
2.59000000
N
N
N
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUN
05348EAT6
2840000.00000000
PA
USD
3138910.00000000
0.029590347903
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
4.20000000
N
N
N
N
N
N
CHRYSLER CAPITAL AUTO RECEIVABLES TRUST CCART_16-BA
N/A
CCART 2016-BA A4
17119BAD9
354486.04000000
PA
USD
354642.01000000
0.003343192527
Long
ABS-CBDO
CORP
US
Y
2
2022-02-15
Fixed
1.87000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816CD9
11884000.00000000
PA
USD
12345693.40000000
0.116382235494
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
2.75000000
N
N
N
N
N
N
CK Hutchison International 17 II Ltd
254900F7C0PB6TKONV55
CK HUTCHISON INT
12563XAA9
12480000.00000000
PA
USD
12495350.40000000
0.117793044564
Long
DBT
CORP
KY
Y
2
2020-09-29
Fixed
2.25000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159SH0
29537000.00000000
PA
USD
30552482.06000000
0.288016723472
Long
DBT
CORP
CA
N
2
2022-11-15
Fixed
2.00000000
N
N
N
N
N
N
Carrier Global Corp
549300JE3W6CWY2NAN77
CARRIER GLOBAL
14448CAD6
2400000.00000000
PA
USD
2463480.00000000
0.023223103005
Long
DBT
CORP
US
Y
2
2023-02-15
Fixed
1.92300000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
GILEAD SCIENCES
375558AU7
9397000.00000000
PA
USD
9813944.89000000
0.092515568653
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
4.40000000
N
N
N
N
N
N
US Airways 2001-1C Pass Through Trust
N/A
US AIRWAYS 2001
90332UAP8
2329938.06000000
PA
USD
1945847.77000000
0.018343409808
Long
DBT
CORP
US
N
2
2023-09-20
Fixed
7.34600000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_18-C
N/A
NAROT 2018-C A4
65478NAE5
1870000.00000000
PA
USD
1986856.30000000
0.018729995173
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
3.27000000
N
N
N
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
GEN MOTORS FIN
37045XBD7
9000000.00000000
PA
USD
9048690.00000000
0.085301549000
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
3.70000000
N
N
N
N
N
N
PFS FINANCING CORP PFSFC_17-D
N/A
PFSFC 2017-D A
69335PCL7
430000.00000000
PA
USD
431474.90000000
0.004067492346
Long
ABS-CBDO
CORP
US
Y
2
2022-10-17
Fixed
2.40000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WCS8
15000000.00000000
PA
USD
15169650.00000000
0.143003533416
Long
DBT
CORP
US
N
2
2021-01-08
Fixed
3.15000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46623EKG3
6500000.00000000
PA
USD
6506955.00000000
0.061340740015
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
2.29500000
N
N
N
N
N
N
Total Capital SA
529900QI55ZLJVCMPA71
TOTAL CAPITAL
89152UAB8
43425000.00000000
PA
USD
45709155.00000000
0.430897922791
Long
DBT
CORP
FR
N
2
2021-12-15
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-41142.44000000
-0.00038784772
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4160287.56000000
USD
2021-01-19
-41142.44000000
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748AU6
4853000.00000000
PA
USD
5339852.96000000
0.050338527336
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.05000000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
NATL BANK CANADA
63307A2J3
6650000.00000000
PA
USD
6856216.50000000
0.064633210744
Long
DBT
CORP
CA
N
2
2023-02-01
Fixed
2.10000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-A
N/A
NAROT 2020-A A3
65479MAC0
20640000.00000000
PA
USD
20986545.60000000
0.197839117910
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
1.38000000
N
N
N
N
N
N
Pepper Residential Securities Trust No. 22
N/A
PEPAU 22A A1U
71338AAA9
11548151.28000000
PA
USD
11458090.71000000
0.108014849237
Long
ABS-MBS
CORP
AU
Y
2
2060-06-20
Floating
1.18680000
N
N
N
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
KINDER MORGAN EN
494550BT2
5000000.00000000
PA
USD
5037750.00000000
0.047490617810
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
3.50000000
N
N
N
N
N
N
Gosforth Funding 2018-1 plc
213800GD24WOLHNGMP34
GFUND 2018-1A A1
38312RAA1
10557462.72000000
PA
USD
10540922.34000000
0.099368748790
Long
ABS-MBS
CORP
GB
Y
2
2060-08-25
Floating
0.80950000
N
N
N
N
N
N
Perusahaan Penerbit SBSN Indonesia III
254900G208H6Q0L5B953
SBSN INDO III
71567RAG1
3700000.00000000
PA
USD
3829500.00000000
0.036100505365
Long
DBT
NUSS
ID
N
2
2022-03-29
Fixed
3.40000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS HEALTH CORP
126650CT5
12000000.00000000
PA
USD
12149040.00000000
0.114528393708
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
2.12500000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TFQ3
10000000.00000000
PA
USD
10108800.00000000
0.095295153058
Long
DBT
CORP
US
N
2
2021-01-08
Fixed
3.05000000
N
N
N
N
N
N
Vanguard Cmt Funds-Vanguard Market Liquidity Fund
1I6HV0TLSTR3A4XQ6L78
Vanguard Market Liquidity Fund
N/A
7500304.63900000
NS
USD
750030463.90000000
7.070499748356
Long
STIV
CORP
US
N
1
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
AMGEN INC
031162BM1
25855571.44000000
PA
USD
26760257.88000000
0.252267615401
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.87500000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAJ9
21317000.00000000
PA
USD
22330410.18000000
0.210507662232
Long
DBT
CORP
US
N
2
2022-05-06
Fixed
3.24500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJD3
5000000.00000000
PA
USD
5299000.00000000
0.049953408521
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
4.50000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP
55608JAE8
14130000.00000000
PA
USD
14483815.20000000
0.136538202987
Long
DBT
CORP
AU
Y
2
2021-01-14
Fixed
6.25000000
N
N
N
N
N
N
Indonesia Government International Bond
N/A
INDONESIA (REP)
455780CC8
2500000.00000000
PA
USD
2599875.00000000
0.024508891862
Long
DBT
NUSS
ID
N
2
2023-01-11
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2020-HQA1
549300TCRXCIFPAC3B85
STACR 2020-HQA1 M1
35565JAA9
1059231.69000000
PA
USD
1057462.77000000
0.009968648753
Long
ABS-MBS
CORP
US
Y
2
2050-01-25
Floating
0.92160000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBB5
1245000.00000000
PA
USD
1350999.30000000
0.012735802971
Long
DBT
CORP
JP
N
2
2023-07-19
Fixed
3.74800000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CW6
3074000.00000000
PA
USD
3189336.48000000
0.030065715813
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.25000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_20-1
N/A
CFII 2020-1A A1
165183CJ1
17160000.00000000
PA
USD
17159142.00000000
0.161758375202
Long
ABS-CBDO
CORP
US
Y
3
2032-08-16
Fixed
0.87000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
377373AD7
4984000.00000000
PA
USD
5202448.72000000
0.049043224423
Long
DBT
CORP
GB
N
2
2022-05-08
Fixed
2.85000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC HERTZ_17-1A
N/A
HERTZ 2017-1A A
428040CU1
27311789.68000000
PA
USD
27307966.03000000
0.257430832794
Long
ABS-CBDO
CORP
US
Y
2
2021-10-25
Fixed
2.96000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDK4
50000000.00000000
PA
USD
50422000.00000000
0.475325677383
Long
DBT
CORP
US
N
2
2023-07-07
Fixed
0.87500000
N
N
N
N
N
N
MUFG Union Bank NA
OX3PU53ZLPQKJ4700D47
MUFG UNION BANK
90520EAH4
15585000.00000000
PA
USD
16263103.35000000
0.153311463571
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
3.15000000
N
N
N
N
N
N
ALLY MASTER OWNER TRUST AMOT_18-4
N/A
AMOT 2018-4 A
02005AHE1
2000000.00000000
PA
USD
2051720.00000000
0.019341462036
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
3.30000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING II LP HERTZ_15-3
N/A
HERTZ 2015-3A A
42806DAH2
17489828.97000000
PA
USD
17469890.56000000
0.164687786368
Long
ABS-CBDO
CORP
US
Y
2
2021-09-25
Fixed
2.67000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING GALC_20-1
N/A
GALC 2020-1 A2
39154TBB3
51800000.00000000
PA
USD
52210256.00000000
0.492183477441
Long
ABS-CBDO
CORP
US
Y
2
2022-06-15
Fixed
1.76000000
N
N
N
N
N
N
Phillips 66
5493005JBO5YSIGK1814
PHILLIPS 66
718546AC8
5850000.00000000
PA
USD
6208429.50000000
0.058526555027
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
4.30000000
N
N
N
N
N
N
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST CRART_18-1
N/A
CRART 2018-1 B
13057FAE1
5000000.00000000
PA
USD
5112900.00000000
0.048199053109
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
3.56000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAE6
16005000.00000000
PA
USD
16620872.40000000
0.156684134549
Long
DBT
CORP
US
N
2
2023-04-25
Variable
2.77600000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967LG4
22800000.00000000
PA
USD
23627412.00000000
0.222734433654
Long
DBT
CORP
US
N
2
2022-04-25
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-38024.67000000
-0.00035845666
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4163405.33000000
USD
2021-01-19
-38024.67000000
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
DUKE ENERGY PROG
144141DA3
1175000.00000000
PA
USD
1202824.00000000
0.011338961813
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.00000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_17-3
N/A
SDART 2017-3 C
80284YAF1
48938.95000000
PA
USD
49146.45000000
0.000463301131
Long
ABS-CBDO
CORP
US
N
2
2022-12-15
Fixed
2.76000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_20-1
N/A
MBART 2020-1 A3
58769VAC4
25830000.00000000
PA
USD
25889409.00000000
0.244058166474
Long
ABS-CBDO
CORP
US
N
2
2025-02-18
Fixed
0.55000000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_19-1
N/A
CPART 2019-1A A2
13646BAC2
10925411.39000000
PA
USD
10990517.01000000
0.103607055304
Long
ABS-CBDO
CORP
CA
Y
2
2022-03-21
Fixed
2.78000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY
25746UDC0
30000000.00000000
PA
USD
31234500.00000000
0.294446072552
Long
DBT
CORP
US
Y
2
2023-01-15
Fixed
2.45000000
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TRUST WOSAT_18-1A
N/A
WOLS 2019-A A3
98162XAC9
17500000.00000000
PA
USD
17834250.00000000
0.168122584623
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
2.94000000
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TRUST WOSAT_18-1A
N/A
WOLS 2019-A A2
98162XAB1
8638654.02000000
PA
USD
8688844.60000000
0.081909304374
Long
ABS-CBDO
CORP
US
N
2
2021-11-15
Fixed
2.89000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CD9
2000000.00000000
PA
USD
2088020.00000000
0.019683660324
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK
494368BH5
4000000.00000000
PA
USD
4120200.00000000
0.038840919756
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
2.40000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PACIFICORP
695114CM8
6773000.00000000
PA
USD
6917061.71000000
0.065206795502
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
3.85000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-44912.16000000
-0.00042338469
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4156517.84000000
USD
2021-01-19
-44912.16000000
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
377373AJ4
4660000.00000000
PA
USD
4866857.40000000
0.045879621799
Long
DBT
CORP
GB
N
2
2022-06-01
Fixed
2.87500000
N
N
N
N
N
N
CAPITAL AUTO RECEIVABLES ASSET TRUST AFIN_18-2
N/A
AFIN 2018-2 A3
13976CAC0
9930476.09000000
PA
USD
9999790.81000000
0.094267528865
Long
ABS-CBDO
CORP
US
Y
2
2023-06-20
Fixed
3.27000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 A3
36259PAD8
15170000.00000000
PA
USD
15249035.70000000
0.143751898448
Long
ABS-CBDO
CORP
US
N
2
2023-07-20
Fixed
0.80000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST
N/A
FORDF 2019-3 A1
34528QHA5
5020000.00000000
PA
USD
5156092.20000000
0.048606223823
Long
ABS-CBDO
CORP
US
N
2
2024-09-15
Fixed
2.23000000
N
N
N
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
MONDELEZ INT INC
609207AV7
30000000.00000000
PA
USD
30191100.00000000
0.284609992829
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.62500000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GBX6
29826000.00000000
PA
USD
30347358.48000000
0.286083033721
Long
DBT
CORP
US
Y
2
2021-09-15
Fixed
1.95000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
13607RAD2
10000000.00000000
PA
USD
10928300.00000000
0.103020538656
Long
DBT
CORP
CA
N
2
2023-09-13
Fixed
3.50000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS
00440EAT4
25958000.00000000
PA
USD
26043920.98000000
0.245514743198
Long
DBT
CORP
US
N
2
2020-11-03
Fixed
2.30000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BG8
32165000.00000000
PA
USD
33495666.05000000
0.315761972048
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
3.21800000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GAX7
2000000.00000000
PA
USD
2125180.00000000
0.020033965789
Long
DBT
CORP
US
Y
2
2023-01-10
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-40000.00000000
-0.00037707800
N/A
DFE
N/A
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5000000000.00000000
KRW
4161430.00000000
USD
2021-01-19
-40000.00000000
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38143U8F1
30180000.00000000
PA
USD
30545178.00000000
0.287947868463
Long
DBT
CORP
US
N
2
2021-02-25
Fixed
2.87500000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
ABBVIE INC
00287YBL2
12236000.00000000
PA
USD
12681512.76000000
0.119547987840
Long
DBT
CORP
US
Y
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_20-B
N/A
JDOT 2020-B A3
47787NAC3
14550000.00000000
PA
USD
14558002.50000000
0.137237562961
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.51000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159QD1
15000000.00000000
PA
USD
15655650.00000000
0.147585031159
Long
DBT
CORP
CA
N
2
2023-01-18
Fixed
2.37500000
N
N
N
N
N
N
MASTER CREDIT CARD TRUST MSTCCT_20-1
N/A
MCCT 2020-1A A
576339CF0
5320000.00000000
PA
USD
5468500.88000000
0.051551284856
Long
ABS-CBDO
CORP
CA
Y
2
2024-09-21
Fixed
1.99000000
N
N
N
N
N
N
Keurig Dr Pepper Inc
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER
49271VAG5
23400000.00000000
PA
USD
25611300.00000000
0.241436446812
Long
DBT
CORP
US
N
2
2023-05-25
Fixed
4.05700000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA_20-A-A4 0.78 12/20/2023
88167HAD8
1270000.00000000
PA
USD
1269695.20000000
0.011969353278
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
0.78000000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST NALT_20-A
N/A
NALT 2020-A A2A
65479NAB0
36000000.00000000
PA
USD
36300600.00000000
0.342203944397
Long
ABS-CBDO
CORP
US
N
2
2022-05-16
Fixed
1.80000000
N
N
N
N
N
N
N/A
N/A
USD/AUD FWD 20200817
N/A
1.00000000
NC
N/A
-47635.68000000
-0.00044905917
N/A
DFE
N/A
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
3249156.00000000
AUD
2273897.00000000
USD
2020-08-17
-47635.68000000
N
N
N
TESLA AUTO LEASE TRUST TESLA_18-B
N/A
TESLA 2018-B A
88161NAA7
12589944.97000000
PA
USD
12754495.55000000
0.120235992959
Long
ABS-CBDO
CORP
US
Y
2
2021-08-20
Fixed
3.71000000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748BB7
11405000.00000000
PA
USD
11776004.65000000
0.111011808082
Long
DBT
CORP
US
N
2
2022-01-30
Fixed
2.75000000
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd/New York NY
JHE42UYNWWTJB8YTTU19
AUST & NZ BK NY
05253JAS0
8000000.00000000
PA
USD
8311520.00000000
0.078352284203
Long
DBT
CORP
AU
N
2
2022-05-19
Fixed
2.62500000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
53944YAC7
6000000.00000000
PA
USD
6187800.00000000
0.058332081760
Long
DBT
CORP
GB
N
2
2022-01-11
Fixed
3.00000000
N
N
N
N
N
N
NSTAR Electric Co
54930080R72Y2Z31UR68
NSTAR ELECTRIC
67021CAG2
1200000.00000000
PA
USD
1245312.00000000
0.011739494069
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
Sinopec Group Overseas Development 2012 Ltd
N/A
SINOPEC GRP OVER
N/A
5700000.00000000
PA
USD
5987823.21000000
0.056446910541
Long
DBT
CORP
VG
N
2
2022-05-17
Fixed
3.90000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC
06738EAS4
19280000.00000000
PA
USD
19984684.00000000
0.188394618610
Long
DBT
CORP
GB
N
2
2023-01-10
Fixed
3.68400000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61744YAH1
15000000.00000000
PA
USD
15597450.00000000
0.147036382664
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
2.75000000
N
N
N
N
N
N
Continental Airlines 2001-1 Class A-1 Pass Through Trust
N/A
CONTL AIRLINES
210805DH7
1841249.74000000
PA
USD
1769625.13000000
0.016682167776
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
6.70300000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JAR5
4200000.00000000
PA
USD
4431756.00000000
0.041777942618
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
4.10000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_19-A
N/A
HDMOT 2019-A A2
41284WAB6
5980249.96800000
PA
USD
6004111.17000000
0.056600456327
Long
ABS-CBDO
CORP
US
N
2
2022-05-15
Fixed
2.37000000
N
N
N
N
N
N
Eastman Chemical Co
FDPVHDGJ1IQZFK9KH630
EASTMAN CHEMICAL
277432AV2
18332000.00000000
PA
USD
18943188.88000000
0.178576496096
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_19-A
N/A
HALST 2019-A A3
448969AD7
15000000.00000000
PA
USD
15187350.00000000
0.143170390432
Long
ABS-CBDO
CORP
US
Y
2
2022-07-15
Fixed
2.98000000
N
N
N
N
N
N
UBS AG/London
BFM8T61CT2L1QCEMIK50
UBS AG LONDON
902674XK1
15635000.00000000
PA
USD
15715676.60000000
0.148150898921
Long
DBT
CORP
CH
Y
2
2020-12-01
Fixed
2.45000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_19-1
N/A
EFF 2019-1 A2
29374AAB0
10291283.03000000
PA
USD
10461500.85000000
0.098620046368
Long
ABS-CBDO
CORP
US
Y
2
2024-10-20
Fixed
2.98000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_17-2
N/A
SDART 2017-2 D
80285LAF8
10000000.00000000
PA
USD
10159400.00000000
0.095772156733
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
3.49000000
N
N
N
N
N
N
Jackson National Life Global Funding
635400PQXLYXWJI5QD78
JACKSON NAT LIFE
46849LSR3
2590000.00000000
PA
USD
2638458.90000000
0.024872620361
Long
DBT
CORP
US
Y
2
2021-10-25
Fixed
2.10000000
N
N
N
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
KINDER MORGAN EN
494550BL9
16361000.00000000
PA
USD
17309610.78000000
0.163176836881
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
3.95000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFT0
11000000.00000000
PA
USD
11215380.00000000
0.105726827488
Long
DBT
CORP
US
N
2
2023-02-24
Variable
1.74300000
N
N
N
N
N
N
AESOP_15-2
N/A
AESOP 2015-2A A
05377RCA0
30545833.28000000
PA
USD
30494821.74000000
0.287473162513
Long
ABS-CBDO
CORP
US
Y
2
2021-12-20
Fixed
2.63000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_19-3
N/A
DRIVE 2019-3 A2A
26209WAB9
1146517.54000000
PA
USD
1147377.43000000
0.010816269765
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Fixed
2.63000000
N
N
N
N
N
N
Kroger Co/The
6CPEOKI6OYJ13Q6O7870
KROGER CO
501044CZ2
1145000.00000000
PA
USD
1178021.80000000
0.011105152712
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
2.95000000
N
N
N
N
N
N
Protective Life Global Funding
635400EVYITCJYWL2I50
PROTECTIVE LIFE
74368CAA2
40840000.00000000
PA
USD
40976814.00000000
0.386286380381
Long
DBT
CORP
US
Y
2
2020-11-25
Fixed
2.70000000
N
N
N
N
N
N
PFS FINANCING CORP PFSFC_20-A
N/A
PFSFC 2020-B A
69335PDR3
5000000.00000000
PA
USD
5028100.00000000
0.047399647742
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
1.21000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGQ6
4674000.00000000
PA
USD
4870541.70000000
0.045914353511
Long
DBT
CORP
US
N
2
2023-07-21
Variable
2.81600000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GCD9
5000000.00000000
PA
USD
5193800.00000000
0.048961693371
Long
DBT
CORP
US
Y
2
2022-04-08
Fixed
2.65000000
N
N
N
N
N
N
HERTZ FLEET LEASE FUNDING HFLF_18-1
N/A
HFLF 2018-1 A2
428041BD8
27425573.62000000
PA
USD
27713542.14000000
0.261254178541
Long
ABS-CBDO
CORP
US
Y
2
2032-05-10
Fixed
3.23000000
N
N
N
N
N
N
Omnicom Group Inc / Omnicom Capital Inc
N/A
OMNICOM GP/OMNI
681919AZ9
34200000.00000000
PA
USD
36071082.00000000
0.340040289667
Long
DBT
CORP
US
N
2
2022-05-01
Fixed
3.62500000
N
N
N
N
N
N
Alexandria Real Estate Equities Inc
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL
015271AD1
1750000.00000000
PA
USD
1894480.00000000
0.017859168404
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.90000000
N
N
N
N
N
N
Protective Life Global Funding
635400EVYITCJYWL2I50
PROTECTIVE LIFE
74368CAR5
8135000.00000000
PA
USD
8246286.80000000
0.077737334082
Long
DBT
CORP
US
Y
2
2023-06-09
Fixed
1.08200000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-43737.02000000
-0.00041230670
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4157692.98000000
USD
2021-01-19
-43737.02000000
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAV1
1000000.00000000
PA
USD
1035140.00000000
0.009758213115
Long
DBT
CORP
JP
N
2
2023-07-16
Variable
2.72100000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MASSMUTUAL GLBL
57629WCU2
42506000.00000000
PA
USD
42721505.42000000
0.402733499317
Long
DBT
CORP
US
Y
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB
87020PAH0
8174000.00000000
PA
USD
8470961.42000000
0.079855330511
Long
DBT
CORP
SE
Y
2
2022-03-14
Fixed
2.80000000
N
N
N
N
N
N
Jackson National Life Global Funding
635400PQXLYXWJI5QD78
JACKSON NAT LIFE
46849LTE1
7000000.00000000
PA
USD
7271390.00000000
0.068547030607
Long
DBT
CORP
US
Y
2
2022-02-01
Fixed
3.30000000
N
N
N
N
N
N
PECO Energy Co
YH65D4JBECK76IFEJ279
PECO ENERGY CO
693304AP2
3595000.00000000
PA
USD
3721076.65000000
0.035078403856
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.37500000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EAX5
12201000.00000000
PA
USD
12544336.14000000
0.118254830690
Long
DBT
CORP
US
N
2
2022-08-02
Variable
3.50200000
N
N
N
N
N
N
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST CRART_16-2
N/A
CRART 2016-2 C
13057YAF7
540000.00000000
PA
USD
542100.60000000
0.005110355299
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
3.51000000
N
N
N
N
N
N
COMM 2014-CCRE16 Mortgage Trust
N/A
COMM 2014-CR16 ASB
12591VAC5
5589062.81000000
PA
USD
5845936.14000000
0.055109348214
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Fixed
3.65300000
N
N
N
N
N
N
Toyota Finance Australia Ltd
3UKPTDP5PGQRH8AUK042
TOYOTA FIN AUSTR
AV6214473
11400000.00000000
PA
8124882.55000000
0.076592862277
Long
DBT
CORP
AU
N
2
2021-11-22
Floating
0.87680000
N
N
N
N
N
N
ARI FLEET LEASE TRUST ARIFL_20-A
N/A
ARIFL 2020-A A2
00217TAB1
12750000.00000000
PA
USD
12819232.50000000
0.120846264955
Long
ABS-CBDO
CORP
US
Y
2
2028-08-15
Fixed
1.77000000
N
N
N
N
N
N
Shire Acquisitions Investments Ireland DAC
549300XK5HGW68R8K327
SHIRE ACQ INV IE
82481LAB5
8182000.00000000
PA
USD
8345967.28000000
0.078677016992
Long
DBT
CORP
IE
N
2
2021-09-23
Fixed
2.40000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC
80283LAR4
5194000.00000000
PA
USD
5240901.82000000
0.049405719878
Long
DBT
CORP
GB
N
2
2021-01-05
Fixed
2.50000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-A
N/A
NAROT 2020-A A4
65479MAD8
6830000.00000000
PA
USD
7073967.60000000
0.066685939495
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
1.70000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967LV1
12000000.00000000
PA
USD
12405360.00000000
0.116944709555
Long
DBT
CORP
US
N
2
2023-01-24
Variable
3.14200000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-43598.72000000
-0.00041100295
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4157831.28000000
USD
2021-01-19
-43598.72000000
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-2
N/A
SDART 2020-2 B
80285RAE8
3120000.00000000
PA
USD
3121684.80000000
0.029427966802
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.96000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_19-1A
N/A
HPEFS 2019-1A A2
40438DAB5
8394029.40000000
PA
USD
8450353.34000000
0.079661059169
Long
ABS-CBDO
CORP
US
Y
2
2029-09-20
Fixed
2.19000000
N
N
N
N
N
N
Raytheon Technologies Corp
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH
75513EAT8
3865000.00000000
PA
USD
4017319.65000000
0.037871071831
Long
DBT
CORP
US
Y
2
2022-12-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-41488.57000000
-0.00039111067
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4159941.43000000
USD
2021-01-19
-41488.57000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468K8
20000000.00000000
PA
USD
20070200.00000000
0.189200773674
Long
DBT
CORP
US
N
2
2023-01-20
Floating
0.79860000
N
N
N
N
N
N
Highwoods Realty LP
JUJNVZX73BIYHLR58F51
HIGHWOODS REALTY
431282AM4
