BAIN CAPITAL CREDIT CLO 2019-3 LTD ARR TSFR3M+103 10/21/2034 144A

NPORT-P false 0001562565 XXXXXXXX S000099377 C000269153 Fidelity Merrimack Street Trust 811-22796 0001562565 549300782HVYOIE6CE74 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity AAA CLO ETF S000099377 254900SOB5NOSDO1LK02 2026-08-31 2026-05-31 N 45437284.32 398750.00 45038534.32 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 262.44000000 USD N BAIN CAPITAL CREDIT CLO 2019-3 LTD N/A BAIN CAPITAL CREDIT CLO 2019-3 LTD ARR TSFR3M+103 10/21/2034 144A 05683TBA6 300000.00000000 PA USD 299989.80000000 0.666073629014 Long ABS-CBDO CORP KY N 2 2034-10-21 Variable 0.04702140 N N N N N N RR 16 LTD 549300FLUOZC8QYYKL96 RR 16 LTD A1R TSFR3M+105 07/15/2036 144A 74971CAJ2 250000.00000000 PA USD 250163.00000000 0.555442142549 Long ABS-CBDO CORP KY N 2 2036-07-15 Variable 0.04723100 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD N/A GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD ARR TSFR3M+115 10/20/2034 144A 38136NAY2 250000.00000000 PA USD 250174.00000000 0.555466566079 Long ABS-CBDO CORP KY N 2 2034-10-20 Variable 0.04825230 N N N N N N DRYDEN SENIOR LOAN FUND N/A DRYDEN SENIOR LOAN FUND A1R TSFR3M+ 11/15/2038 144A 262484AN8 550000.00000000 PA USD 550594.55000000 1.222496598330 Long ABS-CBDO CORP KY N 2 2038-11-15 Variable 0.04901070 N N N N N N AIMCO CLO SERIES 2015-A N/A AIMCO CLO SERIES 2015-A A1R4 TSFR3M+ 10/17/2038 144A 00900LBJ2 350000.00000000 PA USD 350980.00000000 0.779288236837 Long ABS-CBDO CORP KY N 2 2038-10-17 Variable 0.04930380 N N N N N N FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC N/A FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC A TSFR3M+133 01/15/2038 144A 33888AAC9 250000.00000000 PA USD 250903.25000000 0.557085735111 Long ABS-CBDO CORP JE N 2 2038-01-15 Variable 0.05003100 N N N N N N SIXST 2018-12A N/A SIXST 2018-12A A1R2 TSFR3M+ 01/17/2039 144A 829928AC4 250000.00000000 PA USD 250399.50000000 0.555967248447 Long ABS-CBDO CORP KY N 2 2039-01-17 Variable 0.04880380 N N N N N N BENEFIT STREET PARTNERS CLO XXV LTD N/A BENEFIT STREET PARTNERS CLO XXV LTD A1R TSFR3M+100 01/15/2035 144A 08186YAL8 550000.00000000 PA USD 550001.65000000 1.221180170056 Long ABS-CBDO CORP KY N 2 2035-01-15 Variable 0.04673100 N N N N N N BRYANT PARK FUNDING 2023-19 LTD N/A BRYANT PARK FUNDING 2023-19 LTD A1R TSFR3M+120 04/15/2038 144A 11765AAQ2 320000.00000000 PA USD 319838.72000000 0.710144601348 Long ABS-CBDO CORP KY N 2 2038-04-15 Variable 0.04873100 N N N N N N MAGNETITE XLII LTD N/A MAGNETITE XLII LTD A1 TSFR3M+131 01/25/2038 144A 55955XAA4 