NPORT-P false 0000916053 XXXXXXXX S000061109 C000198051 MASSMUTUAL SELECT FUNDS 811-08274 0000916053 PJVR01EN4PJWVNUIQ236 100 BRIGHT MEADOW BLVD. ENFIELD 06082-1981 8605621000 MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund S000061109 5493005KHVBRE2FUQT77 2020-09-30 2019-12-31 N 207531838.65 1276831.72 206255006.93 0 0 0 0 0 0 0 0 0 0 0 0 0 9294.77 USD N 124421739 IRS USD R V 12MUSCPI N/A 99S10RMO5 11100000 PA USD -14560.09 -0.0070592662 N/A DIR US N 2 MERRILL LYNCH INTERNATIONAL BANK 549300J8H1BYG1YAFY05 N 2020-02-21 0 USD 0 USD 11100000 USD -14560.09 N N N 124421742 IRS USD R V 12MUSCPI N/A 99S10RMR8 7500000 PA USD -51768.9 -0.0250994634 N/A DIR US N 2 MERRILL LYNCH INTERNATIONAL BANK 549300J8H1BYG1YAFY05 N 2021-02-21 0 USD 0 USD 7500000 USD -51768.9 N N N 201491004 IRS USD R V 12MUSCPI N/A 99S1A33X8 7101000 PA USD 49353.94 0.0239286021 N/A DIR US N 2 GOLDMAN SACHS & CO. FOR8UP27PHTHYVLBNG30 N 2021-08-09 0 USD 0 USD 7101000 USD 49353.94 N N N 202205842 IRS USD R V 12MUSCPI N/A 99S1A81C5 1619676 PA USD 10427.83 0.0050557948 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2021-08-16 0 USD 0 USD 1619676 USD 10427.83 N N N 202229048 IRS USD R V 12MUSCPI N/A 99S1A7434 2430324 PA USD 13382.9 0.0064885213 N/A DIR US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N 2021-08-15 0 USD 0 USD 2430324 USD 13382.9 N N N 203150062 IRS USD R V 12MUSCPI N/A 99S1ADAX8 666250 PA USD 5051.71 0.0024492545 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2021-08-26 0 USD 0 USD 666250 USD 5051.71 N N N 203258219 IRS USD R V 12MUSCPI N/A 99S1ADAR1 666250 PA USD 5049.63 0.002448246 N/A DIR US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N 2021-08-23 0 USD 0 USD 666250 USD 5049.63 N N N 203262513 IRS USD R V 12MUSCPI N/A 99S1ADAU4 717500 PA USD 5473.45 0.0026537295 N/A DIR US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N 2021-08-23 0 USD 0 USD 717500 USD 5473.45 N N N 450531611 IRS USD R V 12MUSCPI N/A 99S129RF7 500000 PA USD -3213.26 -0.0015579064 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N 2020-05-25 0 USD 0 USD 500000 USD -3213.26 N N N 453593985 IRS USD R V 12MUSCPI N/A 99S1BWGI2 500000 PA USD -3125.48 -0.0015153475 N/A DIR US N 2 Bank of America International (NY) EYKN6V0ZCB8VD9IULB80 N 2020-05-23 0 USD 0 USD 500000 USD -3125.48 N N N 471818681 IRS USD R V 12MUSCPI N/A 99S12GTU6 1700000 PA USD -38203 -0.018522217 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N 2023-06-05 0 USD 0 USD 1700000 USD -38203 N N N 553460395 IRS USD R V 12MUSCPI N/A 99S13HT90 1875000 PA USD -24171.23 -0.0117190997 N/A DIR US N 2 MERRILL LYNCH INTERNATIONAL BANK 549300J8H1BYG1YAFY05 N 2021-08-03 0 USD 0 USD 1875000 USD -24171.23 N N N 737147706 IRS USD R V 12MUSCPI N/A 99S1623R8 5200000 PA USD 30599.76 0.0148358871 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N 2020-12-24 0 USD 0 USD 5200000 USD 30599.76 N N N 760739385 IRS USD R V 12MUSCPI N/A 99S16B5U9 1500000 PA USD -7819.07 -0.0037909722 N/A DIR US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N 2024-01-11 0 USD 0 USD 1500000 USD -7819.07 N N N 80137453 IRS USD R V 12MUSCPI N/A 99S1BAC03 3416115 PA USD 26619.8 0.0129062564 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2021-10-09 0 USD 0 USD 3416115 USD 26619.8 N N N 80137456 IRS USD R V 12MUSCPI N/A 99S1B9JU3 3420000 PA USD 38104.72 0.0184745673 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2022-10-07 0 USD 0 USD 3420000 USD 38104.72 N N N 80139336 IRS USD R V 12MUSCPI N/A 99S1B9JO7 1710000 PA USD 18682.18 0.0090578068 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2022-10-08 0 USD 0 USD 1710000 USD 18682.18 N N N 80139340 IRS USD R V 12MUSCPI N/A 99S1B9JX7 3416115 PA USD 28199.48 0.0136721432 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2021-10-07 0 USD 0 USD 3416115 USD 28199.48 N N N 80139443 IRS USD R V 12MUSCPI N/A 99S1B9K07 1710000 PA USD 18631.78 0.009033371 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2022-10-08 0 USD 0 USD 1710000 USD 18631.78 N N N 80230804 IRS USD R V 12MUSCPI N/A 99S1BAC37 3417770 PA USD 26632.7 0.0129125108 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2021-10-09 0 USD 0 USD 3417770 USD 26632.7 N N N 80447497 IRS USD R V 12MUSCPI N/A 99S1BKB69 3450000 PA USD 24102.25 0.0116856557 N/A DIR US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA77 N 2022-10-24 0 USD 0 USD 3450000 USD 24102.25 N N N 81232155 IRS USD R V 12MUSCPI N/A 99S1CG333 2800000 PA USD 5652.44 0.0027405104 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N 2022-12-16 0 USD 0 USD 2800000 USD 5652.44 N N N 972330862 IRS USD R V 12MUSCPI N/A 99S19HOO6 1950000 PA USD 7602.35 0.0036858984 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N 2021-07-08 0 USD 0 USD 1950000 USD 7602.35 N N N 972330870 IRS USD R V 12MUSCPI N/A 99S19HNX7 1250000 PA USD 4590.22 0.0022255072 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N 2022-07-08 0 USD 0 USD 1250000 USD 4590.22 N N N 972330889 IRS USD R V 12MUSCPI N/A 99S19HO08 775000 PA USD 3585.64 0.0017384499 N/A DIR US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N 