750000.00000000
PA
USD
780157.50000000
0.007354505813
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.62500000
N
N
N
N
N
N
Export-Import Bank of India
335800OFZ8YEIVN1QI11
EX-IM BK OF IN
N/A
3235000.00000000
PA
USD
3266929.77000000
0.030797183885
Long
DBT
NUSS
IN
N
2
2021-07-20
Fixed
3.12500000
N
N
N
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
NEW YORK LIFE GL
64952WDP5
11895000.00000000
PA
USD
12096501.30000000
0.114033114005
Long
DBT
CORP
US
Y
2
2023-05-05
Fixed
1.10000000
N
N
N
N
N
N
Baxter International Inc
J5OIVXX3P24RJRW5CK77
BAXTER INTL
071813BR9
2500000.00000000
PA
USD
2528050.00000000
0.023831801172
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
1.70000000
N
N
N
N
N
N
N/A
N/A
SCDS: (URUGUAY)
BVN63KXT6
-21650000.00000000
NC
USD
22682.54000000
0.000213827172
N/A
DCR
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
N/A
URUGUAY
Y
Payout of notional amount upon default event with regard to reference instrument
2020-09-20
13201.21000000
USD
0.00000000
USD
-21650000.00000000
USD
9481.33000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJE1
32732000.00000000
PA
USD
34722105.60000000
0.327323556473
Long
DBT
CORP
US
N
2
2022-09-23
Fixed
3.25000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GEH8
15000000.00000000
PA
USD
15118350.00000000
0.142519930876
Long
DBT
CORP
US
Y
2
2023-06-08
Fixed
0.90000000
N
N
N
N
N
N
Santander UK Group Holdings PLC
549300F5XIFGNNW4CF72
SANTANDER UK GRP
80281LAC9
6078000.00000000
PA
USD
6107235.18000000
0.057572601223
Long
DBT
CORP
GB
N
2
2020-10-16
Fixed
2.87500000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-B
N/A
TAOT 2020-B A3
89239RAC0
11700000.00000000
PA
USD
11890242.00000000
0.112088717879
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
1.36000000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QBP0
10000000.00000000
PA
USD
10085700.00000000
0.095077390511
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
1.90000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967HD6
3500000.00000000
PA
USD
3855145.00000000
0.036342259500
Long
DBT
CORP
US
N
2
2023-10-25
Fixed
3.87500000
N
N
N
N
N
N
MOTOR PLC MOTOR_17-1A
N/A
MOTOR 2017-1A A1
62006FAA8
517125.00000000
PA
USD
517321.51000000
0.004876764054
Long
ABS-CBDO
CORP
GB
Y
2
2024-09-25
Floating
0.70160000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_18-ST2
N/A
DLL 2018-ST2 A3
23291JAC2
11461563.07000000
PA
USD
11576064.09000000
0.109126978402
Long
ABS-CBDO
CORP
US
Y
2
2022-01-20
Fixed
3.46000000
N
N
N
N
N
N
DT AUTO OWNER TRUST DTAOT_20-2
N/A
DTAOT 2020-2A A
23343RAA6
6083421.50000000
PA
USD
6103557.63000000
0.057537933142
Long
ABS-CBDO
CORP
US
Y
2
2024-01-16
Fixed
1.14000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-15424.73000000
-0.00014540815
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4183365.27000000
USD
2020-10-27
-15424.73000000
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_18-A
N/A
MMAF 2018-A A2
60700DAB4
470729.30000000
PA
USD
470927.01000000
0.004439405418
Long
ABS-CBDO
CORP
US
Y
2
2021-07-12
Fixed
2.92000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-16824.31000000
-0.00015860193
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4181965.69000000
USD
2020-10-27
-16824.31000000
N
N
N
Puget Energy Inc
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC
745310AD4
7829000.00000000
PA
USD
8219667.10000000
0.077486391499
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
6.00000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC HERTZ_16-2A
N/A
HERTZ 2016-2A A
42806DAU3
21263511.70000000
PA
USD
21240121.84000000
0.200229568468
Long
ABS-CBDO
CORP
US
Y
2
2022-03-25
Fixed
2.95000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT CAPITAL CORP
05526DAV7
5000000.00000000
PA
USD
5194350.00000000
0.048966878194
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.76400000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAF7
30000000.00000000
PA
USD
30199200.00000000
0.284686351125
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
4.50000000
N
N
N
N
N
N
Huntington Bancshares Inc/OH
549300XTVCVV9I7B5T19
HUNTINGTON BANCS
446150AK0
5000000.00000000
PA
USD
5125350.00000000
0.048316418638
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
2.30000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_17-5
N/A
ALLYA 2017-5 A4
02007YAD6
1600000.00000000
PA
USD
1622368.00000000
0.015293982161
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
2.22000000
N
N
N
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
ASTRAZENECA PLC
046353AK4
3289000.00000000
PA
USD
3309622.03000000
0.031199641690
Long
DBT
CORP
GB
N
2
2020-11-16
Fixed
2.37500000
N
N
N
N
N
N
Ameren Corp
XRZQ5S7HYJFPHJ78L959
AMEREN CORP
023608AF9
5000000.00000000
PA
USD
5024450.00000000
0.047365239374
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
2.70000000
N
N
N
N
N
N
McCormick & Co Inc/MD
549300JQQA6MQ4OJP259
MCCORMICK
579780AL1
15750000.00000000
PA
USD
16393860.00000000
0.154544099984
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Hungary Government International Bond
N/A
HUNGARY
445545AE6
26000000.00000000
PA
USD
27004640.00000000
0.254571393449
Long
DBT
NUSS
HU
N
2
2021-03-29
Fixed
6.37500000
N
N
N
N
N
N
Praxair Inc
ZU69GUVJQGZ6Z1UOOO79
PRAXAIR INC
74005PAY0
5276000.00000000
PA
USD
5396503.84000000
0.050872572354
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
4.05000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20200901
N/A
1.00000000
NC
N/A
-1614415.80000000
-0.01521901716
N/A
DFE
N/A
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
124468614.80000000
USD
13000000000.00000000
JPY
2020-09-01
-1614415.76000000
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-1
N/A
CARMX 2019-1 A3
14315NAC4
1850000.00000000
PA
USD
1907350.00000000
0.017980493252
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
3.05000000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630CR7
10325000.00000000
PA
USD
10325000.00000000
0.097333259668
Long
DBT
NUSS
KR
N
2
2020-09-19
Floating
0.99120000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-A
N/A
WOART 2020-A A3
98163MAD0
1375000.00000000
PA
USD
1390097.50000000
0.013104379751
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
1.10000000
N
N
N
N
N
N
Reliance Standard Life Global Funding II
N/A
REL STAN LIFE II
75951AAK4
600000.00000000
PA
USD
618114.00000000
0.005826929827
Long
DBT
CORP
US
Y
2
2022-07-22
Fixed
2.62500000
N
N
N
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
KINDER MORGAN EN
494550BE5
12050000.00000000
PA
USD
12093139.00000000
0.114001417771
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
5.30000000
N
N
N
N
N
N
Aon Corp
LTS3U8DGK38SETRUWX71
AON CORP
037389BD4
11347000.00000000
PA
USD
11762413.67000000
0.110883686592
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.20000000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAF3
1775000.00000000
PA
USD
1977083.75000000
0.018637869832
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78015K7D0
19283000.00000000
PA
USD
19942478.60000000
0.187996750411
Long
DBT
CORP
CA
N
2
2023-01-17
Fixed
1.95000000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK
94988J6A0
16500000.00000000
PA
USD
16760370.00000000
0.157999171461
Long
DBT
CORP
US
N
2
2022-09-09
Variable
2.08200000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
MARATHON PETRO
56585AAD4
17535000.00000000
PA
USD
17907618.75000000
0.168814228167
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
5.12500000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_19-1
N/A
SDART 2019-1 B
80285HAE0
6529000.00000000
PA
USD
6590894.92000000
0.062132037452
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
3.21000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406RAC1
6444000.00000000
PA
USD
6692158.44000000
0.063086643601
Long
DBT
CORP
US
N
2
2023-05-16
Variable
2.66100000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-2
N/A
SDART 2020-2 A3
80285RAD0
6120000.00000000
PA
USD
6129363.60000000
0.057781204734
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
0.67000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816CB3
10320000.00000000
PA
USD
10447555.20000000
0.098488581421
Long
DBT
CORP
US
N
2
2021-02-22
Fixed
3.00000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-1
N/A
HAROT 2019-1 A3
43814WAC9
4115000.00000000
PA
USD
4227051.45000000
0.039848203042
Long
ABS-CBDO
CORP
US
N
2
2023-03-20
Fixed
2.83000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XBK0
9095000.00000000
PA
USD
9248250.75000000
0.087182798230
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
1.90000000
N
N
N
N
N
N
HERTZ FLEET LEASE FUNDING HFLF_19-1
N/A
HFLF 2019-1 A2
428041BK2
33481751.13000000
PA
USD
33794470.69000000
0.318578788476
Long
ABS-CBDO
CORP
US
Y
2
2033-01-10
Fixed
2.70000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_19-C
N/A
VZOT 2019-C A1A
92348AAA3
6230000.00000000
PA
USD
6386996.00000000
0.060209892510
Long
ABS-CBDO
CORP
US
N
2
2024-04-22
Fixed
1.94000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_17-3
N/A
VZOT 2017-3A C
92348RAD0
37780000.00000000
PA
USD
38073550.60000000
0.358917461214
Long
ABS-CBDO
CORP
US
Y
2
2022-04-20
Fixed
2.53000000
N
N
N
N
N
N
Florida Power & Light Co
A89MY1K3YLIGJMYWVX50
FLORIDA POWER &
341081GA9
37000000.00000000
PA
USD
37009620.00000000
0.348887840549
Long
DBT
CORP
US
N
2
2023-07-28
Floating
0.64060000
N
N
N
N
N
N
Corp Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CODELCO INC
N/A
1000000.00000000
PA
USD
1005187.70000000
0.009475854277
Long
DBT
CORP
CL
N
2
2020-11-04
Fixed
3.75000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GCS6
4905000.00000000
PA
USD
5113511.55000000
0.048204818160
Long
DBT
CORP
US
Y
2
2022-01-11
Fixed
3.37500000
N
N
N
N
N
N
Pricoa Global Funding I
635400IBXEBMD9ADYA79
PRICOA GLOB FUND
741531FA0
21249000.00000000
PA
USD
23114662.20000000
0.217900766881
Long
DBT
CORP
US
Y
2
2023-09-01
Fixed
3.45000000
N
N
N
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
GEN MOTORS FIN
37045XBS4
5000000.00000000
PA
USD
5122050.00000000
0.048285309702
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
3.45000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_17-2A
N/A
CFII 2017-2A A1
165183AL8
1213861.04000000
PA
USD
1215560.45000000
0.011459027692
Long
ABS-CBDO
CORP
US
Y
2
2029-05-15
Fixed
1.99000000
N
N
N
N
N
N
Progress Energy Inc
549300FBMTW0JYWMNB26
PROGRESS ENERGY
743263AR6
27865000.00000000
PA
USD
28074544.80000000
0.264657332598
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
4.40000000
N
N
N
N
N
N
KeyBank NA/Cleveland OH
HUX2X73FUCYHUVH1BK78
KEY BANK NA
49327M2Z6
5005000.00000000
PA
USD
5104999.90000000
0.048124579261
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
1.25000000
N
N
N
N
N
N
N/A
N/A
ICE: (CDX.NA.IG.34.V1)
N/A
-114330000.00000000
NC
USD
1608119.37000000
0.015159661038
N/A
DCR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.IG.34.V1)
2I65BYDW2
Y
Payout of notional amount upon default event with regard to reference instrument
2025-06-20
-988871.21000000
USD
0.00000000
USD
-114330000.00000000
USD
2596990.58000000
N
N
N
Principal Life Global Funding II
635400WSLKBQWSOIIT41
PRINCIPAL LFE II
74256LAS8
2277000.00000000
PA
USD
2292665.76000000
0.021612845690
Long
DBT
CORP
US
Y
2
2020-11-19
Fixed
2.62500000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST DEFT_18-1
N/A
DEFT 2018-1 A3
24704AAD8
2665366.49000000
PA
USD
2682931.26000000
0.025291859080
Long
ABS-CBDO
CORP
US
Y
2
2023-06-22
Fixed
3.18000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90351DAH0
15000000.00000000
PA
USD
15476850.00000000
0.145899492483
Long
DBT
CORP
CH
Y
2
2022-02-01
Fixed
2.65000000
N
N
N
N
N
N
ViacomCBS Inc
5KYC8KF17ROCY24M3H09
CBS CORP
124857AG8
23376000.00000000
PA
USD
24184575.84000000
0.227986789365
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.37500000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214DS9
5155000.00000000
PA
USD
5432081.25000000
0.051207958822
Long
DBT
CORP
AU
N
2
2023-01-11
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-39064.44000000
-0.00036825852