250000.00000000 PA USD 250778.75000000 0.556809305156 Long ABS-CBDO CORP KY N 2 2038-01-25 Variable 0.04976590 N N N N N N MAGNETITE XXVI LTD / MAGNETITE XXVI LLC N/A MAGNETITE XXVI LTD / MAGNETITE XXVI LLC AR2 TSFR3M+115 01/25/2038 144A 55954YAW5 500000.00000000 PA USD 499700.00000000 1.109494364202 Long ABS-CBDO CORP KY N 2 2038-01-25 Variable 0.04818020 N N N N N N WONDER LAKE PARK CLO LTD N/A WONDER LAKE PARK CLO LTD 2025-1A A TSFR3M+129 07/24/2038 144A 97816WAA7 250000.00000000 PA USD 250711.25000000 0.556659433494 Long ABS-CBDO CORP KY N 2 2038-07-24 Variable 0.04957090 N N N N N N REGATTA XXII FUNDING LTD N/A REGATTA XXII FUNDING LTD A1R2 TSFR3M+126 01/15/2039 144A 758968AY7 250000.00000000 PA USD 250211.75000000 0.555550383194 Long ABS-CBDO CORP KY N 2 2039-01-15 Variable 0.04933100 N N N N N N BENEFIT STR PARTNERS CLO IV LTD / BENEFIT STR PARTNERS CLO IV LLC 5493002BNZCV0YE1MG83 BENEFIT STR PARTNERS CLO IV LTD / BENEFIT STR PARTNERS CLO IV LLC AR5 TSFR3M+ 10/20/2038 144A 08180FCG4 500000.00000000 PA USD 500820.50000000 1.111982233794 Long ABS-CBDO CORP KY N 2 2038-10-20 Variable 0.04925230 N N N N N N RR 32 LTD / RR 32 LLC N/A RR 32 LTD / RR 32 LLC A1R TSFR3M+136 10/15/2039 144A 74988CAA2 250000.00000000 PA USD 250383.25000000 0.555931168232 Long ABS-CBDO CORP KY N 2 2039-10-15 Variable 0.05033100 N N N N N N BENEFIT STR PARTNERS CLO VI-B LTD / BENEFIT STR PARTNERS CLO VI-B LLC N/A BENEFIT STR PARTNERS CLO VI-B LTD / BENEFIT STR PARTNERS CLO VI-B LLC A1R TSFR3M+118 04/20/2038 144A 08182DAN4 500000.00000000 PA USD 500490.00000000 1.111248417730 Long ABS-CBDO CORP KY N 2 2038-04-20 Variable 0.04855230 N N N N N N BCRED BSL STATIC CLO 2025-1 LTD / LLC N/A BCRED BSL STATIC CLO 2025-1 A AR LTD / LLC AR TSFR3M+125 07/15/2035 144A 05556KAA0 216974.31000000 PA USD 217142.68000000 0.482126435236 Long ABS-CBDO CORP KY N 2 2035-07-24 Variable 0.04917090 N N N N N N ARES LOAN FUNDING VIII LTD N/A ARES LOAN FUNDING VIII LTD A1 TSFR3M+125 01/24/2038 144A 04021MAA6 750000.00000000 PA USD 751200.00000000 1.667905075823 Long ABS-CBDO CORP KY N 2 2038-01-24 Variable 0.04917090 N N N N N N MADISON PARK FUNDING LTD N/A MADISON PARK FUNDING LTD A1R TSFR3M+140 07/21/2038 144A 55817GAN1 250000.00000000 PA USD 250737.25000000 0.556717161838 Long ABS-CBDO CORP KY N 2 2038-07-21 Variable 0.05072140 N N N N N N BENEFIT STREET PARTNERS CLO XX LTD N/A BENEFIT STREET PARTNERS CLO XX LTD ARR TSFR3M+129 07/15/2037 144A 08182FAY5 500000.00000000 PA USD 500919.00000000 1.112200935405 Long ABS-CBDO CORP KY N 2 2037-07-15 Variable 0.04963100 N N N N N N ELMWOOD CLO 40 LTD N/A