2024-07-08 0 USD 0 USD 775000 USD 3585.64 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBL2 365000 PA USD 366844.9 0.1778598762 Long DBT CORP US Y 2 2022-11-21 Fixed 2.3 N N N N N N ABU DHABI NATIONAL ENERG 213800UNJSVQFNUYYW03 ACI08C737 200000 PA USD 209250 0.1014520826 Long DBT CORP AE Y 2 2024-05-06 Fixed 3.875 N N N N N N ADANI PORTS AND SPECIAL 335800QOAXP5TM7OYP69 Y00130HS9 200000 PA USD 204822 0.0993052256 Long DBT CORP IN Y 2 2022-01-19 Fixed 3.95 N N N N N N AERCAP IRELAND CAP/GLOBA 549300TI38531ODB1G63 00774MAH8 350000 PA USD 364809.6 0.176873088 Long DBT CORP IE N 2 2021-12-16 Fixed 4.45 N N N N N N AETNA INC 549300QKBENKLBXQ8968 008117AP8 120000 PA USD 121955.49 0.0591284991 Long DBT CORP US N 2 2022-11-15 Fixed 2.75 N N N N N N AIA GROUP LTD ZP5ILWVSYE4LJGMMVD57 00131LAG0 300000 PA USD 300006 0.1454539235 Long DBT CORP HK Y 2 2021-09-20 Floating 2.428 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XBE3 455000 PA USD 467604.21 0.2267116891 Long DBT CORP US N 2 2022-01-15 Fixed 3.5 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAF7 185000 PA USD 185532.74 0.0899530842 Long DBT CORP US N 2 2020-06-01 Fixed 2.8 N N N N N N AMERICREDIT AUTOMOBILE RECEIVA N/A 03065TAF9 99000 PA USD 99297.21 0.0481429331 Long ABS-O CORP US N 2 2022-07-08 Fixed 2.41 N N N N N N AMERICREDIT AUTOMOBILE RECEIVA 5493003R0K8V08JVGR27 03066NAE4 365000 PA USD 363722.17 0.1763458621 Long ABS-O CORP US N 2 2025-07-18 Fixed 2.13 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03463WAA1 173420.93 PA USD 175800.13 0.0852343575 Long ABS-O CORP US Y 2 2049-03-25 Floating 3.628 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AQ3 250000 PA USD 256612.53 0.1244151761 Long DBT CORP GB Y 2 2022-04-10 Fixed 3.75 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 036752AE3 150000 PA USD 150667.41 0.0730490921 Long DBT CORP US N 2 2020-11-21 Fixed 2.5 N N N N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 042735BD1 143000 PA USD 146432.91 0.070996051 Long DBT CORP US N 2 2022-04-01 Fixed 3.5 N N N N N N AVIS BUDGET RENTAL CAR FUNDING IHXLB8SL0QWSSG2VG640 05377RCA0 375000 PA USD 375988.8 0.1822931746 Long ABS-O CORP US Y 2 2021-12-20 Fixed 2.63 N N N N N N AVIS BUDGET RENTAL CAR FUNDING IHXLB8SL0QWSSG2VG640 05377RCU6 310000 PA USD 314740.8 0.1525978955 Long ABS-O CORP US Y 2 2024-03-20 Fixed 2.97 N N N N N N AVIS BUDGET RENTAL CAR FUNDING IHXLB8SL0QWSSG2VG640 05377RDG6 420000 PA USD 429444.37 0.2082103976 Long ABS-O CORP US Y 2 2023-03-20 Fixed 3.45 N N N N N N AXIATA SPV2 BHD 254900P49KQFQ10AF282 ACI0J08Z9 400000 PA USD 403180 0.1954764667 Long DBT CORP MY Y 2 2020-11-19 Fixed 3.466 N N N N N N BANGKOK BANK PCL/HK N/A Y0606WBU3 250000 PA USD 259832.5 0.1259763357 Long DBT CORP TH Y 2 2022-09-27 Fixed 3.875 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGU7 150000 PA USD 150426.41 0.0729322465 Long DBT CORP US N 2 2021-10-01 Floating 2.55938 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FJJ1 470000 PA USD 473074.49 0.2293638817 Long DBT CORP GB N 2 2021-01-11 Fixed 2.65 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DAV7 405000 PA USD 410970.13 0.1992534078 Long DBT CORP US N 2 2022-08-15 Fixed 2.764 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BR9 200000 PA USD 200212.65 0.0970704435 Long DBT CORP US N 2 2020-06-05 Fixed 2.404 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887CF4 124000 PA USD 124060.91 0.0601492841 Long DBT CORP US N 2 2020-12-29 Floating 2.8355 N N N N N N BHARAT PETROLEUM CORP 8GRDBX1TJ0PU5NCSHT72 ACI17Q7Y7 400000 PA USD 410398.2 0.1989761151 Long DBT CORP IN Y 2 2022-01-24 Fixed 4.375 N N N N N N BLUEMOUNTAIN CLO LTD 549300WSX4P5CXVKVR97 09626RAW5 250000 PA USD 249999.25 0.1212088151 Long ABS-CBDO CORP KY Y 2 2028-11-20 Floating 2.9485 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EBF1 375000 PA USD 382196.18 0.1853027404 Long DBT CORP US Y 2 2022-04-14 Fixed 2.95 N N N N N N BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 09702LC94 505000 PA USD 503076.75 0.2439100788 Long STIV CORP US N 2 2020-03-09 None 0 N N N N N N BRE GRAND ISLANDER TIMESHARE I N/A 05588UAA0 86207.06 PA USD 87906.13 0.0426201193 Long ABS-O CORP US Y 2 2033-09-26 Fixed 3.28 N N N N N N BRISTOL MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BC1 325000 PA USD 326820.94 0.1584547909 Long DBT CORP US Y 2 2020-08-15 Fixed 2.875 N N N N N N BRISTOL MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BG2 90000 PA USD 92999.64 0.0450896399 Long DBT CORP US Y 2 2022-08-15 Fixed 3.25 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAA9 360000 PA USD 364370.54 0.1766602156 Long DBT CORP US Y 2 2021-04-15 Fixed 3.125 N N N N N N BUNGE LTD FINANCE CORP 549300QHC068L40NNM71 120568AW0 300000 PA USD 303742.32 0.1472654286 Long DBT CORP US N 2 2020-11-24 Fixed 3.5 N N N N N N BX TRUST N/A 05608BAJ9 210000 PA USD 209738.34 0.1016888478 Long ABS-O CORP US Y 2 2034-04-15 Floating 3.33975 N N N N N N CAPITAL ONE NA 207ALC1P1YM0OVDV0K75 14042RFH9 250000 PA USD 250049.45 0.1212331539 Long DBT CORP US N 2 2020-01-31 Fixed 2.35 N N N N N N CAPITAL