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4162365.56000000
USD
2021-01-19
-39064.44000000
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-42319.05000000
-0.00039893957
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4159110.95000000
USD
2021-01-19
-42319.05000000
N
N
N
Huntington Bancshares Inc/OH
549300XTVCVV9I7B5T19
HUNTINGTON BANCS
446150AJ3
10000000.00000000
PA
USD
10140800.00000000
0.095596815461
Long
DBT
CORP
US
N
2
2021-03-14
Fixed
3.15000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAH2
22100000.00000000
PA
USD
22929855.00000000
0.216158598631
Long
DBT
CORP
JP
N
2
2022-02-28
Fixed
2.95300000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
10000000.00000000
PA
USD
10787463.00000000
0.101692875287
Long
DBT
NUSS
QA
N
2
2023-04-23
Fixed
3.87500000
N
N
N
N
N
N
SYNIT_18-A1
N/A
SYNIT 2018-A1 A
87166PAA9
57155000.00000000
PA
USD
58789061.45000000
0.554201548063
Long
ABS-CBDO
CORP
US
N
2
2024-09-15
Fixed
3.38000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
COM BK AUSTRALIA
N/A
14400000.00000000
PA
10400172.04000000
0.098041902737
Long
DBT
CORP
AU
N
2
2026-06-03
Floating
2.75000000
N
N
N
N
N
N
Plains All American Pipeline LP / PAA Finance Corp
N/A
PLAINS ALL AMER
72650RAY8
2035000.00000000
PA
USD
2050120.05000000
0.019326379387
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.00000000
N
N
N
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
NEW YORK LIFE GL
64952WCS0
850000.00000000
PA
USD
880855.00000000
0.008303776120
Long
DBT
CORP
US
Y
2
2022-06-10
Fixed
2.30000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP
N/A
15600000.00000000
PA
11420307.42000000
0.107658668048
Long
DBT
CORP
AU
N
2
2022-12-15
Variable
3.25000000
N
N
N
N
N
N
Bayer US Finance LLC
54930093Q75GSEM74I71
BAYER US FINANCE
07274EAF0
6220000.00000000
PA
USD
6375251.20000000
0.060099174866
Long
DBT
CORP
US
Y
2
2021-10-08
Fixed
3.00000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM LLC SOFI_20-A
N/A
SOFI 2020-A A1FX
83406TAA0
9574076.13000000
PA
USD
9649711.33000000
0.090967347080
Long
ABS-CBDO
CORP
US
Y
2
2046-05-15
Fixed
2.06000000
N
N
N
N
N
N
Lanark Master Issuer PLC
213800KIOPB5OYXIVY33
LAN 2018-2A 1A
513770AZ0
12616800.00000000
PA
USD
12528103.90000000
0.118101810174
Long
ABS-MBS
CORP
GB
N
2
2069-12-22
Floating
0.77800000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_20-1
N/A
VALET 2020-1 A3
92868JAD8
24510000.00000000
PA
USD
24783041.40000000
0.233628494329
Long
ABS-CBDO
CORP
US
N
2
2024-11-20
Fixed
0.98000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_19-1A
N/A
HPEFS 2019-1A A3
40438DAC3
2100000.00000000
PA
USD
2135511.00000000
0.020131355611
Long
ABS-CBDO
CORP
US
Y
2
2029-09-20
Fixed
2.21000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-B
N/A
WOART 2020-B A3
98163WAC0
34560000.00000000
PA
USD
34641216.00000000
0.326561014251
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
0.63000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-16369.55000000
-0.00015431493
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4182420.45000000
USD
2020-10-27
-16369.55000000
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICA
761713BF2
11574000.00000000
PA
USD
12261495.60000000
0.115588507036
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
4.00000000
N
N
N
N
N
N
International Flavors & Fragrances Inc
BZLRL03D3GPGMOGFO832
INTERNATIONAL FL
459506AJ0
24000000.00000000
PA
USD
24069360.00000000
0.226900655392
Long
DBT
CORP
US
N
2
2020-09-25
Fixed
3.40000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_17-3A
5493000HT7H4OFOD6Z12
CFII 2017-3A A1
165183AR5
3945849.53000000
PA
USD
3953859.60000000
0.037272837107
Long
ABS-CBDO
CORP
US
Y
2
2029-08-15
Fixed
1.91000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_18-A
N/A
VZOT 2019-A A1A
92347YAA2
44015000.00000000
PA
USD
45223651.90000000
0.426321109300
Long
ABS-CBDO
CORP
US
N
2
2023-09-20
Fixed
2.93000000
N
N
N
N
N
N
Freddie Mac STACR Remic Trust 2020-DNA2
5493007ZK0X40BI7UF30
STACR 2020-DNA2 M1
35565KAA6
18961401.50000000
PA
USD
18866404.88000000
0.177852657161
Long
ABS-MBS
CORP
US
Y
2
2050-02-25
Floating
2.40500000
N
N
N
N
N
N
Korea Monetary Stabilization Bond
N/A
KOREA MSB
N/A
50000000000.00000000
PA
41921558.67000000
0.395192441231
Long
DBT
NUSS
KR
N
2
2020-10-27
None
0.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS HEALTH CORP
126650DC1
22000000.00000000
PA
USD
22383240.00000000
0.211005686308
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.35000000
N
N
N
N
N
N
PECO Energy Co
YH65D4JBECK76IFEJ279
PECO ENERGY CO
693304AU1
2295000.00000000
PA
USD
2324031.75000000
0.021908531312
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
1.70000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-A
N/A
FORDO 2020-A A3
34528GAK2
8160000.00000000
PA
USD
8268854.40000000
0.077950077721
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
1.04000000
N
N
N
N
N
N
Mexico Government International Bond
N/A
UNITED MEXICAN
91086QBC1
28500000.00000000
PA
USD
30636645.00000000
0.288810123307
Long
DBT
NUSS
MX
N
2
2023-10-02
Fixed
4.00000000
N
N
N
N
N
N
ARI FLEET LEASE TRUST ARIFL_18-B
N/A
ARIFL 2018-B A2
04033BAB4
3680819.05000000
PA
USD
3715565.98000000
0.035026455045
Long
ABS-CBDO
CORP
US
Y
2
2027-08-16
Fixed
3.22000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2020-A A4
44891LAD5
9260000.00000000
PA
USD
9611880.00000000
0.090610713020
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
1.72000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
17308CC46
33464000.00000000
PA
USD
34125583.28000000
0.321700170335
Long
DBT
CORP
US
N
2
2022-11-04
Variable
2.31200000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_17-3
N/A
EFF 2017-3 A2
29373EAB3
931264.21000000
PA
USD
932633.17000000
0.008791886344
Long
ABS-CBDO
CORP
US
Y
2
2023-05-22
Fixed
2.13000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-1
N/A
KCOT 2020-1A A3
50117WAC8
7540000.00000000
PA
USD
7693288.20000000
0.072524243881
Long
ABS-CBDO
CORP
US
Y
2
2024-03-15
Fixed
1.96000000
N
N
N
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
REALTY INCOME
756109AP9
4900000.00000000
PA
USD
5414892.00000000
0.051045916620
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.65000000
N
N
N
N
N
N
BAT International Finance PLC
21380041YBGOQDFAC823
BAT INTL FINANCE
05530QAL4
15540000.00000000
PA
USD
16300061.40000000
0.153659865264
Long
DBT
CORP
GB
Y
2
2022-06-15
Fixed
3.50000000
N
N
N
N
N
N
Newmont Corp
549300VSP3RIX7FGDZ51
NEWMONT GOLDCORP
651639AR7
20748000.00000000
PA
USD
21179143.44000000
0.199654728135
Long
DBT
CORP
US
N
2
2021-06-09
Fixed
3.62500000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_18-1
N/A
VZOT 2018-1A C
92349FAD5
1850000.00000000
PA
USD
1892217.00000000
0.017837835216
Long
ABS-CBDO
CORP
US
Y
2
2022-09-20
Fixed
3.20000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_17-3
N/A
VZOT 2017-3A B
92348RAC2
9290000.00000000
PA
USD
9360696.90000000
0.088242822473
Long
ABS-CBDO
CORP
US
Y
2
2022-04-20
Fixed
2.38000000
N
N
N
N
N
N
Manulife Financial Corp
5493007GBX87QOZACS27
MANULIFE FIN COR
56501RAB2
24150000.00000000
PA
USD
24270750.00000000
0.228799148870
Long
DBT
CORP
CA
N
2
2020-09-17
Fixed
4.90000000
N
N
N
N
N
N
RESIMAC Bastille Trust Series 2018-1NC
N/A
RESI 2018-1NCA A1
76118VAA8
6438885.70800000
PA
USD
6415714.73000000
0.060480622544
Long
ABS-MBS
CORP
AU
Y
2
2059-12-05
Floating
1.01380000
N
N
N
N
N
N
Sherwin-Williams Co/The
Z15BMIOX8DDH0X2OBP21
SHERWIN-WILLIAMS
824348BB1
602000.00000000
PA
USD
626645.88000000
0.005907359434
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
4.20000000
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd
JHE42UYNWWTJB8YTTU19
AUST & NZ BANK
05252ABK6
2418000.00000000
PA
USD
2466360.00000000
0.023250252621
Long
DBT
CORP
AU
Y
2
2021-01-12
Fixed
4.87500000
N
N
N
N
N
N
Tyco Electronics Group SA
C33G1C5SYE2YM95EE712
TYCO ELECTRONICS
902133AM9
1520000.00000000
PA
USD
1580572.00000000
0.014899973355
Long
DBT
CORP
LU
N
2
2022-02-03
Fixed
3.50000000
N
N
N
N
N
N
Romanian Government International Bond
N/A
ROMANIA
77586TAA4
21371000.00000000
PA
USD
23081748.55000000
0.217590491545
Long
DBT
NUSS
RO
N
2
2022-02-07
Fixed
6.75000000
N
N
N
N
N
N
Highwoods Realty LP
JUJNVZX73BIYHLR58F51
HIGHWOODS REALTY
431282AN2
10000000.00000000
PA
USD
10164800.00000000
0.095823062263
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
3.20000000
N
N
N
N
N
N
Welltower Inc
T6IZ0MBEG5ACZDTR7D06
HEALTH CARE REIT
42217KBA3
2300000.00000000
PA
USD
2432388.00000000
0.022930000272
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.75000000
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd/New York NY
JHE42UYNWWTJB8YTTU19
AUST & NZ BK NY
05253JAW1
10000000.00000000
PA
USD
10364600.00000000
0.097706566891
Long
DBT
CORP
AU
N
2
2022-11-21
Fixed
2.05000000
N
N
N
N
N
N
ICICI Bank Ltd/Hong Kong
R7RX8ER1V4666J8D1I38
ICICI BANK/HK
N/A
8200000.00000000
PA
USD
8286997.08000000
0.078121107860
Long
DBT
CORP
IN
N
2
2020-11-16
Fixed
5.75000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CL0
5000000.00000000
PA
USD
5193350.00000000
0.048957451244
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST SSTRT_18-1A
N/A
SSTRT 2018-1A A4
81376QAE8
2147000.00000000
PA
USD
2198377.71000000
0.020723996948
Long
ABS-CBDO
CORP
CA
Y
2
2022-11-25
Fixed
3.29800000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WCY5
2680000.00000000
PA
USD
2773156.80000000
0.026142410742
Long
DBT
CORP
US
N
2
2022-06-27
Fixed
2.20000000
N
N
N
N
N
N
PFS FINANCING CORP PFSFC_20-A
N/A
PFSFC 2020-A A
69335PDP7
8300000.00000000
PA
USD
8366151.00000000
0.078867287913
Long
ABS-CBDO
CORP
US
Y
2
2025-06-16
Fixed
1.27000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GEE5
22000000.00000000
PA
USD
22767140.00000000
0.214624692447
Long
DBT
CORP
US
Y
2
2023-01-13
Fixed
1.95000000
N
N
N
N
N
N
New Mexico Educational Assistance Foundation
N/A
NEW MEXICO EDU-A1-TXB
647110FG5
36579.97000000
PA
USD
36482.30000000
0.000343916821
Long
DBT
MUN
US
N
2
2025-01-02
Floating
0.87100000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
HUMANA INC
444859BJ0
5407000.00000000
PA
USD
5671888.93000000
0.053468613853
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.90000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_20-2
N/A
AMCAR 2020-2 A3
03066EAD6
5270000.00000000
PA
USD
5279169.80000000
0.049766470215
Long
ABS-CBDO
CORP
US
N
2
2024-12-18
Fixed
0.66000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
DUKE ENERGY COR
26441CAW5
11453000.00000000
PA
USD
11856832.78000000
0.111773770829
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.40000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
CONSTELLATION BR
21036PAW8
24062000.00000000
PA
USD
25123856.06000000
0.236841337118
Long
DBT
CORP
US
N
2
2022-11-07
Fixed
2.65000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-15739.72000000
-0.00014837755
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4183050.28000000
USD
2020-10-27
-15739.72000000
N
N
N
Mondelez International Holdings Netherlands BV
549300CW356R8I7N8D33
MONDELEZ INTL
60920LAC8
13000000.00000000
PA
USD
13226590.00000000
0.124686403776
Long
DBT
CORP
NL
Y
2
2021-10-28
Fixed
2.00000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86960BAQ5
12230000.00000000
PA
USD
12432651.10000000
0.117201981392
Long
DBT
CORP
SE
N
2
2021-09-07
Fixed
1.87500000
N
N
N
N
N
N
Lanark Master Issuer PLC
213800KIOPB5OYXIVY33
LAN 2018-1A 1A
513770AY3
3456000.00000000
PA
USD
3455827.20000000
0.032577910530
Long
ABS-MBS
CORP
GB
Y
2
2069-12-22
Floating
0.77800000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
AM7990519
5650000.00000000
PA
4077328.73000000
0.038436774433
Long
DBT
CORP
FR
N
2
2022-12-16
Floating
1.85320000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2013-LC12
549300V2DF3KW9L1CV04
WFCM 2013-LC12 A1
94988QAA9
15863.41000000
PA
USD
15890.06000000
0.000149794802
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Fixed
1.67600000
N
N
N
N
N
N
Energy Transfer Partners LP / Regency Energy Finance Corp
N/A
REGENCY ENERGY P
75886AAL2
3515000.00000000
PA
USD
3691101.50000000
0.034795829613
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
5.87500000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-2A
N/A
KCOT 2020-2A A4
50116YAD3
4810000.00000000
PA
USD
4816301.10000000
0.045403030082
Long
ABS-CBDO
CORP
US
Y
2
2026-06-15
Fixed
0.73000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BED4
16120000.00000000
PA
USD
16573616.80000000
0.156238658366
Long
DBT
CORP
US
N
2
2021-11-17
Fixed
2.62500000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2019-B A4
44891JAD0
4727000.00000000
PA
USD
4912298.40000000
0.046307991838
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
2.00000000
N
N
N
N
N
N
Air Liquide Finance SA
549300YGXL5Z3R14K812
AIR LIQUIDE FIN
00913RAB2
31660000.00000000
PA
USD
32124452.20000000
0.302835607523
Long
DBT
CORP
FR
Y
2
2021-09-27
Fixed
1.75000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86960BAT9
2098000.00000000
PA
USD
2149275.12000000
0.020261109283
Long
DBT
CORP
SE
N
2
2021-05-24
Fixed
3.35000000
N
N
N
N
N
N
Principal Life Global Funding II
635400WSLKBQWSOIIT41
PRINCIPAL LFE II
74256LAW9
750000.00000000
PA
USD
766837.50000000
0.007228938838
Long
DBT
CORP
US
Y
2
2021-11-21
Fixed
2.37500000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-2A
N/A
KCOT 2020-2A A3
50116YAC5
17700000.00000000
PA
USD
17713098.00000000
0.166980490766
Long
ABS-CBDO
CORP
US
Y
2
2024-10-15
Fixed
0.59000000
N
N
N
N
N
N
Corp Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CODELCO INC
21987BAN8
53022000.00000000
PA
USD
53287110.00000000
0.502334926352
Long
DBT
CORP
CL
Y
2
2020-11-04
Fixed
3.75000000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-1
N/A
VALET 2018-1 A3
92868LAD3
1079031.95000000
PA
USD
1098130.82000000
0.010352024431
Long
ABS-CBDO
CORP
US
N
2
2022-11-21
Fixed
3.02000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05578DAW2
2450000.00000000
PA
USD
2523720.50000000
0.023790987191
Long
DBT
CORP
FR
N
2
2021-12-02
Fixed
2.75000000
N
N
N
N
N
N
Capital One NA
207ALC1P1YM0OVDV0K75
CAPITAL ONE NA
14042RNW7
13304000.00000000
PA
USD
13699794.00000000
0.129147274266
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
2.15000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20201027
N/A
1.00000000
NC
N/A
-15739.72000000
-0.00014837755
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4183050.28000000
USD
2020-10-27
-15739.72000000
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_15-A
N/A
MMAF 2015-AA A5
55315GAE8
8343409.23000000
PA
USD
8513281.04000000
0.080254275457
Long
ABS-CBDO
CORP
US
Y
2
2036-02-19
Fixed
2.49000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-39757.34000000
-0.00037479045
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4161672.66000000
USD
2021-01-19
-39757.34000000
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
BRANCH BKG & TR
07330NAQ8
4750000.00000000
PA
USD
4898627.50000000
0.046179116946
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.62500000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_19-A
N/A
FORDL 2019-A B
34532FAF9
8470000.00000000
PA
USD
8667266.30000000
0.081705886817
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
3.25000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-2
N/A
SDART 2020-2 C
80285RAF5
6120000.00000000
PA
USD
6131811.60000000
0.057804281907
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
1.46000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAB6
29199000.00000000
PA
USD
29600194.26000000
0.279039553911
Long
DBT
CORP
JP
N
2
2021-03-09
Fixed
2.93400000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BLDG
63859UBE2
6800000.00000000
PA
USD
7023856.00000000
0.066213539943
Long
DBT
CORP
GB
Y
2
2023-01-27
Fixed
2.00000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_20-A
N/A
MMAF 2020-A A2
60700MAB4
9940000.00000000
PA
USD
9973796.00000000
0.094022477089
Long
ABS-CBDO
CORP
US
Y
2
2024-04-09
Fixed
0.74000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-40519.26000000
-0.00038197304
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4160910.74000000
USD
2021-01-19
-40519.26000000
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406FAB9
10780000.00000000
PA
USD
10906449.40000000
0.102814554141
Long
DBT
CORP
US
N
2
2021-05-03
Fixed
2.05000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN
666807BQ4
19436000.00000000
PA
USD
20299541.48000000
0.191362764359
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.55000000
N
N
N
N
N
N
Intercontinental Exchange Inc
5493000F4ZO33MV32P92
INTERCONTINENT
45866FAE4
4820000.00000000
PA
USD
5009281.40000000
0.047222245739
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.35000000
N
N
N
N
N
N
Hungary Government International Bond
N/A
HUNGARY
445545AH9
22492000.00000000
PA
USD
24879075.96000000
0.234533807333
Long
DBT
NUSS
HU
N
2
2023-02-21
Fixed
5.37500000
N
N
N
N
N
N
Pepper Residential Securities Trust No. 24
N/A
PEPAU 24A A1U
71338CAA5
9496800.01900000
PA
USD
9368308.31000000
0.088314574856
Long
ABS-MBS
CORP
AU
Y
2
2060-11-18
Floating
1.08680000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM SOFI_19-B
N/A
SOFI 2019-B A1FX
83404WAA5
13692265.13000000
PA
USD
13805637.09000000
0.130145051793
Long
ABS-CBDO
CORP
US
Y
2
2048-08-17
Fixed
2.78000000
N
N
N
N
N
N
Intercontinental Exchange Inc
5493000F4ZO33MV32P92
INTERCONTINENT
45866FAG9
1000000.00000000
PA
USD
1096650.00000000
0.010338064815
Long
DBT
CORP
US
N
2
2023-09-21
Fixed
3.45000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_16-4
N/A
AMCAR 2016-4 C
03065TAF9
26643511.26000000
PA
USD
26796178.58000000
0.252606238047
Long
ABS-CBDO
CORP
US
N
2
2022-07-08
Fixed
2.41000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAL3
5000000.00000000
PA
USD
5194800.00000000
0.048971120321
Long
DBT
CORP
JP
N
2
2022-09-11
Fixed
2.60100000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90352JAE3
4000000.00000000
PA
USD
4166600.00000000
0.039278330240
Long
DBT
CORP
CH
Y
2
2023-08-15
Variable
2.85900000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GCR8
30000000.00000000
PA
USD
31085400.00000000
0.293040514294
Long
DBT
CORP
US
Y
2
2021-10-09
Fixed
3.45000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236THD0
25000000.00000000
PA
USD
25016750.00000000
0.235831653637
Long
DBT
CORP
US
N
2
2022-07-22
Fixed
0.45000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90351DAA5
30142000.00000000
PA
USD
30238755.82000000
0.285059241866
Long
DBT
CORP
CH
Y
2
2020-09-24
Fixed
2.95000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14912L7D7
9140000.00000000
PA
USD
9311649.20000000
0.087780452253
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
1.93100000
N
N
N
N
N
N
State Grid Overseas Investment 2016 Ltd
3003006V8BHG5158QO96
STATE GRID OSEAS
857006AB6
3880000.00000000
PA
USD
3913833.60000000
0.036895514003
Long
DBT
CORP
VG
Y
2
2021-05-18
Fixed
2.12500000
N
N
N
N
N
N
Panama Government International Bond
N/A
PANAMA
698299BD5
20275000.00000000
PA
USD
22378531.25000000
0.210961297157
Long
DBT
NUSS
PA
N
2
2024-09-22
Fixed
4.00000000
N
N
N
N
N
N
Pepper Residential Securities Trust
N/A
PEPAU 21A A1U
71336WAA3
5353643.43300000
PA
USD
5333339.74000000
0.050277127536
Long
ABS-MBS
CORP
AU
Y
2
2060-01-16
Floating
1.05660000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_19-B
N/A
WOART 2019-B A2
98162VAB5
10241790.25000000
PA
USD
10293306.45000000
0.097034486154
Long
ABS-CBDO
CORP
US
N
2
2022-06-15
Fixed
2.63000000
N
N
N
N
N
N
Sinopec Group Overseas Development 2016 Ltd
5299002BJODD4TLAOX51
SINOPEC OVERSEAS
N/A
14550000.00000000
PA
USD
14701050.83000000
0.138586072429
Long
DBT
CORP
VG
N
2
2021-09-29
Fixed
2.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDR_18-2
N/A
FORDR 2018-2 A
34528HAA2
515000.00000000
PA
USD
549067.25000000
0.005176029561
Long
ABS-CBDO
CORP
US
Y
2
2030-01-15
Fixed
3.47000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-1
N/A
HAROT 2020-1 A3
43813RAC1
2580000.00000000
PA
USD
2635495.80000000
0.024844687366
Long
ABS-CBDO
CORP
US
N
2
2024-04-22
Fixed
1.61000000
N
N
N
N
N
N
Thaioil Treasury Center Co Ltd
549300NH03B9E8VGJR89
THAIOIL TRSRY
88323AAA0
3500000.00000000
PA
USD
3658410.00000000
0.034487648474
Long
DBT
CORP
TH
N
2
2023-01-23
Fixed
3.62500000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST DEFT_19-1
N/A
DEFT 2019-1 A2
24704BAC8
8266681.40000000
PA
USD
8313388.15000000
0.078369895159
Long
ABS-CBDO
CORP
US
Y
2
2021-08-23
Fixed
2.78000000
N
N
N
N
N
N
Corp Andina de Fomento
UKZ46SXGNYCZK0UOZE76
CORP ANDINA FOM
219868CC8
10000000.00000000
PA
USD
10228500.00000000
0.096423558984
Long
DBT
CORP
N/A
N
2
2023-05-12
Fixed
2.37500000
N
N
N
N
N
N
ING Bank NV
3TK20IVIUJ8J3ZU0QE75
ING BANK NV
449786BJ0
7000000.00000000
PA
USD
7113820.00000000
0.067061626081
Long
DBT
CORP
NL
Y
2
2021-08-15
Fixed
2.05000000
N
N
N
N
N
N
Digital Realty Trust LP
CD4SPTZ3YBTHY0C1AH38
DIGITAL REALTY
25389JAS5
5020000.00000000
PA
USD
5247104.80000000
0.049464195060
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
2.75000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFP8
18410000.00000000
PA
USD
18737513.90000000
0.176637608325
Long
DBT
CORP
US
N
2
2022-07-22
Variable
2.23200000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
AIR LEASE CORP
00914AAD4
865000.00000000
PA
USD
857976.20000000
0.008088098814
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.25000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP
30231GBL5
35260000.00000000
PA
USD
36328378.00000000
0.342465806217
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
1.57100000
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GRP
928668AZ5
7183000.00000000
PA
USD
7466153.86000000
0.070383059794
Long
DBT
CORP
US
Y
2
2022-09-26
Fixed
2.70000000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_20-B
N/A
JDOT 2020-B A4
47787NAD1
3820000.00000000
PA
USD
3823781.80000000
0.036046600179
Long
ABS-CBDO
CORP
US
N
2
2027-06-15
Fixed
0.72000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AERCAP IRELAND
00772BAP6
2831000.00000000
PA
USD
2868765.54000000
0.027043709562
Long
DBT
CORP
IE
N
2
2022-07-01
Fixed
4.62500000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-C
N/A
TAOT 2020-C A4
89237VAC3
7530000.00000000
PA
USD
7548147.30000000
0.071156007860
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.57000000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS
86765BAR0
2000000.00000000
PA
USD
2035000.00000000
0.019183843430
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
4.40000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_18-3
N/A
SDART 2018-3 C
80285GAF9
16000000.00000000
PA
USD
16185600.00000000
0.152580843359
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
3.51000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
WELLPOINT INC
94973VBA4
7000000.00000000
PA
USD
7471100.00000000
0.070429686809
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.30000000
N
N
N
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
METLIFE INC
59156RBB3
2150000.00000000
PA
USD
2405549.00000000
0.022676990359
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
4.36800000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TRUST MBALT_19-B
N/A
MBALT 2019-B A3
58769QAC5
40359000.00000000
PA
USD
40955506.02000000
0.386085511117
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
2.00000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP
594918BW3
600000.00000000
PA
USD
618696.00000000
0.005832416312
Long
DBT
CORP
US
N
2
2022-02-06
Fixed
2.40000000
N
N
N
N
N
N
GOLDEN CREDIT CARD TRUST GCCT_18-1A
N/A
GCCT 2018-1A A
380881EK4
370000.00000000
PA
USD
372969.03000000
0.003515960430
Long
ABS-CBDO
CORP
CA
Y
2
2023-01-15
Fixed
2.62000000
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST SSTRT_18-1A
N/A
SSTRT 2018-1A A3
81376QAD0
12098889.82000000
PA
USD
12177774.58000000
0.114799273159
Long
ABS-CBDO
CORP
CA
Y
2
2022-01-25
Fixed
3.06800000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_19-A
N/A
NAVSL 2019-D A1
63941CAA1
6876253.36800000
PA
USD
6862225.81000000
0.064689860209
Long
ABS-CBDO
CORP
US
Y
2
2059-12-15
Floating
0.57480000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-2
N/A
HAROT 2020-2 A4
43813DAD0
4730000.00000000