ELMWOOD CLO 40 LTD A TSFR3M+124 03/22/2038 144A 29004FAA9 250000.00000000 PA USD 250102.25000000 0.555307258053 Long ABS-CBDO CORP KY N 2 2038-03-22 Variable 0.04920380 N N N N N N OCP CLO AEGIS 2024-39 LTD N/A OCP CLO AEGIS LTD 2024-39A AR TSFR3M+109 04/16/2038 144A 67570HAA9 250000.00000000 PA USD 249558.75000000 0.554100513633 Long ABS-CBDO CORP JE N 2 2038-04-16 Variable 0.04769520 N N N N N N SIXTH STREET CLO XVIII LTD N/A SIXTH STREET CLO XVIII LTD 2021-18A A1R TSFR3M+125 10/17/2038 144A 83012HAL8 250000.00000000 PA USD 250727.50000000 0.556695513709 Long ABS-CBDO CORP KY N 2 2038-10-17 Variable 0.04930380 N N N N N N TEXAS DEBT CAPITAL CLO 2023-I LTD N/A TEXAS DEBT CAPITAL CLO 2023-1A A1R TSFR3M+130 07/20/2038 144A 88238CAE2 387000.00000000 PA USD 388092.50000000 0.861689897017 Long ABS-CBDO CORP KY N 2 2038-07-20 Variable 0.04975230 N N N N N N MORGAN STANLEY EATON VANCE CLO 2023-20 LTD N/A MORGAN STANLEY EATON VANCE CLO 2023-20 LTD A1R TSFR3M+132 01/20/2037 144A 617936AL3 250000.00000000 PA USD 250456.50000000 0.556093806740 Long ABS-CBDO CORP KY N 2 2037-01-20 Variable 0.04995230 N N N N N N OCP CLO 2020-19 LTD / OCP CLO 2020-19 LLC N/A OCP CLO 2020-19 LTD / OCP CLO 2020-19 LLC A1R2 TSFR3M+118 04/20/2038 144A 670881AU5 250000.00000000 PA USD 250150.00000000 0.555413278377 Long ABS-CBDO CORP KY N 2 2038-04-20 Variable 0.04855230 N N N N N N CARLYLE US CLO 2026-1 LTD N/A CARLYLE US CLO 2026-1 LTD A1 TSFR3M+116 04/25/2039 144A 14320NAA1 250000.00000000 PA USD 249846.50000000 0.554739410978 Long ABS-CBDO CORP KY N 2 2039-04-25 Variable 0.04836410 N N N N N N BENEFIT STREET PARTNERS CLO XVIII LTD N/A BENEFIT STREET PARTNERS CLO XVIII LTD 19-18A AR2 TSFR3M+ 10/15/2038 144A 08186PAU7 250000.00000000 PA USD 250705.00000000 0.556645556488 Long ABS-CBDO CORP KY N 2 2038-10-15 Variable 0.05144540 N N N N N N AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC N/A AIMCO CLO SER 2018-BA / LLC AR3 TSFR3M+120 04/16/2037 144A 00900PBC8 250000.00000000 PA USD 250073.75000000 0.555243978907 Long ABS-CBDO CORP KY N 2 2037-04-16 Variable 0.04879520 N N N N N N ELMWOOD CLO 16 LTD N/A ELMWOOD CLO 16 LTD ARR TSFR3M+ 04/20/2037 144A 29002UAS9 300000.00000000 PA USD 300174.30000000 0.666483278224 Long ABS-CBDO CORP KY N 2 2037-04-20 Variable 0.04785230 N N N N N N OCTAGON 57 LTD N/A OCTAGON 57 LTD AR TSFR3M+ 10/15/2034 144A 67592XAN0 250000.00000000 PA USD 250168.75000000 0.555454909395 Long ABS-CBDO CORP KY N 2 2034-10-15 Variable 0.04743100 N N N N N N WELLINGTON MANAGEMENT CLO 4 LTD 213800VJVBC3KZIDZU56 WELLINGTON MANAGEMENT CLO 4 LTD A TSFR3M+ 04/18/2038 