ONE NA 207ALC1P1YM0OVDV0K75 14042RNW7 250000 PA USD 250424.43 0.121414958 Long DBT CORP US N 2 2022-09-06 Fixed 2.15 N N N N N N CARDINAL HEALTH INC CCU46N3GJMF4OK4N7U60 14149YAY4 490000 PA USD 503171.76 0.2439561432 Long DBT CORP US N 2 2023-03-15 Fixed 3.2 N N N N N N CHINA OVERSEAS FIN 3003003EQA2BE4U94Y86 ACI127H07 200000 PA USD 208428.25 0.101053668 Long DBT CORP KY Y 2 2023-04-26 Fixed 4.25 N N N N N N CHINA OVERSEAS FIN KY V N/A G2156ZAA1 225000 PA USD 231983.55 0.1124741423 Long DBT CORP KY Y 2 2022-11-15 Fixed 3.95 N N N N N N CIFC FUNDING LTD 549300ZXX0SJBZWIWI81 12550TAN5 250000 PA USD 250135.5 0.1212748741 Long ABS-CBDO CORP KY Y 2 2027-10-20 Floating 3.11588 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AL4 250000 PA USD 255539.81 0.123895082 Long DBT CORP US Y 2 2021-03-15 Fixed 4.5 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523BQ2 102000 PA USD 105641.61 0.0512189312 Long DBT CORP US Y 2 2022-02-15 Fixed 3.9 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CG3 250000 PA USD 253544.87 0.1229278619 Long DBT CORP US Y 2 2020-09-15 Fixed 4.125 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAJ7 250000 PA USD 250301.37 0.121355294 Long DBT CORP US N 2 2020-10-20 Fixed 2.125 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17308CC38 505000 PA USD 506545.75 0.2455919774 Long DBT CORP US N 2 2022-11-04 Floating 2.43 N N N N N N CITIGROUP MORTGAGE LOAN TRUST N/A 17328BAA2 233290.48 PA USD 232512.04 0.1127303737 Long ABS-O CORP US Y 2 2049-07-25 Fixed 2.72 N N N N N N CITIZENS BANK NA/RI DRMSV1Q0EKMEXLAU1P80 17401QAJ0 350000 PA USD 350174.83 0.1697776142 Long DBT CORP US N 2 2020-05-26 Fixed 2.2 N N N N N N CK HUTCHISON INTL 16 LTD 254900OULDVPV9SGEO05 G2176WAA4 200000 PA USD 198402 0.0961925739 Long DBT CORP KY Y 2 2021-10-03 Fixed 1.875 N N N N N N CMHI FINANCE BVI CO LTD 549300KTVUL1BXLNPZ11 ACI148043 550000 PA USD 578998.2 0.2807195852 Long DBT CORP VG Y 2 2023-08-06 Fixed 4.375 N N N N N N CNAC HK FINBRIDGE CO LTD 549300US1UQ7R7WABI28 ACI11C3P7 450000 PA USD 457389 0.2217589802 Long DBT CORP HK Y 2 2021-03-14 Fixed 4.125 N N N N N N CNAC HK SYNBRIDGE CO LTD N/A ACI0V4LY5 200000 PA USD 201548 0.0977178702 Long DBT CORP HK N 2 2020-05-05 Fixed 5 N N N N Y N/A N/A XXXX N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAE4 345000 PA USD 350606.25 0.1699867825 Long DBT CORP US N 2 2020-11-06 Fixed 4.375 N N N N N CNOOC FINANCE 2011 LTD N/A G2353WAA9 200000 PA USD 203833.62 0.0988260227 Long DBT CORP VG Y 2 2021-01-26 Fixed 4.25 N N N N N N CNOOC FINANCE 2015 AU N/A 12634GAA1 200000 PA USD 200212 0.0970701284 Long DBT CORP AU N 2 2020-05-05 Fixed 2.625 N N N N N N COLT FUNDING LLC N/A 12596DAB2 114591.74 PA USD 115153.94 0.055830858 Long ABS-O CORP US Y 2 2048-10-26 Floating 3.763 N N N N N N COLT FUNDING LLC N/A 12596DAC0 109609.49 PA USD 109675.49 0.0531747043 Long ABS-O CORP US Y 2 2048-10-26 Floating 3.865 N N N N N N COLT FUNDING LLC N/A 19685TAA6 138016.48 PA USD 138455.99 0.0671285474 Long ABS-O CORP US Y 2 2049-05-25 Floating 3.337 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCQ2 245000 PA USD 252197.36 0.1222745395 Long DBT CORP US N 2 2021-10-01 Fixed 3.45 N N N N N N COMM MORTGAGE TRUST 5493004GWEVMOU8S3L34 12591QAT9 250000 PA USD 263021.38 0.1275224218 Long ABS-O CORP US N 2 2047-08-10 Fixed 3.968 N N N N N N COMM MORTGAGE TRUST N/A 12591UAH6 100000 PA USD 105675.22 0.0512352265 Long ABS-O CORP US N 2 2047-03-10 Fixed 4.199 N N N N N N CREDIT SUISSE NEW YORK N/A 22550L2A8 250000 PA USD 251183.17 0.121782823 Long DBT CORP CH N 2 2021-11-12 Fixed 2.1 N N N N N N CROWN CASTLE TOWERS LLC N/A 22822RBF6 225000 PA USD 232677.72 0.1128107014 Long ABS-O CORP US Y 2 2043-07-15 Fixed 3.72 N N N N N N CSCEC FINANCE CAYMAN I N/A ACI0J0K77 250000 PA USD 250804.13 0.1215990505 Long DBT NUSS KY Y 2 2020-11-19 Fixed 2.95 N N N N N N CSCEC FINANCE CAYMAN II N/A ACI0W1M86 200000 PA USD 201004.9 0.0974545554 Long DBT NUSS KY Y 2 2022-07-05 Fixed 2.9 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DB3 10000 PA USD 10007.93 0.0048522119 Long DBT CORP US N 2 2020-03-09 Floating 2.515 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DC1 109000 PA USD 110812.22 0.0537258327 Long DBT CORP US N 2 2021-03-09 Fixed 3.35 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DD9 105000 PA USD 105643.84 0.0512200123 Long DBT CORP US N 2 2021-03-09 Floating 2.605 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851CA0 240000 PA USD 240920.03 0.1168068759 Long DBT CORP US Y 2 2020-08-03 Fixed 2.7 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851CY8 235000 PA USD 235118.16 0.1139939163 Long DBT CORP US Y 2 2020-05-05 Fixed 2.2 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAH4 375000 PA USD 373775.57 0.1812201195 Long DBT CORP DK Y 2 2021-09-08 Fixed 2 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAK7 200000 PA USD 199985.83 0.0969604729 Long DBT CORP DK Y 2 2020-03-02 Fixed 2.2 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAU5 200000 PA USD 201772.82 0.0978268712 Long DBT CORP DK Y 2 2022-09-20 Fixed 3.001 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE N/A 24381NAA6 539139.62 PA USD 540545.43 0.2620762706 Long ABS-O CORP US Y 2 2059-07-25 Floating 2.964 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE N/A 24381PAA1 124846.01 PA USD 125552.59 0.0608725053 Long ABS-O CORP US Y 2 2059-04-25 Floating 3.558 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZK7 250000 PA USD 250038.84 0.1212280098 Long DBT CORP US N 2 2020-03-13 Fixed 2.875 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAB7 250000 PA USD 253354.31 0.1228354714 Long DBT CORP US N 2 2020-04-15 Fixed 7 N N N N N N DOLLAR TREE INC 549300PMSTQITB1WHR43 256746AE8 190000 PA USD 190035.28 0.0921360809 Long DBT CORP US N 2 2020-04-17 Floating 2.70213 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AC3 475000 PA USD 525573.25 0.254817208 Long DBT CORP CO N 2 2023-09-18 Fixed 5.875 N N N N N N ELLINGTON FINANCIAL MORTGAGE T N/A 31573TAA6 361819.05 PA USD 360626.96 0.1748451906 Long ABS-O CORP US Y 2 2059-11-25 Floating 2.739 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GAB4 370000 PA USD 374779.58 0.1817069004 Long DBT CORP NL Y 2 2022-05-25 Fixed 2.875 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAL7 582000 PA USD 607907.71 0.2947359771 Long DBT CORP US N 2 2023-03-15 Fixed 4.25 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AM7 25000 PA USD 25578.79 0.0124015365 Long DBT CORP US N 2 2021-08-15 Fixed 3.6 N N N N N N EXELON GENERATION CO LLC S2PEWKCZFFECR4533P43 30161MAP8 225000 PA USD 225037.71 0.1091065441 Long DBT CORP US N 2 2020-01-15 Fixed 2.95 N N N N N N FANNIE MAE CAS N/A 20754HCK2 143550.94 PA USD 143550.8 0.0695986983 Long ABS-O USGSE US Y 2 2039-07-25 Floating 2.542 N N N N N N FANNIE MAE CAS N/A 20754JAA2 195379.03 PA USD 195398.98 0.0947365996 Long ABS-O USGSE US Y 2 2039-09-25 Floating 2.542 N N N N N N FANNIE MAE CAS B1V7KEBTPIMZEU4LTD58 30711XGK4 70746.63 PA USD 70805.14 0.0343289315 Long ABS-O USGSE US Y 2 2029-09-25 Floating 2.942 N N N N N N FANNIE MAE CAS B1V7KEBTPIMZEU4LTD58 30711XHT4 560000 PA USD 560668.42 0.2718326349 Long ABS-O USGSE US Y 2 2029-09-25 Floating 3.142 N N N N N N FANNIE MAE CAS B1V7KEBTPIMZEU4LTD58 30711XJ21 29583.46 PA USD 29591.31 0.0143469535 Long ABS-O USGSE US N 2 2030-10-25 Floating 2.472 N N N N N N FANNIE MAE CAS B1V7KEBTPIMZEU4LTD58 30711XMZ4 475000 PA USD 472597.88 0.2291328036 Long ABS-O USGSE US N 2 2029-11-25 Floating 2.892 N N N N N N FANNIE MAE CAS B1V7KEBTPIMZEU4LTD58 30711XQU1 205000 PA USD 211239.67 0.1024167477 Long ABS-O USGSE US N 2 2030-02-25 Floating 4.442 N N N N N N FONTAINEBLEAU MIAMI BEACH TRUS N/A 34461LAJ3 295000 PA USD 301620.57 0.1462367263 Long ABS-O CORP US Y 2 2036-12-10 Fixed 3.75 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XQ1 200000 PA USD 201118.83 0.0975097928 Long DBT CORP US N 2 2021-01-15 Fixed 3.2 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XW8 200000 PA USD 201503.83 0.097696455 Long DBT CORP US N 2 2021-03-18 Fixed 3.336 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YZ0 245000 PA USD 247272.79 0.1198869272 Long DBT CORP US N 2 2021-04-05 Fixed 3.47 N N N N N N FREDDIE MAC STACR N/A 3137G0NW5 209705.17 PA USD 210148.78 0.1018878441 Long ABS-O USGSE US N 2 2029-10-25 Floating 2.992 N N N N N N FREDDIE MAC STACR N/A 3137G0PT0 116454.28 PA USD 116454.16 0.0564612524 Long ABS-O USGSE US N 2 2029-12-25 Floating 2.592 N N N N N N FREDDIE MAC STACR N/A 3137G0QP7 253259.48 PA USD 253354.93 0.122835772 Long ABS-O USGSE US N 2 2030-03-25 Floating 2.542 N N N N N N FREDDIE MAC STACR N/A 3137G0TG4 177773.51 PA USD 177650.49 0.08613148 Long ABS-O USGSE US N 2 2030-07-25 Floating 2.242 N N N N N N FREDDIE MAC STACR S6XOOCT0IEG5ABCC6L87 3137G0UC1 89065.91 PA USD 89065.83 0.0431823844 Long ABS-O USGSE US N 2 2030-09-25 Floating 2.492 N N N N N N FREDDIE MAC STACR N/A 3137G1CK1 113920.2 PA USD 114488.23 0.0555080973 Long ABS-O USGSE US N 2 2048-02-25 Floating 3.736333 N N N N N N FREDDIE MAC STACR N/A 3137G1CS4 39662.76 PA USD 39883.47 0.0193369706 Long ABS-O USGSE US N 2 2048-05-25 Floating 3.813154 N N N N N N FREDDIE MAC STACR N/A 3137G1DB0 34470.75 PA USD 34660.27 0.0168045714 Long ABS-O USGSE US N 2 2048-08-25 Floating 4.152361 N N N N N N FREDDIE MAC STACR S6XOOCT0IEG5ABCC6L87 35563MAA4 27857.84 PA USD 27868.11 0.0135114829 Long ABS-O USGSE US N 2 2049-02-25 Floating 2.692 N N N N N N FREDDIE MAC STACR S6XOOCT0IEG5ABCC6L87 35563TAA9 180973.66 PA USD 181174.65 0.0878401221 Long ABS-O USGSE US Y 2 2030-12-25 Floating 2.592 N N N N N N FREDDIE MAC STACR 549300BL200YC56BUV20 35563WAA2 121592.82 PA USD 121665.85 0.058988071 Long ABS-O USGSE US Y 2 2048-09-25 Floating 2.542 N N N N N N FREDDIE MAC STACR S6XOOCT0IEG5ABCC6L87 35564MAA3 23471.61 PA USD 23466.31 0.0113773287 Long ABS-O USGSE US N 2 2049-04-25 Floating 2.492 N N N N N N FREDDIE MAC STACR S6XOOCT0IEG5ABCC6L87 35564TAA8 108158.92 PA USD 108158.82 0.052439367 Long ABS-O USGSE US N 2 2049-07-25 Floating 2.522 N N N N N N FREDDIE MAC STACR N/A 35565AAA8 330889.85 PA USD 330725.27 0.1603477535 Long ABS-O USGSE US Y 2 2049-10-25 Floating 2.408 N N N N N N FREDDIE MAC STACR S6XOOCT0IEG5ABCC6L87 35565CAA4 165000 PA USD 164999.85 0.0799979852 Long ABS-O USGSE US Y 2 2049-11-25 Floating 2.562 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QMS4 285000 PA USD 285230.06 0.1382900053 Long DBT CORP IE N 2 2020-11-15 Fixed 2.342 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369622SM8 185000 PA USD 190869.92 0.092540745 Long DBT CORP US N 2 2021-02-11 Fixed 5.3 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CB8 165000 PA USD 165532.67 0.0802563159 Long DBT CORP US N 2 2021-04-16 Floating 2.54088 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBM7 220000 PA USD 223037.65 0.1081368415 Long DBT CORP US N 2 2021-07-06 Fixed 3.2 N N N N N N GM FINANCIAL AUTOMOBILE LEASIN N/A 38013BAG5 375000 PA USD 375097.28 0.181860933 Long ABS-O CORP US N 2 2021-09-20 Fixed 2.73 N N N N N N GMRF MORTGAGE ACQUISITION CO., N/A 36417JAS8 409897.95 PA USD 411445.03 0.1994836567 Long ABS-O CORP US Y 2 2057-11-25 Floating 3.5 N N N N N N GMRF MORTGAGE ACQUISITION CO., N/A 36418AAW7 303053.22 PA USD 302755.71 0.1467870839 Long ABS-O CORP US Y 2 2059-06-25 Floating 3.5 N N N N N N GMRF MORTGAGE ACQUISITION CO., N/A 36418WAW9 103591.71 PA USD 103038.45 0.0499568236 Long ABS-O CORP US Y 2 2059-02-25 Floating 4 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWC4 235000 PA USD 237968.09 0.115375667 Long DBT CORP US N 2 2022-04-26 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAC2 255000 PA USD 258618.31 0.1253876518 Long DBT CORP US N 2 2022-10-31 Fixed 2.876 N N N N N N GOVERNMENT NATIONAL MORTGAGE A N/A 38381VKU3 333194.9 PA USD 343500.98 0.1665418867 Long ABS-O USGA US N 2 2049-05-20 Fixed 3.5 N N N N N N HARDEE S FUNDING N/A 411707AB8 93812.5 PA USD 94028.17 0.0455883091 Long ABS-O CORP US Y 2 2048-06-20 Fixed 4.25 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 418056AW7 140000 PA USD 140857.8 0.068293033 Long DBT CORP US N 2 2022-11-19 Fixed 2.6 N N N N N N HILTON GRAND VACATIONS TRUST N/A 43284AAB0 56239.84 PA USD 55994.34 0.0271481119 Long ABS-O CORP US Y 2 2026-11-25 Fixed 2.07 N N N N N N HOMEWARD OPPORTUNITIES FUND I N/A 43789VAC2 453703.71 PA USD 451161.34 0.218739582 Long ABS-O CORP US Y 2 2059-09-25 Floating 3.007 N N N N N N HOMEWARD OPPORTUNITIES FUND I N/A 43800KAC1 156219.29 PA USD 155613.25 0.0754470169 Long ABS-O CORP US Y 2 2059-11-25 Floating 3.031 N N N N N N HOMEWARD OPPORTUNITIES FUND TR N/A 43789AAA2 182537.37 PA USD 184435.8 0.0894212474 Long ABS-O CORP US Y 2 2048-06-25 Floating 3.766 N N N N N N HYUNDAI AUTO LEASE SECURITIZAT 549300HYB2ZMNKF8SB89 44935AAD7 180993.69 PA USD 181478.39 0.0879873864 Long ABS-O CORP US Y 2 2021-04-15 Fixed 2.81 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAB3 235000 PA USD 235144.67 0.1140067693 Long DBT CORP US Y 2 2020-03-19 Fixed 2.6 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAD9 60000 PA USD 60373.05 0.0292710712 Long DBT CORP US Y 2 2020-10-30 Fixed 3 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAH0 170000 PA USD 170171.11 0.082505202 Long DBT CORP US Y 2 2021-06-15 Fixed 2.45 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200JX0 370000 PA USD 378370.27 0.1834477987 Long DBT CORP US N 2 2022-05-13 Fixed 2.85 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AD7 200000 PA USD 200564.25 0.0972409121 Long DBT CORP GB Y 2 2020-07-21 Fixed 2.95 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AE5 290000 PA USD 298596.65 0.1447706189 Long DBT CORP GB Y 2 2022-07-21 Fixed 3.75 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AG8 370000 PA USD 378308.25 0.1834177292 Long DBT CORP NL N 2 2022-03-29 Fixed 3.15 N N N N Y N/A N/A XXXX N N N INTERPUBLIC GROUP COS 5493008IUOJ5VWTRC333 460690BM1 40000 PA USD 40428.48 0.0196012114 Long DBT CORP US N 2 2020-10-01 Fixed 3.5 N N N N N N JP MORGAN MORTGAGE TRUST N/A 46651DAC0 127237.77 PA USD 127236.74 0.061689043 Long ABS-O CORP US Y 2 2050-02-25 Floating 3.5 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAZ9 160000 PA USD 165031.41 0.0800132867 Long DBT CORP US N 2 2022-06-06 Fixed 3.5 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAP1 200000 PA USD 200284.29 0.0971051772 Long DBT CORP US N 2 2021-02-10 Floating 2.47063 N N N N N N METLIFE SECURITIZATION TRUST N/A 59166DAA5 205308.42 PA USD 213275.7 0.1034038898 Long ABS-O CORP US Y 2 2057-03-25 Floating 3.75 N N N N N N MICROCHIP TECHNOLOGY INC 5493007PTFULNYZJ1R12 595017AN4 120000 PA USD 122721.68 0.0594999762 Long DBT CORP US N 2 2021-06-01 Fixed 3.922 N N N N N N MISSISSIPPI POWER CO LNZ0J6YZ5SC6ILIRU850 605417CA0 64000 PA USD 64023.91 0.0310411422 Long DBT CORP US N 2 2020-03-27 Floating 2.59663 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467P8 325000 PA USD 331558.58 0.1607517727 Long DBT CORP US N 2 2020-07-24 Fixed 5.5 N N N N N N MVW OWNER TRUST N/A 553896AA9 584175.34 PA USD 583941.61 0.2831163319 Long ABS-O CORP US Y 2 2034-12-20 Fixed 2.42 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63941JAA6 485000 PA USD 482710.65 0.2340358458 Long ABS-O CORP US Y 2 2068-10-15 Fixed 2.4 N N N N N N NEW ORLEANS