PA
USD
4819822.70000000
0.045436228030
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
1.09000000
N
N
N
N
N
N
Alabama Power Co
0RL818ELFOHP5JHOFU19
ALABAMA POWER CO
010392FC7
21785000.00000000
PA
USD
21887389.50000000
0.206331328393
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
3.37500000
N
N
N
N
N
N
Mondelez International Holdings Netherlands BV
549300CW356R8I7N8D33
MONDELEZ INTL
60920LAE4
24350000.00000000
PA
USD
25206633.00000000
0.237621671200
Long
DBT
CORP
NL
Y
2
2022-09-19
Fixed
2.12500000
N
N
N
N
N
N
UBS AG/London
BFM8T61CT2L1QCEMIK50
UBS AG LONDON
902674YA2
26178000.00000000
PA
USD
26731926.48000000
0.252000536707
Long
DBT
CORP
CH
Y
2
2022-04-21
Fixed
1.75000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES GALC_19-1
N/A
GALC 2019-1 A2
39154TAV0
7632315.41000000
PA
USD
7667042.45000000
0.072276826505
Long
ABS-CBDO
CORP
US
Y
2
2021-06-15
Fixed
2.97000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAC2
6520000.00000000
PA
USD
6708428.00000000
0.063240015931
Long
DBT
CORP
US
Y
2
2021-12-15
Fixed
2.70000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_19-A
N/A
SRT 2019-A A3
80285JAG1
65360000.00000000
PA
USD
66917528.80000000
0.630828204071
Long
ABS-CBDO
CORP
US
Y
2
2022-06-20
Fixed
2.77000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA_20-A-A3 0.68 12/20/2023
88167HAC0
7040000.00000000
PA
USD
7038592.00000000
0.066352455480
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
0.68000000
N
N
N
N
N
N
Qantas Airways Ltd
YLXNW6TI6QSK1H8H0N82
QANTAS AIRWAYS
N/A
5000000.00000000
PA
3722744.65000000
0.035094128009
Long
DBT
CORP
AU
N
2
2021-06-11
Fixed
7.50000000
N
N
N
N
N
N
Corp Financiera de Desarrollo SA
254900BOM7T4MG6T0J30
COFIDE
N/A
4000000.00000000
PA
USD
4158010.80000000
0.039197360280
Long
DBT
NUSS
PE
N
2
2022-02-08
Fixed
4.75000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_17-4A
N/A
CFII 2017-4A A1
165183BB9
11254036.74000000
PA
USD
11297139.70000000
0.106497572099
Long
ABS-CBDO
CORP
US
Y
2
2029-11-15
Fixed
2.12000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_20-A
N/A
VZOT 2020-A B
92348TAC8
1280000.00000000
PA
USD
1290265.60000000
0.012163269412
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.98000000
N
N
N
N
N
N
N/A
N/A
USD/AUD FWD 20200817
N/A
1.00000000
NC
N/A
-1745133.29000000
-0.01645128442
N/A
DFE
N/A
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
107735591.00000000
AUD
75232302.00000000
USD
2020-08-17
-1745133.29000000
N
N
N
Zions Bancorp NA
8WH0EE09O9V05QJZ3V89
ZB NA
98920AAA6
15360000.00000000
PA
USD
15701145.60000000
0.148013915910
Long
DBT
CORP
US
N
2
2021-08-27
Fixed
3.50000000
N
N
N
N
N
N
Development Bank of Kazakhstan JSC
213800LCDPGJ1BI7KX98
KAZAKH DEVELOPME
N/A
11146000.00000000
PA
USD
11720367.87000000
0.110487322934
Long
DBT
CORP
KZ
N
2
2022-12-10
Fixed
4.12500000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_20-1
N/A
DRIVE 2020-1 A2
26208QAB3
9889650.89000000
PA
USD
9937714.59000000
0.093682339437
Long
ABS-CBDO
CORP
US
N
2
2022-12-15
Fixed
1.99000000
N
N
N
N
N
N
Wakala Global Sukuk Bhd
N/A
WAKALA GLOBAL
N/A
9400000.00000000
PA
USD
9697619.98000000
0.091418979532
Long
DBT
CORP
MY
N
2
2021-07-06
Fixed
4.64600000
N
N
N
N
N
N
Citizens Bank NA/Providence RI
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA
17401QAE1
13725000.00000000
PA
USD
13934992.50000000
0.131364478787
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
2.55000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
539439AP4
24800000.00000000
PA
USD
25916000.00000000
0.244308838504
Long
DBT
CORP
GB
N
2
2023-11-07
Variable
2.90700000
N
N
N
N
N
N
Indonesia Government International Bond
N/A
INDONESIA (REP)
N/A
6420000.00000000
PA
USD
7378104.75000000
0.069553025229
Long
DBT
NUSS
ID
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BEA0
18000000.00000000
PA
USD
18286200.00000000
0.172383094716
Long
DBT
CORP
US
N
2
2021-04-21
Fixed
2.50000000
N
N
N
N
N
N
USAA AUTO OWNER TRUST USAOT_19-1
N/A
USAOT 2019-1 A3
90290EAC3
6890000.00000000
PA
USD
6982808.30000000
0.065826585324
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
2.16000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BDJ2
5158000.00000000
PA
USD
5573786.38000000
0.052543806010
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
3.75000000
N
N
N
N
N
N
Penske Truck Leasing Co Lp / PTL Finance Corp
N/A
PENSKE TRUCK LE
709599BD5
25000000.00000000
PA
USD
25672000.00000000
0.242008662682
Long
DBT
CORP
US
Y
2
2021-07-29
Fixed
3.65000000
N
N
N
N
N
N
Midwest Connector Capital Co LLC
N/A
MIDWEST CONNECTO
59833CAB8
5835000.00000000
PA
USD
5835116.70000000
0.055007353893
Long
DBT
CORP
US
Y
2
2022-04-01
Fixed
3.62500000
N
N
N
N
N
N
KSA Sukuk Ltd
635400XBJFPNCGN9CK71
KSA SUKUK LTD
N/A
3000000.00000000
PA
USD
3096872.70000000
0.029194064374
Long
DBT
CORP
KY
N
2
2022-04-20
Fixed
2.89400000
N
N
N
N
N
N
Northern States Power Co/MN
3S1GHB0TEH85KX44SB51
NORTHERN ST PR-M
665772CK3
1760000.00000000
PA
USD
1843969.60000000
0.017383009384
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
2.60000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
QZ0182266
5000000.00000000
PA
3604517.14000000
0.033979603173
Long
DBT
CORP
US
N
2
2021-08-05
Floating
1.64900000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-MA2
N/A
DLL 2019-MA2 A2
23342NAB4
26158168.37000000
PA
USD
26331858.61000000
0.248229116865
Long
ABS-CBDO
CORP
US
Y
2
2022-05-20
Fixed
2.27000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_17-4
N/A
AMCAR 2017-4 A3
03066FAE1
2047485.02000000
PA
USD
2050945.27000000
0.019334158695
Long
ABS-CBDO
CORP
US
N
2
2022-07-18
Fixed
2.04000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BA1
20000000.00000000
PA
USD
21726800.00000000
0.204817459192
Long
DBT
CORP
JP
N
2
2023-07-26
Fixed
3.76100000
N
N
N
N
N
N
Pepper I-Prime 2018-2 Trust
N/A
PEPAU 2018-2A A1U2
71420LAA4
30000000.00000000
PA
USD
29937765.00000000
0.282221816428
Long
ABS-MBS
CORP
AU
Y
2
2020-10-13
Floating
0.65820000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-A
N/A
FORDO 2020-A A4
34528GAL0
2340000.00000000
PA
USD
2400325.20000000
0.022627745857
Long
ABS-CBDO
CORP
US
N
2
2025-07-15
Fixed
1.35000000
N
N
N
N
N
N
Pricoa Global Funding I
635400IBXEBMD9ADYA79
PRICOA GLOB FUND
74153WCH0
12000000.00000000
PA
USD
12179640.00000000
0.114816858381
Long
DBT
CORP
US
Y
2
2021-06-03
Fixed
2.20000000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_20-1
N/A
VALET 2020-1 A4
92868JAE6
3590000.00000000
PA
USD
3672821.30000000
0.034623503080
Long
ABS-CBDO
CORP
US
N
2
2026-08-20
Fixed
1.26000000
N
N
N
N
N
N
VZOT_17-2
N/A
VZOT 2017-2A C
92348PAC6
3260000.00000000
PA
USD
3268834.60000000
0.030815140623
Long
ABS-CBDO
CORP
US
Y
2
2021-12-20
Fixed
2.38000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_20-1
N/A
GMCAR 2020-1 A2
36258NAB8
8624461.06000000
PA
USD
8688109.58000000
0.081902375377
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
1.83000000
N
N
N
N
N
N
Pertamina Persero PT
254900NDAKGNZ2IBBL45
PT PERTAMINA
N/A
26552000.00000000
PA
USD
28244690.00000000
0.266261282907
Long
DBT
CORP
ID
N
2
2022-05-03
Fixed
4.87500000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TGW9
17000000.00000000
PA
USD
18025950.00000000
0.169929730955
Long
DBT
CORP
US
N
2
2023-03-30
Fixed
2.90000000
N
N
N
N
N
N
N/A
N/A
USD/AUD FWD 20200817
N/A
1.00000000
NC
N/A
-66685.28000000
-0.00062863880
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
4564890.00000000
AUD
3194943.69000000
USD
2020-08-17
-66685.28000000
N
N
N
PFS FINANCING CORP PFSFC_18-B
N/A
PFSFC 2018-B A
69335PCQ6
1100000.00000000
PA
USD
1112705.00000000
0.010489414498
Long
ABS-CBDO
CORP
US
Y
2
2023-02-15
Fixed
2.89000000
N
N
N
N
N
N
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
254900OYVDRYS9J51J61
PERUSAHAAN LISTR
71568QAA5
18293000.00000000
PA
USD
19184783.75000000
0.180853998878
Long
DBT
CORP
ID
N
2
2021-11-22
Fixed
5.50000000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MASSMUTUAL GLBL
57629WBR0
18192000.00000000
PA
USD
19036472.64000000
0.179455877446
Long
DBT
CORP
US
Y
2
2022-10-17
Fixed
2.50000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214DQ3
22175000.00000000
PA
USD
23064217.50000000
0.217425227212
Long
DBT
CORP
AU
N
2
2022-06-28
Fixed
2.50000000
N
N
N
N
N
N
Upjohn Inc
N/A
UPJOHN INC
91533BAA8
22800000.00000000
PA
USD
22991064.00000000
0.216735612819
Long
DBT
CORP
US
Y
2
2022-06-22
Fixed
1.12500000
N
N
N
N
N
N
Consumers Energy Co
7NKTFWJ1G6MELP9TU740
CONSUMERS ENERGY
210518CT1
2065000.00000000
PA
USD
2142644.00000000
0.020198598046
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.85000000
N
N
N
N
N
N
PENDING
N/A
MBALT 2020-A A3
58770FAC6
20000000.00000000
PA
USD
20358600.00000000
0.191919506080
Long
ABS-CBDO
CORP
US
N
2
2022-12-15
Fixed
1.84000000
N
N
N
N
N
N
SoQ Sukuk A QSC
N/A
SOQ SUKUK A Q.S.
N/A
11847000.00000000
PA
USD
12495652.87000000
0.117795895933
Long
DBT
CORP
QA
N
2
2023-01-18
Fixed
3.24100000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747WAF6
11317000.00000000
PA
USD
11608073.24000000
0.109428727062
Long
DBT
CORP
US
N
2
2021-01-25
Fixed
5.75000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967LC3
10000000.00000000
PA
USD
10302200.00000000
0.097118325206
Long
DBT
CORP
US
N
2
2021-12-08
Fixed
2.90000000
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GRP
928668BC5
25000000.00000000
PA
USD
25930500.00000000
0.244445529280
Long
DBT
CORP
US
Y
2
2022-05-13
Fixed
2.90000000
N
N
N
N
N
N
Aon PLC
635400FALWQYX5E6QC64
AON PLC
00185AAD6
4350000.00000000
PA
USD
4775995.50000000
0.045023071203
Long
DBT
CORP
IE
N
2
2023-11-27
Fixed
4.00000000
N
N
N
N
N
N
Perusahaan Penerbit SBSN Indonesia III
254900G208H6Q0L5B953
SBSN INDO III
71567RAE6
3400000.00000000
PA
USD
3446750.00000000
0.032492340218
Long
DBT
NUSS
ID
N
2
2021-03-29
Fixed
3.40000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280AY5
67920000.00000000
PA
USD
69297417.60000000
0.653263297006
Long
DBT
CORP
GB
N
2
2021-05-25
Fixed
2.95000000
N
N
N
N
N
N
TransCanada PipeLines Ltd
5BV01I6231JPDAPMGH09
TRANSCANADA PL
893526DK6
5710000.00000000
PA
USD
5717080.40000000
0.053894631585
Long
DBT
CORP
CA
N
2
2020-10-01
Fixed
3.80000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BS7
10000000.00000000
PA
USD
10701900.00000000
0.100886277156
Long
DBT
CORP
US
N
2
2023-02-27
Fixed
3.40000000
N
N
N
N
N
N
VNDO 2013-PENN Mortgage Trust
N/A
VNDO 2013-PENN B
91830MAG1
8910000.00000000
PA
USD
8910623.70000000
0.084000004881
Long
ABS-MBS
CORP
US
Y
2
2029-12-13
Variable
4.07870000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
N/A
33185000.00000000
PA
USD
34712432.54000000
0.327232369019
Long
DBT
NUSS
AE
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_17-C
N/A
NAROT 2017-C A4
65478HAE8
320000.00000000
PA
USD
326700.80000000
0.003079792135
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
2.28000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GEM7
15000000.00000000
PA
USD
16168500.00000000
0.152419642512
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.70000000
N
N
N
N
N
N
National Australia Bank Ltd/New York
549300E2IPL06NDXMZ63
NATL AUS BANK/NY
63254AAX6
10000000.00000000
PA
USD
10099900.00000000
0.095211253203
Long
DBT
CORP
AU
N
2
2021-01-12
Fixed
2.50000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_18-A
N/A
SOFI 2018-A A2A
83406EAB1
5301049.13000000
PA
USD
5302109.34000000
0.049982720114
Long
ABS-CBDO
CORP
US
Y
2
2042-02-25
Fixed
2.39000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90352JAA1
1250000.00000000
PA
USD
1306250.00000000
0.012313953553
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
Reckitt Benckiser Treasury Services PLC
213800LAXWIUOOBZ3908
RECKITT BEN TSY
75625QAC3
6700000.00000000
PA
USD
6923177.00000000
0.065264444035
Long
DBT
CORP
GB
Y
2
2022-06-24
Fixed
2.37500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
05574LFY9
3860000.00000000
PA
USD
4136376.00000000
0.038993410101
Long
DBT
CORP
FR
N
2
2023-03-03
Fixed
3.25000000
N
N
N
N
N
N
W R Berkley Corp
SQOAGCLKBDWNVYV1OV80
BERKLEY (WR)
084423AR3
6618000.00000000
PA
USD
6644935.26000000
0.062641473040