144A 94957LAA7 500000.00000000 PA USD 499850.00000000 1.109827412341 Long ABS-CBDO CORP KY N 2 2038-04-18 Variable 0.04825230 N N N N N N AIMCO CLO SER 2018-A / AIMCO CLO SER 2018-A LLC N/A AIMCO CLO SER 2018-A / AIMCO CLO SER 2018-A LLC AR TSFR3M+131 10/17/2037 144A 00900GAN5 250000.00000000 PA USD 250692.75000000 0.556618357557 Long ABS-CBDO CORP KY N 2 2037-10-17 Variable 0.04990380 N N N N N N DRYDEN 68 CLO LTD N/A DRYDEN 68 CLO LTD ARR TSFR3M+110 07/15/2035 144A 26252QAS1 600000.00000000 PA USD 600450.00000000 1.333191696989 Long ABS-CBDO CORP KY N 2 2035-07-15 Variable 0.04773100 N N N N N N BAIN CAPITAL CREDIT CLO 2019-4 LTD N/A BAIN CAPITAL CREDIT CLO 2019-4 LTD A1RR TSFR3M+99 04/23/2035 144A 05684AAY5 300000.00000000 PA USD 299943.30000000 0.665970384091 Long ABS-CBDO CORP JE N 2 2035-04-23 Variable 0.04656060 N N N N N N PALMER SQUARE LOAN FUNDING 2026-1 LTD N/A PALMER SQUARE LOAN FUNDING 2026-1 LTD A1 TSFR3M+100 07/15/2034 144A 69704KAA7 250000.00000000 PA USD 250400.75000000 0.555970023848 Long ABS-CBDO CORP KY N 2 2034-07-15 Variable 0.04694360 N N N N N N PALMER SQUARE CLO 2021-3 LTD N/A PALMER SQUARE CLO 2021-3 LTD A1R TSFR3M+ 10/15/2038 144A 69688FAN0 250000.00000000 PA USD 250739.50000000 0.556722157560 Long ABS-CBDO CORP KY N 2 2038-10-15 Variable 0.04963100 N N N N N N APIDOS CLO N/A APIDOS CLO A1R TSFR3M+120 10/24/2038 144A 03770RAN2 250000.00000000 PA USD 250673.75000000 0.556576171460 Long ABS-CBDO CORP JE N 2 2038-10-24 Variable 0.04867090 N N N N N N DIAMETER CAPITAL CLO 4 LTD N/A DIAMETER CAPITAL CLO 22-4A ARR TSFR3M+123 01/15/2039 144A 25255NBC1 250000.00000000 PA USD 250500.00000000 0.556190390700 Long ABS-CBDO CORP KY N 2 2039-01-15 Variable 0.04903100 N N N N N N TRESTLES CLO VIII LTD 2549002BMO2L1UMJWE02 TRESTLES CLO VIII LTD A1 TSFR3M+ 06/11/2035 144A 89533DAC4 250000.00000000 PA USD 250000.00000000 0.555080230239 Long ABS-CBDO CORP KY N 2 2035-06-11 Variable 0.05005230 N N N N N N ELMWOOD CLO 45 LTD 25-8A N/A ELMWOOD CLO 45 LTD A1 TSFR3M+ 10/17/2038 144A 29005LAA5 300000.00000000 PA USD 300131.10000000 0.666387360360 Long ABS-CBDO CORP KY N 2 2038-10-17 Variable 0.04930380 N N N N N N INVESCO US CLO 2023-1 LTD N/A INVESCO US CLO 2023-1A LTD AR2 TSFR3M+ 04/22/2037 144A 46146GAY8 300000.00000000 PA USD 299391.00000000 0.664744100846 Long ABS-CBDO CORP JE N 2 2037-04-22 Variable 0.04773640 N N N N N N OAK HILL CREDIT PARTNERS N/A OAK HILL CREDIT PARTNERS AR TSFR3M+135 07/20/2037 144A 67116CAL7 500000.00000000 PA USD 500632.00000000 1.111563703301 Long ABS-CBDO CORP BM N 2 2037-07-20 Variable 0.05025230 N N N N N N INVESCO