0001752724-21-119876.txt : 20210601
0001752724-21-119876.hdr.sgml : 20210601
20210601131508
ACCESSION NUMBER: 0001752724-21-119876
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210331
FILED AS OF DATE: 20210601
PERIOD START: 20210930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: VANGUARD MALVERN FUNDS
CENTRAL INDEX KEY: 0000836906
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05628
FILM NUMBER: 21984262
BUSINESS ADDRESS:
STREET 1: P.O. BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
BUSINESS PHONE: 6106691000
MAIL ADDRESS:
STREET 1: P.O. BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
FORMER COMPANY:
FORMER CONFORMED NAME: VANGUARD ASSET ALLOCATION FUND INC
DATE OF NAME CHANGE: 19920703
0000836906
S000049659
Vanguard Institutional Short-Term Bond Fund
C000157009
Institutional Plus Shares
VISTX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000836906
XXXXXXXX
S000049659
C000157009
VANGUARD MALVERN FUNDS
811-05628
0000836906
549300EW16IGZDA38J20
100 Vanguard Boulevard
Malvern
19355
610-669-1000
VANGUARD INSTITUTIONAL SHORT-TERM BOND FUND
S000049659
549300VRQLVE63JP0O95
2021-09-30
2021-03-31
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9781620056.58
731014852.45
9050605204.13
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
475835273.44000000
0.00000000
0.00000000
0.00000000
AUD
EUR
USD
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAH3
1700000.00000000
PA
USD
1720260.60000000
0.019007133348
Long
DBT
CORP
JP
N
2
2021-10-19
Fixed
2.44200000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-111 AP
3136AGM66
1240249.65000000
PA
USD
1249936.00000000
0.013810523957
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
2.12500000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_18-A
N/A
MMAF 2018-A A5
60700DAE8
3550000.00000000
PA
USD
3803306.70000000
0.042022678199
Long
ABS-CBDO
CORP
US
Y
2
2042-03-10
Fixed
3.61000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_19-A
N/A
HDMOT 2019-A A4
41284WAD2
3600000.00000000
PA
USD
3711141.00000000
0.041004340773
Long
ABS-CBDO
CORP
US
N
2
2026-11-15
Fixed
2.39000000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADM
341271AD6
56750000.00000000
PA
USD
57276395.98000000
0.632846032814
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
1.25800000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C23
N/A
WFRBS 2014-C23 A5
92939HAY1
1038000.00000000
PA
USD
1133288.40000000
0.012521686389
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Fixed
3.91700000
N
N
N
N
N
N
COMM 2012-CCRE2 Mortgage Trust
N/A
COMM 2012-CR2 AM
12624KAF3
900804.00000000
PA
USD
921342.33000000
0.010179897467
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Fixed
3.79100000
N
N
N
N
N
N
N/A
N/A
EURO-BOBL FUTURE Jun21
N/A
-11.00000000
NC
-1742491.48000000
-0.01925276200
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
Eurex 5 Year Euro BOBL Future
2021-06-08
-1795623.53000000
EUR
-821.30000000
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BV5
29080000.00000000
PA
USD
29008754.00000000
0.320517284156
Long
DBT
CORP
JP
N
2
2024-09-15
Variable
0.84800000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAV ENSKIL
83051GAM0
9170000.00000000
PA
USD
9450024.29000000
0.104413175438
Long
DBT
CORP
SE
Y
2
2022-12-12
Fixed
2.20000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-A
N/A
NAROT 2019-A A4
65479KAE0
6410000.00000000
PA
USD
6699314.07000000
0.074020619824
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
3.00000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES GALC_19-1
N/A
GALC 2019-1 A4
39154TAX6
4630000.00000000
PA
USD
4802555.01000000
0.053063357661
Long
ABS-CBDO
CORP
US
Y
2
2025-02-18
Fixed
3.21000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGQ6
6952000.00000000
PA
USD
7160156.78000000
0.079112463956
Long
DBT
CORP
US
N
2
2023-07-21
Variable
2.81600000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
026657AQ9
2000000.00000000
PA
2390112.00000000
0.026408311334
Long
DBT
CORP
US
N
2
2022-04-20
Fixed
1.60000000
N
N
N
N
N
N
COMM 2012-CCRE3 Mortgage Trust
N/A
COMM 2012-CR3 AM
12624PAJ4
340000.00000000
PA
USD
344882.40000000
0.003810600420
Long
ABS-MBS
CORP
US
Y
2
2045-10-15
Fixed
3.41600000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_20-1
N/A
MBART 2020-1 A3
58769VAC4
21610000.00000000
PA
USD
21679385.39000000
0.239535201249
Long
ABS-CBDO
CORP
US
N
2
2025-02-18
Fixed
0.55000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
PFIZER INC
717081DM2
1750000.00000000
PA
USD
1897362.25000000
0.020963926800
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.40000000
N
N
N
N
N
N
MUFG Union Bank NA
OX3PU53ZLPQKJ4700D47
MUFG UNION BANK
90520EAK7
4000000.00000000
PA
USD
4106076.00000000
0.045367971615
Long
DBT
CORP
US
N
2
2022-12-09
Fixed
2.10000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_18-ST2
N/A
DLL 2018-ST2 A3
23291JAC2
1103490.04000000
PA
USD
1105339.60000000
0.012212880520
Long
ABS-CBDO
CORP
US
Y
2
2022-01-20
Fixed
3.46000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CJ6
2385000.00000000
PA
USD
2376237.51000000
0.026255012304
Long
DBT
CORP
GB
N
2
2026-04-18
Variable
1.64500000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
94974BGP9
3788000.00000000
PA
USD
4121514.46000000
0.045538550926
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
3.55000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_18-B
N/A
SMB 2018-B A2A
78449LAB4
1068181.42000000
PA
USD
1135736.31000000
0.012548733309
Long
ABS-CBDO
CORP
US
Y
2
2037-01-15
Fixed
3.60000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
53944YAC7
3020000.00000000
PA
USD
3079950.02000000
0.034030321183
Long
DBT
CORP
GB
N
2
2022-01-11
Fixed
3.00000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816CC1
3039000.00000000
PA
USD
3267748.57000000
0.036105304521
Long
DBT
CORP
US
N
2
2024-02-22
Fixed
3.40000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
N/A
3620000.00000000
PA
4277449.64000000
0.047261476371
Long
DBT
CORP
GB
N
2
2023-05-12
Fixed
0.12500000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_19-A4
N/A
JDOT 2019-A A4
47789JAE6
4030000.00000000
PA
USD
4175312.53000000
0.046132964987
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
3.00000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
BANCO SANTANDER
05971KAD1
10000000.00000000
PA
USD
10533770.00000000
0.116387465395
Long
DBT
CORP
ES
N
2
2024-06-27
Fixed
2.70600000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_18-1A
N/A
CPART 2018-1A A4
136451AE1
3574584.49000000
PA
USD
3589977.37000000
0.039665605658
Long
ABS-CBDO
CORP
CA
Y
2
2022-09-19
Fixed
3.22000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2015-GC27
N/A
CGCMT 2015-GC27 A5
17323CAE7
50000.00000000
PA
USD
53281.50000000
0.000588706487
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.13700000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_16-4
N/A
CARMX 2018-4 A3
14315EAC4
9788006.78000000
PA
USD
9964318.15000000
0.110095600517
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
3.36000000
N
N
N
N
N
N
N/A
N/A
EURO-SCHATZ FUT Jun21
N/A
-668.00000000
NC
-87815059.59000000
-0.97026726510
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
N/A
Eurex 2 Year Euro SCHATZ Future
2021-06-08
-90123587.95000000
EUR
4507.99000000
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12
N/A
MSBAM 2013-C12 A4
61762XAU1
70000.00000000
PA
USD
75318.60000000
0.000832194072
Long
ABS-MBS
CORP
US
N
2
2046-10-15
Variable
4.25900000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C19
N/A
JPMBB 2014-C19 A4
46641WAV9
120000.00000000
PA
USD
129717.60000000
0.001433247800
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
3.99650000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
74.29000000
0.000000820829
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
9400.00000000
EUR
11103.39000000
USD
2021-04-30
74.29000000
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHART
853254BV1
3350000.00000000
PA
USD
3374746.45000000
0.037287522479
Long
DBT
CORP
GB
Y
2
2023-10-14
Variable
1.31900000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCJ5
7365000.00000000
PA
USD
7343589.95000000
0.081139214277
Long
DBT
CORP
CA
N
2
2023-09-11
Fixed
0.45000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967MT5
3230000.00000000
PA
USD
3222299.68000000
0.035603140423
Long
DBT
CORP
US
N
2
2024-10-30
Variable
0.77600000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHC6
37520000.00000000
PA
USD
39015509.68000000
0.431081776301
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00400000
N
N
N
N
N
N
Morgan Stanley Capital I 2017-HR2
N/A
MSC 2017-HR2 ASB
61691NAC9
180000.00000000
PA
USD
196126.20000000
0.002166995417
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.50900000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
N/A
JPMCC 2013-LC11 A5
46639YAQ0
800000.00000000
PA
USD
833272.00000000
0.009206809723
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
2.95990000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFS2
5000000.00000000
PA
USD
5054590.00000000
0.055848088453
Long
DBT
CORP
US
N
2
2022-12-09
Variable
2.02800000
N
N
N
N
N
N
GS Mortgage Securities Trust 2019-GC42
N/A
GSMS 2019-GC42 A4
36257UAL1
500000.00000000
PA
USD
527210.00000000
0.005825135315
Long
ABS-MBS
CORP
US
N
2
2052-09-01
Fixed
3.00050000
N
N
N
N
N
N
COMM 2013-CCRE12 Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CR12 A4
12591KAE5
800000.00000000
PA
USD
860112.00000000
0.009503364477
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Fixed
4.04600000
N
N
N
N
N
N
TRAFIGURA SECURITISATION FINANCE PLC TRFIG_18-1A
N/A
TRFIG 2018-1A A2
892725AK8
4650000.00000000
PA
USD
4714503.41000000
0.052090476865
Long
ABS-CBDO
CORP
IE
Y
2
2022-03-15
Fixed
3.73000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust 2017-BNK3
N/A
BACM 2017-BNK3 A4
06427DAS2
160000.00000000
PA
USD
175595.20000000
0.001940148708
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Fixed
3.57400000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630CC0
10000000.00000000
PA
USD
10888940.00000000
0.120311733352
Long
DBT
NUSS
KR
N
2
2024-01-22
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11
N/A
MSBAM 2013-C11 A3
61762TAD8
1023489.38000000
PA
USD
1075144.89000000
0.011879259626
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Fixed
3.96000000
N
N
N
N
N
N
Korea Hydro & Nuclear Power Co Ltd
9884008CRY5MLCN8OQ43
KOREA HYDRO & NU
N/A
5366000.00000000
PA
USD
5430937.72000000
0.060006348719
Long
DBT
NUSS
KR
N
2
2021-07-13
Fixed
4.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BDJ2
8515000.00000000
PA
USD
9025167.71000000
0.099718941512
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
3.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C41
N/A
WFCM 2017-C41 A4
95001ABD7
1430000.00000000
PA
USD
1552965.70000000
0.017158694528
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
3.47200000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_18-B
N/A
FORDO 2018-B A3
34532TAD4
5508735.50000000
PA
USD
5576963.94000000
0.061619790215
Long
ABS-CBDO
CORP
US
N
2
2023-04-15
Fixed
3.24000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAH2
10060000.00000000
PA
USD
10293653.56000000
0.113734422481
Long
DBT
CORP
JP
N
2
2022-02-28
Fixed
2.95300000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_17-A
N/A
SMB 2017-A A2B
78448WAC9
1797053.23340000
PA
USD
1806007.41000000
0.019954548555
Long
ABS-CBDO
CORP
US
Y
2
2034-09-15
Floating
1.00600000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC
29364WBF4
12675000.00000000
PA
USD
12690869.10000000
0.140221220722
Long
DBT
CORP
US
N
2
2023-11-17
Fixed
0.62000000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP7
N/A
JPMCC 2017-JP7 A5
465968AE5
340000.00000000
PA
USD
369869.00000000
0.004086676986
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.45400000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
53944YAM5
7445000.00000000
PA
USD
7519814.81000000
0.083086320090
Long
DBT
CORP
GB
N
2
2023-06-15
Variable
1.32600000
N
N
N
N
N
N
UBS Commercial Mortgage Trust 2012-C1
N/A
UBSCM 2012-C1 AS
90269GAE1
246886.00000000
PA
USD
253174.19000000
0.002797317795
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Fixed
4.17100000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDR0
1275000.00000000
PA
USD
1339856.70000000
0.014804056411
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-115 EP
3136AG6D9
2080011.27000000
PA
USD
2100707.38000000
0.023210684066
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
2.10000000
N
N
N
N
N
N
State Grid Overseas Investment 2016 Ltd
3003006V8BHG5158QO96
STATE GRID OSEAS
N/A
5542000.00000000
PA
USD
5658106.01000000
0.062516327719
Long
DBT
CORP
VG
N
2
2022-05-04
Fixed
2.75000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_20-1
N/A
GFORT 2020-1 A
361886CH5
9540000.00000000
PA
USD
9551386.94000000
0.105533129824
Long
ABS-CBDO
CORP
US
Y
2
2025-08-15
Fixed
0.68000000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630DD7
24000000.00000000
PA
USD
23999712.00000000
0.265172454865
Long
DBT
NUSS
KR
N
2
2023-10-27
Fixed
0.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78013XZU5
2000000.00000000
PA
USD
2111112.00000000
0.023325644555
Long
DBT
CORP
CA
N
2
2024-07-16
Fixed
2.55000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NM3
2000000.00000000
PA
USD
2037008.00000000
0.022506870579
Long
DBT
CORP
US
N
2
2022-04-25
Fixed
2.40000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAC2
235000.00000000
PA
USD
238518.66000000
0.002635389066
Long
DBT
CORP
US
Y
2
2021-12-15
Fixed
2.70000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_19-C
N/A
VZOT 2019-C A1A
92348AAA3
30230000.00000000
PA
USD
30748480.78000000
0.339739499033
Long
ABS-CBDO
CORP
US
N
2
2024-04-22
Fixed
1.94000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C14
N/A
JPMBB 2013-C14 A4
46640LAD4
277000.00000000
PA
USD
292096.50000000
0.003227369810
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.13270000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BM4
15273000.00000000
PA
USD
16229074.53000000
0.179314798999
Long
DBT
CORP
US
N
2
2026-03-30
Variable
2.90100000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXL3
15630000.00000000
PA
USD
15614432.52000000
0.172523628727
Long
DBT
CORP
US
N
2
2023-11-17
Variable
0.62700000
N
N
N
N
N
N
CAPITAL ONE MULTI-ASSET EXECUTION TRUST
R42WS16M9R97TJJKGU15
COMET 2019-A3 A3
14041NFV8
29960000.00000000
PA
USD
31184773.79000000
0.344560093901
Long
ABS-CBDO
CORP
US
N
2
2028-08-15
Fixed
2.06000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_17-1A
N/A
NAVSL 2017-1A A2
63940NAB6
2629484.16300000
PA
USD
2631945.36000000
0.029080324471
Long
ABS-CBDO
CORP
US
Y
2
2066-07-26
Floating
0.85860000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EAX5
2100000.00000000
PA
USD
2120613.60000000
0.023430627589
Long
DBT
CORP
US
N
2
2022-08-02
Variable
3.50200000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YBF5
21453000.00000000
PA
USD
21693573.94000000
0.239691970323
Long
DBT
CORP
JP
N
2
2024-07-10
Variable
1.24100000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
N/A
2000000.00000000
PA
2392705.31000000
0.026436964777
Long
DBT
CORP
US
N
2
2023-07-26
Fixed
0.75000000
N
N
N
N
N
N
CHEASAPEAKE FUNDING II LLC CFII_19-2
N/A
CFII 2019-2A A1
165183CD4
7440196.74000000
PA
USD
7521367.05000000
0.083103470766
Long
ABS-CBDO
CORP
US
Y
2
2031-09-15
Fixed
1.95000000
N
N
N
N
N
N
Tokyo Metropolitan Government
353800FABE4GGB1BMO18
TOKYO METRO GOVT
59173LAD2
21000000.00000000
PA
USD
20615784.00000000
0.227783485579
Long
DBT
NUSS
JP
Y
2
2025-07-16
Fixed
0.75000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAQ1
5000000.00000000
PA
USD
4980150.00000000
0.055025602019
Long
DBT
CORP
US
Y
2
2023-12-08
Fixed
0.45000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AV7
2070000.00000000
PA
USD
2233364.40000000
0.024676409473
Long
DBT
CORP
US
N
2
2024-01-23
Fixed
3.50000000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP_19-1A
N/A
AESOP 2019-1A A
05377RDG6
7620000.00000000
PA
USD
7789218.10000000
0.086062952966
Long
ABS-CBDO
CORP
US
Y
2
2023-03-20
Fixed
3.45000000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_19-B
N/A
WOLS 2019-B A3
98162GAD4
6660000.00000000
PA
USD
6740200.39000000
0.074472372156
Long
ABS-CBDO
CORP
US
N
2
2022-11-15
Fixed
2.03000000
N
N
N
N
N
N
Benchmark 2020-B21 Mortgage Trust
N/A
BMARK 2020-B21 AAB
08163LAJ8
600000.00000000
PA
USD
595122.00000000
0.006575493976
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Fixed
1.79750000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_19-1
N/A
GFORT 2019-1 A
361886BZ6
16600000.00000000
PA
USD
17004530.38000000
0.187882798956
Long
ABS-CBDO
CORP
US
Y
2
2024-04-15
Fixed
2.70000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2017-P8
N/A
CGCMT 2017-P8 A4
17326DAD4
1085000.00000000
PA
USD
1185471.00000000
0.013098251147
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.46500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-1
N/A
HAROT 2020-1 A4
43813RAD9
7130000.00000000
PA
USD
7310259.23000000
0.080770943656
Long
ABS-CBDO
CORP
US
N
2
2026-10-21
Fixed
1.63000000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
N/A
2133000.00000000
PA
2654298.06000000
0.029327299115
Long
DBT
NUSS
CL
N
2
2025-01-30
Fixed
1.62500000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-DA1
N/A
DLL 2019-DA1 A3
23291GAC8
4293917.12000000
PA
USD
4342415.20000000
0.047979279860
Long
ABS-CBDO
CORP
US
Y
2
2023-04-20
Fixed
2.89000000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FBF9
6610000.00000000
PA
USD
7157645.11000000
0.079084712553
Long
DBT
CORP
US
N
2
2023-12-06
Fixed
3.75000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GEH8
3220000.00000000
PA
USD
3245695.60000000
0.035861641589
Long
DBT
CORP
US
Y
2
2023-06-08
Fixed
0.90000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBD2
100000000.00000000
PA
USD
99953120.00000000
1.104380510978
Long
DBT
UST
US
N
2
2022-12-31
Fixed
0.12500000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-B
N/A
FORDL 2020-B A4
34531RAE7
7380000.00000000
PA
USD
7417754.60000000
0.081958658373
Long
ABS-CBDO
CORP
US
N
2
2023-10-15
Fixed
0.69000000
N
N
N
N
N
N
LSEGA Financing PLC
2138009YFYTGEHZNNZ09
LSEGA FIN PLC
50220PAA1
4135000.00000000
PA
USD
4108684.86000000
0.045396796869
Long
DBT
CORP
GB
Y
2
2024-04-06
Fixed
0.65000000
N
N
N
N
N
N
UBS-BAMLL Trust
N/A
UBSBM 2012-WRM A
90269PAA9
2364000.00000000
PA
USD
2357428.08000000
0.026047187197
Long
ABS-MBS
CORP
US
Y
2
2030-06-10
Fixed
3.66300000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2013-C6
549300G1IXWLFE766Q13
UBSBB 2013-C6 A4
90349GBF1
100000.00000000
PA
USD
104121.00000000
0.001150431354
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.24430000
N
N
N
N
N
N
CSAIL 2017-C8 Commercial Mortgage Trust
N/A
CSAIL 2017-C8 A4
12595BAD3
520000.00000000
PA
USD
560549.60000000
0.006193504051
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
3.39200000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_20-1
N/A
GMCAR 2020-1 A3
36258NAC6
15880000.00000000
PA
USD
16113104.11000000
0.178033443582
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Fixed
1.84000000
N
N
N
N
N
N
BANK 2017-BNK6
N/A
BANK 2017-BNK6 A4
060352AE1
440000.00000000
PA
USD
471310.40000000
0.005207501480
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.25400000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BS2
5157000.00000000
PA
USD
5151074.61000000
0.056914145450
Long
DBT
CORP
JP
N
2
2025-07-17
Fixed
1.41200000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC30
549300L45M7638EL0H21
GSMS 2015-GC30 A4
36250GAP0
5000.00000000
PA
USD
5395.55000000
0.000059615350
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.38200000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_20-B
N/A
WOLS 2020-B A4
98163GAE1
8320000.00000000
PA
USD
8325375.55000000
0.091986948521
Long
ABS-CBDO
CORP
US
N
2
2026-02-17
Fixed
0.52000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-121 DA
38382AAF2
5586619.33000000
PA
USD
5858129.03000000
0.064726379041
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
2.50000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BLDG
63859UBF9
2870000.00000000
PA
USD
2814009.17000000
0.031091944754
Long
DBT
CORP
GB
Y
2
2025-08-28
Fixed
1.00000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING GALC_20-1
N/A
GALC 2020-1 A3
39154TBC1
26738000.00000000
PA
USD
27150872.15000000
0.299989575698
Long
ABS-CBDO
CORP
US
Y
2
2023-08-15
Fixed
1.76000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C39
N/A
WFCM 2017-C39 A4
95000XAE7
190000.00000000
PA
USD
201707.80000000
0.002228666431
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.15700000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_20-1A
N/A
CPART 2020-1A A4
13645YAE9
2150000.00000000
PA
USD
2186241.05000000
0.024155744292
Long
ABS-CBDO
CORP
CA
Y
2
2025-03-19
Fixed
1.89000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_19-A
N/A
MMAF 2019-A A5