HOTEL TRUST N/A 647622AE9 100000 PA USD 99999.85 0.0484835988 Long ABS-O CORP US Y 2 2032-04-15 Floating 3.32846 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN N/A 64830PAC0 169435.44 PA USD 169311.07 0.082088223 Long ABS-O CORP US Y 2 2059-11-25 Floating 3.06527 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN N/A 64830QAA2 133170.05 PA USD 134998.63 0.0654522923 Long ABS-O CORP US Y 2 2049-04-25 Floating 3.59987 N N N N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 654740BB4 340000 PA USD 339330.81 0.1645200352 Long DBT CORP US Y 2 2020-09-28 Fixed 2.15 N N N N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 654740BJ7 130000 PA USD 132709.74 0.0643425544 Long DBT CORP US Y 2 2021-09-21 Fixed 3.65 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65557FAA4 200000 PA USD 207377.77 0.1005443568 Long DBT CORP FI Y 2 2021-05-13 Fixed 4.875 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CP8 365000 PA USD 368794.07 0.1788049054 Long DBT CORP US N 2 2022-08-15 Fixed 2.7 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CU7 95000 PA USD 95702.98 0.0464003184 Long DBT CORP US N 2 2021-08-13 Fixed 2.6 N N N N N N OCTAGON INVESTMENT PARTNERS LT 549300EY2ULL20U3RR38 67590WCG7 250000 PA USD 244919.75 0.118746087 Long ABS-CBDO CORP KY Y 2 2027-07-15 Floating 3.00088 N N N N N N ONSLOW BAY FINANCIAL LLC N/A 67113ABB5 245192.44 PA USD 244443.87 0.1185153629 Long ABS-O CORP US Y 2 2059-10-25 Floating 2.692 N N N N N N ONSLOW BAY FINANCIAL LLC N/A 67113ABC3 137684.99 PA USD 137684.82 0.0667546558 Long ABS-O CORP US Y 2 2059-10-25 Floating 2.892 N N N N N N ONSLOW BAY FINANCIAL LLC N/A 67113KAX6 395301.7 PA USD 402130.26 0.1949675142 Long ABS-O CORP US Y 2 2059-06-25 Floating 4 N N N N N N ONSLOW BAY FINANCIAL LLC 549300ELWOCL265HSB73 67448QAC5 431836.31 PA USD 437779.15 0.212251405 Long ABS-O CORP US Y 2 2059-01-25 Floating 4 N N N N N N OZLM LTD N/A 67107FBC0 250000 PA USD 249428.25 0.1209319733 Long ABS-CBDO CORP KY Y 2 2029-10-17 Floating 3.17213 N N N N N N PACCAR FINANCIAL CORP PH3S12DWZBHHQKVYZ297 69371RQ41 390000 PA USD 390519.4 0.189338143 Long DBT CORP US N 2 2023-02-07 Fixed 1.9 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAA8 425000 PA USD 452795 0.2195316403 Long DBT CORP KY Y 2 2022-08-15 Fixed 5.25 N N N N N N PENSKE TRUCK LEASING/PTL 549300ZX07JYMI8GHQ39 709599AU8 50000 PA USD 50214.49 0.0243458284 Long DBT CORP US Y 2 2020-07-15 Fixed 3.2 N N N N N N PERTAMINA PERSERO PT 254900NDAKGNZ2IBBL45 Y7138AAA8 250000 PA USD 259965 0.1260405766 Long DBT CORP ID Y 2 2021-05-23 Fixed 5.25 N N N N N N PERTAMINA PERSERO PT 254900NDAKGNZ2IBBL45 Y7138AAE0 250000 PA USD 263494.32 0.1277517205 Long DBT CORP ID Y 2 2023-05-20 Fixed 4.3 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568QAA5 200000 PA USD 211500 0.1025429652 Long DBT CORP ID Y 2 2021-11-22 Fixed 5.5 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AS3 105000 PA USD 105006.29 0.0509109047 Long DBT CORP US N 2 2021-02-26 Floating 2.51725 N N N N N N PLAINS ALL AMER PIPELINE 5521FA2ITF25TVH63740 72650RAZ5 475000 PA USD 487351.03 0.2362856724 Long DBT CORP US N 2 2022-06-01 Fixed 3.65 N N N N N N PTTEP CANADA INTL FIN LT 2549001C29CRNKMKL768 C75088AA9 240000 PA USD 249736.8 0.1210815697 Long DBT CORP CA Y 2 2021-04-05 Fixed 5.692 N N N N N N REGIONS BANK EQTWLK1G7ODGC2MGLV11 759187CC9 250000 PA USD 250047.5 0.1212322085 Long DBT CORP US N 2 2021-04-01 Floating 2.28938 N N N N N N RELIANCE HOLDINGS USA LW0V2CUWFIITRBI06W51 U75888AA2 500000 PA USD 507925 0.2462606884 Long DBT CORP US Y 2 2020-10-19 Fixed 4.5 N N N N N N Repurchase Agreement 549300H47WTHXPU08X20 85748R009 640833.36 PA USD 640833.36 0.3106995411 Long RA CORP US N 1 Repurchase N 0.8 2020-01-02 640000 USD 658140.16 USD UST N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BT2 190000 PA USD 193036.46 0.0935911631 Long DBT CORP US N 2 2020-05-01 Fixed 6.875 N N N N N N ROWE T PRICE GOV RES FD 5493002Y0IYARJVQ5N24 76105Y109 105.83 PA USD 105.83 0.0000513103 Long STIV RF US N 1 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AE6 200000 PA USD 205578.59 0.0996720482 Long DBT CORP US N 2 2021-02-01 Fixed 5.625 N N N N N N SANTANDER DRIVE AUTO RECEIVABL N/A 80284TAK1 38129.41 PA USD 38154.9 0.0184988964 Long ABS-O CORP US N 2 2022-05-16 Fixed 2.58 N N N N N N SANTANDER DRIVE AUTO RECEIVABL N/A 80285MAF6 50000 PA USD 50184.36 0.0243312202 Long ABS-O CORP US N 2 2023-01-17 Fixed 3.27 N N N N N N SANTANDER RETAIL AUTO LEASE TR N/A 80281GAG1 170000 PA USD 170437.63 0.0826344206 Long ABS-O CORP US Y 2 2023-08-21 Fixed 2.77 N N N N N N SANTANDER RETAIL AUTO LEASE TR N/A 80284NAF5 120000 PA USD 119024.18 0.0577072924 Long ABS-O CORP US Y 2 2023-11-20 Fixed 2.17 N N N N N N SANTANDER RETAIL AUTO LEASE TR N/A 80284NAG3 230000 PA USD 228034.14 0.1105593233 Long ABS-O CORP US Y 2 2023-11-20 Fixed 2.39 N N N N N N SANTANDER RETAIL AUTO LEASE TR N/A 80285JAN6 280000 PA USD 284550.03 0.1379603018 Long ABS-O CORP US Y 2 2023-05-22 Fixed 3.3 N N N N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 80414L2A2 350000 PA USD 353951.72 0.1716087892 Long DBT CORP SA Y 2 2022-04-16 Fixed 2.75 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81746HAB7 272165.16 PA USD 273787.24 0.132742106 Long ABS-O CORP US Y 2 2047-08-25 Floating 3.5 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81746HAN1 269167 PA USD 288567.51 0.1399081236 Long ABS-O CORP US Y 2 2047-08-25 Floating 4 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81746WAB4 102471.51 PA USD 105822.37 0.0513065702 Long ABS-O CORP US Y 2 2048-08-25 Floating 4 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81747EAC1 85001.9 PA USD 86163.43 0.0417751943 Long ABS-O CORP US Y 2 2048-06-25 Floating 4 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81747LAB7 80004.18 PA USD 83158.81 0.0403184443 Long ABS-O CORP US Y 2 2048-10-25 Floating 4 N N N N N N SG CAPITAL PARTNERS N/A 78432BAC3 178934.74 PA USD 178511.68 0.0865490165 Long ABS-O CORP US Y 2 2059-09-25 Floating 3.082 N N N N N N SIERRA RECEIVABLES FUNDING CO N/A 82652NAA6 158346.06 PA USD 157765.66 0.0764905843 Long ABS-O CORP US Y 2 2036-08-20 Fixed 2.34 N N N N N N SKY LTD 2138003TS48MQKF4BZ29 111013AK4 365000 PA USD 375161.28 0.1818919626 Long DBT CORP GB Y 2 2022-11-26 Fixed 3.125 N N N N N N SMB PRIVATE EDUCATION LOAN TRU 5493000RGRVHYZAIY180 78448WAB1 140744.83 PA USD 142317.99 0.0690009867 Long ABS-O CORP US Y 2 2034-09-15 Fixed 2.88 N N N N N N SMB PRIVATE EDUCATION LOAN TRU 5493008SQ2WS8HE83M61 78449GAB5 244433.35 PA USD 243626.82 0.1181192271 Long ABS-O CORP US Y 2 2032-02-17 Fixed 2.43 N N N N N N SMB PRIVATE EDUCATION LOAN TRU 549300NWENTZ8X7JUC78 83189DAB6 417147.73 PA USD 420421.8 0.2038359244 Long ABS-O CORP US Y 2 2035-10-15 Fixed 2.82 N N N N N N SMBC AVIATION CAPITAL FI 549300OD7VKRVNWB2J98 78448TAB8 370000 PA USD 376604.61 0.1825917419 Long DBT CORP IE Y 2 2022-07-15 Fixed 3 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BQ2 230000 PA USD 231436.45 0.1122088881 Long DBT CORP GB Y 2 2022-09-10 Fixed 2.744 N N N N N N STARWOOD MORTGAGE RESIDENTIAL N/A 85572JAA5 298204.63 PA USD 296197.09 0.1436072241 Long ABS-O CORP US Y 2 2049-09-27 Floating 2.61 N N N N N N STARWOOD MORTGAGE RESIDENTIAL N/A 85572TAA3 129762.11 PA USD 130513.06 0.0632775233 Long ABS-O CORP US Y 2 2049-02-25 Floating 3.468 N N N N N N STARWOOD MORTGAGE RESIDENTIAL N/A 85572TAB1 176948.33 PA USD 178457.2 0.0865226026 Long ABS-O CORP US Y 2 2049-02-25 Floating 3.651 N N N N N N STATE GRID OVERSEAS INV 3003006V8BHG5158QO96 G8450LAB0 200000 PA USD 199384.62 0.0966689842 Long DBT CORP VG Y 2 2021-05-18 Fixed 2.125 N N N N N N STATE GRID OVERSEAS INV 3003006V8BHG5158QO96 G8450LAG9 200000 PA USD 202115.81 0.0979931654 Long DBT CORP VG Y 2 2022-05-04 Fixed 2.75 N N N N N N State Street Navigator Securities Lending Trust 5493005HD34MZLK62085 638995910 93005 NS USD 93005 0.0450922387 Long STIV RF US N 1 N N SWEDBANK AB M312WZV08Y7LYUC71685 87020PAG2 470000 PA USD 472779.67 0.2292209421 Long DBT CORP SE Y 2 2021-03-10 Fixed 2.65 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAE3 265000 PA USD 265090.83 0.1285257672 Long DBT CORP US N 2 2020-02-03 Fixed 2.7 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAQ6 155000 PA USD 156915.39 0.0760783422 Long DBT CORP US N 2 2022-07-25 Fixed 2.85 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAD6 245000 PA USD 245770.86 0.1191587364 Long DBT CORP NL Y 2 2020-04-24 Fixed 3.698 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAE4 200000 PA USD 203410.12 0.0986206944 Long DBT CORP NL Y 2 2021-04-23 Fixed 3.933 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WAC0 250000 PA USD 250172.5 0.1212928131 Long DBT CORP KY Y 2 2020-02-11 Fixed 2.875 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89172RAA3 142898.18 PA USD 144623.72 0.0701188893 Long ABS-O CORP US Y 2 2055-04-25 Floating 3.5 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89175JAA8 207496.5 PA USD 208175.64 0.1009311934 Long ABS-O CORP US Y 2 2057-10-25 Floating 2.75 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89175MAA1 98058.02 PA USD 101338.96 0.0491328485 Long ABS-O CORP US Y 2 2058-05-25 Floating 3.75 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89175VAA1 216044.37 PA USD 219256.93 0.1063038097 Long ABS-O CORP US Y 2 2058-03-25 Floating 3.25 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89176VAK8 176331.67 PA USD 179483.23 0.0870200596 Long ABS-O CORP US Y 2 2058-07-25 Floating 3.25 N N N N N N TRANSMANTARO 549300NL65DC6HVEJX96 P3083SAC9 300000 PA USD 313503 0.1519977646 Long DBT CORP PE Y 2 2023-05-07 Fixed 4.375 N N N N N N TRUIST BANK IYDOJBGJWY9T8XKCSX06 86787EBA4 225000 PA USD 227649.38 0.1103727776 Long DBT CORP US N 2 2021-10-26 Fixed 3.525 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 9128284H0 8186338.54 PA USD 8313031.13 4.0304627043 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 9128286N5 5549561.37 PA USD 5639279.74 2.7341298638 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 9128287D6 8875849.77 PA USD 8961979.68 4.3450967874 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828B25 22853271.05 PA USD 23337044.4 