US CLO 2024-4 LTD / INVESCO US CLO 2024-4 LLC N/A INVESCO US CLO 2024-4 LTD / INVESCO US CLO 2024-4 LLC A1 TSFR3M+133 01/15/2038 144A 46151BAA3 250000.00000000 PA USD 250750.75000000 0.556747136171 Long ABS-CBDO CORP KY N 2 2038-01-15 Variable 0.05003100 N N N N N N AGL CLO 44 LTD N/A AGL CLO 44 LTD A TSFR3M+115 10/22/2037 144A 00121RAA2 250000.00000000 PA USD 249992.75000000 0.555064132912 Long ABS-CBDO CORP KY N 2 2037-10-22 Variable 0.04813640 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES N/A CARLYLE GLOBAL MARKET STRATEGIES A1R TSFR3M+ 10/15/2038 144A 14318FAL8 250000.00000000 PA USD 250219.00000000 0.555566480521 Long ABS-CBDO CORP KY N 2 2038-10-15 Variable 0.04903100 N N N N N N CIFC FUNDING 2018-II LTD N/A CIFC FUNDING 2018-II LTD A1R TSFR3M+137 10/20/2037 144A 17180WAJ4 250000.00000000 PA USD 250746.75000000 0.556738254887 Long ABS-CBDO CORP KY N 2 2037-10-20 Variable 0.05045230 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 17 LTD N/A GOLDENTREE LOAN MANAGEMENT US CLO 17 LTD AR TSFR3M+ 01/20/2039 144A 38139FAN0 500000.00000000 PA USD 500497.50000000 1.111265070137 Long ABS-CBDO CORP JE N 2 2039-01-20 Variable 0.04955230 N N N N N N OCP CLO 2021-21 LTD N/A OCP CLO 2021-21 LTD AR TSFR3M+118 01/20/2038 144A 671000AL1 250000.00000000 PA USD 250497.25000000 0.556184284817 Long ABS-CBDO CORP KY N 2 2038-01-20 Variable 0.04855230 N N N N N N BENEFIT STREET PARTNERS CLO XXIX N/A BENEFIT STREET PARTNERS CLO XXIX AR TSFR3M+118 01/25/2038 144A 08186EAL2 250000.00000000 PA USD 250214.75000000 0.555557044157 Long ABS-CBDO CORP JE N 2 2038-01-25 Variable 0.04846590 N N N N N N HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A N/A HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A A TSFR3M+134 10/20/2037 144A 407907AA2 250000.00000000 PA USD 250497.75000000 0.556185394978 Long ABS-CBDO CORP JE N 2 2037-10-20 Variable 0.05015230 N N N N N N BBAM US CLO III LTD N/A BBAM US CLO III LTD A1R TSFR3M+ 10/15/2038 144A 054974AN0 500000.00000000 PA USD 499949.00000000 1.110047224112 Long ABS-CBDO CORP KY N 2 2038-10-15 Variable 0.04843100 N N N N N N AGL CORE CLO 4 LTD / AGL CORE CLO 4 LLC N/A AGL CORE CLO 4 LTD / AGL CORE CLO 4 LLC AR2 TSFR3M+138 10/20/2037 144A 001199AQ1 250000.00000000 PA USD 250562.50000000 0.556329160757 Long ABS-CBDO CORP KY N 2 2037-10-20 Variable 0.05055230 N N N N N N OCTAGON 75 LTD N/A OCTAGON 75 LTD A1 TSFR3M+120 01/22/2038 144A 67579EAA7 250000.00000000 PA USD 250409.25000000 0.555988896576 Long ABS-CBDO CORP KY N 2 2038-01-22 Variable 0.04863640 N N N N N N PALMER SQUARE LOAN FUNDING 2024-3 LTD N/A