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
5.37500000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TGZ2
55000000.00000000
PA
USD
55800250.00000000
0.526026171699
Long
DBT
CORP
US
N
2
2022-05-26
Fixed
1.15000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_20-3
N/A
CARMX 2020-3 A4
14315FAE7
4660000.00000000
PA
USD
4685816.40000000
0.044172957328
Long
ABS-CBDO
CORP
US
N
2
2026-03-16
Fixed
0.77000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC HERTZ_18-2A
N/A
HERTZ 2018-2A A
42806DBV0
2776482.72000000
PA
USD
2769708.10000000
0.026109900019
Long
ABS-CBDO
CORP
US
Y
2
2022-06-27
Fixed
3.65000000
N
N
N
N
N
N
Petrobras Global Finance BV
549300FNENFFSMO3GT38
PETROBRAS
71647NAP4
23914000.00000000
PA
USD
25109700.00000000
0.236707888647
Long
DBT
CORP
NL
N
2
2021-05-23
Fixed
8.37500000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AG9
17124000.00000000
PA
USD
17446273.68000000
0.164465151219
Long
DBT
CORP
JP
N
2
2021-09-13
Fixed
2.19000000
N
N
N
N
N
N
TRILLIUM CREDIT CARD TRUST II TCCT_19-2A
N/A
TCCT 2019-2A A
89621AAP4
48980000.00000000
PA
USD
49497919.42000000
0.466614415877
Long
ABS-CBDO
CORP
CA
Y
2
2024-01-26
Fixed
3.03800000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_18-1
N/A
VZOT 2018-1A B
92349FAC7
37984000.00000000
PA
USD
38852314.24000000
0.366258827179
Long
ABS-CBDO
CORP
US
Y
2
2022-09-20
Fixed
3.05000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174824M3
11329000.00000000
PA
USD
12317568.54000000
0.116117103843
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.87500000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2013-C18
549300O5GNH0TNJ6B119
WFRBS 2013-C18 A2
96221QAB9
623.12000000
PA
USD
623.79000000
0.000005880437
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
3.02700000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_16-3
N/A
SDART 2016-3 D
80284RAG4
5500000.00000000
PA
USD
5537125.00000000
0.052198201011
Long
ABS-CBDO
CORP
US
N
2
2022-08-15
Fixed
2.80000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_19-C
N/A
SRT 2019-C A2A
80284NAB4
35129508.95000000
PA
USD
35499773.97000000
0.334654597383
Long
ABS-CBDO
CORP
US
Y
2
2022-09-20
Fixed
1.89000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90351DAD9
13330000.00000000
PA
USD
13573672.40000000
0.127958332238
Long
DBT
CORP
CH
Y
2
2021-04-15
Fixed
3.00000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAB5
9850000.00000000
PA
USD
9997750.00000000
0.094248290251
Long
DBT
CORP
JP
Y
2
2021-04-12
Fixed
2.63200000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
VERIZON COMM INC
92343VDQ4
8298000.00000000
PA
USD
8641703.16000000
0.081464904372
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
2.94600000
N
N
N
N
N
N
Sinopec Group Overseas Development 2017 Ltd
5493001IPW8ZGQ181Z16
SINOPEC OVERSEAS
N/A
4801000.00000000
PA
USD
4950507.94000000
0.046668191265
Long
DBT
CORP
VG
N
2
2022-04-12
Fixed
3.00000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCD8
50357000.00000000
PA
USD
52139134.23000000
0.491513016065
Long
DBT
CORP
CA
N
2
2022-12-01
Fixed
1.90000000
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINL
14040HCD5
26051000.00000000
PA
USD
27318120.64000000
0.257526559796
Long
DBT
CORP
US
N
2
2023-05-11
Fixed
2.60000000
N
N
N
N
N
N
NextEra Energy Capital Holdings Inc
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY
65339KBF6
22975000.00000000
PA
USD
23905487.50000000
0.225355837513
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.90000000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630CT3
10000000.00000000
PA
USD
10000200.00000000
0.094271386279
Long
DBT
NUSS
KR
N
2
2021-03-12
Floating
0.86840000
N
N
N
N
N
N
HSBC Bank USA NA
1IE8VN30JCEQV1H4R804
HSBC BANK USA NA
4042Q1AE7
10000000.00000000
PA
USD
10019200.00000000
0.094450498330
Long
DBT
CORP
US
N
2
2020-08-24
Fixed
4.87500000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
94974BEV8
35000000.00000000
PA
USD
35990150.00000000
0.339277347742
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
4.60000000
N
N
N
N
N
N
N/A
N/A
USD/AUD FWD 20200817
N/A
1.00000000
NC
N/A
-63215.50000000
-0.00059592936
N/A
DFE
N/A
N
2
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
3550330.00000000
AUD
2473507.00000000
USD
2020-08-17
-63215.50000000
N
N
N
NISSAN AUTO LEASE TRUST NALT_19-B
N/A
NALT 2019-B A3
65478LAD1
27000000.00000000
PA
USD
27369360.00000000
0.258009590685
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
2.27000000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP_15-2A
N/A
AESOP 2016-2A A
05377RCK8
11095000.00000000
PA
USD
11036751.25000000
0.104042903177
Long
ABS-CBDO
CORP
US
Y
2
2022-11-20
Fixed
2.72000000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAR0
21277000.00000000
PA
USD
21634666.37000000
0.203948920060
Long
DBT
CORP
FR
N
2
2021-07-12
Fixed
2.21800000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAB5
7072000.00000000
PA
USD
7337624.32000000
0.069171418235
Long
DBT
CORP
FR
N
2
2022-02-17
Fixed
2.87500000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP_16-1
N/A
AESOP 2016-1A A
05377RCD4
13370000.00000000
PA
USD
13294994.30000000
0.125331247698
Long
ABS-CBDO
CORP
US
Y
2
2022-06-20
Fixed
2.99000000
N
N
N
N
N
N
CNOOC Curtis Funding No 1 Pty Ltd
5299001NILZF0ECHTS51
CNOOC CURTIS
N/A
40738000.00000000
PA
USD
44918936.87000000
0.423448575920
Long
DBT
CORP
AU
N
2
2023-10-03
Fixed
4.50000000
N
N
N
N
N
N
Saudi Government International Bond
N/A
SAUDI INT BOND
N/A
34000000.00000000
PA
USD
34613132.20000000
0.326296269670
Long
DBT
NUSS
SA
N
2
2021-10-26
Fixed
2.37500000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK
94988J5N3
5000000.00000000
PA
USD
5052850.00000000
0.047632964756
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
2.60000000
N
N
N
N
N
N
Pertamina Persero PT
254900NDAKGNZ2IBBL45
PERTAMINA
EI6813931
1930000.00000000
PA
USD
1990486.20000000
0.018764214060
Long
DBT
CORP
ID
N
2
2021-05-23
Fixed
5.25000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK
65557CBE2
3000000.00000000
PA
USD
3031290.00000000
0.028575819535
Long
DBT
CORP
FI
Y
2
2023-06-09
Fixed
1.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
48128BAB7
22510000.00000000
PA
USD
23330489.50000000
0.219935360066
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.97200000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
SHELL INTL FIN
822582AS1
6000000.00000000
PA
USD
6241380.00000000
0.058837177745
Long
DBT
CORP
NL
N
2
2022-08-21
Fixed
2.37500000
N
N
N
N
N
N
SANTANDER CONSUMER AUTO RECEIVABLES TRUST SCART_20-AA
N/A
SCART 2020-AA A
80281MAA1
14631484.78000000
PA
USD
14751755.58000000
0.139064063576
Long
ABS-CBDO
CORP
US
Y
2
2024-10-15
Fixed
1.37000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
N/A
18500000.00000000
PA
13357077.45000000
0.125916502455
Long
DBT
CORP
AU
N
2
2026-03-10
Floating
3.20000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
N/A
2930000.00000000
PA
3912803.02000000
0.036885798777
Long
DBT
CORP
US
N
2
2022-04-22
Fixed
2.12500000
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST
N/A
TALNT 2019-1A A
89231XAA9
860000.00000000
PA
USD
918299.40000000
0.008656762610
Long
ABS-CBDO
CORP
US
Y
2
2031-11-25
Fixed
2.56000000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK
94988J5X1
4790000.00000000
PA
USD
4873298.10000000
0.045940337957
Long
DBT
CORP
US
N
2
2022-05-27
Variable
2.89700000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAV ENSKIL
83051GAM0
5215000.00000000
PA
USD
5418176.40000000
0.051076878495
Long
DBT
CORP
SE
Y
2
2022-12-12
Fixed
2.20000000
N
N
N
N
N
N
Reliance Standard Life Global Funding II
N/A
REL STAN LIFE II
75951AAM0
5515000.00000000
PA
USD
5647249.70000000
0.053236341061
Long
DBT
CORP
US
Y
2
2023-01-21
Fixed
2.15000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EBE6
22750000.00000000
PA
USD
23677517.50000000
0.223206775702
Long
DBT
CORP
US
N
2
2022-05-17
Fixed
2.80000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC
80283LAP8
1500000.00000000
PA
USD
1506960.00000000
0.014206036706
Long
DBT
CORP
GB
N
2
2020-11-03
Fixed
2.12500000
N
N
N
N
N
N
Hungary Government International Bond
N/A
HUNGARY
445545AJ5
8000000.00000000
PA
USD
9188960.00000000
0.086623867289
Long
DBT
NUSS
HU
N
2
2023-11-22
Fixed
5.75000000
N
N
N
N
N
N
State Grid Overseas Investment 2016 Ltd
3003006V8BHG5158QO96
STATE GRID OSEAS
N/A
19705000.00000000
PA
USD
20283909.25000000
0.191215400107
Long
DBT
CORP
VG
N
2
2022-05-04
Fixed
2.75000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GDB2
2240000.00000000
PA
USD
2327875.20000000
0.021944763323
Long
DBT
CORP
US
Y
2
2022-06-17
Fixed
2.40000000
N
N
N
N
N
N
Federal Realty Investment Trust
549300LI6XZ51GOCJ427
FEDERAL REALTY I
313747AW7
2700000.00000000
PA
USD
2703564.00000000
0.025486362890
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
2.55000000
N
N
N
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
STACR 2018-SPI1 M1
3137G1CK1
395199.40800000
PA
USD
392883.54000000
0.003703693522
Long
ABS-MBS
CORP
US
Y
2
2048-02-25
Variable
3.72300000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAS5
22262000.00000000
PA
USD
22847490.60000000
0.215382153543
Long
DBT
CORP
US
N
2
2022-06-18
Variable
3.51400000
N
N
N
N
N
N
Santander Holdings USA Inc
549300SMVCQN2P0O6I58
SANTANDER HOLD
80282KAT3
6600000.00000000
PA
USD
6839250.00000000
0.064473268395
Long
DBT
CORP
US
N
2
2022-03-28
Fixed
3.70000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_20-2
N/A
AMCAR 2020-2 C
03066EAF1
2520000.00000000
PA
USD
2523049.20000000
0.023784658880
Long
ABS-CBDO
CORP
US
N
2
2026-02-18
Fixed
1.48000000
N
N
N
N
N
N
Kimco Realty Corp
549300EA7I6T15IBYS12
KIMCO REALTY
49446RAL3
5295000.00000000
PA
USD
5364629.25000000
0.050572092185
Long
DBT
CORP
US
N
2
2021-05-01
Fixed
3.20000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-40103.70000000
-0.00037805557
N/A
DFE
N/A
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
5000000000.00000000
KRW
4161326.30000000
USD
2021-01-19
-40103.70000000
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-B
N/A
NAROT 2019-B A3
65479HAC1
10000000.00000000
PA
USD
10292700.00000000
0.097028769180
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
2.50000000
N
N
N
N
N
N
Croatia Government International Bond
N/A
CROATIA
N/A
7000000.00000000
PA
USD
7243327.00000000
0.068282482106
Long
DBT
NUSS
HR
N
2
2021-03-24
Fixed
6.37500000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_20-A
N/A
CNH 2020-A A4
12597PAD0
2250000.00000000
PA
USD
2298150.00000000
0.021664545346
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
1.51000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_16-4
N/A
CARMX 2016-4 D
14312QAG1
6520000.00000000
PA
USD
6566357.20000000
0.061900721590
Long
ABS-CBDO
CORP
US
N
2
2023-04-17
Fixed
2.91000000
N
N
N
N
N
N
FAIR SQUARE ISSUANCE TRUST_20-A
N/A
FSIT 2020-AA A
303394AA8
3060000.00000000
PA
USD
3056419.80000000
0.028812716905
Long
ABS-CBDO
CORP
US
Y
2
2024-09-20
Fixed
2.90000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA_20-A-B 1.18 1/22/2024
88167HAE6
2080000.00000000
PA
USD
2079584.00000000
0.019604134573
Long
ABS-CBDO
CORP
US
Y
2
2024-01-22
Fixed
1.18000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
WASTE MANAGEMENT
94106LAY5
4000000.00000000
PA
USD
4182040.00000000
0.039423882349
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.90000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-37851.32000000
-0.00035682250
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4163578.68000000
USD
2021-01-19
-37851.32000000
N
N
N
Raytheon Technologies Corp
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH
75513EBB6
37892000.00000000
PA
USD
39185253.96000000
0.369397433302
Long
DBT
CORP
US
Y
2
2022-03-15
Fixed
2.80000000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QBC9
1770000.00000000
PA
USD
1854499.80000000
0.017482277054
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
2.37500000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_18-3
N/A
EFF 2018-3 A2
29373GAB8
7383299.28000000
PA
USD
7514131.34000000
0.070835341103
Long
ABS-CBDO
CORP
US
Y
2
2024-05-20
Fixed