11.3146559433 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828H45 12935589.22 PA USD 13050503.3 6.3273631483 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828N71 994166.46 PA USD 1024631.02 0.4967787378 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828QV5 3865897.78 PA USD 3909253.63 1.8953496878 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828SA9 17491440.66 PA USD 17482076.97 8.4759527685 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828TE0 19476020.95 PA USD 19557356.32 9.4821243911 Long DBT UST US N 2 2022-07-15 Fixed 0.125 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828UH1 9266355.48 PA USD 9265432.27 4.4922217443 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828VM9 939887.5 PA USD 952871.75 0.461987209 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828WU0 4562611.67 PA USD 4589776.55 2.2252921848 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828X39 16981078.34 PA USD 16956010.19 8.220896279 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828XL9 8124218.57 PA USD 8289706.71 4.0191541691 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912828YL8 8715809.3 PA USD 8765976.63 4.2500673125 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N US 10YR NOTE (CBT)MAR20 N/A ADI1CT4X8 -88 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury 10 Year Note 2020-03-20 -11301125 USD 115748.25 N N N US 10YR ULTRA FUT MAR20 N/A ADI1D4LR6 -47 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury 10 Year Ultra Note 2020-03-20 -6613046.88 USD 78707.93 N N N US 2YR NOTE (CBT) MAR20 N/A ADI1CW635 244 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 2 Year Note 2020-03-31 52582000 USD 22555.49 N N N US 5YR NOTE (CBT) MAR20 N/A ADI1CW4N3 37 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 5 Year Note 2020-03-31 4388546.88 USD -3978.62 N N N VANKE REAL ESTATE HK 25490078APAXS5NZGF08 ACI1220H9 250000 PA USD 258700.66 0.1254275781 Long DBT CORP HK Y 2 2023-04-18 Fixed 4.15 N N N N N N VERUS SECURITIZATION TRUST N/A 92535TAA5 149288.49 PA USD 149619.85 0.0725411966 Long ABS-O CORP US Y 2 2058-06-01 Floating 3.677 N N N N N N VERUS SECURITIZATION TRUST 549300KJ08SBZIO7LD46 92536BAC9 136666.22 PA USD 138322.51 0.0670638314 Long ABS-O CORP US Y 2 2047-01-25 Floating 3.716 N N N N N N VERUS SECURITIZATION TRUST 549300LXNRS6WHH3MM19 92536EAC3 159272.28 PA USD 158852.31 0.0770174321 Long ABS-O CORP US Y 2 2047-07-25 Floating 2.845 N N N N N N VERUS SECURITIZATION TRUST N/A 92537BAA2 195731.02 PA USD 196978.14 0.0955022343 Long ABS-O CORP US Y 2 2058-10-25 Floating 4.108 N N N N N N VERUS SECURITIZATION TRUST N/A 92537DAA8 211766.65 PA USD 212966.88 0.1032541625 Long ABS-O CORP US Y 2 2059-02-25 Floating 3.836 N N N N N N VERUS SECURITIZATION TRUST N/A 92537FAA3 137071.87 PA USD 137930.64 0.0668738384 Long ABS-O CORP US Y 2 2059-12-25 Floating 3.402 N N N N N N VERUS SECURITIZATION TRUST N/A 92537GAA1 178010.14 PA USD 178235.95 0.0864153325 Long ABS-O CORP US Y 2 2059-05-25 Floating 3.211 N N N N N N VERUS SECURITIZATION TRUST N/A 92537HAA9 388216.45 PA USD 390430.25 0.1892949198 Long ABS-O CORP US Y 2 2059-07-25 Floating 2.913 N N N N N N VERUS SECURITIZATION TRUST N/A 92537JAC1 336760.64 PA USD 336436.2 0.163116622 Long ABS-O CORP US Y 2 2059-07-25 Floating 3.04 N N N N N N VERUS SECURITIZATION TRUST N/A 92537KAC8 479648.49 PA USD 477689.27 0.2316012964 Long ABS-O CORP US Y 2 2059-11-25 Fixed 3 N N N N N N VERUS SECURITIZATION TRUST N/A 92537LAA0 246057.7 PA USD 249155.42 0.1207996953 Long ABS-O CORP US Y 2 2058-10-25 Floating 4.148 N N N N N N VERUS SERCURITIZATION TRUST N/A 92537MAE0 466433.43 PA USD 466455.73 0.2261548638 Long ABS-O CORP US Y 2 2059-11-25 Floating 3.1 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AX0 200000 PA USD 201744.48 0.0978131309 Long DBT CORP US Y 2 2021-09-24 Fixed 2.5 N N N N N N VULCAN MATERIALS CO 549300Q8LSNHAVWBNI21 929160AX7 240000 PA USD 240459.78 0.1165837298 Long DBT CORP US N 2 2021-03-01 Floating 2.55688 N N N N N N WALGREEN CO E1OI0SEUGJMPPTKRDD35 931422AH2 331000 PA USD 337916.14 0.1638341512 Long DBT CORP US N 2 2022-09-15 Fixed 3.1 N N N N N N WALGREENS BOOTS ALLIANCE 549300RPTUOIXG4LIH86 931427AF5 100000 PA USD 101896.5 0.0494031643 Long DBT CORP US N 2 2021-11-18 Fixed 3.3 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAA3 110000 PA USD 113107.84 0.0548388336 Long DBT CORP US N 2 2022-03-15 Fixed 3.6 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAD6 110000 PA USD 110645.92 0.0536452044 Long DBT CORP US N 2 2020-03-15 Fixed 5.25 N N N N N N WILLIS TOWERS WATSON PLC 549300WHC56FF48KL350 97063PAB0 315000 PA USD 328333.77 0.1591882665 Long DBT CORP IE N 2 2021-03-15 Fixed 5.75 N N N N N N WORLD OMNI AUTOMOBILE LEASE SE N/A 98162KAE3 480000 PA USD 480010.99 0.2327269515 Long ABS-O CORP US N 2 2022-08-15 Fixed 2.48 N N N N N N WPP FINANCE 2010 549300OJB3S151W7KN44 92936MAC1 440000 PA USD 455379.62 0.220784759 Long DBT CORP GB N 2 2022-09-07 Fixed 3.625 N N N N N N 2020-02-21 MASSMUTUAL SELECT FUNDS /s/ Renee Hitchcock Renee Hitchcock Treasurer and CFO XXXX