PALMER SQUARE LOAN FUNDING 2024-3 LTD A2R TSFR3M+115 08/08/2032 144A 69690EAL3 500000.00000000 PA USD 499837.50000000 1.109799658329 Long ABS-CBDO CORP KY N 2 2032-08-08 Variable 0.04799570 N N N N N N SIXTH STREET CLO XXIV LTD N/A SIXTH STREET CLO XXIV LTD A1R TSFR3M+ 04/23/2037 144A 83011QAJ4 300000.00000000 PA USD 300716.10000000 0.667686248099 Long ABS-CBDO CORP JE N 2 2037-04-23 Variable 0.04920000 N N N N N N AGL CLO 19 LTD N/A AGL CLO 19 LTD 22-19A A1R TSFR3M+130 07/21/2038 144A 001210AQ6 250000.00000000 PA USD 250364.75000000 0.555890092295 Long ABS-CBDO CORP JE N 2 2038-07-21 Variable 0.04972140 N N N N N N INVESCO US CLO 2024-3 LTD 254900GU4U8LUX3GA959 INVESCO US CLO 2024-3 LTD A TSFR3M+151 07/20/2037 144A 46148HAB4 500000.00000000 PA USD 500000.00000000 1.110160460479 Long ABS-CBDO CORP JE N 2 2037-07-20 Variable 0.05185230 N N N N N N MAGNETITE XXIII LTD N/A MAGNETITE XXIII LTD AR2 TSFR3M+99 01/25/2035 144A 55954NAS8 550000.00000000 PA USD 550205.15000000 1.221632005364 Long ABS-CBDO CORP KY N 2 2035-01-25 Variable 0.04656590 N N N N N N SIXTH STREET CLO XXII LTD N/A SIXTH STREET CLO XXII LTD AR TSFR3M+113 04/21/2038 144A 83011LAJ5 300000.00000000 PA USD 299249.70000000 0.664430369500 Long ABS-CBDO CORP KY N 2 2038-04-21 Variable 0.04802140 N N N N N N BABSON CLO LTD/CAYMAN ISLANDS N/A BABSON CLO LTD/CAYMAN ISLANDS A1R2 TSFR3M+126 01/15/2038 144A 06762LAR9 250000.00000000 PA USD 250794.75000000 0.556844830291 Long ABS-CBDO CORP KY N 2 2038-01-15 Variable 0.04933100 N N N N N N FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC N/A FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC A1R TSFR3M+108 07/15/2036 144A 33884EAQ4 300000.00000000 PA USD 300000.00000000 0.666096276287 Long ABS-CBDO CORP KY N 2 2036-07-15 Variable 0.04753100 N N N N N N REGATTA 31 FUNDING LTD 25-1A N/A REGATTA 31 FUNDING LTD 25-1A A1 TSFR3M+117 03/25/2038 144A 758962AA2 250000.00000000 PA USD 250275.75000000 0.555692483733 Long ABS-CBDO CORP KY N 2 2038-03-25 Variable 0.04836590 N N N N N N SIXTH STREET CLO XIV LTD 19-14A N/A SIXTH STREET CLO XIV LTD 19-14A A1R2 TSFR3M+115 01/20/2038 144A 83013NAC4 250000.00000000 PA USD 250145.75000000 0.555403842013 Long ABS-CBDO CORP KY N 2 2038-01-20 Variable 0.04822140 N N N N N N OAKTREE CLO 2020-1 LTD N/A OAKTREE CLO 2020-1 LTD ARR TSFR3M+119 01/15/2038 144A 67402FAU3 500000.00000000 PA USD 499531.00000000 1.109119129967 Long ABS-CBDO CORP KY N 2 2038-01-15 Variable 0.04863100 N N N N N N OHA LOAN FUNDING 2015-1 LTD N/A OHA LOAN FUNDING LTD 2015-1A A1R4 TSFR3M+125 10/19/2038 144A 67109BDN1 250000.00000000 PA USD 