60700FAJ2
4320000.00000000
PA
USD
4608648.14000000
0.050920883587
Long
ABS-CBDO
CORP
US
Y
2
2041-11-12
Fixed
3.08000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXJ8
12982000.00000000
PA
USD
14041902.41000000
0.155148767328
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_20-A
N/A
MMAF 2020-A A2
60700MAB4
9449472.14000000
PA
USD
9487111.28000000
0.104822949029
Long
ABS-CBDO
CORP
US
Y
2
2024-04-09
Fixed
0.74000000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM SOFI_17-D
N/A
SOFI 2017-D A2FX
78471CAB5
285049.93850000
PA
USD
291355.41000000
0.003219181518
Long
ABS-CBDO
CORP
US
Y
2
2040-09-25
Fixed
2.65000000
N
N
N
N
N
N
ANZ New Zealand Int'l Ltd/London
213800VD256NU2D97H12
ANZ NZ INTL/LDN
00182EBL2
3840000.00000000
PA
USD
3936249.60000000
0.043491562290
Long
DBT
CORP
NZ
Y
2
2023-02-13
Fixed
1.90000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_20-B
N/A
HALST 2020-B A4
44891PAD6
4230000.00000000
PA
USD
4241271.68000000
0.046861746638
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
0.58000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
377373AJ4
30410000.00000000
PA
USD
31260841.39000000
0.345400563663
Long
DBT
CORP
GB
N
2
2022-06-01
Fixed
2.87500000
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST
N/A
TALNT 2019-1A A
89231XAA9
900000.00000000
PA
USD
951312.96000000
0.010511042505
Long
ABS-CBDO
CORP
US
Y
2
2031-11-25
Fixed
2.56000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
STATOIL ASA
85771PAK8
2000000.00000000
PA
USD
2109522.00000000
0.023308076669
Long
DBT
CORP
NO
N
2
2024-01-15
Fixed
2.65000000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22546QAP2
1000000.00000000
PA
USD
1081294.00000000
0.011947201050
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-C
N/A
WOART 2020-C A4
98163CAF7
16350000.00000000
PA
USD
16318397.09000000
0.180301722613
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
0.61000000
N
N
N
N
N
N
BANK 2019-BNK17
N/A
BANK 2019-BN17 ASB
065403BA4
181000.00000000
PA
USD
199659.29000000
0.002206032475
Long
ABS-MBS
CORP
US
N
2
2052-04-15
Fixed
3.62300000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_18-2
N/A
CPART 2018-2A A3
13646AAD2
6247800.43000000
PA
USD
6298422.61000000
0.069591176147
Long
ABS-CBDO
CORP
CA
Y
2
2022-12-19
Fixed
3.27000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69349LAG3
5213000.00000000
PA
USD
5389324.51000000
0.059546564991
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.70000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL
N/A
21500000.00000000
PA
16579751.12000000
0.183189419337
Long
DBT
CORP
CA
N
2
2023-09-07
Floating
1.02660000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
1360698A2
6050000.00000000
PA
USD
6208340.60000000
0.068595861381
Long
DBT
CORP
CA
N
2
2023-07-22
Variable
2.60600000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2019-B A3
44891JAC2
19020000.00000000
PA
USD
19302713.28000000
0.213275387055
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
1.94000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-3
N/A
CARMX 2019-3 A4
14315PAE5
5400000.00000000
PA
USD
5623180.92000000
0.062130440928
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
2.30000000
N
N
N
N
N
N
BANK 2017-BNK8
N/A
BANK 2017-BNK8 A4
06650AAE7
1120000.00000000
PA
USD
1225896.00000000
0.013544906360
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
3.48800000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 4/21
01F020646
-379250000.00000000
PA
USD
-378538906.25000000
-4.18247064933
Short
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
2.00000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST_20-A
N/A
SRT 2020-B A4
80286RAD9
7950000.00000000
PA
USD
7971370.40000000
0.088075550973
Long
ABS-CBDO
CORP
US
Y
2
2024-12-20
Fixed
0.65000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GMCAR 2017-3A A4
36254MAE8
7440328.90000000
PA
USD
7463836.62000000
0.082467817915
Long
ABS-CBDO
CORP
US
Y
2
2023-03-16
Fixed
2.13000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_17-A
N/A
MMAF 2017-AA A5
55315XAE1
5160000.00000000
PA
USD
5266459.06000000
0.058189026492
Long
ABS-CBDO
CORP
US
Y
2
2027-07-16
Fixed
2.68000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FN9
7474000.00000000
PA
USD
7754409.53000000
0.085678353602
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.75000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-2
N/A
HAROT 2019-2 A4
43815MAD8
1270000.00000000
PA
USD
1312168.57000000
0.014498130681
Long
ABS-CBDO
CORP
US
N
2
2025-03-21
Fixed
2.54000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C12
N/A
JPMBB 2013-C12 AS
46639NAU5
1834512.00000000
PA
USD
1935850.44000000
0.021389182229
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Variable
4.03830000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_18-D
N/A
WOART 2018-D A3
98162WAD9
32684584.20000000
PA
USD
33290327.60000000
0.367824326099
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
3.33000000
N
N
N
N
N
N
JP Morgan Commercial Mortgage-Backed Securities Trust 2011-RR1
N/A
JPMCC 2011-RR1 A4B
46635WAC9
1019938.46000000
PA
USD
1020723.81000000
0.011277961937
Long
ABS-MBS
CORP
US
Y
2
2046-03-16
Variable
4.71710000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA 2020-A A4
88167HAD8
1230000.00000000
PA
USD
1236725.27000000
0.013664558801
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
0.78000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78015K7L2
5000000.00000000
PA
USD
4951060.00000000
0.054704187049
Long
DBT
CORP
CA
N
2
2024-01-19
Fixed
0.42500000
N
N
N
N
N
N
COMM 2015-CCRE22 Mortgage Trust
N/A
COMM 2015-CR22 A5
12592XBD7
855000.00000000
PA
USD
921023.10000000
0.010176370300
Long
ABS-MBS
CORP
US
N
2
2048-03-10
Fixed
3.30900000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAC5
125500000.00000000
PA
USD
125519603.10000000
1.386864196028
Long
DBT
UST
US
N
2
2022-07-31
Fixed
0.12500000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MASSMUTUAL GLBL
57629WCU2
9500000.00000000
PA
USD
9555318.50000000
0.105576569571
Long
DBT
CORP
US
Y
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
Latvia Government International Bond
N/A
REP OF LATVIA
N/A
4000000.00000000
PA
USD
4036440.00000000
0.044598564504
Long
DBT
NUSS
LV
N
2
2021-06-16
Fixed
5.25000000
N
N
N
N
N
N
COMM 2015-CCRE27 Mortgage Trust
N/A
COMM 2015-CR27 A4
12635QBG4
487000.00000000
PA
USD
532208.21000000
0.005880360462
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.61200000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHF9
12567000.00000000
PA
USD
13254402.33000000
0.146447690856
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.55000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236THF5
18750000.00000000
PA
USD
18769387.50000000
0.207382678579
Long
DBT
CORP
US
N
2
2023-08-14
Fixed
0.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHY8
9753000.00000000
PA
USD
9963040.61000000
0.110081484997
Long
DBT
CORP
US
N
2
2026-02-13
Variable
2.01500000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-E
N/A
SOFI 2017-E A2B
83404KAC7
214116.23000000
PA
USD
218792.85000000
0.002417438890
Long
ABS-CBDO
CORP
US
Y
2
2040-11-26
Fixed
2.72000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
STATOIL ASA
85771PAF9
3000000.00000000
PA
USD
3067488.00000000
0.033892628512
Long
DBT
CORP
NO
N
2
2022-01-23
Fixed
3.15000000
N
N
N
N
N
N
Houston Galleria Mall Trust 2015-HGLR
N/A
HGMT 2015-HGLR A1A2
44217NAC0
3082000.00000000
PA
USD
3114854.12000000
0.034415976056
Long
ABS-MBS
CORP
US
Y
2
2037-03-05
Fixed
3.08660000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513BN4
4430000.00000000
PA
USD
4451981.66000000
0.049189878020
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
0.75000000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-2
N/A
VALET 2018-2 A3
92869BAD4
4762628.38000000
PA
USD
4823228.06000000
0.053291773878
Long
ABS-CBDO
CORP
US
N
2
2023-04-20
Fixed
3.25000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-118 AP
38380ATX5
525278.88000000
PA
USD
533005.73000000
0.005889172248
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
2.75000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2019-B A4
44891JAD0
10320000.00000000
PA
USD
10645231.70000000
0.117619004032
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
2.00000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-2
N/A
SDART 2020-2 A3
80285RAD0
6490000.00000000
PA
USD
6505735.01000000
0.071881767719
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
0.67000000
N
N
N
N
N
N
Morgan Stanley Capital I 2017-HR2
N/A
MSC 2017-HR2 A4
61691NAE5
222000.00000000
PA
USD
242284.14000000
0.002676993798
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.58700000
N
N
N
N
N
N
Nestle Finance International Ltd
0KLLMNHINTFDRMU6DI05
NESTLE FIN INTL
N/A
3100000.00000000
PA
3656853.22000000
0.040404515913
Long
DBT
CORP
LU
N
2
2024-11-12
None
0.00000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_16-6A
N/A
NAVSL 2016-6A A2
63940LAB0
17850118.85830000
PA
USD
17908301.32000000
0.197868550401
Long
ABS-CBDO
CORP
US
Y
2
2066-03-25
Floating
0.85860000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_20-2
N/A
AMCAR 2020-2 A3
03066EAD6
5580000.00000000
PA
USD
5601508.11000000
0.061890978378
Long
ABS-CBDO
CORP
US
N
2
2024-12-18
Fixed
0.66000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A
N/A
HDMOT 2020-A A3
41284UAD6
11330000.00000000
PA
USD
11505559.48000000
0.127124752660
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
1.87000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_18-C
N/A
TAOT 2018-C A4
89231AAE1
20140000.00000000
PA
USD
20762543.51000000
0.229405029185
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
3.13000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_18-3
N/A
CARMX 2018-3 A3
14313FAD1
2366853.56000000
PA
USD
2397571.77000000
0.026490734220
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
3.13000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214DZ3
4500000.00000000
PA
USD
4796869.50000000
0.053000538547
Long
DBT
CORP
AU
N
2
2023-05-15
Fixed
3.65000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
ATHENE GLOBAL FU
04685A2M2
9400000.00000000
PA
USD
9811391.00000000
0.108405910750
Long
DBT
CORP
US
Y
2
2023-05-26
Fixed
2.80000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DA2
4000000.00000000
PA
USD
4045392.00000000
0.044697475016
Long
DBT
CORP
US
N
2
2022-01-30
Fixed
2.35000000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAJ5
250000.00000000
PA
USD
256538.25000000
0.002834487243
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C30
N/A
WFCM 2015-C30 A4
94989NBE6
700000.00000000
PA
USD
766815.00000000
0.008472527336
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Fixed
3.66400000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDF5
24000000.00000000
PA
USD
24443112.00000000
0.270071574758
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
1.95000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA
29446MAJ1
5000000.00000000
PA
USD
5109065.00000000
0.056449981904
Long
DBT
CORP
NO
N
2
2026-01-22
Fixed
1.75000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust 2018-C8
N/A
JPMDB 2018-C8 A4
46591ABA2
230000.00000000
PA
USD
260125.40000000
0.002874121609
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
4.21060000
N
N
N
N
N
N
Slovakia Government International Bond
N/A
SLOVAK REPUBLIC
N/A
58542000.00000000
PA
USD
61130510.63000000
0.675430087284
Long
DBT
NUSS
SK
N
2
2022-05-21
Fixed
4.37500000
N
N
N
N
N
N
CSAIL 2015-C4 Commercial Mortgage Trust
54930025J96YEH8FQE77
CSAIL 2015-C4 A4
12635RAX6
1250000.00000000
PA
USD
1372562.50000000
0.015165422300
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
3.80790000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BA6
17734000.00000000
PA
USD
18872043.98000000
0.208516928474
Long
DBT
CORP
GB
N
2
2023-05-25
Fixed
3.60000000
N
N
N
N
N
N
Bank of Nova Scotia/Australia
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA/AUS
N/A
22430000.00000000
PA
17303538.81000000
0.191186538576
Long
DBT
CORP
CA
N
2
2023-09-07
Floating
1.01660000
N
N
N
N
N
N
Sinopec Group Overseas Development 2012 Ltd
N/A
SINOPEC GRP OVER
N/A
268000.00000000
PA
USD
276912.50000000
0.003059602023
Long
DBT
CORP
VG
N
2
2022-05-17
Fixed
3.90000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST CRVNA_20-P1
N/A
CRVNA 2020-P1 A4
14687AAP3
4850000.00000000
PA
USD
4822937.97000000
0.053288568678
Long
ABS-CBDO
CORP
US
N
2
2026-10-08
Fixed
0.61000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-126 GE
38380BCL7
106627.54000000
PA
USD
108220.56000000
0.001195727330
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
2.75000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust 2016-C4
N/A
CFCRE 2016-C4 A4
12531YAN8
472000.00000000
PA
USD
506861.92000000
0.005600309687
Long
ABS-MBS
CORP
US
N
2
2058-05-10
Fixed
3.28300000
N
N
N
N
N
N
GS Mortgage Securities Trust 2012-GC6
N/A
GSMS 2012-GC6 AS
36192BAE7
217000.00000000
PA
USD
221296.60000000
0.002445102786
Long
ABS-MBS
CORP
US
Y
2
2045-01-10
Fixed
4.94800000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406RAC1
14959000.00000000
PA
USD
15315891.82000000
0.169225057049
Long
DBT
CORP
US
N
2
2023-05-16
Variable
2.66100000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_21-A
N/A
HDMOT 2021-A A3
41284NAC4
10990000.00000000
PA
USD
10962615.12000000
0.121125768639
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
0.37000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13
N/A
MSBAM 2013-C13 A4
61763BAU8
150000.00000000
PA
USD
161889.00000000
0.001788709112
Long
ABS-MBS
CORP
US
N
2
2046-11-15
Fixed
4.03900000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZQ6
4000000.00000000
PA
USD
3641250.00000000
0.040232116172
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.62500000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBT6
7892000.00000000
PA
USD
8272907.38000000
0.091407228504
Long
DBT
CORP
JP
N
2
2024-09-27
Fixed
2.44800000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
N/A
JPMCC 2013-C16 A3
46641BAC7
263162.59000000
PA
USD
280444.48000000
0.003098626817
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
3.88120000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
303740.85000000
0.003356028057
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
30241812.00000000
EUR
35786708.71000000
USD
2021-04-30
303740.85000000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-120 DA
38380ASF5
400999.65000000
PA
USD
406657.76000000
0.004493155439
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
2.75000000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22550L2D2
18780000.00000000
PA
USD
18871834.20000000
0.208514610618
Long
DBT
CORP
CH
N
2
2023-05-05
Fixed
1.00000000
N
N
N
N
N
N
COMM 2013-LC13 Mortgage Trust
N/A
COMM 2013-LC13 A5
12626GAF0
150000.00000000
PA
USD
161139.00000000
0.001780422373
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Fixed
4.20500000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
479212.15000000
0.005294807796
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
30000000.00000000
EUR
35678460.00000000
USD
2021-04-30
479212.15000000
N
N
N
N/A
N/A
SCDS: (QATAR)
BVN4MVCF9
5280000.00000000
NC
USD
-53055.02000000
-0.00058620411
N/A
DCR
N/A
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
N/A
QATAR STATE OF
Y
Receipt of notional amount upon default event with regard to reference instrument
2022-06-20
15054.05000000
USD
0.00000000
USD
5280000.00000000
USD
-68109.07000000
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-B
N/A
NAROT 2019-B A4
65479HAD9
1250000.00000000
PA
USD
1302979.88000000
0.014396604985
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Fixed
2.54000000
N
N
N
N
N
N
KeyBank NA/Cleveland OH
HUX2X73FUCYHUVH1BK78
KEY BANK NA
49327M3A0
8330000.00000000
PA
USD
8317838.20000000
0.091903668455
Long
DBT
CORP
US
N
2
2024-01-03
Variable
0.42300000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_20-A
N/A
CNH 2020-A A4
12597PAD0
2310000.00000000
PA
USD
2366180.82000000
0.026143896089
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
1.51000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
N/A
11150000.00000000
PA
USD
11800881.25000000
0.130387758429
Long
DBT
NUSS
BM
N
2
2023-01-03
Fixed
4.13800000
N
N
N
N
N
N
Korea National Oil Corp
988400ZTQ08W926ONT36
KOREA NATL OIL
50066RAM8
5000000.00000000
PA
USD
4896790.00000000
0.054104558640
Long
DBT
NUSS
KR
N
2
2025-10-05
Fixed
0.87500000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6
N/A
MSBAM 2012-C6 A4
61761DAD4
363733.81000000
PA
USD
372736.22000000
0.004118356856
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Fixed
2.85800000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_18-C
N/A
SOFI 2018-C A2FX
78490DAB0
589280.44440000
PA
USD
611045.81000000
0.006751435911
Long
ABS-CBDO
CORP
US
Y
2
2048-01-25
Fixed
3.59000000
N
N
N
N
N
N
Comm 2013-CCRE13 Mortgage Trust
N/A
COMM 2013-CR13 A4
12630BBA5
837011.00000000
PA
USD
907587.77000000
0.010027923542
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
4.19400000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJJ0
1000000.00000000
PA
USD
1058749.00000000
0.011698101686
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.37500000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_20-1A
N/A
CPART 2020-1A A3
13645YAD1
10040000.00000000
PA
USD
10189289.78000000
0.112581308654
Long
ABS-CBDO
CORP
CA
Y
2
2024-07-19
Fixed
1.83000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2020-A A4
44891LAD5
10777000.00000000
PA
USD
11136078.86000000
0.123042366878
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
1.72000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHH5
27705000.00000000
PA
USD
27798587.49000000
0.307146172692
Long
DBT
CORP
US
N
2
2022-05-17
Variable
3.49900000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4259 JD
3137B53K7
934057.55000000
PA
USD
946816.78000000
0.010461364280
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2015-90 UQ
3136AQVJ6
2658580.89000000
PA
USD
2837716.07000000
0.031353881933
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20
N/A
MSBAM 2015-C20 A4
61764RBF4
90000.00000000
PA
USD
96663.60000000
0.001068034654
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.24900000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FBJ1
9520000.00000000
PA
USD
9836654.24000000
0.108685043907
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
2.20000000
N
N
N
N
N
N
COMM 2013-CCRE11 Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CR11 A4
12626LAE2
813000.00000000
PA
USD
877495.29000000
0.009695432186
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
4.25800000
N
N
N
N
N
N
National Australia Bank Ltd
F8SB4JFBSYQFRQEH3Z21
NATL AUSTRALIABK
N/A
1620000.00000000
PA
1928756.58000000
0.021310802277
Long
DBT
CORP
AU
N
2
2024-05-20
Fixed
0.25000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP
55608JAH1
5792000.00000000
PA
USD
6029547.30000000
0.066620376914
Long
DBT
CORP
AU
Y
2
2023-11-28
Variable
3.18900000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-F
N/A
SOFI 2017-F A2FX
83401BAB2
352904.73000000
PA
USD
360408.90000000
0.003982152484
Long
ABS-CBDO
CORP
US
Y
2
2041-01-25
Fixed
2.84000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-1
N/A
GMCAR 2019-1 A4
36256XAE2
14060000.00000000
PA
USD
14579855.85000000
0.161092606750
Long
ABS-CBDO
CORP
US
N
2
2024-07-16
Fixed
3.11000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23
N/A
MSBAM 2015-C23 A3
61690QAD1
223729.43000000
PA
USD
240459.92000000
0.002656838018
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.45100000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWM2
5630000.00000000
PA
USD
5794829.51000000
0.064026983602
Long
DBT
CORP
US
N
2
2023-07-24
Variable
2.90500000
N
N
N
N
N
N
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
MIZUHO CORP BANK
60688QAD7
940000.00000000
PA
USD
976915.68000000
0.010793926571
Long
DBT
CORP
JP
Y
2
2022-10-17
Fixed
2.95000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913R2F3
7370000.00000000
PA
USD
7357161.46000000
0.081289165686
Long
DBT
CORP
US
N
2
2023-09-14
Fixed
0.45000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-3
N/A
HAROT 2019-3 A3
43815NAC8
26800000.00000000
PA
USD
27132705.92000000
0.299788857297
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
1.78000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61744YAN8
3135000.00000000
PA
USD
3282388.89000000
0.036267065195
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
3.12500000
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Jun21
N/A
-11.00000000
NC
USD
-1357382.82000000
-0.01499770224
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
N/A
CBOT 5 Year US Treasury Note
2021-06-30
-1360207.53000000
USD
2824.71000000
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCA4
1225000.00000000
PA
USD
1295054.08000000
0.014309032940
Long
DBT
CORP
CA
N
2
2024-06-12
Fixed
2.65000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-3
N/A
GMCAR 2019-3 A3
36257PAD0
23195250.03000000
PA
USD
23498117.37000000
0.259630343386
Long
ABS-CBDO
CORP
US
N
2
2024-04-16
Fixed
2.18000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-B
N/A
NAROT 2020-B A3
65479CAD0
35840000.00000000
PA
USD
35953885.18000000
0.397253933511
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.55000000
N
N
N
N
N
N
Huntington National Bank/The
2WHM8VNJH63UN14OL754
HUNTINGTON NATL
44644AAB3
3000000.00000000
PA
USD
3082608.00000000
0.034059689164
Long
DBT
CORP
US
N
2
2022-08-07
Fixed
2.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCA6
15647000.00000000
PA
USD
15617583.64000000
0.172558445405
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47400000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
377373AL9
6125000.00000000
PA
USD
6132490.88000000
0.067757798972
Long
DBT
CORP
GB
N
2
2023-10-01
Fixed
0.53400000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BA1
5750000.00000000
PA
USD
6158692.75000000
0.068047303037
Long
DBT
CORP
JP
N
2
2023-07-26
Fixed
3.76100000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-A
N/A
TAOT 2020-A A4
89232HAD7
8300000.00000000
PA
USD
8522489.80000000
0.094164860888
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
1.68000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAU4
5408000.00000000
PA
USD
5581883.42000000
0.061674145475
Long
DBT
CORP
JP
N
2
2022-10-18
Fixed
2.77800000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2013-LC12
549300V2DF3KW9L1CV04
WFCM 2013-LC12 A4
94988QAG6
800000.00000000
PA
USD
854664.00000000
0.009443169608
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.21800000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BM0
19420000.00000000
PA
USD
20217113.32000000
0.223378579266
Long
DBT
CORP
GB
N
2
2023-11-22
Variable
3.03300000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-B
N/A
WOART 2020-B A4
98163WAD8
7420000.00000000
PA
USD
7478732.27000000
0.082632399727
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.82000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust 2011-C2
N/A
CFCRE 2011-C2 AJ
12527DAC4
2071848.00000000
PA
USD
2096834.49000000
0.023167892563
Long
ABS-MBS
CORP
US
Y
2
2047-12-15
Variable
5.73950000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-1
N/A
VALET 2018-1 A4
92868LAE1
12200000.00000000
PA
USD
12454311.44000000
0.137607498715
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
3.15000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_20-3
N/A
AMCAR 2020-3 A3
03066PAC3
10850000.00000000
PA
USD
10865714.06000000
0.120055110292
Long
ABS-CBDO
CORP
US
N
2
2025-06-18
Fixed
0.53000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
BURLINGTON NORTH
12189LAR2
855000.00000000
PA
USD
926289.90000000
0.010234563093
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.75000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_18-3
N/A
CARMX 2018-3 A4
14313FAE9
6600000.00000000
PA
USD
6848254.38000000
0.075666259057
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
3.27000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_19-1
N/A
FORDF 2019-1 A
34528QGS7
11480000.00000000
PA
USD
11751731.60000000
0.129844704690
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
2.84000000
N
N
N
N
N
N
Korea Midland Power Co Ltd
988400Z1HCY1QUPS1W65
KOREA MIDLAND PW
N/A
533000.00000000
PA
USD
536428.04000000
0.005926985299
Long
DBT
CORP
KR
N
2
2021-07-21
Fixed
2.50000000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154BY4
25000000.00000000
PA
USD
27215625.00000000
0.300705028958
Long
DBT
NUSS
KR
N
2
2025-11-10
Fixed
3.25000000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAP LLC
05565EBQ7
9750000.00000000
PA
USD
9738378.00000000
0.107599191218
Long
DBT
CORP
US
Y
2
2024-04-01
Fixed
0.80000000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_19-B
N/A
JDOT 2019-B A3
477870AC3
14648792.87000000
PA
USD
14837012.28000000
0.163933924255
Long
ABS-CBDO
CORP
US
N
2
2023-12-15
Fixed
2.21000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJH3
7470000.00000000
PA
USD
7467482.61000000
0.082508102403
Long
DBT
CORP
US
N
2
2024-10-24
Variable
0.81000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCQ9
4730000.00000000
PA
USD
4721750.88000000
0.052170554051
Long
DBT
CORP
CA
N
2
2024-03-04
Fixed
0.55000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4935 MD
3137FQ5M1
2239212.45000000
PA
USD
2315502.42000000
0.025583951214
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.75000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
377373AG0
6780000.00000000
PA
USD
7238958.54000000
0.079983143411
Long
DBT
CORP
GB
N
2
2024-06-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159TE6
12275000.00000000
PA
USD
12610905.38000000
0.139337702789
Long
DBT
CORP
CA
N
2
2023-02-01
Fixed
1.95000000
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_20-1
N/A
TALNT 2021-1A A
89237MAA7
32040000.00000000
PA
USD
31814499.28000000
0.351517921315
Long
ABS-CBDO
CORP
US
Y
2
2034-02-27
Fixed
1.07000000
N
N
N
N
N
N
Kuwait International Government Bond
N/A
KUWAIT INTL BOND
N/A
30530000.00000000
PA
USD
31210559.50000000
0.344844999821
Long
DBT
NUSS
KW
N
2
2022-03-20
Fixed
2.75000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_20-2
N/A
GFORT 2020-2 A
361886CM4
23510000.00000000
PA
USD
23578030.89000000
0.260513306659
Long
ABS-CBDO
CORP
US
Y
2
2025-10-15
Fixed
0.69000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_19-2
N/A
GFORT 2019-2 A
361886CD4
18400000.00000000
PA
USD
19581206.40000000
0.216352453326
Long
ABS-CBDO
CORP
US
Y
2
2026-04-15
Fixed
2.90000000
N
N
N
N
N
N
FIRSTKEY HOMES FKH_20-SFR2
N/A
FKH 2020-SFR2 A
33767JAA0
4490068.05000000
PA
USD
4436501.54000000
0.049018838408
Long
ABS-CBDO
CORP
US
Y
2
2037-10-19
Fixed
1.26600000
N
N
N
N
N
N
Pepper Residential Securities Trust No. 22
N/A
PEPAU 22A A1U
71338AAA9
3218525.00060000
PA
USD
3215210.89000000
0.035524816489
Long
ABS-MBS
CORP
AU
Y
2
2060-06-20
Floating
1.11090000
N
N
N
N
N
N
Resimac MBS Trust
N/A
RESI 2018-2A A1A
76119TAA2
1961796.76090000
PA
USD
1960691.88000000
0.021663654924
Long
ABS-MBS
CORP
AU
Y
2
2050-04-10
Floating
0.95600000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C38
N/A
WFCM 2017-C38 A5
95001MAF7
520000.00000000
PA
USD
567169.20000000
0.006266643911
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.45300000
N
N
N
N
N
N
N/A
N/A
SCDS: (CHILE)
N/A
-2940000.00000000
NC
USD
61334.28000000
0.000677681531
N/A
DCR
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
CHILE
Y
Payout of notional amount upon default event with regard to reference instrument
2026-06-20
60865.10000000
USD
0.00000000
USD
-2940000.00000000
USD
469.18000000
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_19-A
N/A
BMWOT 2019-A A3
05588CAC6
22469918.84000000
PA
USD
22722990.79000000
0.251065981528
Long
ABS-CBDO
CORP
US
N
2
2024-01-25
Fixed
1.92000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_18-A
N/A
SOFI 2018-A A2B
83406EAC9
170835.88000000
PA
USD
175463.07000000
0.001938688806
Long
ABS-CBDO
CORP
US
Y
2
2042-02-25
Fixed
2.95000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2012-C9
N/A
WFRBS 2012-C9 A3
92930RBB7
540915.18330000
PA
USD
555492.85000000
0.006137632097
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Fixed
2.87000000
N
N
N
N
N
N
Loews Corp
R8V1FN4M5ITGZOG7BS19
LOEWS CORP
540424AQ1
2000000.00000000
PA
USD
2078892.00000000
0.022969646262
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
2.62500000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_18-2
N/A
CPART 2018-2A A4
13646AAE0
6380000.00000000
PA
USD
6532535.59000000
0.072177886922
Long
ABS-CBDO
CORP
CA
Y
2
2023-08-21
Fixed
3.44000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBF2
2767000.00000000
PA
USD
2870247.84000000
0.031713324968
Long
DBT
CORP
US
N
2
2025-10-15
Variable
2.30100000
N
N
N
N
N
N
Lanark Master Issuer PLC
213800KIOPB5OYXIVY33
LAN 2020-1A 1A
513770BE6
2050000.00000000
PA
USD
2096237.96000000
0.023161301512
Long
ABS-MBS
CORP
GB
Y
2
2069-12-22
Variable
2.27700000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BLDG
63859UBE2
4625000.00000000
PA
USD
4751914.63000000
0.052503832868
Long
DBT
CORP
GB
Y
2
2023-01-27
Fixed
2.00000000
N
N
N
N
N
N
CD 2016-CD1 Mortgage Trust
N/A
CD 2016-CD1 A4
12514MBC8
540000.00000000
PA
USD
570288.60000000
0.006301110115
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.72400000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_19-1
N/A
ALLYA 2019-1 A4
02004WAD3
5520000.00000000
PA
USD
5720278.85000000
0.063203274488
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
3.02000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-124 AE
38380Y3G8
1019517.05000000
PA
USD
1056372.59000000
0.011671844768
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2019-GC40
N/A
GSMS 2019-GC40 A4
36257HBP0
140000.00000000
PA
USD
149129.40000000
0.001647728484
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
3.16000000
N
N
N
N
N
N
COMM 2013-CCRE9 Mortgage Trust
549300C72XVZH4MIKU63
COMM 2013-CR9 A4
12625UBF9
800000.00000000
PA
USD
854608.00000000
0.009442550865
Long
ABS-MBS
CORP
US
N
2
2045-07-10
Variable
4.21870000
N
N
N
N
N
N
Five Corners Funding Trust
N/A
FIVE COR FND TRS
33829TAA4
5000000.00000000
PA
USD
5481010.00000000
0.060559596583
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
4.41900000
N
N
N
N
N
N
COMM 2013-CCRE8 Mortgage Trust
549300NGGFIEJ2ER3D22
COMM 2013-CR8 A5
12625KAE5
20000.00000000
PA
USD
21114.40000000
0.000233292686
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
3.61200000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_16-2
N/A
NAVSL 2016-2A A2
63940FAB3
1630176.48020000
PA
USD
1635167.27000000
0.018066938432
Long
ABS-CBDO
CORP
US
Y
2
2065-06-25
Floating
1.15860000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
TRUIST BANK
89788JAA7
440000.00000000
PA
USD
445865.64000000
0.004926362712
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
1.50000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-4
N/A
GMCAR 2018-4 A4
38013FAE1
20490000.00000000
PA
USD
21321109.23000000
0.235576613376
Long
ABS-CBDO
CORP
US
N
2
2024-06-17
Fixed
3.32000000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
50065TAC7
2315000.00000000
PA
USD
2375488.64000000
0.026246738051
Long
DBT
NUSS
KR
N
2
2021-11-16
Fixed
4.62500000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-A
N/A
FORDO 2020-A A3
34528GAK2
9260000.00000000
PA
USD
9346252.27000000
0.103266599958
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
1.04000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-2
N/A
KCOT 2020-2A A4
50116YAD3
4950000.00000000
PA
USD
4946966.15000000
0.054658954163
Long
ABS-CBDO
CORP
US
Y
2
2026-06-15
Fixed
0.73000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_20-A
N/A
HALST 2020-A A3
44935SAC0
15540000.00000000
PA
USD
15749465.21000000
0.174015602877
Long
ABS-CBDO
CORP
US
Y
2
2023-07-17
Fixed
1.95000000
N
N
N
N
N
N
COMM 2013-CCRE9 Mortgage Trust
549300C72XVZH4MIKU63
COMM 2013-CR9 AM
12625UAC7
3169000.00000000
PA
USD
3315281.04000000
0.036630490063
Long
ABS-MBS
CORP
US
Y
2
2045-07-10
Variable
4.24250000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-90 MC
38379XS35
343927.76000000
PA
USD
347796.95000000
0.003842803239
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
2.75000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC19
N/A
CGCMT 2014-GC19 A4
17322AAD4
3415000.00000000
PA
USD
3685980.25000000
0.040726340027
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Fixed
4.02300000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C21
N/A
JPMBB 2014-C21 A4
46642EAX4
226450.73000000
PA
USD
238518.29000000
0.002635384978
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.49270000
N
N
N
N
N
N
UBS Commercial Mortgage Trust 2017-C7
N/A
UBSCM 2017-C7 A4
90276WAS6
495000.00000000
PA
USD
547534.35000000
0.006049698751
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.67900000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
539439AS8
5000000.00000000
PA
USD
5393215.00000000
0.059589550956
Long
DBT
CORP
GB
N
2
2023-08-16
Fixed
4.05000000
N
N
N
N
N
N
MASTER CREDIT CARD TRUST MSTCCT_20-1
N/A
MCCT 2020-1A A
576339CF0
5680000.00000000
PA
USD
5858233.86000000
0.064727537306
Long
ABS-CBDO
CORP
CA
Y
2
2024-09-21
Fixed
1.99000000
N
N
N
N
N
N
Cooperatieve Rabobank UA/NY
DG3RU1DBUFHT4ZF9WN62
COOP RAB UA/NY
21688AAL6
14440000.00000000
PA
USD
15043231.00000000
0.166212431773
Long
DBT
CORP
NL
N
2
2023-01-10
Fixed
2.75000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_20-1
N/A
HPEFS 2020-1A A3
40438FAC8
9200000.00000000
PA
USD
9302402.44000000
0.102782103850
Long
ABS-CBDO
CORP
US
Y
2
2030-02-20
Fixed
1.76000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXZ2
10000000.00000000
PA
USD
9988400.00000000
0.110361680514
Long
DBT
CORP
US
N
2
2024-03-08
Variable
0.67300000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAF3
4238000.00000000
PA
USD
4604972.66000000
0.050880273265
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fontainebleau Miami Beach Trust 2019-FBLU
N/A
FMBT 2019-FBLU A
34461LAA2
550000.00000000
PA
USD
578253.50000000
0.006389114174
Long
ABS-MBS
CORP
US
Y
2
2036-12-10
Fixed
3.14400000
N
N
N
N
N
N
State Grid Overseas Investment 2016 Ltd
3003006V8BHG5158QO96
STATE GRID OSEAS
N/A
3630000.00000000
PA
USD
3954596.05000000
0.043694271938
Long
DBT
CORP
VG
N
2
2027-05-04
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2018-C46
N/A
WFCM 2018-C46 A4
95001QAU5
235000.00000000
PA
USD
264537.15000000
0.002922866968
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.15200000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-A
N/A
NAROT 2020-A A3
65479MAC0
23470000.00000000
PA
USD
23824479.15000000
0.263236309756
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
1.38000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913Q2V0
1300000.00000000
PA
USD
1385996.30000000
0.015313852153
Long
DBT
CORP
US
N
2
2024-05-17
Fixed
2.85000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-3
N/A
HAROT 2020-3 A4
43813KAD4
8970000.00000000
PA
USD
8957174.69000000
0.098967687662
Long
ABS-CBDO
CORP
US
N
2
2027-04-19
Fixed
0.46000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-LC14
549300QGM7D5K3CV2643
WFRBS 2014-LC14 A5
96221TAE7
500000.00000000
PA
USD
540975.00000000
0.005977224592
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
4.04500000
N
N
N
N
N
N
Republic of Poland Government International Bond
N/A
REP OF POLAND
857524AA0
1350000.00000000
PA
USD
1351687.50000000
0.014934774741
Long
DBT
NUSS
PL
N
2
2021-04-21
Fixed
5.12500000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_20-B
N/A
VZOT 2020-B A
92290BAA9
43260000.00000000
PA
USD
43333667.45000000
0.478793036185
Long
ABS-CBDO
CORP
US
N
2
2025-02-20
Fixed
0.47000000
N
N
N
N
N
N
Korea Hydro & Nuclear Power Co Ltd
9884008CRY5MLCN8OQ43
KOREA HYDRO & NU
N/A
4786000.00000000
PA
USD
4956487.37000000
0.054764153978
Long
DBT
NUSS
KR
N
2
2022-09-19
Fixed
3.00000000
N
N
N
N
N
N
COMM 2013-CCRE11 Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CR11 A3
12626LAD4
923743.11000000
PA
USD
988174.19000000
0.010918321678
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.98300000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863BN7
7000000.00000000
PA
USD
7166131.00000000
0.079178473023
Long
DBT
NUSS
CL
N
2
2022-10-30
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
US LONG BOND(CBT) Jun21
N/A
91.00000000
NC
USD
14068031.25000000
0.155437464486
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Long
N/A
CBOT US Long Bond Future
2021-06-21
14616580.34000000
USD
-548549.09000000
N
N
N
Abbott Ireland Financing DAC
54930021QV18ZVZQDE71
ABBOTT IL FIN
N/A
2000000.00000000
PA
2406794.13000000
0.026592631936
Long
DBT
CORP
IE
N
2
2023-09-27
Fixed
0.87500000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_19-D
N/A
TAOT 2019-D A4
89233MAE3
2460000.00000000
PA
USD
2544156.85000000
0.028110350552
Long
ABS-CBDO
CORP
US
N
2
2025-02-18
Fixed
1.99000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C24
N/A
JPMBB 2014-C24 A5
46643GAE0
500000.00000000
PA
USD
540140.00000000
0.005967998689
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.63850000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18
N/A
MSBAM 2014-C18 A4
61763XAE6
20000.00000000
PA
USD
21740.80000000
0.000240213770
Long
ABS-MBS
CORP
US
N
2
2047-10-15
Fixed
3.92300000
N
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
UNITED PARCEL
N/A
2320000.00000000
PA
2759105.08000000
0.030485310294
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
0.37500000
N
N
N
N
N
N
Harvest Operations Corp
B1EEF6ML54YDWRC6ZK53
HARVEST OPERATIO
41754WAS0
2000000.00000000
PA
USD
2149648.00000000
0.023751428236
Long
DBT
CORP
CA
Y
2
2023-06-01
Fixed
4.20000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78015K7J7
2840000.00000000
PA
USD
2837083.32000000
0.031346890688
Long
DBT
CORP
CA
N
2
2023-10-26
Fixed
0.50000000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BN14 A4
06035RAS5
250000.00000000
PA
USD
283515.00000000
0.003132552946
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
4.23100000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2012-STAR
N/A
MSC 2012-STAR A2
61761BAC0
1344000.00000000
PA
USD
1359953.28000000
0.015026103219
Long
ABS-MBS
CORP
US
Y
2
2034-08-05
Fixed
3.20100000
N
N
N
N
N
N
GS Mortgage Securities Trust 2013-GC13
549300WF5YRKNHB1FX69
GSMS 2013-GC13 A5
36198EAE5
1338000.00000000
PA
USD
1438858.44000000
0.015897925139
Long
ABS-MBS
CORP
US
N
2
2046-07-10
Variable
4.05080000
N
N
N
N
N
N
SYNCHRONY CARD ISSUANCE TRUST SYNIT_19-A2
N/A
SYNIT 2019-A2 A
87166PAF8
22540000.00000000
PA
USD
23097441.25000000
0.255203278996
Long
ABS-CBDO
CORP
US
N
2
2025-06-15
Fixed
2.34000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S
23636AAH4
850000.00000000
PA
USD
856050.30000000
0.009458486815
Long
DBT
CORP
DK
Y
2
2021-09-08
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 4/21
21H020642
-47000000.00000000
PA
USD
-47455312.50000000
-0.52433302999
Short
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
2.00000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
29135LAD2
12100000.00000000
PA
USD
12637494.10000000
0.139631481154
Long
DBT
NUSS
AE
Y
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QDA3
670000.00000000
PA
USD
731118.07000000
0.008078112496
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C12
N/A
JPMBB 2013-C12 A5
46639NAQ4
2043411.00000000
PA
USD
2157147.26000000
0.023834287446
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Fixed
3.66370000
N
N
N
N
N
N
Corp Andina de Fomento
UKZ46SXGNYCZK0UOZE76
CORP ANDINA FOM
219868BX3
1000000.00000000
PA
USD
1007499.00000000
0.011131841211
Long
DBT
CORP
N/A
N
2
2021-09-27
Fixed
2.12500000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2R3
19270000.00000000
PA
USD
19634684.75000000
0.216943334806
Long
DBT
CORP
US
N
2
2024-06-02
Variable
1.65400000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCC2
900000.00000000
PA
USD
895502.70000000
0.009894395786
Long
DBT
CORP
JP
N
2
2024-01-12
Fixed
0.50800000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
75.84000000
0.000000837955
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
6780.00000000
EUR
8030.87000000
USD
2021-04-30
75.84000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05578DAG7
6241000.00000000
PA
USD
6830387.56000000
0.075468848833
Long
DBT
CORP
FR
N
2
2024-04-15
Fixed
4.00000000
N
N
N
N
N
N
Corp Andina de Fomento
UKZ46SXGNYCZK0UOZE76
CORP ANDINA FOM
219868CC8
10000000.00000000
PA
USD
10341260.00000000
0.114260425316
Long
DBT
CORP
N/A
N
2
2023-05-12
Fixed
2.37500000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR
26442CAW4
8255000.00000000
PA
USD
8531847.94000000
0.094268258835
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.35000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC23
N/A
CGCMT 2014-GC23 A4
17322VAT3
756000.00000000
PA
USD
815557.68000000
0.009011084470
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Fixed
3.62200000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC25
N/A
CGCMT 2014-GC25 A3
17322YAC4
591000.00000000
PA
USD
628386.66000000
0.006943034701
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.37200000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
17308CC46
20620000.00000000
PA
USD
20826674.26000000
0.230113608872
Long
DBT
CORP
US
N
2
2022-11-04
Variable
2.31200000
N
N
N
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_17-SFR1
N/A
PROG 2017-SFR1 A
74333JAA9
99355.92000000
PA
USD
99962.98000000
0.001104489453
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
2.76800000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST NALT_20-A
N/A
NALT 2020-A A3
65479NAD6
19800000.00000000
PA
USD
20008890.00000000
0.221077922953
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
1.84000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-C
N/A
TAOT 2020-C A4
89237VAC3
7770000.00000000
PA
USD
7768512.05000000
0.085834172133
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.57000000
N
N
N
N
N
N
Berkshire Hathaway Inc
5493000C01ZX7D35SD85
BERKSHIRE HATHWY
084670BZ0
2000000.00000000
PA
2379133.89000000
0.026287014363
Long
DBT
CORP
US
N
2
2023-01-17
Fixed
0.62500000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_18-A
N/A
SMB 2018-A A2A
78449PAB5
1961669.12000000
PA
USD
2075935.95000000
0.022936984910
Long
ABS-CBDO
CORP
US
Y
2
2036-02-15
Fixed
3.50000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2011-C3
N/A
WFRBS 2011-C3 A4
92935VAG3
36589.13000000
PA
USD
36625.35000000
0.000404672938
Long
ABS-MBS
CORP
US
Y
2
2044-03-15
Fixed
4.37500000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BM0
14795000.00000000
PA
USD
15193133.45000000
0.167868701676
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61744YAH1
44365000.00000000
PA
USD
45574478.63000000
0.503551725018
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
2.75000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAR2
300000000.00000000
PA
USD
299953140.00000000
3.314177706736
Long
DBT
UST
US
N
2
2022-10-31
Fixed
0.12500000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK
94988J5R4
12385000.00000000
PA
USD
13252569.25000000
0.146427437183
Long
DBT
CORP
US
N
2
2023-08-14
Fixed
3.55000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_18-A
N/A
FORDO 2018-B A4
34532TAE2
14050000.00000000
PA
USD
14576907.32000000
0.161060028486
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
3.38000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
48128BAB7
13675000.00000000
PA
USD
13950017.93000000
0.154133537099
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.97200000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122DT2
20000000.00000000
PA
USD
20015300.00000000
0.221148746946
Long
DBT
CORP
US
N
2
2023-11-13
Fixed
0.53700000
N
N
N
N
N
N
BANK 2018-BNK10
549300GL0Y86051URC66
BANK 2018-BN10 ASB
065404AZ8
380000.00000000
PA
USD
416890.40000000
0.004606215723
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
3.64100000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4935 KP
3137FQ5B5
3266544.09000000
PA
USD
3341119.29000000
0.036915976497
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
2.50000000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BN14 ASB
06035RAQ9
445000.00000000
PA
USD
500300.15000000
0.005527808789
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
4.18500000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_20-B
N/A
HART 2020-B A4
44933FAD8
8430000.00000000
PA
USD
8444540.91000000
0.093303604781
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Fixed
0.62000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78015K7G3
16252000.00000000
PA
USD
16637985.00000000
0.183832844597
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAU0
2660000.00000000
PA
USD
2846654.86000000
0.031452646489
Long
DBT
CORP
US
N
2
2024-07-23
Variable
3.79700000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_19-2
N/A
COPAR 2019-2 A3
14043TAF3
27130000.00000000
PA
USD
27509277.40000000
0.303949589884
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
1.92000000
N
N
N
N
N
N
Pacific Life Global Funding II
6354003EUPCHXTWUU869
PACIFIC LIFE GF
6944PL2C2
14070000.00000000
PA
USD
14049190.47000000
0.155229292993
Long
DBT
CORP
US
Y
2
2023-09-23
Fixed
0.50000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TRUST MBALT_20-B
N/A
MBALT 2020-B A4
58769EAD0
4680000.00000000
PA
USD
4681032.41000000
0.051720656292
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.50000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-B
N/A
FORDO 2020-B A4
34533GAE9
27200000.00000000
PA
USD
27392736.48000000
0.302661931022
Long
ABS-CBDO
CORP
US
N
2
2025-11-15
Fixed
0.79000000
N
N
N
N
N
N
COMM 2012-CCRE5 Mortgage Trust
N/A
COMM 2012-CR5 A4
12623SAE0
291466.00000000
PA
USD
299300.61000000
0.003306967912
Long
ABS-MBS
CORP
US
N
2
2045-12-10
Fixed
2.77100000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2013-GC11
N/A
CGCMT 2013-GC11 A4
17320DAG3
951512.00000000
PA
USD
990790.42000000
0.010947228363
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.09300000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC34
54930070360RBP384M53
GSMS 2015-GC34 A4
36250VAD4
770000.00000000
PA
USD
836620.40000000
0.009243806144
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.50600000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-B
N/A
TAOT 2020-B A3
89239RAC0
13380000.00000000
PA
USD
13568227.16000000
0.149915136656
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
1.36000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDM1
2350000.00000000
PA
USD
2542838.65000000
0.028095785780
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.50000000
N
N
N
N
N
N
Saudi Government International Bond
N/A
SAUDI INT BOND
N/A
18594000.00000000
PA
USD
18795267.03000000
0.207668621115
Long
DBT
NUSS
SA
N
2
2021-10-26
Fixed
2.37500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAH9
38468000.00000000
PA
USD
41073245.30000000
0.453817666041
Long
DBT
CORP
US
N
2
2025-03-01
Variable
3.22000000
N
N
N
N
N
N
TWDC Enterprises 18 Corp
7260JQNI6SCF9FIV2392
WALT DISNEY CO
25468PCW4
1860000.00000000
PA
USD
1918803.90000000
0.021200835267
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.35000000
N
N
N
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Jun21
N/A
-208.00000000
NC
USD
-27235000.00000000
-0.30091910304
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
N/A
US 10YR NOTE (CBT)Jun21
2021-06-21
-27896883.55000000
USD
661883.55000000
N
N
N
UBS Commercial Mortgage Trust 2019-C16
N/A
UBSCM 2019-C16 ASB
90276YAC7
214000.00000000
PA
USD
233621.66000000
0.002581282187
Long
ABS-MBS
CORP
US
N
2
2052-04-15
Fixed
3.46030000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_20-1
N/A
VALET 2020-1 A4
92868JAE6
4010000.00000000
PA
USD
4084616.48000000
0.045130865703
Long
ABS-CBDO
CORP
US
N
2
2026-08-20
Fixed
1.26000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-50 EM
3136B6DU4
6070958.42000000
PA
USD
6207979.95000000
0.068591876564
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C40
N/A
WFCM 2017-C40 A4
95000YAY1
1160000.00000000
PA
USD
1271290.40000000
0.014046468399
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.58100000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
SIEMENS FINAN
82620KAX1
9445000.00000000
PA
USD
9433921.02000000
0.104235250651
Long
DBT
CORP
NL
Y
2
2024-03-11
Fixed
0.65000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
N/A
MSBAM 2017-C34 A4
61767EAE4
460000.00000000
PA
USD
503221.60000000
0.005560087846
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.53600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91184
3128P7J53
3619.18000000
PA
USD
4198.14000000
0.000046385185
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC24
N/A
GSMS 2014-GC24 A5
36253GAE2
110000.00000000
PA
USD
119152.00000000
0.001316508645
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Fixed
3.93100000
N
N
N
N
N
N
GS Mortgage Securities Trust 2013-GCJ14
549300ITVQSU1IHX4H03
GSMS 2013-GC14 A4
36198FAD4
60000.00000000
PA
USD
62536.80000000
0.000690968157
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Fixed
3.95500000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CM8
5807000.00000000
PA
USD
6211236.88000000
0.068627862335
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2012-LC5
N/A
WFCM 2012-LC5 AS
94988HAE1
433628.00000000
PA
USD
448575.16000000
0.004956300157
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.53900000
N
N
N
N
N
N
COMM 2014-CCRE17 Mortgage Trust
N/A
COMM 2014-CR17 AM
12631DBD4
350000.00000000
PA
USD
376407.50000000
0.004158920773
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
4.17400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 4/21
21H020642
47000000.00000000
PA
USD
47455312.50000000
0.524333029998
Long
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
2.00000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-3
N/A
GMALT 2020-3 A3
362569AC9
19750000.00000000
PA
USD
19793299.90000000
0.218695871199
Long
ABS-CBDO
CORP
US
N
2
2023-08-21
Fixed
0.45000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_18-A
N/A
MMAF 2018-A A4
60700DAD0
9390000.00000000
PA
USD
9709732.32000000
0.107282685533
Long
ABS-CBDO
CORP
US
Y
2
2025-01-10
Fixed
3.39000000
N
N
N
N
N
N
Aventura Mall Trust
N/A
AVMT 2018-AVM A
05359AAA1
740000.00000000
PA
USD
817677.80000000
0.009034509643
Long
ABS-MBS
CORP
US
Y
2
2040-07-05
Variable
4.11230000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-4
N/A
GMCAR 2019-4 A3
36258MAD6
26310000.00000000
PA
USD
26611983.55000000
0.294035403708
Long
ABS-CBDO
CORP
US
N
2
2024-07-16
Fixed
1.75000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJD2
4763000.00000000
PA
USD
4746410.47000000
0.052443017488
Long
DBT
CORP
US
N
2
2026-06-19
Variable
1.31900000
N
N
N
N
N
N
N/A
N/A
SCDS: (QATAR)
BVN4MVDN1
2720000.00000000
NC
USD
-27331.38000000
-0.00030198400
N/A
DCR
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
N/A
QATAR STATE OF
Y
Receipt of notional amount upon default event with regard to reference instrument
2022-06-20
8061.21000000
USD
0.00000000
USD
2720000.00000000
USD
-35392.59000000
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAX8
6450000.00000000
PA
USD
6744345.75000000
0.074518174176
Long
DBT
CORP
JP
N
2
2023-01-17
Fixed
3.10200000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAM0
12960000.00000000
PA
USD
13025512.80000000
0.143918693901
Long
DBT
CORP
US
Y
2
2023-07-07
Fixed
0.80000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-A
N/A
NAROT 2020-A A4
65479MAD8
7760000.00000000
PA
USD
8007048.91000000
0.088469762291
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
1.70000000
N
N
N
N
N
N
NSTAR Electric Co
54930080R72Y2Z31UR68
NSTAR ELECTRIC
67021CAG2
1440000.00000000
PA
USD
1474305.12000000
0.016289574970
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
Slovenia Government International Bond
N/A
SLOVENIA
N/A
303000.00000000
PA
USD
327088.95000000
0.003614000860
Long
DBT
NUSS
SI
N
2
2022-10-26
Fixed
5.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_20-3
N/A
CARMX 2020-3 A4
14315FAE7
4900000.00000000
PA
USD
4907929.67000000
0.054227640685
Long
ABS-CBDO
CORP
US
N
2
2026-03-16
Fixed
0.77000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
ATHENE GLOBAL FU
04685A2E0
2729000.00000000
PA
USD
2810861.81000000
0.031057169621
Long
DBT
CORP
US
Y
2
2022-07-01
Fixed
3.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C17
N/A
JPMBB 2013-C17 A4
46640UAD4
2947240.00000000
PA
USD
3193982.93000000
0.035290269081
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Fixed
4.19890000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-A
N/A
HART 2019-A A4
44932NAE0
3260000.00000000
PA
USD
3373790.30000000
0.037276957992
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
2.71000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_20-A
N/A
CNH 2020-A A3
12597PAC2
8220000.00000000
PA
USD
8298698.28000000
0.091692191768
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
1.16000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
N/A
268000.00000000
PA
USD
295563.80000000
0.003265679955
Long
DBT
NUSS
BM
N
2
2024-02-06
Fixed
4.85400000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
N/A
1620000.00000000
PA
1921490.50000000
0.021230519469
Long
DBT
CORP
SE
N
2
2024-06-18
Fixed
0.12500000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32
N/A
MSBAM 2016-C32 A4
61691GAS9
900000.00000000
PA
USD
992835.00000000
0.010969818897
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.72000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGE3
9548000.00000000
PA
USD
9743800.84000000
0.107659108095
Long
DBT
CORP
US
N
2
2023-01-20
Variable
3.12400000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC24
N/A
GSMS 2014-GC24 AS
36253GAJ1
60000.00000000
PA
USD
64731.60000000
0.000715218469
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Variable
4.16200000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C18
N/A
JPMBB 2014-C18 A5
46641JAW6
1160000.00000000
PA
USD
1254586.40000000
0.013861906156
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Fixed
4.07930000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61744YAQ1
5000000.00000000
PA
USD
5311650.00000000
0.058688340505
Long
DBT
CORP
US
N
2
2024-04-24
Variable
3.73700000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP FINANCIAL
125094AQ5
1750000.00000000
PA
USD
1882011.25000000
0.020794313833
Long
DBT
NUSS
CA
Y
2
2024-07-24
Fixed
3.15000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2012-C9
N/A
WFRBS 2012-C9 AS
92930RAC6
567176.00000000
PA
USD
585949.53000000
0.006474147493
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Fixed
3.38800000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-4
N/A
CARMX 2019-4 A3
14315WAD2
16090000.00000000
PA
USD
16435947.87000000
0.181600539403
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
2.02000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-121 AP
38380AZY6
403356.29000000
PA
USD
408620.09000000
0.004514837193
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
2.75000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GVM3
15000000.00000000
PA
USD
16354425.00000000
0.180699794446
Long
DBT
CORP
US
N
2
2024-03-03
Fixed
4.00000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-B
N/A
SOFI 2017-B A2FX
83403YAB0
318004.21000000
PA
USD
322738.08000000
0.003565928164
Long
ABS-CBDO
CORP
US
Y
2
2040-05-25
Fixed
2.74000000
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd
JHE42UYNWWTJB8YTTU19
AUST & NZ BANK
N/A
1620000.00000000
PA
1933975.82000000
0.021368469581
Long
DBT
CORP
AU
N
2
2023-02-21
Fixed
0.62500000
N
N
N
N
N
N
PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY PHEAA_16-2A
N/A
PHEAA 2016-2A A
69343VAA0
6196743.90620000
PA
USD
6230213.14000000
0.068837530744
Long
ABS-CBDO
CORP
US
Y
2
2065-11-25
Floating
1.06760000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-110 PD
38381YXL3
815394.85000000
PA
USD
833570.00000000
0.009210102321
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-UB11
N/A
MSC 2016-UB11 A4
61767FBA8
600000.00000000
PA
USD
635172.00000000
0.007018005820
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.78200000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
6000000.00000000
PA
USD
6199560.00000000
0.068498844664
Long
DBT
NUSS
QA
N
2
2022-01-20
Fixed
4.50000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_18-1A
N/A
CFII 2018-1A A1
165183BG8
6721278.06000000
PA
USD
6769026.69000000
0.074790873508
Long
ABS-CBDO
CORP
US
Y
2
2030-04-15
Fixed
3.04000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
CAMDEN PROP TRST
133131AU6
3890000.00000000
PA
USD
4245581.01000000
0.046909360360
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14
N/A
MSBAM 2014-C14 A5
61690GAF8
250000.00000000
PA
USD
269870.00000000
0.002981789547
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Fixed
4.06400000
N
N
N
N
N
N
RESIMAC Premier Series 2020-1
N/A
RESI 2020-1A A1B
76120GAB5
3740266.34000000
PA
USD
3741287.43000000
0.041337428222
Long
ABS-MBS
CORP
AU
Y
2
2052-02-07
Fixed
1.27400000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBG5
950000000.00000000
PA
USD
949406250.00000000
10.48997529542
Long
DBT
UST
US
N
2
2023-01-31
Fixed
0.12500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-1
N/A
HAROT 2019-1 A4
43814WAD7
5320000.00000000
PA
USD
5488280.64000000
0.060639929775
Long
ABS-CBDO
CORP
US
N
2
2024-06-18
Fixed
2.90000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_16-C
N/A
SMB 2016-C A2B
78449KAC4
345361.05290000
PA
USD
347822.44000000
0.003843084878
Long
ABS-CBDO
CORP
US
Y
2
2034-09-15
Floating
1.20600000
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Jun21
N/A
2347.00000000
NC
USD
518045241.01000000
5.723874031911
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Long
N/A
CBOT 2 Year US Treasury Note Future
2021-06-30
518520720.38000000
USD
-475479.37000000
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
DEXIA CRED LOCAL
25214BAW4
50000000.00000000
PA
USD
53433750.00000000
0.590388695505
Long
DBT
CORP
FR
Y
2
2023-09-26
Fixed
3.25000000
N
N
N
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
QUEBEC PROVINCE
748149AF8
6350000.00000000
PA
USD
6413633.35000000
0.070864137870
Long
DBT
NUSS
CA
N
2
2021-08-25
Fixed
2.75000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_20-A
N/A
BMWOT 2020-A A3
09661RAD3
29030000.00000000
PA
USD
29094333.38000000
0.321462849431
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Fixed
0.48000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GRD8
4300000.00000000
PA
USD
4537084.80000000
0.050130181326
Long
DBT
CORP
US
N
2
2023-01-22
Fixed
3.62500000
N
N
N
N
N
N
BANK 2017-BNK7
N/A
BANK 2017-BNK7 A5
06541XAF7
280000.00000000
PA
USD
305452.00000000
0.003374934527
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.43500000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-A
N/A
FORDO 2020-A A4
34528GAL0
2660000.00000000
PA
USD
2718674.28000000
0.030038590996
Long
ABS-CBDO
CORP
US
N
2
2025-07-15
Fixed
1.35000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-4
N/A
GMCAR 2019-4 A4
36258MAE4
3810000.00000000
PA
USD
3911859.97000000
0.043222081637
Long
ABS-CBDO
CORP
US
N
2
2025-01-16
Fixed
1.76000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4926 MA
3137FPMR3
5466377.25000000
PA
USD
5658301.76000000
0.062518490558
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
3.00000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_20-3
N/A
CARMX 2020-3 A3
14315FAD9
43100000.00000000
PA
USD
43274184.34000000
0.478135808202
Long
ABS-CBDO
CORP
US
N
2
2025-03-17
Fixed
0.62000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468Q5
15000000.00000000
PA
USD
15494010.00000000
0.171193082125
Long
DBT
CORP
US
N
2
2026-04-28
Variable
2.18800000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2
N/A
JPMCC 2010-C2 A3
46635GAE0
92512.04170000
PA
USD
92709.09000000
0.001024341333
Long
ABS-MBS
CORP
US
Y
2
2043-11-15
Fixed
4.06980000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_18-D
N/A
WOART 2018-D A4
98162WAE7
5870000.00000000
PA
USD
6147142.66000000
0.067919686267
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
3.44000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2012-123 EH
3136A9YR3
5499140.64000000
PA
USD
5563700.55000000
0.061473243219
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
1.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78013XW20
5000000.00000000
PA
USD
5386225.00000000
0.059512318552
Long
DBT
CORP
CA
N
2
2023-10-05
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2014-86 PA
3136AMHN2
2774123.43000000
PA
USD
2792460.39000000
0.030853852610
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBN0
200000000.00000000
PA
USD
199875000.00000000
2.208415851669
Long
DBT
UST
US
N
2
2023-02-28
Fixed
0.12500000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2015-C31
N/A
JPMBB 2015-C31 A3
46644YAU4
220000.00000000
PA
USD
240420.40000000
0.002656401362
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Fixed
3.80140000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-1
N/A
HAROT 2020-1 A3
43813RAC1
38330000.00000000
PA
USD
38992802.36000000
0.430830883466
Long
ABS-CBDO
CORP
US
N
2
2024-04-22
Fixed
1.61000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-A
N/A
SOFI 2017-A A1
83404FAA2
589871.06230000
PA
USD
590752.86000000
0.006527219414
Long
ABS-CBDO
CORP
US
Y
2
2040-03-26
Floating
0.80860000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB
N/A
2000000.00000000
PA
2365536.20000000
0.026136773692
Long
DBT
CORP
SE
N
2
2022-09-06
Fixed
0.30000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
54.24000000
0.000000599296
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
10000.00000000
EUR
11787.32000000
USD
2021-04-30
54.24000000
N
N
N
Israel Government International Bond
N/A
STATE OF ISRAEL
4651387M1
2000000.00000000
PA
USD
2116210.00000000
0.023381972279
Long
DBT
NUSS
IL
N
2
2023-06-30
Fixed
3.15000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-4
N/A
SDART 2020-4 A3
80286WAD8
10130000.00000000
PA
USD
10151042.04000000
0.112158709954
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.48000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-LC22
549300XO83D3BDYP0P62
WFCM 2015-LC22 A4
94989TAZ7
1771000.00000000
PA
USD
1953058.80000000
0.021579317139
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Fixed
3.83900000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159VK9
15000000.00000000
PA
USD
15312870.00000000
0.169191669005
Long
DBT
CORP
CA
N
2
2023-05-01
Fixed
1.62500000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_19-A
N/A
HDMOT 2019-A A3
41284WAC4
28063641.28000000
PA
USD
28399832.48000000
0.313789319492
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
2.34000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
N/A
2160000.00000000
PA
USD
2255880.67000000
0.024925191400
Long
DBT
NUSS
AE
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210401
N/A
1.00000000
NC
-658.56000000
-0.00000727641
N/A
DFE
N/A
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
8581848.60000000
USD
7317464.00000000
EUR
2021-04-01
-658.56000000
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-57 QP
3136AEHM2
4754674.72000000
PA
USD
4765705.57000000
0.052656208756
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2014-79 PA
3136ALF55
1503735.46000000
PA
USD
1520502.11000000
0.016800004814
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
2.25000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2013-LC12
549300V2DF3KW9L1CV04
WFCM 2013-LC12 AS
94988QAN1
350000.00000000
PA
USD
361459.00000000
0.003993755023
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.27410000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC
80283LAY9
6306000.00000000
PA
USD
6497790.68000000
0.071793990937
Long
DBT
CORP
GB
N
2
2023-01-13
Fixed
2.10000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86959LAF0
6000000.00000000
PA
USD
6027282.00000000
0.066595347648
Long
DBT
CORP
SE
Y
2
2023-06-30
Fixed
0.62500000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4259 DC
3137B52H5
1805770.88000000
PA
USD
1852179.19000000
0.020464699854
Long
ABS-MBS
USGSE
US
N
2
2043-06-15
Fixed
2.25000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_16-4
N/A
CARMX 2018-4 A4
14315EAD2
5320000.00000000
PA
USD
5576719.79000000
0.061617092605
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
3.48000000
N
N
N
N
N
N
First Republic Bank/CA
YWC0TIKBQM2JV8L4IV08
FIRST REP BANK
336158AK6
2770000.00000000
PA
USD
2830940.00000000
0.031279013238
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
2.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGK9
5000000.00000000
PA
USD
5119720.00000000
0.056567708838
Long
DBT
CORP
US
N
2
2023-04-24
Variable
2.88100000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3
N/A
JPMCC 2011-C3 A4
46635TCG5
50624.05000000
PA
USD
50499.01000000
0.000557962797
Long
ABS-MBS
CORP
US
Y
2
2046-02-15
Fixed
4.71710000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_18-1
N/A
MBART 2018-1 A4
58772RAE4
18320000.00000000
PA
USD
18834211.26000000
0.208098915323
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
3.15000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468T9
14130000.00000000
PA
USD
14119473.15000000
0.156005845261
Long
DBT
CORP
US
N
2
2023-11-10
Variable
0.56000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK
65557CBE2
10570000.00000000
PA
USD
10663512.79000000
0.117820991519
Long
DBT
CORP
FI
Y
2
2023-06-09
Fixed
1.00000000
N
N
N
N
N
N
Benchmark 2018-B1 Mortgage Trust
N/A
BMARK 2018-B1 AM
08162PAZ4
60000.00000000
PA
USD
65668.20000000
0.000725566948
Long
ABS-MBS
CORP
US
N
2
2051-01-15
Variable
3.87800000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CY2
5000000.00000000
PA
USD
5207345.00000000
0.057535876138
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
2.75000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DD6
1970000.00000000
PA
USD
2051197.49000000
0.022663650040
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
2.75000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_16-A
N/A
SMB 2016-A A2A
78449FAB7
249685.36000000
PA
USD
257139.57000000
0.002841131219
Long
ABS-CBDO
CORP
US
Y
2
2031-05-15
Fixed
2.70000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_18-1
N/A
CARMX 2018-1 A4
14314AAD1
11600000.00000000
PA
USD
11804242.36000000
0.130424895283
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
2.64000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236THA6
2000000.00000000
PA
USD
2042636.00000000
0.022569054266
Long
DBT
CORP
US
N
2
2023-08-25
Fixed
1.35000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDH1
30000000.00000000
PA
USD
30883680.00000000
0.341233313170
Long
DBT
CORP
US
N
2
2023-05-10
Fixed
1.95000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
N/A
MSBAM 2014-C16 A5
61763MAF7
300000.00000000
PA
USD
323853.00000000
0.003578246898
Long
ABS-MBS
CORP
US
N
2
2047-06-15
Fixed
3.89200000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_20-B
N/A
JDOT 2020-B A4
47787NAD1
4020000.00000000
PA
USD
4037901.46000000
0.044614712153
Long
ABS-CBDO
CORP
US
N
2
2027-06-15
Fixed
0.72000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PCC4
3246000.00000000
PA
USD
3398253.63000000
0.037547252955
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.87500000
N
N
N
N
N
N
MUFG Union Bank NA
OX3PU53ZLPQKJ4700D47
MUFG UNION BANK
90520EAH4
13875000.00000000
PA
USD
14239773.75000000
0.157335044771
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
3.15000000
N
N
N
N
N
N
Northern States Power Co/MN
3S1GHB0TEH85KX44SB51
NORTHERN ST PR-M
665772CK3
900000.00000000
PA
USD
932565.60000000
0.010303903208
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
2.60000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967LV1
2830000.00000000
PA
USD
2885337.82000000
0.031880053929
Long
DBT
CORP
US
N
2
2023-01-24
Variable
3.14200000
N
N
N
N
N
N
Great-West Lifeco US Finance 2020 LP
N/A
GREAT-WEST LIFEC
391399AA0
3840000.00000000
PA
USD
3776835.84000000
0.041730202067
Long
DBT
CORP
US
Y
2
2025-08-12
Fixed
0.90400000
N
N
N
N
N
N
Vanguard Cmt Funds-Vanguard Market Liquidity Fund
1I6HV0TLSTR3A4XQ6L78
Vanguard Market Liquidity Fund
N/A
2091114.11900000
NS
USD
209111411.90000000
2.310468827041
Long
STIV
CORP
US
N
1
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
539439AP4
10010000.00000000
PA
USD
10357987.64000000
0.114445248758
Long
DBT
CORP
GB
N
2
2023-11-07
Variable
2.90700000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154CQ0
2400000.00000000
PA
USD
2497065.60000000
0.027590040043
Long
DBT
NUSS
KR
N
2
2022-11-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-RC1
N/A
WFCM 2017-RC1 A4
95001FAX3
246000.00000000
PA
USD
269566.80000000
0.002978439495
Long
ABS-MBS
CORP
US
N
2
2060-01-15
Fixed
3.63100000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_18-3
N/A
HAROT 2018-3 A4
43815HAD9
11310000.00000000
PA
USD
11536832.23000000
0.127470284801
Long
ABS-CBDO
CORP
US
N
2
2024-11-21
Fixed
3.07000000
N
N
N
N
N
N
Equitable Financial Life Global Funding
635400B4JJBON4TCHF02
EQUITABLE FINANC
29449WAC1
10000000.00000000
PA
USD
9976540.00000000
0.110230639553
Long
DBT
CORP
US
Y
2
2023-11-17
Fixed
0.50000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-B
N/A
NAROT 2020-B A4
65479CAE8
5030000.00000000
PA
USD
5054613.80000000
0.055848351419
Long
ABS-CBDO
CORP
US
N
2
2027-02-16
Fixed
0.71000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BG8
24895000.00000000
PA
USD
25552252.90000000
0.282326455785
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
3.21800000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_17-B
N/A
SMB 2017-B A2A
83189DAB6
505768.79000000
PA
USD
524964.13000000
0.005800320731
Long
ABS-CBDO
CORP
US
Y
2
2035-10-15
Fixed
2.82000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAV ENSKIL
83051GAN8
8560000.00000000
PA
USD
8575057.04000000
0.094745675527
Long
DBT
CORP
SE
Y
2
2023-09-01
Fixed
0.55000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06053FAA7
5000000.00000000
PA
USD
5390590.00000000
0.059560547371
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
4.10000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05578AAA6
13500000.00000000
PA
USD
14027998.50000000
0.154995143237
Long
DBT
CORP
FR
Y
2
2023-01-11
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BEA0
13738000.00000000
PA
USD
13751724.26000000
0.151942593338
Long
DBT
CORP
US
N
2
2021-04-21
Fixed
2.50000000
N
N
N
N
N
N
KSA Sukuk Ltd
635400XBJFPNCGN9CK71
KSA SUKUK LTD
N/A
5000000.00000000
PA
USD
5130200.00000000
0.056683502200
Long
DBT
CORP
KY
N
2
2022-04-20
Fixed
2.89400000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214EC3
5000000.00000000
PA
USD
5380505.00000000
0.059449118358
Long
DBT
CORP
AU
N
2
2024-02-26
Fixed
3.30000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-B
N/A
FORDO 2020-B A3
34533GAD1
48800000.00000000
PA
USD
48969253.04000000
0.541060536124
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
0.56000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-1
N/A
GMCAR 2021-1 A3
36261LAC5
12080000.00000000
PA
USD
12063583.28000000
0.133290349185
Long
ABS-CBDO
CORP
US
N
2
2025-10-16
Fixed
0.35000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAE6
25135000.00000000
PA
USD
25728713.84000000
0.284276170042
Long
DBT
CORP
US
N
2
2023-04-25
Variable
2.77600000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90352JAA1
3400000.00000000
PA
USD
3507423.00000000
0.038753463673
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
Nestle Holdings Inc
549300EAEU8YV8MQXP30
NESTLE HOLDINGS
641062AD6
11000000.00000000
PA
USD
11768130.00000000
0.130025890363
Long
DBT
CORP
US
Y
2
2023-09-24
Fixed
3.35000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBS4
3000000.00000000
PA
USD
3001752.00000000
0.033166312443
Long
DBT
CORP
US
N
2
2024-09-16
Variable
0.65300000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC HERTZ_16-2A
N/A
HERTZ 2016-2A A
42806DAU3
1280683.43000000
PA
USD
1284987.81000000
0.014197810875
Long
ABS-CBDO
CORP
US
Y
2
2022-03-25
Fixed
2.95000000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_19-1
N/A
CPART 2019-1A A4
13646BAJ7
1900000.00000000
PA
USD
1967738.23000000
0.021741509939
Long
ABS-CBDO
CORP
CA
Y
2
2024-06-19
Fixed
2.96000000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
WALMART INC
931142EL3
3300000.00000000
PA
USD
3539514.00000000
0.039108036646
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
2.85000000
N
N
N
N
N
N
BANK 2020-BNK28
N/A
BANK 2020-BN28 ASB
06540YAB5
1000000.00000000
PA
USD
986340.00000000
0.010898055740
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Fixed
1.72500000
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_20-1
N/A
TALNT 2020-1A A
89237JAA4
13400000.00000000
PA
USD
13599240.58000000
0.150257803464
Long
ABS-CBDO
CORP
US
Y
2
2033-05-25
Fixed
1.35000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3
N/A
JPMCC 2016-JP3 A5
46590RAE9
900000.00000000
PA
USD
951147.00000000
0.010509208815
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.87040000
N
N
N
N
N
N
SSM Health Care Corp
5493000QP6H63JFPC580
SSM HEALTH CARE
784710AB1
5985000.00000000
PA
USD
6339467.61000000
0.070044681731
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.68800000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBB5
15914000.00000000
PA
USD
17047092.71000000
0.188353069496
Long
DBT
CORP
JP
N
2
2023-07-19
Fixed
3.74800000
N
N
N
N
N
N
Province of Manitoba Canada
5493003QILFOB3JRKE30
MANITOBA (PROV)
563469TX3
1400000.00000000
PA
USD
1434465.20000000
0.015849384296
Long
DBT
NUSS
CA
N
2
2022-09-06
Fixed
2.10000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWC4
3000000.00000000
PA
USD
3003744.00000000
0.033188322021
Long
DBT
CORP
US
N
2
2022-04-26
Fixed
3.00000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-2
N/A
GMCAR 2019-2 A4
36257FAE0
6850000.00000000
PA
USD
7103287.66000000
0.078484117910
Long
ABS-CBDO
CORP
US
N
2
2024-08-16
Fixed
2.71000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BED4
16052000.00000000
PA
USD
16292587.38000000
0.180016551518
Long
DBT
CORP
US
N
2
2021-11-17
Fixed
2.62500000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2C6
16850000.00000000
PA
USD
18224134.35000000
0.201358184772
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BJ7
28633000.00000000
PA
USD
29353291.75000000
0.324324076544
Long
DBT
CORP
GB
N
2
2023-03-13
Variable
3.26200000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2020-C58
N/A
WFCM 2020-C58 ASB
95002UAC5
1400000.00000000
PA
USD
1393378.00000000
0.015395412445
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
1.84900000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.250000 16-JUN-2026
N/A
55037000.00000000
NC
USD
1767985.39000000
0.019534443831
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2026-06-16
0.00000000
USD
1355277.18000000
USD
55037000.00000000
USD
412708.21000000
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_19-A
N/A
FORDO 2019-A A4
34533FAE1
18140000.00000000
PA
USD
18929558.01000000
0.209152400121
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
2.85000000
N
N
N
N
N
N
MUFG Bank Ltd
C3GTMMZIHMY46P4OIX74
BK TOKYO-MIT UFJ
064255BG6
1740000.00000000
PA
USD
1758809.40000000
0.019433058456
Long
DBT
CORP
JP
Y
2
2021-09-08
Fixed
2.85000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_20-A
N/A
BMWOT 2020-A A4
09661RAE1
4550000.00000000
PA
USD
4564059.96000000
0.050428229461
Long
ABS-CBDO
CORP
US
N
2
2027-04-26
Fixed
0.62000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913Q3A5
130000.00000000
PA
USD
132883.66000000
0.001468229549
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
1.90000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFT0
13000000.00000000
PA
USD
13160628.00000000
0.145411579702
Long
DBT
CORP
US
N
2
2023-02-24
Variable
1.74300000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_19-4
N/A
ALLYA 2019-4 A4
02007TAD7
1890000.00000000
PA
USD
1939289.88000000
0.021427184550
Long
ABS-CBDO
CORP
US
N
2
2025-01-15
Fixed
1.92000000
N
N
N
N
N
N
BANK 2020-BNK30
N/A
BANK 2020-BN30 ASB
06541UBQ8
700000.00000000
PA
USD
688282.00000000
0.007604817406
Long
ABS-MBS
CORP
US
N
2
2053-12-15
Fixed
1.67300000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2015-UBS8
N/A
MSC 2015-UBS8 A4
61691ABL6
2000000.00000000
PA
USD
2202580.00000000
0.024336273103
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Fixed
3.80900000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-2
N/A
VALET 2018-2 A4
92869BAE2
11540000.00000000
PA
USD
11954879.16000000
0.132089279008
Long
ABS-CBDO
CORP
US
N
2
2025-02-20
Fixed
3.33000000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
NATL BANK CANADA
63307A2M6
4600000.00000000
PA
USD
4580937.60000000
0.050614710250
Long
DBT
CORP
CA
N
2
2024-11-15
Variable
0.55000000
N
N
N
N
N
N
BRAZOS HIGHER EDUCATION AUTHORITY INC BRHEA_05-3
N/A
BRHEA 2005-3 A16
10620NAK4
128040.89000000
PA
USD
127968.32000000
0.001413920032
Long
ABS-CBDO
CORP
US
N
2
2026-06-25
Floating
0.40060000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-138 MC
38376MCK1
691189.21000000
PA
USD
700395.85000000
0.007738663152
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
2.75000000
N
N
N
N
N
N
IDB Trust Services Ltd
213800VKLEPJ95I3W549
IDB TRUST SERV
N/A
25625000.00000000
PA
USD
26131998.31000000
0.288732054051
Long
DBT
CORP
JE
N
2
2022-04-12
Fixed
2.39300000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-129 JA
38380ADT1
259362.31000000
PA
USD
263691.07000000
0.002913518643
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
2.75000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAL3
9900000.00000000
PA
USD
10191960.90000000
0.112610821819
Long
DBT
CORP
JP
N
2
2022-09-11
Fixed
2.60100000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_19-A
N/A
FORDO 2019-A A3
34533FAD3
27923641.57000000
PA
USD
28358739.38000000
0.313335282452
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
2.78000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAR8
10500000.00000000
PA
USD
11241625.50000000
0.124208550107
Long
DBT
CORP
FR
Y
2
2023-07-20
Fixed
3.75000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-2
N/A
HAROT 2020-2 A3
43813DAC2
19150000.00000000
PA
USD
19242071.29000000
0.212605354625
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.82000000
N
N
N
N
N
N
Harvest Operations Corp
B1EEF6ML54YDWRC6ZK53
HARVEST OPERATIO
N/A
6000000.00000000
PA
USD
6218917.80000000
0.068712728704
Long
DBT
CORP
CA
N
2
2022-09-21
Fixed
3.00000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_20-1
N/A
FORDF 2020-1 A1
34528QHK3
51140000.00000000
PA
USD
51268034.10000000
0.566459733285
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
0.70000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-4
N/A
CARMX 2020-1 A4
14315XAD0
5620000.00000000
PA
USD
5828702.63000000
0.064401247193
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
2.03000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST_20-A
N/A
SRT 2020-A A3
80286KAC6
17510000.00000000
PA
USD
17829294.85000000
0.196995609109
Long
ABS-CBDO
CORP
US
Y
2
2023-07-20
Fixed
1.74000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2013-C6
549300G1IXWLFE766Q13
UBSBB 2013-C6 AS
90349GBH7
60000.00000000
PA
USD
61974.60000000
0.000684756417
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.46880000
N
N
N
N
N
N
GS Mortgage Securities Corp II
5493005BBCF84ICNQ550
GSMS 2018-GS10 A5
36250SAE9
250000.00000000
PA
USD
282645.00000000
0.003122940329
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Variable
4.15500000
N
N
N
N
N
N
American Express Credit Corp
9ET6B8VCXWW51H8Z3M54
AMERICAN EXPRESS
0258M0EB1
8090000.00000000
PA
USD
8090242.70000000
0.089388969218
Long
DBT
CORP
US
N
2
2021-05-05
Fixed
2.25000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
ATHENE GLOBAL FU
04685A2Q3
13000000.00000000
PA
USD
13103389.00000000
0.144779146857
Long
DBT
CORP
US
Y
2
2023-10-13
Fixed
1.20000000
N
N
N
N
N
N
CSAIL 2016-C7 Commercial Mortgage Trust
5493006MX7HG5PC85C29
CSAIL 2016-C7 A5
12637UAW9
900000.00000000
PA
USD
977931.00000000
0.010805144826
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.50200000
N
N
N
N
N
N
COMM 2014-CCRE15 Mortgage Trust
N/A
COMM 2014-CR15 A4
12591RBA7
30000.00000000
PA
USD
32549.40000000
0.000359637828
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.07400000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
N/A
10000000.00000000
PA
7694550.64000000
0.085016973632
Long
DBT
CORP
FR
N
2
2023-04-26
Floating
1.11090000
N
N
N
N
N
N
COMM 2013-LC6 Mortgage Trust
N/A
COMM 2013-LC6 A4
20048EAY7
789869.72000000
PA
USD
816361.95000000
0.009019970837
Long
ABS-MBS
CORP
US
N
2
2046-01-10
Fixed
2.94100000
N
N
N
N
N
N
TMSQ 2014-1500 Mortgage Trust
N/A
TMSQ 2014-1500 A
87264JAA4
100000.00000000
PA
USD
106192.00000000
0.001173313801
Long
ABS-MBS
CORP
US
Y
2
2036-10-10
Fixed
3.68000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
53944YAK9
14700000.00000000
PA
USD
14995617.00000000
0.165686345407
Long
DBT
CORP
GB
N
2
2023-03-17
Variable
2.85800000
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC VFET_20-1
N/A
VFET 2020-1A A3
92888EAC7
20600000.00000000
PA
USD
20632727.22000000
0.227970690960
Long
ABS-CBDO
CORP
US
Y
2
2024-10-15
Fixed
0.51000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_16-AA
N/A
MMAF 2016-AA A5
55315FAE0
8390000.00000000
PA
USD
8575270.50000000
0.094748034044
Long
ABS-CBDO
CORP
US
Y
2
2032-12-15
Fixed
2.21000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAP6
150000000.00000000
PA
USD
149507820.00000000
1.651909641708
Long
DBT
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-B
N/A
TAOT 2020-B A4
89239RAD8
5220000.00000000
PA
USD
5361465.65000000
0.059238752868
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
1.66000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_18-3
N/A
FORDF 2018-3 A1
34528QGH1
32760000.00000000
PA
USD
33326053.49000000
0.368219060917
Long
ABS-CBDO
CORP
US
N
2
2023-10-15
Fixed
3.52000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAS6
5345000.00000000
PA
USD
5485942.31000000
0.060614093602
Long
DBT
CORP
FR
Y
2
2022-11-21
Fixed
2.12500000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZU7
100000000.00000000
PA
USD
100109380.00000000
1.106107025354
Long
DBT
UST
US
N
2
2023-06-15
Fixed
0.25000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_17-A
N/A
MMAF 2017-AA A4
55315XAD3
5556547.87000000
PA
USD
5596688.93000000
0.061837731331
Long
ABS-CBDO
CORP
US
Y
2
2024-08-16
Fixed
2.41000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-3
N/A
GMCAR 2018-3 A4
36255JAE4
9990000.00000000
PA
USD
10293282.41000000
0.113730321650
Long
ABS-CBDO
CORP
US
N
2
2024-01-16
Fixed
3.16000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-C
N/A
FORDO 2020-C A4
34533YAE0
18530000.00000000
PA
USD
18466090.03000000
0.204031549421
Long
ABS-CBDO
CORP
US
N
2
2026-08-15
Fixed
0.51000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
N/A
MSBAM 2015-C25 A5
61765TAF0
500000.00000000
PA
USD
546735.00000000
0.006040866745
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.63500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_19-A
N/A
WOART 2019-A A4
98162YAE3
6420000.00000000
PA
USD
6711637.49000000
0.074156781106
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
3.22000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
N/A
2000000.00000000
PA
2382281.65000000
0.026321793916
Long
DBT
CORP
US
N
2
2024-07-26
Variable
0.63700000
N
N
N
N
N
N
Unilever Capital Corp
MYF1DAS6G5WY7PRWCU78
UNILEVER CAPITAL
904764AX5
2905000.00000000
PA
USD
3071816.72000000
0.033940456474
Long
DBT
CORP
US
N
2
2024-05-05
Fixed
2.60000000
N
N
N
N
N
N
COMM 2012-CCRE4 Mortgage Trust
N/A
COMM 2012-CR4 A3
12624QAR4
547090.71000000
PA
USD
562245.12000000
0.006212237826
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
2.85300000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748AU6
1500000.00000000
PA
USD
1616296.50000000
0.017858435580
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
4.05000000
N
N
N
N
N
N
BRAZOS HIGHER EDUCATION AUTHORITY INC BRHEA_11-1
N/A
BRHEA 2011-1 A2
10620NCG1
1460865.50800000
PA
USD
1467467.01000000
0.016214020796
Long
ABS-CBDO
CORP
US
N
2
2030-02-25
Floating
1.00650000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-B
N/A
NAROT 2019-B A3
65479HAC1
5938406.87000000
PA
USD
6030740.19000000
0.066633557137
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
2.50000000
N
N
N
N
N
N
Pepper Residential Securities Trust
N/A
PEPAU 21A A1U
71336WAA3
637550.81310000
PA
USD
638469.52000000
0.007054440068
Long
ABS-MBS
CORP
AU
Y
2
2060-01-16
Floating
0.98610000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630DB1
7000000.00000000
PA
USD
7168000.00000000
0.079199123576
Long
DBT
NUSS
KR
N
2
2025-02-18
Fixed
1.75000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
CAMDEN PROP TRST
133131AT9
3080000.00000000
PA
USD
3191844.04000000
0.035266636517
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-49 BP
3136AD7B9
6387256.92000000
PA
USD
6454386.99000000
0.071314424222
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
1.65000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
085209AB0
7000000.00000000
PA
USD
7376383.00000000
0.081501544191
Long
DBT
NUSS
BM
Y
2
2023-01-03
Fixed
4.13800000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.250000 16-JUN-2025
N/A
72486000.00000000
NC
USD
1151504.87000000
0.012722959890
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2025-06-16
0.00000000
USD
853342.29000000
USD
72486000.00000000
USD
298162.58000000
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXY5
16000000.00000000
PA
USD
16001040.00000000
0.176795248926
Long
DBT
CORP
US
N
2
2023-03-08
Fixed
0.52300000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
BH6825732
9650000.00000000
PA
USD
10186936.62000000
0.112555308625
Long
DBT
NUSS
AE
N
2
2025-04-16
Fixed
2.50000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QC48
7440000.00000000
PA
USD
7975828.80000000
0.088124811767
Long
DBT
CORP
CA
N
2
2023-07-19
Fixed
3.50000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-2
N/A
GMCAR 2018-2 A4
38013RAE5
5945000.00000000
PA
USD
6086483.27000000
0.067249461585
Long
ABS-CBDO
CORP
US
N
2
2023-12-18
Fixed
3.02000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38148YAC2
34440000.00000000
PA
USD
34899429.60000000
0.385603269757
Long
DBT
CORP
US
N
2
2022-10-31
Variable
2.87600000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4407 CA
3137BF6L0
2358745.16000000
PA
USD
2382049.56000000
0.026319229557
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
2.25000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZY9
150000000.00000000
PA
USD
149695320.00000000
1.653981326372
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.12500000
N
N
N
N
N
N
Benchmark 2020-B22 Mortgage Trust
N/A
BMARK 2020-B22 ASB
08163BBD2
700000.00000000
PA
USD
689136.00000000
0.007614253240
Long
ABS-MBS
CORP
US
N
2
2054-01-15
Fixed
1.73100000
N
N
N
N
N
N
Gosforth Funding 2018-1 plc
213800GD24WOLHNGMP34
GFUND 2018-1A A1
38312RAA1
6533995.99780000
PA
USD
6541657.11000000
0.072278670458
Long
ABS-MBS
CORP
GB
Y
2
2060-08-25
Floating
0.63750000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_18-1
N/A
ALLYA 2018-1 A4
02007MAF7
1490000.00000000
PA
USD
1500584.36000000
0.016579933895
Long
ABS-CBDO
CORP
US
N
2
2023-02-15
Fixed
2.53000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC25
N/A
CGCMT 2014-GC25 A4
17322YAD2
2250000.00000000
PA
USD
2429482.50000000
0.026843315393
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.63500000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-UBS9
N/A
MSC 2016-UBS9 A4
61766CAE9
900000.00000000
PA
USD
975024.00000000
0.010773025427
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.59400000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BS7
14505000.00000000
PA
USD
15456992.16000000
0.170784072571
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
3.95000000
N
N
N
N
N
N
SOFI_18-D
N/A
SOFI 2018-D A2FX
83401AAB4
976692.02400000
PA
USD
1011787.89000000
0.011179229092
Long
ABS-CBDO
CORP
US
Y
2
2048-02-25
Fixed
3.60000000
N
N
N
N
N
N
COMM 2014-CCRE17 Mortgage Trust
N/A
COMM 2014-CR17 A5
12631DBB8
500000.00000000
PA
USD
543490.00000000
0.006005012789
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
3.97700000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C23
N/A
WFRBS 2014-C23 A4
92939HAX3
729493.44000000
PA
USD
787641.36000000
0.008702637472
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Fixed
3.65000000
N
N
N
N
N
N
TAOT_19-C
N/A
TAOT 2019-C A3
89238UAD2
32870000.00000000
PA
USD
33257550.45000000
0.367462171864
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
1.91000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 A3
36259PAD8
13940000.00000000
PA
USD
14022594.50000000
0.154935434523
Long
ABS-CBDO
CORP
US
N
2
2023-07-20
Fixed
0.80000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDR_20-1
N/A
FORDR 2020-1 A
34531NAA4
3580000.00000000
PA
USD
3705893.92000000
0.040946365866
Long
ABS-CBDO
CORP
US
Y
2
2031-08-15
Fixed
2.04000000
N
N
N
N
N
N
WHEELS SPV LLC WHLS_20-1
N/A
WHLS 2020-1A A3
96328DBU7
3000000.00000000
PA
USD
2992664.40000000
0.033065903688
Long
ABS-CBDO
CORP
US
Y
2
2029-08-20
Fixed
0.62000000
N
N
N
N
N
N
Lithuania Government International Bond
N/A
LITHUANIA
N/A
42390000.00000000
PA
USD
44552051.08000000
0.492254938483
Long
DBT
NUSS
LT
N
2
2022-02-01
Fixed
6.62500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-2
N/A
HAROT 2020-2 A4
43813DAD0
4970000.00000000
PA
USD
5033230.83000000
0.055612091307
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
1.09000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BL7
53915000.00000000
PA
USD
55402353.11000000
0.612139761490
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.62300000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RAB
AX3301345
3100000.00000000
PA
3710817.38000000
0.041000765101
Long
DBT
CORP
NL
N
2
2024-02-27
Fixed
0.62500000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
29135LAL4
24700000.00000000
PA
USD
24758637.80000000
0.273557814550
Long
DBT
NUSS
AE
Y
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
Korea Midland Power Co Ltd
988400Z1HCY1QUPS1W65
KOREA MIDLAND PW
N/A
1605000.00000000
PA
USD
1641747.44000000
0.018139642631
Long
DBT
CORP
KR
N
2
2022-01-22
Fixed
3.37500000
N
N
N
N
N
N
Arab Petroleum Investments Corp
213800A54KIUYH5YD185
ARAB PETROLEUM
N/A
5882000.00000000
PA
USD
6359651.34000000
0.070267691458
Long
DBT
CORP
N/A
N
2
2023-09-18
Fixed
4.12500000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWT7
8000000.00000000
PA
USD
8371712.00000000
0.092498919256
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
N/A
4025000.00000000
PA
4785170.16000000
0.052871272716
Long
DBT
CORP
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22550L2E0
3000000.00000000
PA
USD
2962152.00000000
0.032728772642
Long
DBT
CORP
CH
N
2
2024-02-02
Fixed
0.49500000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_19-1
N/A
MBART 2019-1 A4
58769TAE5
9370000.00000000
PA
USD
9659789.74000000
0.106730870722
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
2.04000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFP8
7444000.00000000
PA
USD
7484800.56000000
0.082699448171
Long
DBT
CORP
US
N
2
2022-07-22
Variable
2.23200000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB BANK ASA
23329PAE0
9250000.00000000
PA
USD
9538683.25000000
0.105392766946
Long
DBT
CORP
NO
Y
2
2022-12-02
Fixed
2.15000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-4
N/A
GMCAR 2018-4 A3
38013FAD3
2843887.32000000
PA
USD
2885491.69000000
0.031881754036
Long
ABS-CBDO
CORP
US
N
2
2023-10-16
Fixed
3.21000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-BNK2
N/A
MSC 2016-BNK2 A4
61690YBU5
150000.00000000
PA
USD
160459.50000000
0.001772914588
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.04900000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
13607GRS5
10000000.00000000
PA
USD
9922780.00000000
0.109636646126
Long
DBT
CORP
CA
N
2
2023-12-14
Fixed
0.50000000
N
N
N
N
N
N
COMM 2014-LC17 Mortgage Trust
N/A
COMM 2014-LC17 A5
12592MBK5
1500000.00000000
PA
USD
1628520.00000000
0.017993492846
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.91700000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C18
N/A
JPMBB 2014-C18 AS
46641JBA3
700000.00000000
PA
USD
742749.00000000
0.008206622466
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Variable
4.43860000
N
N
N
N
N
N
BANK 2019-BNK17
N/A
BANK 2019-BN17 A4
065403BC0
576000.00000000
PA
USD
634377.60000000
0.007009228506
Long
ABS-MBS
CORP
US
N
2
2052-04-15
Fixed
3.71400000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200JS1
2000000.00000000
PA
2371593.19000000
0.026203697283
Long
DBT
CORP
US
N
2
2023-01-31
Fixed
0.37500000
N
N
N
N
N
N
Benchmark 2019-B10 Mortgage Trust
N/A
BMARK 2019-B10 ASB
08162VAC2
194000.00000000
PA
USD
213830.68000000
0.002362611948
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
3.61500000
N
N
N
N
N
N
RESIMAC Bastille Trust Series 2018-1NC
N/A
RESI 2018-1NCA A1
76118VAA8
822277.13000000
PA
USD
823376.93000000
0.009097479245
Long
ABS-MBS
CORP
AU
Y
2
2059-12-05
Floating
0.95300000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13
N/A
JPMCC 2013-C13 A4
46640JAR8
656870.89350000
PA
USD
698365.43000000
0.007716229072
Long
ABS-MBS
CORP
US
N
2
2046-01-15
Variable
3.99360000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-A
N/A
WOART 2020-A A3
98163MAD0
1000000.00000000
PA
USD
1010376.00000000
0.011163629140
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
1.10000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2017-C4
N/A
CGCMT 2017-C4 A4
17326FAD9
520000.00000000
PA
USD
566644.00000000
0.006260840984
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Fixed
3.47100000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-4
N/A
CARMX 2019-4 A4
14315WAE0
3830000.00000000
PA
USD
3973533.46000000
0.043903511095
Long
ABS-CBDO
CORP
US
N
2
2025-07-15
Fixed
2.13000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDR_18-2
N/A
FORDR 2018-2 A
34528HAA2
23465000.00000000
PA
USD
25017517.14000000
0.276418168462
Long
ABS-CBDO
CORP
US
Y
2
2030-01-15
Fixed
3.47000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDS7
14500000.00000000
PA
USD
14331524.50000000
0.158348797420
Long
DBT
CORP
US
N
2
2024-07-12
Fixed
0.55000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-115 NP
3136AG7C0
4002225.11000000
PA
USD
4060617.57000000
0.044865702109
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Fixed
2.25000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GGV5
4210000.00000000
PA
USD
4178231.34000000
0.046165214875
Long
DBT
CORP
US
Y
2
2024-01-07
Fixed
0.40000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2016-GS3
N/A
GSMS 2016-GS3 A4
36251PAD6
580000.00000000
PA
USD
612567.00000000
0.006768243517
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
2.85000000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748AV4
2700000.00000000
PA
USD
2907638.10000000
0.032126449385
Long
DBT
CORP
US
N
2
2024-06-03
Fixed
3.50000000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
NATL BANK CANADA
63307A2L8
2870000.00000000
PA
USD
2884350.00000000
0.031869139521
Long
DBT
CORP
CA
N
2
2023-08-15
Variable
0.90000000
N
N
N
N
N
N
Japan Bank for International Cooperation
549300TJ3QFYVCTSCJ29
JAPAN BANK COOP
471048BR8
24300000.00000000
PA
USD
24504484.50000000
0.270749678583
Long
DBT
NUSS
JP
N
2
2021-07-20
Fixed
3.12500000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-2
N/A
KCOT 2020-2A A3
50116YAC5
18250000.00000000
PA
USD
18222729.03000000
0.201342657413
Long
ABS-CBDO
CORP
US
Y
2
2024-10-15
Fixed
0.59000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2014-LC18
5493007CD1Q2V06I4172
WFCM 2014-LC18 A5
94989AAU9
10000.00000000
PA
USD
10806.20000000
0.000119397540
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.40500000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BY4
14550000.00000000
PA
USD
14798179.35000000
0.163504859799
Long
DBT
CORP
US
N
2
2021-11-05
Fixed
3.70000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2013-C15
5493003CHVRASC16O965
WFRBS 2013-C15 A4
92938CAD9
526000.00000000
PA
USD
562404.46000000
0.006213998371
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.15300000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
N/A
17000000.00000000
PA
USD
17547485.00000000
0.193881896339
Long
DBT
NUSS
AE
N
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4927 LE
3137FPZY4
5259857.01000000
PA
USD
5336335.33000000
0.058961088343
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
2.25000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-3
N/A
CARMX 2019-3 A3
14315PAD7
29590000.00000000
PA
USD
30202146.08000000
0.333703055196
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
2.18000000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP6
N/A
JPMCC 2017-JP6 A5
48128KAU5
310000.00000000
PA
USD
337779.10000000
0.003732116166
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.48980000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK
94988J6A0
14500000.00000000
PA
USD
14603588.00000000
0.161354822916
Long
DBT
CORP
US
N
2
2022-09-09
Variable
2.08200000
N
N
N
N
N
N
COMM 2014-CR14 Mortgage Trust
N/A
COMM 2014-CR14 A4
12630DAY0
505200.00000000
PA
USD
548182.42000000
0.006056859266
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.23600000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86960BAX0
7210000.00000000
PA
USD
7837161.85000000
0.086592682734
Long
DBT
CORP
SE
N
2
2023-11-20
Fixed
3.90000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-B
N/A
FORDL 2020-B A3
34531RAD9
23440000.00000000
PA
USD
23515366.63000000
0.259820930198
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
0.62000000
N
N
N
N
N
N
SYNCHRONY CREDIT CARD MASTER NOTE TRUST SYNCT_17-2
N/A
SYNCT 2017-2 A
87165LBU4
8520000.00000000
PA
USD
8806101.60000000
0.097298483376
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
2.62000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4933 PA
3137FQJK0
1053979.61000000
PA
USD
1067923.76000000
0.011799473470
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.50000000
N
N
N
N
N
N
COMM 2014-CCRE20 Mortgage Trust
N/A
COMM 2014-CR20 A3
12592LBH4
75839.33000000
PA
USD
80767.37000000
0.000892397449
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.32600000
N
N
N
N
N
N
Linde Finance BV
5H8RMHHYTWIP1RKLCE38
LINDE FINANCE BV
AM1131474
2000000.00000000
PA
2356526.11000000
0.026037221344
Long
DBT
CORP
NL
N
2
2022-01-18
Fixed
0.25000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EBC0
5000000.00000000
PA
USD
5359770.00000000
0.059220017657
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.20000000
N
N
N
N
N
N
Abu Dhabi National Energy Co PJSC
213800UNJSVQFNUYYW03
TAQA ABU DHABI
N/A
2000000.00000000
PA
USD
2101115.00000000
0.023215187853
Long
DBT
CORP
AE
N
2
2023-01-12
Fixed
3.62500000
N
N
N
N
N
N
COPART_20-1-A1
N/A
COPAR 2020-1 A4
14043MAD3
4340000.00000000
PA
USD
4444163.47000000
0.049103494957
Long
ABS-CBDO
CORP
US
N
2
2025-08-15
Fixed
1.63000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_19-A
N/A
TAOT 2019-A A3
89239AAD5
37560986.40000000
PA
USD
38154833.11000000
0.421572173898
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
2.91000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST DEFT_20-2
N/A
DEFT 2020-2 A3
24704GAC7
19650000.00000000
PA
USD
19660117.79000000
0.217224344080
Long
ABS-CBDO
CORP
US
Y
2
2023-10-23
Fixed
0.57000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_20-3
N/A
GMCAR 2020-3 A4
362590AD3
13500000.00000000
PA
USD
13447089.45000000
0.148576687930
Long
ABS-CBDO
CORP
US
N
2
2026-01-16
Fixed
0.58000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC26
549300V3F4KBEWHAZP46
GSMS 2014-GC26 A5
36250HAE3
1180000.00000000
PA
USD
1273515.00000000
0.014071047971
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.62900000
N
N
N
N
N
N
Protective Life Global Funding
635400EVYITCJYWL2I50
PROTECTIVE LIFE
74368CAZ7
3230000.00000000
PA
USD
3230849.49000000
0.035697607144
Long
DBT
CORP
US
Y
2
2023-10-13
Fixed
0.63100000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15
N/A
MSBAM 2014-C15 A3
61763KAZ7
1293811.04000000
PA
USD
1381259.73000000
0.015261517863
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
3.77300000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2016-C37
549300TRQQDPEF728F16
WFCM 2016-C37 A4
95000PAD6
360000.00000000
PA
USD
391172.40000000
0.004322057930
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.52500000
N
N
N
N
N
N
GS Mortgage Securities Trust 2020-GSA2
N/A
GSMS 2020-GSA2 A5
36264KAV2
1360000.00000000
PA
USD
1323701.60000000
0.014625558955
Long
ABS-MBS
CORP
US
N
2
2053-12-12
Fixed
2.01200000
N
N
N
N
N
N
Sinopec Group Overseas Development 2017 Ltd
5493001IPW8ZGQ181Z16
SINOPEC OVERSEAS
N/A
300000.00000000
PA
USD
306883.20000000
0.003390747834
Long
DBT
CORP
VG
N
2
2022-09-13
Fixed
2.50000000
N
N
N
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
HERSHEY COMPANY
427866BC1
500000.00000000
PA
USD
523040.50000000
0.005779066572
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
2.05000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14
N/A
MSBAM 2014-C14 AS
61690GAH4
250000.00000000
PA
USD
267697.50000000
0.002957785628
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Variable
4.38400000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
NATL BANK CANADA
63307A2J3
6670000.00000000
PA
USD
6850970.44000000
0.075696268763
Long
DBT
CORP
CA
N
2
2023-02-01
Fixed
2.10000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2018-C5
N/A
CGCMT 2018-C5 A4
17291DAD5
230000.00000000
PA
USD
260872.90000000
0.002882380726
Long
ABS-MBS
CORP
US
N
2
2051-06-10
Variable
4.22800000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2016-C32
549300VOKB4Z9J8DIM89
WFCM 2016-C32 A4
94989YAZ6
900000.00000000
PA
USD
984006.00000000
0.010872267409
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Fixed
3.56000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_20-2
N/A
DRIVE 2020-2 A3
26208VAD8
5980000.00000000
PA
USD
6000729.67000000
0.066301971356
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
0.83000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-53 JA
3136AEFW2
12761662.68000000
PA
USD
12846272.50000000
0.141938270538
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
1.50000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_18-A
N/A
WOART 2018-A A4
98161VAD2
14460000.00000000
PA
USD
14787446.70000000
0.163386274911
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
2.73000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C19
549300FCX3YXSYSLU895
WFRBS 2014-C19 A5
92938VAQ8
110000.00000000
PA
USD
119454.50000000
0.001319850963
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
4.10100000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_20-1
N/A
COPAR 2020-1 A3
14043MAC5
17890000.00000000
PA
USD
18150678.77000000
0.200546575180
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
1.60000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AG9
1066000.00000000
PA
USD
1074880.85000000
0.011876342252
Long
DBT
CORP
JP
N
2
2021-09-13
Fixed
2.19000000
N
N
N
N
N
N
CD 2017-CD6 Mortgage Trust
N/A
CD 2017-CD6 A5
125039AF4
1129538.00000000
PA
USD
1229716.73000000
0.013587121548
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Fixed
3.45600000
N
N
N
N
N
N
Principal Life Global Funding II
635400WSLKBQWSOIIT41
PRINCIPAL LFE II
74256LEJ4
7500000.00000000
PA
USD
7484655.00000000
0.082697839881
Long
DBT
CORP
US
Y
2
2024-01-08
Fixed
0.50000000
N
N
N
N
N
N
WHEELS SPV LLC WHLS_20-1
N/A
WHLS 2020-1A A2
96328DBT0
9000000.00000000
PA
USD
9000267.30000000
0.099443817258
Long
ABS-CBDO
CORP
US
Y
2
2029-08-20
Fixed
0.51000000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
10734000.00000000
PA
USD
11446634.55000000
0.126473691999
Long
DBT
NUSS
QA
N
2
2023-04-23
Fixed
3.87500000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAV9
14000000.00000000
PA
USD
13956138.00000000
0.154201157659
Long
DBT
CORP
FR
Y
2
2024-02-27
Fixed
0.65000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-118 LM
38380AUE5
762343.17000000
PA
USD
772512.83000000
0.008535482573
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
2.75000000
N
N
N
N
N
N
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
MIZUHO CORP BANK
60688QAS4
4550000.00000000
PA
USD
4801692.35000000
0.053053826144
Long
DBT
CORP
JP
Y
2
2023-03-21
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23
N/A
MSBAM 2015-C23 A4
61690QAE9
1450000.00000000
PA
USD
1585386.50000000
0.017516911457
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.71900000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP
902613AB4
4445000.00000000
PA
USD
4470700.99000000
0.049396707614
Long
DBT
CORP
CH
Y
2
2024-07-30
Variable
1.00800000
N
N
N
N
N
N
Reliance Standard Life Global Funding II
N/A
REL STAN LIFE II
75951AAM0
2000000.00000000
PA
USD
2055008.00000000
0.022705752307
Long
DBT
CORP
US
Y
2
2023-01-21
Fixed
2.15000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-1
N/A
KCOT 2020-1A A3
50117WAC8
8390000.00000000
PA
USD
8563693.98000000
0.094620125249
Long
ABS-CBDO
CORP
US
Y
2
2024-03-15
Fixed
1.96000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_20-B
N/A
HART 2020-B A3
44933FAC0
38010000.00000000
PA
USD
38056497.63000000
0.420485666667
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
0.48000000
N
N
N
N
N
N
BANK 2017-BNK6
N/A
BANK 2017-BNK6 A5
060352AF8
420000.00000000
PA
USD
460206.60000000
0.005084815762
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.51800000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CQ0
3500000.00000000
PA
USD
3551306.50000000
0.039238331801
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
17325FAY4
8700000.00000000
PA
USD
8718957.30000000
0.096335627323
Long
DBT
CORP
US
N
2
2022-05-20
Variable
2.84400000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_18-4
N/A
HAROT 2018-4 A4
43815AAD4
6680000.00000000
PA
USD
6889478.79000000
0.076121746939
Long
ABS-CBDO
CORP
US
N
2
2025-07-15
Fixed
3.30000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BLDG
AN2064235
2000000.00000000
PA
2381649.57000000
0.026314810073
Long
DBT
CORP
GB
N
2
2023-04-19
Fixed
0.62500000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BN3
4000000.00000000
PA
USD
4119312.00000000
0.045514215978
Long
DBT
CORP
JP
N
2
2025-02-25
Fixed
2.19300000
N
N
N
N
N
N
COMM 2014-CR14 Mortgage Trust
N/A
COMM 2014-CR14 A3
12630DAX2
20000.00000000
PA
USD
21446.00000000
0.000236956529
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Fixed
3.95500000
N
N
N
N
N
N
Sky Ltd
2138003TS48MQKF4BZ29
BRIT SKY BROADCA
111013AK4
9480000.00000000
PA
USD
9894863.76000000
0.109328200013
Long
DBT
CORP
GB
Y
2
2022-11-26
Fixed
3.12500000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB
87020PAL1
3835000.00000000
PA
USD
3836836.97000000
0.042393153645
Long
DBT
CORP
SE
Y
2
2023-09-25
Fixed
0.60000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_20-A
N/A
VZOT 2020-A A1A
92348TAA2
19526000.00000000
PA
USD
19909295.38000000
0.219977503503
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.85000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967HD6
4500000.00000000
PA
USD
4877518.50000000
0.053891628128
Long
DBT
CORP
US
N
2
2023-10-25
Fixed
3.87500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJH4
1895000.00000000
PA
USD
1989005.27000000
0.021976489142
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
3.20000000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP FINANCIAL
125094AR3
22500000.00000000
PA
USD
23007712.50000000
0.254211867395
Long
DBT
NUSS
CA
Y
2
2022-03-07
Fixed
2.75000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
N/A
2200000.00000000
PA
2652383.43000000
0.029306144397
Long
DBT
CORP
GB
N
2
2024-09-06
Fixed
0.87500000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA-BG
91412HGE7
27000000.00000000
PA
USD
27007983.90000000
0.298410805585
Long
DBT
MUN
US
N
2
2025-05-15
Fixed
0.88300000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING GROEP NV
456837AK9
2150000.00000000
PA
USD
2326824.60000000
0.025709049809
Long
DBT
CORP
NL
N
2
2023-10-02
Fixed
4.10000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC
80283LAT0
22680000.00000000
PA
USD
22788977.40000000
0.251795066584
Long
DBT
CORP
GB
N
2
2021-06-01
Fixed
3.40000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C27
5493001SKB2HKIF64L70
WFCM 2015-C27 A4
94989DAV1
68079.26000000
PA
USD
71611.89000000
0.000791238689
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.19000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2012-C7
N/A
WFRBS 2012-C7 AS
92936TAC6
752216.00000000
PA
USD
755758.94000000
0.008350369096
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.09000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_20-1
N/A
MBART 2020-1 A4
58769VAD2
4950000.00000000
PA
USD
4978185.80000000
0.055003899603
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
0.77000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBQ8
5000000.00000000
PA
USD
5100765.00000000
0.056358275330
Long
DBT
CORP
US
N
2
2024-06-01
Variable
1.51400000
N
N
N
N
N
N
Toyota Finance Australia Ltd
3UKPTDP5PGQRH8AUK042
TOYOTA FIN AUSTR
BH6216643
2000000.00000000
PA
2392377.89000000
0.026433347119
Long
DBT
CORP
AU
N
2
2022-04-21
Fixed
1.58400000
N
N
N
N
N
N
NSTAR Electric Co
54930080R72Y2Z31UR68
NSTAR ELECTRIC
958587BJ5
550000.00000000
PA
USD
553348.40000000
0.006113938101
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_21-A
N/A
HALST 2021-A A4
44891TAD8
4730000.00000000
PA
USD
4727397.08000000
0.052232938829
Long
ABS-CBDO
CORP
US
Y
2
2024-12-16
Fixed
0.42000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
N/A
2000000.00000000
PA
2444283.00000000
0.027006845894
Long
DBT
CORP
US
N
2
2022-08-24
Fixed
2.75000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_19-3
N/A
ALLYA 2019-3 A3
02007RAC3
11670000.00000000
PA
USD
11813790.74000000
0.130530395189
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
1.93000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5
N/A
JPMCC 2011-C5 AS
46636VAK2
867417.00000000
PA
USD
875067.62000000
0.009668608897
Long
ABS-MBS
CORP
US
Y
2
2046-08-15
Variable
5.42410000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBF6
2080000.00000000
PA
USD
2249825.76000000
0.024858290791
Long
DBT
CORP
JP
N
2
2023-10-16
Fixed
3.93600000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05583JAA0
7275000.00000000
PA
USD
7485662.18000000
0.082708968197
Long
DBT
CORP
FR
Y
2
2022-05-22
Fixed
3.00000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_20-A
N/A
MMAF 2020-A A3
60700MAC2
20500000.00000000
PA
USD
20572508.50000000
0.227305335234
Long
ABS-CBDO
CORP
US
Y
2
2027-04-09
Fixed
0.97000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
20371.66000000
0.000225086163
N/A
DFE
N/A
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2047456.64000000
EUR
2422669.45000000
USD
2021-04-30
20371.66000000
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A
N/A
HDMOT 2020-A A4
41284UAE4
3640000.00000000
PA
USD
3743721.44000000
0.041364321562
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
1.93000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2013-C18
549300O5GNH0TNJ6B119
WFRBS 2013-C18 A5
96221QAE3
1041673.00000000
PA
USD
1129319.37000000
0.012477832636
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Variable
4.16200000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4604 DB
3137BRMN2
1451769.83000000
PA
USD
1478598.54000000
0.016337012903
Long
ABS-MBS
USGSE
US
N
2
2046-01-15
Fixed
2.75000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAD2
20000000.00000000
PA
USD
21668260.00000000
0.239412276983
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EAV9
3000000.00000000
PA
USD
3133257.00000000
0.034619309199
Long
DBT
CORP
US
N
2
2023-02-02
Fixed
3.00000000
N
N
N
N
N
N
First Republic Bank/CA
YWC0TIKBQM2JV8L4IV08
FIRST REP BANK
33616CHQ6
15840000.00000000
PA
USD
16208549.28000000
0.179088015822
Long
DBT
CORP
US
N
2
2024-02-12
Variable
1.91200000
N
N
N
N
N
N
BANK 2018-BNK12
N/A
BANK 2018-BN12 A4
06541KBA5
250000.00000000
PA
USD
283810.00000000
0.003135812397
Long
ABS-MBS
CORP
US
N
2
2061-05-15
Variable
4.25500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 4/21
01F020646
379250000.00000000
PA
USD
378538906.25000000
4.182470649335
Long
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
2.00000000
N
N
N
N
N
N
Allstate Corp/The
OBT0W1ED8G0NWVOLOJ77
ALLSTATE CORP
020002BH3
5000000.00000000
PA
USD
4903135.00000000
0.054174664449
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.75000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_19-3
N/A
EFF 2019-3 A2
29374WAB2
6482584.50000000
PA
USD
6565436.47000000
0.072541408247
Long
ABS-CBDO
CORP
US
Y
2
2025-05-20
Fixed
2.06000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_21-1
N/A
AMCAR 2021-1 A3
03063FAC8
21100000.00000000
PA
USD
21080239.85000000
0.232915251240
Long
ABS-CBDO
CORP
US
N
2
2025-08-18
Fixed
0.37000000
N
N
N
N
N
N
Pepper Residential Securities Trust No. 23
N/A
PEPAU 23A A1U
71338BAA7
1580265.94100000
PA
USD
1578660.71000000
0.017442598305
Long
ABS-MBS
CORP
AU
Y
2
2060-08-18
Floating
1.05810000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST
N/A
FORDF 2019-4 A
34528QHF4
14630000.00000000
PA
USD
15419913.20000000
0.170374387703
Long
ABS-CBDO
CORP
US
N
2
2026-09-15
Fixed
2.44000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448EW4
3125000.00000000
PA
3708905.62000000
0.040979642094
Long
DBT
CORP
US
N
2
2024-05-06
Fixed
0.25000000
N
N
N
N
N
N
Medtronic Global Holdings SCA
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL
58507LAL3
2000000.00000000
PA
2355832.81000000
0.026029561083
Long
DBT
CORP
LU
N
2
2022-12-02
None
0.00000000
N
N
N
N
N
N
Republic of Poland Government International Bond
N/A
REP OF POLAND
857524AB8
20135000.00000000
PA
USD
21037813.13000000
0.232446479053
Long
DBT
NUSS
PL
N
2
2022-03-23
Fixed
5.00000000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_19-1
N/A
COPAR 2019-1 A3
14042WAC4
28175035.61000000
PA
USD
28567463.14000000
0.315641468119
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
2.51000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBJ9
43000000.00000000
PA
USD
41232966.60000000
0.455582424269
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.75000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST DEFT_20-2
N/A
DEFT 2020-2 A2
24704GAB9
22750000.00000000
PA
USD
22761163.43000000
0.251487750450
Long
ABS-CBDO
CORP
US
Y
2
2022-10-24
Fixed
0.47000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC23
N/A
CGCMT 2014-GC23 AS
17322VAV8
255000.00000000
PA
USD
275094.00000000
0.003039509444
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Fixed
3.86300000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL
06367WHH9
8790000.00000000
PA
USD
9423495.30000000
0.104120057028
Long
DBT
CORP
CA
N
2
2024-02-05
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4122 CA
3137AUYN3
8728690.27000000
PA
USD
8850019.06000000
0.097783726727
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
N/A
MSBAM 2014-C19 A4
61764PBU5
20000.00000000
PA
USD
21626.80000000
0.000238954186
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.52600000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468J1
2854000.00000000
PA
USD
3004311.62000000
0.033194593645
Long
DBT
CORP
US
N
2
2025-07-22
Variable
2.72000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
N/A
MSBAM 2014-C16 AS
61763MAH3
465000.00000000
PA
USD
499330.95000000
0.005517100113
Long
ABS-MBS
CORP
US
N
2
2047-06-15
Fixed
4.09400000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_18-2
N/A
AMCAR 2019-1 A3
03066GAD1
5843206.06000000
PA
USD
5904571.41000000
0.065239520195
Long
ABS-CBDO
CORP
US
N
2
2023-11-20
Fixed
2.97000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.500000 16-JUN-2028
N/A
45351000.00000000
NC
USD
2345343.70000000
0.025913667065
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2028-06-16
0.00000000
USD
1752241.72000000
USD
45351000.00000000
USD
593101.98000000
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10
549300P1YQ48837ZOI22
MSBAM 2013-C10 A4
61762MBW0
3023244.00000000
PA
USD
3191608.46000000
0.035264033597
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.08130000
N
N
N
N
N
N
GS Mortgage Securities Trust 2013-GCJ12
549300SSCQUZ3RRV2T53
GSMS 2013-GC12 A4
36197XAK0
1175512.00000000
PA
USD
1227211.02000000
0.013559435997
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Fixed
3.13500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-B
N/A
WOART 2020-B A3
98163WAC0
28930000.00000000
PA
USD
29039404.58000000
0.320855941951
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
0.63000000
N
N
N
N
N
N
FIFTH THIRD AUTO TRUST FITAT_17-1
N/A
FITAT 2017-1 A4
31679RAE5
7446894.40000000
PA
USD
7451672.33000000
0.082333414859
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
2.03000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC26
549300V3F4KBEWHAZP46
GSMS 2014-GC26 A4
36250HAD5
613721.01000000
PA
USD
653520.82000000
0.007220741654
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.36400000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GEU9
9790000.00000000
PA
USD
10286646.70000000
0.113657003791
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.30000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust 2016-C4
N/A
JPMDB 2016-C4 A3
46646RAJ2
80000.00000000
PA
USD
86133.60000000
0.000951688843
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.14130000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING GALC_18-1
N/A
GALC 2018-1 A4
39154TAR9
1837181.45000000
PA
USD
1854276.42000000
0.020487872116
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
2.83000000
N
N
N
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
DEXIA CRED LOCAL
25214BAT1
10290000.00000000
PA
USD
10598051.73000000
0.117097713257
Long
DBT
CORP
FR
Y
2
2022-09-20
Fixed
2.37500000
N
N
N
N
N
N
BBCMS Mortgage Trust 2020-C8
N/A
BBCMS 2020-C8 ASB
05552AAZ1
1620000.00000000
PA
USD
1611867.60000000
0.017809500731
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Fixed
1.86700000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69349LAK4
10000000.00000000
PA
USD
10420900.00000000
0.115140366472
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
2.95000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
29135LAG5
6373000.00000000
PA
USD
6710998.43000000
0.074149720141
Long
DBT
NUSS
AE
Y
2
2025-04-16
Fixed
2.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
N/A
3000000.00000000
PA
3619297.80000000
0.039989566646
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.37500000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDD1
3462000.00000000
PA
USD
3568570.75000000
0.039429084238
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
Benchmark 2020-B19 Mortgage Trust
N/A
BMARK 2020-B19 AAB
08162WBD7
1000000.00000000
PA
USD
986090.00000000
0.010895293494
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Fixed
1.74500000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90352JAE3
15310000.00000000
PA
USD
15776342.60000000
0.174312570752
Long
DBT
CORP
CH
Y
2
2023-08-15
Variable
2.85900000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAG1
400000.00000000
PA
USD
438570.80000000
0.004845762135
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
3.70000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11
N/A
MSBAM 2013-C11 A4
61762TAE6
70000.00000000
PA
USD
75060.30000000
0.000829340119
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.15190000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-136 P
38382A5Y7
21382416.33000000
PA
USD
21323187.04000000
0.235599571068
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
1.50000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CH0
2000000.00000000
PA
USD
2122200.00000000
0.023448155699
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
2.87500000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BL6
5330000.00000000
PA
USD
5463425.89000000
0.060365310018
Long
DBT
CORP
US
N
2
2023-03-30
Variable
2.82500000
N
N
N
N
N
N
Bank 2019-BNK19
N/A
BANK 2019-BN19 A3
06540WBD4
470000.00000000
PA
USD
500836.70000000
0.005533737122
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
3.18300000
N
N
N
N
N
N
EDSOUTH INDENTURE NO 5 LLC EDUSA_15-1
N/A
EDUSA 2015-1 A
281378AA7
417579.56380000
PA
USD
420767.83000000
0.004649057389
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Floating
0.90860000
N
N
N
N
N
N
Toyota Motor Finance Netherlands BV
724500OPA8GZSQUNSR96
TOYOTA MOTOR FIN
N/A
1620000.00000000
PA
1939197.74000000
0.021426166496
Long
DBT
CORP
NL
N
2
2023-09-26
Fixed
0.62500000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_20-1
N/A
VALET 2020-1 A3
92868JAD8
27300000.00000000
PA
USD
27547922.22000000
0.304376575915
Long
ABS-CBDO
CORP
US
N
2
2024-11-20
Fixed
0.98000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAN1
250000000.00000000
PA
USD
249960950.00000000
2.761814755613
Long
DBT
UST
US
N
2
2022-09-30
Fixed
0.12500000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-3
N/A
SDART 2020-3 A3
80285WAD9
23840000.00000000
PA
USD
23869800.00000000
0.263737059142
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.52000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2019-C49
N/A
WFCM 2019-C49 ASB
95001WAZ1
230000.00000000
PA
USD
256962.90000000
0.002839179195
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
3.93300000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C29
549300NYO16WLNMVJJ46
WFCM 2015-C29 A4
94989KAV5
1250000.00000000
PA
USD
1365762.50000000
0.015090289203
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Fixed
3.63700000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448EQ7
3050000.00000000
PA
USD
3204866.80000000
0.035410524796
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_19-1A
N/A
HPEFS 2019-1A A3
40438DAC3
3000000.00000000
PA
USD
3019857.90000000
0.033366364258
Long
ABS-CBDO
CORP
US
Y
2
2029-09-20
Fixed
2.21000000
N
N
N
N
N
N
DBJPM 17-C6 Mortgage Trust
N/A
DBJPM 2017-C6 A5
23312JAF0
740000.00000000
PA
USD
802367.20000000
0.008865343056
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Fixed
3.32800000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_19-A
N/A
TAOT 2019-A A4
89239AAE3
4280000.00000000
PA
USD
4472540.94000000
0.049417037193
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 A4
36259PAE6
1850000.00000000
PA
USD
1868580.11000000
0.020645913371
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.01000000
N
N
N
N
N
N
PENDING
N/A
COPAR 2019-1 A4
14042WAD2
5380000.00000000
PA
USD
5572782.08000000
0.061573584907
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
2.56000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-3
N/A
HAROT 2019-3 A4
43815NAD6
2920000.00000000
PA
USD
2993493.19000000
0.033075060976
Long
ABS-CBDO
CORP
US
N
2
2025-08-15
Fixed
1.85000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-3
N/A
GMALT 2020-3 A4
362569AD7
5380000.00000000
PA
USD
5396095.88000000
0.059621381756
Long
ABS-CBDO
CORP
US
N
2
2024-10-21
Fixed
0.51000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QBJ8
2300000.00000000
PA
USD
2472387.30000000
0.027317369880
Long
DBT
CORP
US
N
2
2025-04-06
Fixed
3.19400000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GFB0
8000000.00000000
PA
USD
8748184.00000000
0.096658552690
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST
N/A
FORDF 2019-3 A1
34528QHA5
35340000.00000000
PA
USD
36280980.51000000
0.400868004864
Long
ABS-CBDO
CORP
US
N
2
2024-09-15
Fixed
2.23000000
N
N
N
N
N
N
Unilever Finance Netherlands BV
549300SWJ4YK4LLNT176
UNILEVER FINANCE
N/A
2000000.00000000
PA
2374323.24000000
0.026233861564
Long
DBT
CORP
NL
N
2
2023-02-14
Fixed
0.37500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAP1
11290000.00000000
PA
USD
11912191.90000000
0.131617628117
Long
DBT
CORP
US
N
2
2024-04-23
Variable
3.55900000
N
N
N
N
N
N
Lithuania Government International Bond
N/A
LITHUANIA
536878AG6
5717000.00000000
PA
USD
6009310.21000000
0.066396777612
Long
DBT
NUSS
LT
Y
2
2022-02-01
Fixed
6.62500000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2015-GC31
N/A
CGCMT 2015-GC31 A4
17323YAD1
950000.00000000
PA
USD
1040316.50000000
0.011494441272
Long
ABS-MBS
CORP
US
N
2
2048-06-10
Fixed
3.76200000
N
N
N
N
N
N
COMM 2015-LC19 Mortgage Trust
N/A
COMM 2015-LC19 A4
200474BC7
44000.00000000
PA
USD
47158.76000000
0.000521056425
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.18300000
N
N
N
N
N
N
Saudi Arabian Oil Co
5586006WD91QHB7J4X50
SAUDI ARAB OIL
80414L2G9
3000000.00000000
PA
USD
3022500.00000000
0.033395556781
Long
DBT
CORP
SA
Y
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FCAT 2020-2 A
33844QAA1
4166102.12000000
PA
USD
4190625.05000000
0.046302152789
Long
ABS-CBDO
CORP
US
Y
2
2024-07-15
Fixed
1.49000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_18-B
N/A
TAOT 2018-B A4
89238TAE3
12870000.00000000
PA
USD
13180223.63000000
0.145628091522
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
3.11000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_18-B
N/A
NAROT 2018-B A4
65479GAE9
12310000.00000000
PA
USD
12723984.07000000
0.140587107525
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
3.16000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAM9
15453000.00000000
PA
USD
15906885.52000000
0.175754937501
Long
DBT
CORP
FR
Y
2
2022-07-20
Fixed
2.70000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAY2
23163000.00000000
PA
USD
25039457.79000000
0.276660590372
Long
DBT
CORP
US
N
2
2024-12-05
Variable
4.02300000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHL6
10000000.00000000
PA
USD
10675890.00000000
0.117957747125
Long
DBT
CORP
US
N
2
2024-07-23
Variable
3.86400000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QCB2
13500000.00000000
PA
USD
13950360.00000000
0.154137316625
Long
DBT
CORP
GB
N
2
2022-11-06
Fixed
2.50000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_20-2
N/A
FORDF 2020-2 A
34528QHQ0
22350000.00000000
PA
USD
22206960.00000000
0.245364365135
Long
ABS-CBDO
CORP
US
N
2
2027-09-15
Fixed
1.06000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_19-1A
N/A
CFII 2019-1A A1
165183BY9
4557632.12000000
PA
USD
4617145.68000000
0.051014772778
Long
ABS-CBDO
CORP
US
Y
2
2031-04-15
Fixed
2.94000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_20-2
N/A
EFF 2020-2 A2
29375MAB3
17970000.00000000
PA
USD
18006252.68000000
0.198950813496
Long
ABS-CBDO
CORP
US
Y
2
2026-07-20
Fixed
0.61000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-LC14
549300QGM7D5K3CV2643
WFRBS 2014-LC14 A4
96221TAD9
57682.07000000
PA
USD
61637.33000000
0.000681029926
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
3.76600000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_17-4
N/A
CARMX 2017-4 A4
14314RAD4
4040000.00000000
PA
USD
4081685.12000000
0.045098477150
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Fixed
2.33000000
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC VFET_20-1
N/A
VFET 2020-1A A4
92888EAD5
4000000.00000000
PA
USD
4031927.20000000
0.044548702645
Long
ABS-CBDO
CORP
US
Y
2
2028-03-15
Fixed
0.60000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-2
N/A
HAROT 2019-2 A3
43815MAC0
5629997.76000000
PA
USD
5713826.17000000
0.063131978924
Long
ABS-CBDO
CORP
US
N
2
2023-06-21
Fixed
2.52000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_17-C
N/A
NAROT 2017-C A4
65478HAE8
32320000.00000000
PA
USD
32589956.03000000
0.360085931216
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
2.28000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
N/A
31424000.00000000
PA
USD
31556137.92000000
0.348663290556
Long
DBT
NUSS
AE
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBE0
190000000.00000000
PA
USD
189020322.00000000
2.088482678636
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.12500000
N
N
N
N
N
N
BANK 2017-BNK6
N/A
BANK 2017-BNK6 AS
060352AJ0
30000.00000000
PA
USD
32536.50000000
0.000359495296
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.74100000
N
N
N
N
N
N
NTT Finance Corp
3538007PR116187GD960
NTT FINANCE
62954WAB1
9045000.00000000
PA
USD
8998951.91000000
0.099429283534
Long
DBT
CORP
JP
Y
2
2024-03-01
Fixed
0.58300000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST NALT_20-B
N/A
NALT 2020-B A4
65480EAE1
5800000.00000000
PA
USD
5812242.64000000
0.064219381012
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.49000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2016-60 LH
3136ATMR2
3034681.86000000
PA
USD
3076954.98000000
0.033997229031
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Fixed
2.50000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TGW9
31431000.00000000
PA
USD
32967693.02000000
0.364259541505
Long
DBT
CORP
US
N
2
2023-03-30
Fixed
2.90000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHX1
9785000.00000000
PA
USD
10314652.27000000
0.113966436910
Long
DBT
CORP
US
N
2
2024-07-30
Fixed
2.40000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2020-A A3
44891LAC7
16940000.00000000
PA
USD
17224326.04000000
0.190311317878
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
1.41000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4123 CP
3137AUXK0
3210554.64000000
PA
USD
3303275.46000000
0.036497840591
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Fixed
2.00000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-A
N/A
SOFI 2017-A A2B
83404FAC8
1216990.72000000
PA
USD
1230492.38000000
0.013595691694
Long
ABS-CBDO
CORP
US
Y
2
2040-03-26
Fixed
2.40000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AW4
1500000.00000000
PA
USD
1515277.50000000
0.016742278177
Long
DBT
CORP
JP
N
2
2021-07-26
Fixed
3.53500000
N
N
N
N
N
N
DAIMLER TRUCKS RETAIL TRUST DTRT_19-1
N/A
DTRT 2019-1 A4
233871AD4
3980000.00000000
PA
USD
4061601.94000000
0.044876578398
Long
ABS-CBDO
CORP
US
Y
2
2025-05-15
Fixed
2.79000000
N
N
N
N
N
N
WOLS_20-A
N/A
WOLS 2020-A A4
98162HAD2
17600000.00000000
PA
USD
17998861.76000000
0.198869151333
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
1.79000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST_20-A
N/A
SRT 2020-A A4
80286KAD4
1920000.00000000
PA
USD
1963258.56000000
0.021692014132
Long
ABS-CBDO
CORP
US
Y
2
2024-03-20
Fixed
1.76000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-114 TE
3136AGT77
1049886.41000000
PA
USD
1059020.42000000
0.011701100601
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Fixed
2.25000000
N
N
N
N
N
N
BANK 2019-BNK20
N/A
BANK 2019-BN20 A3
06540AAD3
100000.00000000
PA
USD
105246.00000000
0.001162861462
Long
ABS-MBS
CORP
US
N
2
2062-09-15
Fixed
3.01100000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AP9
9750000.00000000
PA
USD
10031999.25000000
0.110843407968
Long
DBT
CORP
JP
N
2
2022-07-25
Fixed
2.66500000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2015-18 TC
3136AM4A4
2810037.25000000
PA
USD
2811245.57000000
0.031061409779
Long
ABS-MBS
USGSE
US
N
2
2044-04-25
Fixed
1.75000000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
NATL BANK CANADA
63307CAG6
11780000.00000000
PA
USD
12037074.94000000
0.132997458937
Long
DBT
CORP
CA
Y
2
2022-10-07
Fixed
2.15000000
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST SSTRT_18-2A
N/A
SSTRT 2018-2A A4
81378TAE0
3820000.00000000
PA
USD
3889642.80000000
0.042976604462
Long
ABS-CBDO
CORP
CA
Y
2
2023-06-26
Fixed
3.54400000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP_17-1
N/A
AESOP 2017-1A A
05377RCQ5
5215000.00000000
PA
USD
5378892.33000000
0.059431299992
Long
ABS-CBDO
CORP
US
Y
2
2023-09-20
Fixed
3.07000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_20-B
N/A
HALST 2020-B A3
44891PAC8
25180000.00000000
PA
USD
25251289.62000000
0.279001117057
Long
ABS-CBDO
CORP
US
Y
2
2023-09-15
Fixed
0.51000000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST NALT_20-B
N/A
NALT 2020-B A3
65480EAD3
25130000.00000000
PA
USD
25168242.83000000
0.278083534331
Long
ABS-CBDO
CORP
US
N
2
2023-10-16
Fixed
0.43000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-131 QA
38380YZM0
422338.11000000
PA
USD
434687.28000000
0.004802853181
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Precision Castparts Corp
0XOOAY5P5J7Q734SEC89
PRECISION CAST
740189AG0
5500000.00000000
PA
USD
5677914.00000000
0.062735185901
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.50000000
N
N
N
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
REALTY INCOME
756109AP9
10400000.00000000
PA
USD
11271852.80000000
0.124542531087
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.65000000
N
N
N
N
N
N
Sanofi
549300E9PC51EN656011
SANOFI
AX6646951
2000000.00000000
PA
2353350.44000000
0.026002133414
Long
DBT
CORP
FR
N
2
2022-03-21
None
0.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C19
549300FCX3YXSYSLU895
WFRBS 2014-C19 A4
92938VAP0
660000.00000000
PA
USD
704688.60000000
0.007786093682
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
3.82900000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_20-1
N/A
CFII 2020-1A A1
165183CJ1
15376620.48000000
PA
USD
15453214.50000000
0.170742333263
Long
ABS-CBDO
CORP
US
Y
2
2032-08-16
Fixed
0.87000000
N
N
N
N
N
N
N/A
N/A
US 10yr Ultra Fut Jun21
N/A
-29.00000000
NC
USD
-4166937.50000000
-0.04604042940
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Short
N/A
Ultra 10-Year US Treasury Note Futures
2021-06-21
-4215009.10000000
USD
48071.60000000
N
N
N
KeyBank NA/Cleveland OH
HUX2X73FUCYHUVH1BK78
KEY BANK NA
49327M2U7
4000000.00000000
PA
USD
4231572.00000000
0.046754575020
Long
DBT
CORP
US
N
2
2023-03-07
Fixed
3.37500000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630CV8
12500000.00000000
PA
USD
12814500.00000000
0.141587216666
Long
DBT
NUSS
KR
N
2
2022-03-19
Fixed
3.00000000
N
N
N
N
N
N
UBS AG/Australia
BFM8T61CT2L1QCEMIK50
UBS AG AUSTRALIA
N/A
29512000.00000000
PA
22554452.43000000
0.249203803737
Long
DBT
CORP
CH
N
2
2023-07-30
Floating
0.68000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-2
N/A
GMCAR 2019-2 A3
36257FAD2
15906500.30000000
PA
USD
16129132.45000000
0.178210540469
Long
ABS-CBDO
CORP
US
N
2
2024-02-16
Fixed
2.65000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2016-BNK1
549300DNBJ7A0SEFVK31
WFCM 2016-BNK1 A3
95000GAY0
280000.00000000
PA
USD
294604.80000000
0.003255083978
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.65200000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
ATHENE GLOBAL FU
04685A2S9
4445000.00000000
PA
USD
4446142.37000000
0.049125359793
Long
DBT
CORP
US
Y
2
2024-01-08
Fixed
0.95000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967MF5
6085000.00000000
PA
USD
6510323.25000000
0.071932463113
Long
DBT
CORP
US
N
2
2025-04-24
Variable
3.35200000
N
N
N
N
N
N
Temasek Financial I Ltd
549300XMGMDF3VRJMF12
TEMASEK FINL I
87973PAC8
5000000.00000000
PA
USD
5162500.00000000
0.057040384411
Long
DBT
CORP
SG
Y
2
2023-01-23
Fixed
2.37500000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_17-3
N/A
CARMX 2017-3 A4
14314WAE1
12410731.32000000
PA
USD
12477626.40000000
0.137865105355
Long
ABS-CBDO
CORP
US
N
2
2022-11-15
Fixed
2.22000000
N
N
N
N
N
N
Palisades Center Trust 2016-PLSD
N/A
PCT 2016-PLSD A
69640GAA3
510000.00000000
PA
USD
469363.20000000
0.005185986897
Long
ABS-MBS
CORP
US
Y
2
2033-04-13
Fixed
2.71300000
N
N
N
N
N
N
Ooredoo International Finance Ltd
549300BHXCDJ03WU7N77
QTEL INTL FIN
N/A
13000000.00000000
PA
USD
13592150.00000000
0.150179459753
Long
DBT
CORP
BM
N
2
2023-02-21
Fixed
3.25000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816CG2
7000000.00000000
PA
USD
7383131.00000000
0.081576102740
Long
DBT
CORP
US
N
2
2024-07-30
Fixed
2.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAQ3
7850000.00000000
PA
USD
8081614.25000000
0.089293633604
Long
DBT
CORP
JP
N
2
2022-07-12
Fixed
2.78400000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-MT3
N/A
DLL 2019-MT3 A4
23291RAD2
8000000.00000000
PA
USD
8186690.40000000
0.090454618396
Long
ABS-CBDO
CORP
US
Y
2
2026-09-21
Fixed
2.15000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFL7
5165000.00000000
PA
USD
5490637.76000000
0.060665973558
Long
DBT
CORP
US
N
2
2023-06-08
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.000000 16-JUN-2023
N/A
149770000.00000000
NC
USD
480384.13000000
0.005307756986
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2023-06-16
0.00000000
USD
441304.45000000
USD
149770000.00000000
USD
39079.68000000
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FBH5
11215000.00000000
PA
USD
11809753.88000000
0.130485791984
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDEN CREDIT CARD TRUST GCCT_18-4A
N/A
GCCT 2018-4A A
380881ER9
30290000.00000000
PA
USD
32364177.42000000
0.357591306769
Long
ABS-CBDO
CORP
CA
Y
2
2025-08-15
Fixed
3.44000000
N
N
N
N
N
N
Japan Bank for International Cooperation
549300TJ3QFYVCTSCJ29
JAPAN BANK COOP
471048BY3
5000000.00000000
PA
USD
5295960.00000000
0.058514981932
Long
DBT
NUSS
JP
N
2
2024-05-23
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967FT3
2400000.00000000
PA
USD
2477959.20000000
0.027378933718
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
1528.16000000
0.000016884616
N/A
DFE
N/A
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
7317464.00000000
EUR
8587169.13000000
USD
2021-04-30
1528.16000000
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST SSTRT_18-1A
N/A
SSTRT 2018-1A A4
81376QAE8
3714713.19000000
PA
USD
3749588.40000000
0.041429145514
Long
ABS-CBDO
CORP
CA
Y
2
2022-11-25
Fixed
3.29800000
N
N
N
N
N
N
RESIMAC Premier Series 2018-1
N/A
RESI 2018-1A A1
76119HAA8
620760.74330000
PA
USD
621644.89000000
0.006868544986
Long
ABS-MBS
CORP
AU
Y
2
2049-11-10
Floating
0.90600000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_18-A
N/A
BMWOT 2018-A A4
09659QAE7
10687415.20000000
PA
USD
10791349.24000000
0.119233454521
Long
ABS-CBDO
CORP
US
N
2
2024-06-25
Fixed
2.51000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK ABP
65559CAB7
4310000.00000000
PA
USD
4219955.48000000
0.046626224267
Long
DBT
CORP
FI
Y
2
2025-08-28
Fixed
0.75000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816CD9
7000000.00000000
PA
USD
7174643.00000000
0.079272521982
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
2.75000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXP4
10000000.00000000
PA
USD
9975190.00000000
0.110215723424
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
0.48100000
N
N
N
N
N
N
PENDING
N/A
SOFI 2018-B A2FX
83404RAB4
1181576.00000000
PA
USD
1217947.63000000
0.013457084941
Long
ABS-CBDO
CORP
US
Y
2
2047-08-25
Fixed
3.34000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CL0
9276000.00000000
PA
USD
9501137.80000000
0.104977927836
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_21-1
N/A
SDART 2021-1 A3
80286NAD8
16060000.00000000
PA
USD
16050664.32000000
0.177343547287
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Fixed
0.32000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BLDG
638602BP6
7000000.00000000
PA
USD
7717500.00000000
0.085270540764
Long
DBT
CORP
GB
Y
2
2025-07-21
Fixed
3.90000000
N
N
N
N
N
N
Fifth Third Bank NA
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK
31677QBS7
2000000.00000000
PA
USD
2049980.00000000
0.022650198011
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
1.80000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
AT5802778
1620000.00000000
PA
1937933.05000000
0.021412192956
Long
DBT
CORP
CA
N
2
2023-07-20
Fixed
0.62500000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-MT3
N/A
DLL 2019-MT3 A3
23291RAC4
14100000.00000000
PA
USD
14234770.62000000
0.157279765263
Long
ABS-CBDO
CORP
US
Y
2
2023-02-21
Fixed
2.08000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468W2
21430000.00000000
PA
USD
21373167.64000000
0.236151805961
Long
DBT
CORP
US
N
2
2024-01-25
Variable
0.52900000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
05581KAB7
5000000.00000000
PA
USD
5381945.00000000
0.059465028897
Long
DBT
CORP
FR
Y
2
2024-01-10
Fixed
3.80000000
N
N
N
N
N
N
PFS FINANCING CORP PFSFC_20-A
N/A
PFSFC 2020-A A
69335PDP7
4800000.00000000
PA
USD
4861538.88000000
0.053715069548
Long
ABS-CBDO
CORP
US
Y
2
2025-06-15
Fixed
1.27000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2018-C48
549300REQJRID6TODX95
WFCM 2018-C48 ASB
95001RAV1
280000.00000000
PA
USD
315786.80000000
0.003489123576
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
4.24500000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_20-B
N/A
MMAF 2020-BA A5
60700KAE2
8340000.00000000
PA
USD
8257082.05000000
0.091232374672
Long
ABS-CBDO
CORP
US
Y
2
2042-04-14
Fixed
0.85000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_18-C
N/A
SMB 2018-C A2A
78449QAB3
2053462.00000000
PA
USD
2148483.90000000
0.023738566112
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Fixed
3.63000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
N/A
JPMCC 2013-C16 A4
46641BAD5
1250000.00000000
PA
USD
1349012.50000000
0.014905218707
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
4.16640000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_21-1
N/A
EFF 2021-1 A2
29374EAB2
10100000.00000000
PA
USD
10093253.20000000
0.111520201935
Long
ABS-CBDO
CORP
US
Y
2
2026-12-21
Fixed
0.44000000
N
N
N
N
N
N
SoQ Sukuk A QSC
N/A
SOQ SUKUK A Q.S.
N/A
358000.00000000
PA
USD
375114.40000000
0.004144633331
Long
DBT
CORP
QA
N
2
2023-01-18
Fixed
3.24100000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.000000 16-JUN-2024
N/A
100546000.00000000
NC
USD
1157789.22000000
0.012792395578
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2024-06-16
0.00000000
USD
997528.89000000
USD
100546000.00000000
USD
160260.33000000
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_16-B
N/A
SMB 2016-B A2B
78449GAC3
207167.27920000
PA
USD
209273.28000000
0.002312257305
Long
ABS-CBDO
CORP
US
Y
2
2032-02-17
Floating
1.55600000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_17-5
N/A
ALLYA 2017-5 A4
02007YAD6
5446973.93000000
PA
USD
5467298.22000000
0.060408095333
Long
ABS-CBDO
CORP
US
N
2
2022-10-17
Fixed
2.22000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
AT5191404
3620000.00000000
PA
4358303.22000000
0.048154826353
Long
DBT
CORP
AU
N
2
2023-10-17
Fixed
0.75000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCG1
11280000.00000000
PA
USD
11355869.28000000
0.125470827904
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477AZ6
10475000.00000000
PA
USD
10738100.58000000
0.118645110882
Long
DBT
CORP
US
N
2
2023-05-15
Variable
2.65300000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29
N/A
MSBAM 2016-C29 A4
61766EBE4
900000.00000000
PA
USD
974412.00000000
0.010766263448
Long
ABS-MBS
CORP
US
N
2
2049-05-15
Fixed
3.32500000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432MV4
8500000.00000000
PA
USD
9032465.50000000
0.099799574683
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
3.40000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15
N/A
MSBAM 2014-C15 A4
61763KBA1
1065000.00000000
PA
USD
1153757.10000000
0.012747844746
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
4.05100000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4122 MA
3137AUZS1
4587302.21000000
PA
USD
4649735.39000000
0.051374855991
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
1.50000000
N
N
N
N
N
N
FANNIEMAE GRANTOR TRUST FNGT_17-T1
N/A
FNGT 2017-T1 A
3136AV6R5
12979697.31000000
PA
USD
13924878.87000000
0.153855776005
Long
ABS-CBDO
CORP
US
N
2
2027-06-25
Fixed
2.89800000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA 2020-A A3
88167HAC0
6820000.00000000
PA
USD
6852312.48000000
0.075711096942
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
0.68000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4427 PD
3137BGB81
3336731.24000000
PA
USD
3408137.29000000
0.037656457365
Long
ABS-MBS
USGSE
US
N
2
2044-07-15
Fixed
2.25000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DB0
470000.00000000
PA
USD
479674.48000000
0.005299916073
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.62500000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_20-B
N/A
JDOT 2020-B A3
47787NAC3
15290000.00000000
PA
USD
15321165.61000000
0.169283327075
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.51000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAV1
13500000.00000000
PA
USD
13863906.00000000
0.153182087687
Long
DBT
CORP
JP
N
2
2023-07-16
Variable
2.72100000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
13607RAD2
5500000.00000000
PA
USD
5904838.50000000
0.065242471269
Long
DBT
CORP
CA
N
2
2023-09-13
Fixed
3.50000000
N
N
N
N
N
N
Georgia-Pacific LLC
L2EVHWFHVAQK72TMH265
GEORGIA-PACIFIC
37331NAM3
19500000.00000000
PA
USD
19407375.00000000
0.214431792816
Long
DBT
CORP
US
Y
2
2024-05-15
Fixed
0.62500000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_19-A
N/A
SRT 2019-A A3
80285JAG1
5955376.46000000
PA
USD
6006880.34000000
0.066369930015
Long
ABS-CBDO
CORP
US
Y
2
2022-06-20
Fixed
2.77000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_15-A
N/A
MMAF 2015-AA A5
55315GAE8
316845.87000000
PA
USD
320234.12000000
0.003538261947
Long
ABS-CBDO
CORP
US
Y
2
2036-02-19
Fixed
2.49000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBB1
15120000.00000000
PA
USD
15518034.00000000
0.171458522938
Long
DBT
CORP
US
N
2
2023-04-01
Variable
3.20700000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_20-1
N/A
EFF 2020-1 A2
29373KAB9
7339815.89520000
PA
USD
7436313.92000000
0.082163720019
Long
ABS-CBDO
CORP
US
Y
2
2025-12-22
Fixed
1.78000000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB BANK ASA
ZQ5125310
2000000.00000000
PA
2361665.35000000
0.026094004729
Long
DBT
CORP
NO
N
2
2023-11-14
Fixed
0.05000000
N
N
N
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
DEXIA CRED LOCAL
25214BAP9
10000000.00000000
PA
USD
10076780.00000000
0.111338189797
Long
DBT
CORP
FR
Y
2
2021-09-15
Fixed
1.87500000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-122 PB
38380AXH5
387267.58000000
PA
USD
392147.15000000
0.004332827928
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
2.75000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBY1
3375000.00000000
PA
USD
3339478.13000000
0.036897843345
Long
DBT
CORP
US
N
2
2025-02-16
Variable
0.56300000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-1
N/A
GMCAR 2021-1 A4
36261LAD3
7910000.00000000
PA
USD
7856643.10000000
0.086807930771
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
0.54000000
N
N
N
N
N
N
RESIMAC Premier Series 2017-1
N/A
RESI 2017-1A A1A
76118RAA7
309361.68290000
PA
USD
309550.39000000
0.003420217576
Long
ABS-MBS
CORP
AU
Y
2
2048-09-11
Floating
1.05710000
N
N
N
N
N
N
2021-05-28
VANGUARD MALVERN FUNDS
Christine M. Buchanan
Christine M. Buchanan
Treasurer