3.38000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AERCAP IRELAND
00772BAQ4
21492000.00000000
PA
USD
21678335.64000000
0.204360588089
Long
DBT
CORP
IE
N
2
2020-10-30
Fixed
4.62500000
N
N
N
N
N
N
Pacific Gas and Electric Co
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS&ELEC
694308JE8
20000000.00000000
PA
USD
20047400.00000000
0.188985839212
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_19-A
N/A
TESLA 2019-A A2
88165GAB6
27202849.80000000
PA
USD
27532004.28000000
0.259542830195
Long
ABS-CBDO
CORP
US
Y
2
2022-04-20
Fixed
2.13000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-B
N/A
TAOT 2020-B A4
89239RAD8
4460000.00000000
PA
USD
4619757.20000000
0.043550220547
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
1.66000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_18-3
N/A
DRIVE 2018-3 C
26208KAF7
9059001.61000000
PA
USD
9141619.70000000
0.086177592643
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Fixed
3.72000000
N
N
N
N
N
N
IBM Credit LLC
549300ZNLJL43AQTG067
IBM CREDIT LLC
44932HAC7
625000.00000000
PA
USD
648581.25000000
0.006114143072
Long
DBT
CORP
US
N
2
2022-09-08
Fixed
2.20000000
N
N
N
N
N
N
Federal Realty Investment Trust
549300LI6XZ51GOCJ427
FED RLTY INVS TR
313747AS6
475000.00000000
PA
USD
485169.75000000
0.004573671017
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
3.00000000
N
N
N
N
N
N
National Retail Properties Inc
5493008JKH5SOTI0JS97
NATIONAL RETAIL
637417AF3
2950000.00000000
PA
USD
3083458.00000000
0.029067604667
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.30000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-B
N/A
FORDL 2020-B C
34531RAG2
3260000.00000000
PA
USD
3261467.00000000
0.030745686625
Long
ABS-CBDO
CORP
US
N
2
2025-02-15
Fixed
1.70000000
N
N
N
N
N
N
CNH Industrial Capital LLC
549300PNSJ5B81UMVO28
CNH INDUSTRIAL
12592BAE4
6060000.00000000
PA
USD
6087633.60000000
0.057387818106
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
4.37500000
N
N
N
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
TYSON FOODS INC
902494AT0
2000000.00000000
PA
USD
2128560.00000000
0.020065828881
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
949746SD4
15000000.00000000
PA
10792029.91000000
0.101735927319
Long
DBT
CORP
US
N
2
2021-07-27
Floating
1.42210000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_18-C
N/A
SOFI 2018-C A1FX
78490DAA2
8625689.63000000
PA
USD
8672354.61000000
0.081753854061
Long
ABS-CBDO
CORP
US
Y
2
2048-01-25
Fixed
3.08000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR
26442CAK0
1800000.00000000
PA
USD
1840464.00000000
0.017349962268
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
3.90000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDJ8
1624000.00000000
PA
USD
1768974.48000000
0.016676034131
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-A
N/A
FORDL 2020-A A2
34531MAB4
19000000.00000000
PA
USD
19163590.00000000
0.180654206454
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
1.80000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833CQ1
7000000.00000000
PA
USD
7231000.00000000
0.068166276092
Long
DBT
CORP
US
N
2
2022-05-11
Fixed
2.30000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_19-B
N/A
SRT 2019-B A2A
80281GAB2
32072860.47000000
PA
USD
32345159.06000000
0.304916200076
Long
ABS-CBDO
CORP
US
Y
2
2022-04-20
Fixed
2.29000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2B8
24800000.00000000
PA
USD
25778608.00000000
0.243013650977
Long
DBT
CORP
US
N
2
2022-07-22
Fixed
2.62500000
N
N
N
N
N
N
ARL FIRST LLC ARLFR_14-1A
N/A
ARLFR 2014-1A A1
00214MAA1
149585.25000000
PA
USD
146452.93000000
0.001380604461
Long
ABS-CBDO
CORP
US
Y
2
2044-06-15
Fixed
2.92000000
N
N
N
N
N
N
EDP Finance BV
5299007L43AQDFOW5739
EDP FINANCE BV
26835PAD2
1600000.00000000
PA
USD
1630080.00000000
0.015366682800
Long
DBT
CORP
NL
Y
2
2021-01-14
Fixed
5.25000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDD1
14049000.00000000
PA
USD
14648611.32000000
0.138091727785
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-4
N/A
HAROT 2019-4 A4
43813VAD0
1900000.00000000
PA
USD
1962092.00000000
0.018496543353
Long
ABS-CBDO
CORP
US
N
2
2026-01-20
Fixed
1.87000000
N
N
N
N
N
N
SOFI_18-D
N/A
SOFI 2018-D A1FX
83401AAA6
5166033.17000000
PA
USD
5179309.88000000
0.048825095733
Long
ABS-CBDO
CORP
US
Y
2
2048-02-25
Fixed
3.12000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EBA4
10800000.00000000
PA
USD
10866744.00000000
0.102440253317
Long
DBT
CORP
US
N
2
2021-10-26
Variable
3.52500000
N
N
N
N
N
N
LG&E and KU Energy LLC
N/A
LG&E & KU ENERGY
50188FAD7
13807000.00000000
PA
USD
13835994.70000000
0.130431231467
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
3.75000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB
87020PAG2
10410000.00000000
PA
USD
10539812.70000000
0.099358288269
Long
DBT
CORP
SE
Y
2
2021-03-10
Fixed
2.65000000
N
N
N
N
N
N
Indonesia Government International Bond
N/A
INDONESIA (REP)
N/A
45074000.00000000
PA
USD
46967928.35000000
0.442764316335
Long
DBT
NUSS
ID
N
2
2022-04-25
Fixed
3.75000000
N
N
N
N
N
N
Mead Johnson Nutrition Co
E4BJRFT3MF4GJDY1SC50
MEAD JOHNSON NUT
582839AJ5
11770000.00000000
PA
USD
11845798.80000000
0.111669754051
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
3.00000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513AT2
1790000.00000000
PA
USD
1885335.40000000
0.017772962716
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
2.65000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 B
36259PAF3
1400000.00000000
PA
USD
1420006.00000000
0.013386325687
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.56000000
N
N
N
N
N
N
N/A
N/A
USD/KRW FWD 20210119
N/A
1.00000000
NC
N/A
-44013.58000000
-0.00041491382
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5000000000.00000000
KRW
4157416.42000000
USD
2021-01-19
-44013.58000000
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-B
N/A
NAROT 2020-B A4
65479CAE8
7030000.00000000
PA
USD
7037240.90000000
0.066339718728
Long
ABS-CBDO
CORP
US
N
2
2027-01-15
Fixed
0.71000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BH5
9610000.00000000
PA
USD
9958362.50000000
0.093876986254
Long
DBT
CORP
US
Y
2
2023-03-30
Variable
2.82500000
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV
00084DAQ3
1784000.00000000
PA
USD
1801840.00000000
0.016985855748
Long
DBT
CORP
NL
Y
2
2021-01-19
Fixed
2.65000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_18-B
N/A
TESLA 2018-B B
88161NAB5
2800000.00000000
PA
USD
2879044.00000000
0.027140604091
Long
ABS-CBDO
CORP
US
Y
2
2021-10-20
Fixed
4.12000000
N
N
N
N
N
N
Permanent Master Issuer PLC
213800MVYG7MLQM2LF25
PERMM 2018-1A 1A1
71419GAX8
4987500.00000000
PA
USD
4981365.38000000
0.046959082811
Long
ABS-MBS
CORP
GB
Y
2
2058-07-15
Floating
1.59890000
N
N
N
N
N
N
Lanark Master Issuer PLC
213800KIOPB5OYXIVY33
LAN 2020-1A 1A
513770BE6
720000.00000000
PA
USD
731131.20000000
0.006892337330
Long
ABS-MBS
CORP
GB
Y
2
2069-12-22
Variable
2.27700000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-2
N/A
VALET 2018-2 A4
92869BAE2
2850000.00000000
PA
USD
2993611.50000000
0.028220626196
Long
ABS-CBDO
CORP
US
N
2
2025-02-20
Fixed
3.33000000
N
N
N
N
N
N
TRANSPORTATION FINANCE EQUIPMENT TRUST TFET_19-1
N/A
TFET 2019-1 A2
89389JAB8
17330141.08000000
PA
USD
17411072.84000000
0.164133314657
Long
ABS-CBDO
CORP
US
Y
2
2022-01-24
Fixed
1.90000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING GROEP NV
456837AG8
25530000.00000000
PA
USD
26555284.80000000
0.250335344406
Long
DBT
CORP
NL
N
2
2022-03-29
Fixed
3.15000000
N
N
N
N
N
N
TIDEWATER AUTO RECEIVABLES TRUST TMCAT_18-AA
N/A
TMCAT 2018-AA B
88642MAC4
1443631.72000000
PA
USD
1451311.84000000
0.013681444279
Long
ABS-CBDO
CORP
US
Y
2
2024-11-15
Fixed
3.45000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWG5
5250000.00000000
PA
USD
5295937.50000000
0.049924538486
Long
DBT
CORP
US
N
2
2020-12-27
Fixed
2.60000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913Q3A5
1180000.00000000
PA
USD
1217028.40000000
0.011472865983
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
1.90000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_18-2
N/A
GFORT 2018-2 C
361886BN3
1144000.00000000
PA
USD
1147020.16000000
0.010812901799
Long
ABS-CBDO
CORP
US
Y
2
2023-03-15
Fixed
3.44000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_19-2
N/A
DRIVE 2019-2 B
26208RAE5
18000000.00000000
PA
USD
18269820.00000000
0.172228681273
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
3.17000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S
23636AAM3
9469000.00000000
PA
USD
9764906.25000000
0.092053283841
Long
DBT
CORP
DK
Y
2
2022-03-02
Fixed
2.70000000
N
N
N
N
N
N
CNOOC Finance 2015 USA LLC
549300Q3CTIH31RFPO82
CNOOC FINANCE
12634MAD2
10000000.00000000
PA
USD
10703500.00000000
0.100901360276
Long
DBT
CORP
US
N
2
2023-05-02
Fixed
3.75000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-B
N/A
FORDO 2020-B A3
34533GAD1
58200000.00000000
PA
USD
58336770.00000000
0.549937819138
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
0.56000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BK PLC
06739GCR8
15000000.00000000
PA
USD
15216000.00000000
0.143440472553
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
94974BFC9
14982000.00000000
PA
USD
15683007.78000000
0.147842931586
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.50000000
N
N
N
N
N
N
Reliance Standard Life Global Funding II
N/A
REL STAN LIFE II
75951AAE8
15000000.00000000
PA
USD
15149400.00000000
0.142812637677
Long
DBT
CORP
US
Y
2
2021-01-20
Fixed
3.05000000
N
N
N
N
N
N
Credit Suisse Group Funding Guernsey Ltd
549300PXR5FKNXF0OH19
CRED SUIS GP FUN
225433AK7
22000000.00000000
PA
USD
22202180.00000000
0.209298842725
Long
DBT
CORP
GG
N
2
2020-12-10
Fixed
3.12500000
N
N
N
N
N
N
Petrobras Global Finance BV
549300FNENFFSMO3GT38
PETROBRAS GLOB
71645WAR2
9834000.00000000
PA
USD
9969217.50000000
0.093979315798
Long
DBT
CORP
NL
N
2
2021-01-27
Fixed
5.37500000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAE9
16545000.00000000
PA
USD
16868620.20000000
0.159019640694
Long
DBT
CORP
JP
N
2
2021-09-13
Fixed
2.27300000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200JX0
2680000.00000000
PA
USD
2801377.20000000
0.026408443044
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.85000000
N
N
N
N
N
N
Aetna Inc
549300QKBENKLBXQ8968
AETNA INC
00817YAV0
4028000.00000000
PA
USD
4255783.40000000
0.040119057701
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
Newmont Corp
549300VSP3RIX7FGDZ51
NEWMONT GOLDCORP
651639AN6
2000000.00000000
PA
USD
2067680.00000000
0.019491916159
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.50000000
N
N
N
N
N
N
RESIMAC Premier Series 2017-1
N/A
RESI 2017-1A A1A
76118RAA7
4082903.34000000
PA
USD
4076200.03000000
0.038426134235
Long
ABS-MBS
CORP
AU
Y
2
2048-09-11
Floating
1.12820000
N
N
N
N
N
N
Manufacturers & Traders Trust Co
WWB2V0FCW3A0EE3ZJN75
MANUF & TRADERS
55279HAL4
28000000.00000000
PA
USD
29010800.00000000
0.273483363639
Long
DBT
CORP
US
N
2
2022-05-18
Fixed
2.50000000
N
N
N
N
N
N
Latvia Government International Bond
N/A
REP OF LATVIA
N/A
1500000.00000000
PA
USD
1556894.70000000
0.014676768630
Long
DBT
NUSS
LV
N
2
2021-06-16
Fixed
5.25000000
N
N
N
N
N
N
COMM 2014-CR14 Mortgage Trust
N/A
COMM 2014-CR14 A2
12630DAV6
31051.77000000
PA
USD
31105.80000000
0.000293232824
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Fixed
3.14700000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_19-B
N/A
VZOT 2019-B A1A
92349GAA9
4230000.00000000
PA
USD
4338499.50000000
0.040898818247
Long
ABS-CBDO
CORP
US
N
2
2023-12-20
Fixed
2.33000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS
00440EAU1
22990000.00000000
PA
USD
24143868.10000000
0.227603039532
Long
DBT
CORP
US
N
2
2022-11-03
Fixed
2.87500000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-B
N/A
NAROT 2020-B A3
65479CAD0
50050000.00000000
PA
USD
50088038.00000000
0.472177434278
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.55000000
N
N
N
N
N
N
2020-08-31
VANGUARD FIXED INCOME SECURITIES FUNDS
Christine M. Buchanan
Christine M. Buchanan
Treasurer