250437.00000000 0.556050510482 Long ABS-CBDO CORP KY N 2 2038-10-19 Variable 0.04917630 N N N N N N FLATIRON CLO 23 LLC N/A FLATIRON CLO 23-1A AR LLC TSFR3M+124 04/17/2036 144A 33883DAQ7 250000.00000000 PA USD 250069.00000000 0.555233432383 Long ABS-CBDO CORP US N 2 2036-04-17 Variable 0.04920380 N N N N N N AIMCO CLO 23 LTD N/A AIMCO CLO 23 LTD A TSFR3M+113 04/20/2038 144A 00901JAA6 542350.00000000 PA USD 541575.52000000 1.202471457334 Long ABS-CBDO CORP KY N 2 2038-04-20 Variable 0.04805230 N N N N N N ATLAS SR LN FD XIV LTD / ATLAS SR LN FD XIV LLC N/A ATLAS SR LN FD XIV LTD / ATLAS SR LN FD XIV LLC AR TSFR3M+142.161 07/20/2032 144A 04942CAN6 150674.32600000 PA USD 150770.15000000 0.334758118301 Long ABS-CBDO CORP KY N 2 2032-07-20 Variable 0.05096840 N N N N N N OCP CLO 2020-18 LTD / OCP CLO 2020-18 LLC N/A OCP CLO 2020-18 LTD / OCP CLO 2020-18 LLC A1R2 TSFR3M+137 07/20/2037 144A 671078AW3 250000.00000000 PA USD 250424.75000000 0.556023311550 Long ABS-CBDO CORP KY N 2 2037-07-20 Variable 0.05045230 N N N N N N AIMCO CLO 17 LTD / AIMCO CLO 17 LLC N/A AIMCO CLO 17 LTD / AIMCO CLO 17 LLC A1R TSFR3M+135 07/20/2037 144A 00889JAK0 250000.00000000 PA USD 250296.25000000 0.555738000312 Long ABS-CBDO CORP JE N 2 2037-07-20 Variable 0.05013640 N N N N N N PALMER SQUARE CLO LTD N/A PALMER SQUARE CLO LTD A1R TSFR3M+ 10/20/2038 144A 69689QAL9 250000.00000000 PA USD 250331.50000000 0.555816266624 Long ABS-CBDO CORP KY N 2 2038-10-20 Variable 0.04925230 N N N N N N FLAT 2025-30A N/A 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550000.00000000 PA USD 549721.70000000 1.220558591214 Long ABS-CBDO CORP KY N 2 2038-04-15 Variable 0.04823100 N N N N N N CARLYLE US CLO 2025-3 LTD N/A CARLYLE US CLO 2025-3 LTD A TSFR3M+ 07/25/2038 144A 14320EAA1 250000.00000000 PA USD 251206.25000000 0.557758492350 Long ABS-CBDO CORP KY N 2 2038-07-25 Variable 0.05046590 N N N N N N HPS LOAN MANAGEMENT 2024-19 LTD N/A HPS LOAN MANAGEMENT 2024-19 LTD A1R TSFR3M+126 04/15/2037 144A 442924AU0 300000.00000000 PA USD 300525.00000000 0.667261944771 Long ABS-CBDO CORP KY N 2 2037-04-15 Variable 0.04898510 N N N N N N CARLYLE US CLO 2017-2 LTD N/A CARLYLE US CLO 2017-2 LTD AR2 TSFR3M+149 07/20/2037 144A 14315JBA6 250000.00000000 PA USD 250165.00000000 0.555446583191 Long ABS-CBDO CORP KY N 2 2037-07-20 Variable 0.05165230 N N N N N N PSTAT 2024-1A N/A PSTAT 2024-1A A2RTSFR3M+ 01/15/2035 144A 69703NAL8 250000.00000000 PA USD 249708.00000000 0.554431896530 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.04823100 N N N N N N 2026-06-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX