NPORT-P false 0000939934 XXXXXXXX S000046099 C000144225 SEI INSTITUTIONAL INVESTMENTS TRUST 811-07257 0000939934 0N2JSH1PTH72JCCP2A88 ONE FREEDOM VALLEY DRIVE OAKS 19456 8003425734 SIIT LIMITED DURATION BOND FUND S000046099 54930044ZQT8QBJWLR55 2020-05-31 2020-05-31 N 1339518012.97 45626508.15 1293891504.82 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 9361.69000000 USD N United States of America 254900HROIFWPRGM1V77 912828ZR4 5190000.00000000 PA USD 5186553.53000000 0.400849183310 Long DBT UST US N 2 2022-05-31 Fixed 0.12500000 N N N N N N Federal National Mortgage Association N/A 3136AGSU7 414223.48000000 PA USD 425129.28000000 0.032856640484 Long DBT USGA US N 2 2030-12-25 Fixed 3.00000000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 06050TMJ8 1000000.00000000 PA USD 1039437.06000000 0.080334174552 Long DBT CORP US N 2 2023-01-25 Fixed 3.33500000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XA6 1150000.00000000 PA USD 1106875.00000000 0.085546198879 Long DBT CORP US N 2 2022-01-09 Fixed 3.21900000 N N N N N N Freddie Mac N/A 3137FARM2 976235.22000000 PA USD 975309.55000000 0.075378000888 Long DBT USGA US N 2 2044-05-25 Floating 2.43000000 N N N N N N NEW YORK LIFE GLOBAL FUNDING 635400DPNHEAUHB7ZI15 64952WDP5 4710000.00000000 PA USD 4766323.97000000 0.368371223726 Long DBT CORP US Y 2 2023-05-05 Fixed 1.10000000 N N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST N/A 22535KAA1 2350000.00000000 PA USD 2333327.22000000 0.180334070616 Long ABS-MBS US N 2 2028-11-15 Fixed 2.38000000 N N N N N N PALMER SQUARE CLO N/A 69703PAA7 500000.00000000 PA USD 486418.00000000 0.037593414763 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 2.84913000 N N N N N N Federal National Mortgage Association N/A 31397U3N7 2037873.97000000 PA USD 2065891.68000000 0.159664985225 Long DBT USGA US N 2 2021-04-25 Fixed 3.76400000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GVU5 5135000.00000000 PA USD 5218737.73000000 0.403336578883 Long DBT CORP US N 2 2021-04-25 Fixed 2.62500000 N N N N N N Freddie Mac N/A 31396EPS9 545490.53000000 PA USD 545920.21000000 0.042192116415 Long DBT USGA US N 2 2035-04-15 Floating 0.48363120 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06416CAC2 13050000.00000000 PA USD 13220563.89000000 1.021767577942 Long DBT NUSS CA N 2 2021-04-26 Fixed 1.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828YK0 23600000.00000000 PA USD 24268359.32000000 1.875610066964 Long DBT UST US N 2 2022-10-15 Fixed 1.37500000 N N N N N N CARMAX AUTO OWNER TRUST N/A 14314XAC3 999261.06000000 PA USD 1013677.30000000 0.078343299745 Long ABS-MBS US N 2 2023-01-17 Fixed 2.98000000 N N N N N N Freddie Mac N/A 3137AQHT8 687353.05000000 PA USD 710468.46000000 0.054909430763 Long DBT USGA US N 2 2027-05-15 Fixed 2.50000000 N N N N N N ANHEUSER-BUSCH INBEV WORLDWIDE INC. 549300CRGMZK3K53BF92 035240AV2 975000.00000000 PA USD 1071434.21000000 0.082807113734 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9127963B3 1000000.00000000 PA USD 999154.72000000 0.077220904247 Long DBT UST US N 2 2020-11-27 None 0.00000000 N N N N N N TREMAN PARK CLO, LTD N/A 89473LAH7 1100000.00000000 PA USD 1080528.90000000 0.083510008062 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 2.88912960 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122BX5 6760000.00000000 PA USD 6900840.68000000 0.533339978993 Long DBT CORP US Y 2 2021-05-14 Fixed 2.55000000 N N N N N N Federal National Mortgage Association N/A 3136A5ZN9 471792.46000000 PA USD 475325.19000000 0.036736093268 Long DBT USGA US N 2 2042-05-25 Floating 0.86825160 N N N N N N PENNSYLVANIA ST UNIV N/A 709235R98 2515000.00000000 PA USD 2539219.45000000 0.196246705426 Long DBT MUN US N 2 2022-09-01 Fixed 1.14000000 N N N N N N PARK PLACE SECURITIES, INC. N/A 70069FLW5 2221692.56000000 PA USD 2193906.74000000 0.169558786948 Long ABS-MBS US N 2 2035-08-25 Floating 0.96725160 N N N N N N CNH EQUIPMENT TRUST N/A 12637BAE1 1275000.00000000 PA USD 1286201.00000000 0.099405629854 Long ABS-MBS US N 2 2023-04-17 Fixed 2.17000000 N N N N N N DNB BOLIGKREDITT AS 5967007LIEEXZX659K67 25600WAF7 6130000.00000000 PA USD 6329408.90000000 0.489176169440 Long DBT NUSS NO Y 2 2022-03-28 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828H45 8000000.00000000 PA USD 8521682.30000000 0.658608721693 Long DBT USGA XX N 2 2023-04-15 Fixed 0.62500000 N N N N N N BAY AREA TOLL AUTH CALIF TOLL BRDG REV N/A 072024WW8 4525000.00000000 PA USD 4583870.25000000 0.354270063055 Long DBT MUN US N 2 2022-04-01 Fixed 2.12800000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GWM2 500000.00000000 PA USD 513675.59000000 0.039700051208 Long DBT CORP US N 2 2023-07-24 Fixed 2.90500000 N N N N N N Federal National Mortgage Association N/A 01F030462 730000.00000000 PA USD 769588.46000000 0.059478592844 Long DBT USGA XX N 2 2031-06-25 Fixed 3.00000000 N N N N N N Freddie Mac N/A 31398LGY8 575828.01000000 PA USD 581945.66000000 0.044976387728 Long DBT USGA US N 2 2032-03-15 Floating 0.83363040 N N N N N N Truist Financial Corporation 549300DRQQI75D2JP341 05531FBJ1 7675000.00000000 PA USD 7929848.91000000 0.612868148562 Long DBT CORP US N 2 2023-03-16 Fixed 2.20000000 N N N N N N Freddie Mac N/A 3137B3LV8 1842926.94000000 PA USD 1888744.68000000 0.145973960951 Long DBT USGA US N 2 2040-06-15 Fixed 3.00000000 N N N N N N COMM COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES N/A 12655GAA5 2925000.00000000 PA USD 2747156.20000000 0.212317353484 Long ABS-MBS US N 2 2034-01-15 Floating 2.06399880 N N N N N N CSMC TRUST N/A 12653VAA4 2925000.00000000 PA USD 2857189.73000000 0.220821430495 Long ABS-MBS US N 2 2036-05-15 Floating 1.79399880 N N N N N N CYRUSONE LP 549300TDXOX1X4TWIB58 23283PAQ7 1430000.00000000 PA USD 1437049.90000000 0.111064173050 Long DBT CORP US N 2 2024-11-15 Fixed 2.90000000 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940NAB6 562812.81000000 PA USD 561057.28000000 0.043362003530 Long ABS-MBS US N 2 2066-07-26 Floating 0.91824840 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000LAX1 698116.89000000 PA USD 701621.51000000 0.054225683327 Long ABS-MBS US N 2 2059-03-15 Fixed 2.78500000 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36192BAY3 557893.06000000 PA USD 569218.12000000 0.043992724110 Long ABS-MBS US N 2 2045-01-10 Fixed 3.48200000 N N N N N N Freddie Mac N/A 3137B4XF8 1246071.58000000 PA USD 1238607.36000000 0.095727296715 Long DBT USGA US N 2 2031-01-15 Fixed 2.50000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PBL9 1585000.00000000 PA USD 1617945.84000000 0.125044938773 Long DBT CORP US N 2 2031-04-22 Fixed 2.52200000 N N N N N N Federal National Mortgage Association N/A 3138MQCX9 435649.87000000 PA USD 456667.10000000 0.035294079781 Long DBT USGA US N 2 2028-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179Q2A8 1350753.59000000 PA USD 1426539.42000000 0.110251857646 Long DBT USGA US N 2 2030-02-20 Fixed 3.00000000 N N N N N N NXP B.V. 724500RKKW4NOJ9YQF60 62947QAT5 430000.00000000 PA USD 452600.78000000 0.034979809227 Long DBT NUSS NL Y 2 2022-06-15 Fixed 4.62500000 N N N N N N CIT MORTGAGE LOAN TRUST N/A 12559QAA0 671648.86000000 PA USD 664463.63000000 0.051353890764 Long ABS-MBS US N 2 2037-10-25 Floating 1.51824960 N N N N N N BP CAPITAL MARKETS AMERICA INC. 5493009NTB34VXE1T760 10373QBL3 770000.00000000 PA USD 863769.60000000 0.066757498351 Long DBT CORP US N 2 2030-04-06 Fixed 3.63300000 N N N N N N Freddie Mac N/A 3137B2CM0 448581.93000000 PA USD 474756.60000000 0.036692149089 Long DBT USGA US N 2 2033-04-15 Fixed 3.00000000 N N N N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 59217GEG0 965000.00000000 PA USD 1042191.25000000 0.080547035521 Long DBT CORP US Y 2 2030-04-09 Fixed 2.95000000 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 539473AH1 1250000.00000000 PA USD 1291996.76000000 0.099853562310 Long DBT NUSS GB N 2 2021-01-21 Fixed 6.37500000 N N N N N N NEW RESIDENTIAL ADVANCE RECEIVABLES TRUST N/A 62942QBQ5 2700000.00000000 PA USD 2627929.98000000 0.203102808095 Long ABS-MBS US N 2 2052-07-15 Fixed 2.59000000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ABE4 770000.00000000 PA USD 833317.10000000 0.064403939348 Long DBT CORP US Y 2 2030-04-15 Fixed 3.87500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000MBM2 770000.00000000 PA USD 776358.58000000 0.060001829914 Long ABS-MBS US N 2 2059-11-15 Fixed 2.50400000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHC6 750000.00000000 PA USD 782988.33000000 0.060514218316 Long DBT CORP US N 2 2023-12-20 Fixed 3.00400000 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63939GAC2 982997.67000000 PA USD 948087.00000000 0.073274072553 Long ABS-MBS US N 2 2040-11-26 Floating 0.73824840 N N N N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 44962LAA5 1500000.00000000 PA USD 1610192.19000000 0.124445688375 Long DBT NUSS BM Y 2 2022-11-01 Fixed 5.00000000 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAT0 585000.00000000 PA USD 600643.63000000 0.046421483390 Long DBT NUSS GB N 2 2021-06-01 Fixed 3.40000000 N N N N N N Fifth Third Bank, National Association QFROUN1UWUYU0DVIWD51 31677QBK4 3020000.00000000 PA USD 3035899.91000000 0.234633267062 Long DBT CORP US N 2 2020-10-30 Fixed 2.20000000 N N N N N N COMM MORTGAGE TRUST N/A 20048EAW1 1369539.91000000 PA USD 1382663.12000000 0.106860823712 Long ABS-MBS US N 2 2046-01-10 Fixed 2.47800000 N N N N N N Government National Mortgage Association 2 N/A 36225FBF5 178116.53000000 PA USD 185124.44000000 0.014307570558 Long DBT USGA US N 2 2041-02-20 Floating 3.99999960 N N N N N N Freddie Mac N/A 3137AQUJ5 413445.30000000 PA USD 413060.84000000 0.031923916221 Long DBT USGA US N 2 2040-10-15 Floating 0.53363160 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89177HAA0 1790820.84000000 PA USD 1761583.90000000 0.136146183311 Long ABS-MBS US N 2 2058-05-25 Floating 1.16825040 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00772BAR2 1000000.00000000 PA USD 941884.42000000 0.072794698511 Long DBT NUSS IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N HARLEY DAVIDSON MOTORCYCLE TRUST N/A 41284UAD6 4805000.00000000 PA USD 4867502.96000000 0.376190966697 Long ABS-MBS US N 2 2024-10-15 Fixed 1.87000000 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46643TBB7 2216924.35000000 PA USD 2290842.15000000 0.177050559607 Long ABS-MBS US N 2 2048-01-15 Fixed 3.28840000 N N N N N N CONAGRA BRANDS, INC. 54930035UDEIH090K650 205887BW1 1100000.00000000 PA USD 1098975.50000000 0.084935676283 Long DBT CORP US N 2 2020-10-09 Floating 1.81987920 N N N N N N UBS COMMERCIAL MORTGAGE TRUST N/A 90276YAA1 1962453.83000000 PA USD 1991258.14000000 0.153896840081 Long ABS-MBS US N 2 2052-04-15 Fixed 2.73870000 N N N N N N Federal National Mortgage Association N/A 01F022675 6400000.00000000 PA USD 6626420.42000000 0.512131070906 Long DBT USGA XX N 2 2043-07-25 Fixed 2.50000000 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 2190000.00000000 PA USD 2113393.91000000 0.163336253629 Long DBT CORP US Y 2 2022-02-15 Floating 1.29237840 N N N N N N Government National Mortgage Association N/A 38375GAN1 1089177.51000000 PA USD 1096981.03000000 0.084781531211 Long DBT USGA US N 2 2039-11-16 Floating 0.85213080 N N N N N N COMM MORTGAGE TRUST N/A 12636FBE2 9713.78000000 PA USD 9710.90000000 0.000750518877 Long ABS-MBS US N 2 2048-10-10 Fixed 1.81100000 N N N N N N Freddie Mac N/A 3137ATRW4 900000.00000000 PA USD 925413.03000000 0.071521686830 Long DBT USGA US N 2 2022-05-25 Fixed 2.37300000 N N N N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 40414LAJ8 105000.00000000 PA USD 110330.61000000 0.008527037204 Long DBT CORP US N 2 2023-11-15 Fixed 4.25000000 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46640UAE2 297432.76000000 PA USD 308481.64000000 0.023841383829 Long ABS-MBS US N 2 2047-01-15 Fixed 3.70500000 N N N N N N NEW YORK LIFE GLOBAL FUNDING 635400DPNHEAUHB7ZI15 64952WCE1 1000000.00000000 PA USD 1014584.39000000 0.078413405314 Long DBT CORP US Y 2 2021-04-13 Fixed 2.00000000 N N N N N N Federal National Mortgage Association N/A 3136A1T39 518893.64000000 PA USD 537155.22000000 0.041514703357 Long DBT USGA US N 2 2026-11-25 Fixed 2.50000000 N N N N N N Freddie Mac N/A 3137FBTF3 413250.67000000 PA USD 423310.51000000 0.032716074603 Long DBT USGA US N 2 2024-10-25 Fixed 2.40400000 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 36962GW75 350000.00000000 PA USD 298667.54000000 0.023082889012 Long DBT CORP US N 2 2026-05-05 Floating 0.92088000 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63939RAA2 750981.08000000 PA USD 713433.15000000 0.055138560485 Long ABS-MBS US N 2 2066-12-27 Floating 1.21825080 N N N N N N CALIFORNIA ST DEPT WTR RES PWR SUPPLY REV N/A 13066YTY5 5844371.11000000 PA USD 5904977.24000000 0.456373445377 Long DBT MUN US N 2 2021-05-01 Fixed 1.71300000 N N N N N N UBS COMMERCIAL MORTGAGE TRUST N/A 90276XAQ8 420593.13000000 PA USD 429693.00000000 0.033209353210 Long ABS-MBS US N 2 2051-06-15 Fixed 3.21120000 N N N N N N USAA CAPITAL CORPORATION N/A 90327QD48 3080000.00000000 PA USD 3136103.83000000 0.242377650546 Long DBT CORP US Y 2 2023-05-01 Fixed 1.50000000 N N N N N N Freddie Mac N/A 3137ACUN7 931252.93000000 PA USD 929314.43000000 0.071823211338 Long DBT USGA US N 2 2040-12-15 Floating 0.53363160 N N N N N N Federal National Mortgage Association N/A 01F022477 5925000.00000000 PA USD 6190366.77000000 0.478430127019 Long DBT USGA US N 2 2168-07-18 Fixed 2.50000000 N N N N N N Government National Mortgage Association N/A 38377JSS3 1324187.63000000 PA USD 1325168.72000000 0.102417298132 Long DBT USGA US N 2 2040-01-20 Floating 0.57075120 N N N N N N Freddie Mac N/A 3137A83L0 1205183.13000000 PA USD 1244255.05000000 0.096163785399 Long DBT USGA US N 2 2038-11-15 Fixed 4.00000000 N N N N N N SLC STUDENT LOAN TRUST N/A 784420AP6 1351700.31000000 PA USD 1329607.71000000 0.102760370946 Long ABS-MBS US N 2 2029-06-15 Floating 0.86050080 N N N N N N HUMANA INC. 529900YLDW34GJAO4J06 444859BD3 1500000.00000000 PA USD 1639018.97000000 0.126673601603 Long DBT CORP US N 2 2024-10-01 Fixed 3.85000000 N N N N N N TRANSPORTATION FINANCE EQUIPMENT TRUST N/A 89389JAC6 5095000.00000000 PA USD 5102977.75000000 0.394389926125 Long ABS-MBS US N 2 2023-04-24 Fixed 1.85000000 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 42217KBA3 500000.00000000 PA USD 516734.27000000 0.039936445063 Long DBT CORP US N 2 2023-03-15 Fixed 3.75000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GGQ1 6905000.00000000 PA USD 7238383.07000000 0.559427358710 Long DBT CORP US N 2 2021-07-27 Fixed 5.25000000 N N N N N N Truist Bank JJKC32MCHWDI71265Z06 86787EBA4 4500000.00000000 PA USD 4542363.23000000 0.351062141847 Long DBT CORP US N 2 2021-10-26 Fixed 3.52500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000HBD3 919020.75000000 PA USD 923200.09000000 0.071350657034 Long ABS-MBS US N 2 2049-10-15 Fixed 2.50100000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BED4 7180000.00000000 PA USD 7374271.20000000 0.569929640354 Long DBT CORP US N 2 2021-11-17 Fixed 2.62500000 N N N N N N Freddie Mac N/A 3132CJAJ2 4773651.05000000 PA USD 5037810.72000000 0.389353411876 Long DBT USGA US N 2 2029-09-01 Fixed 3.00000000 N N N N N N SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY N/A 87166PAE1 8085000.00000000 PA USD 8286924.49000000 0.640465174949 Long ABS-MBS US N 2 2025-03-15 Fixed 2.95000000 N N N N N N AMERIQUEST MORTGAGE SECURITIES INC N/A 03072SPG4 429100.95000000 PA USD 425672.82000000 0.032898648643 Long ABS-MBS US N 2 2034-04-25 Floating 0.94825080 N N N N N N Freddie Mac N/A 3134G3KS8 654560.77000000 PA USD 660645.96000000 0.051058837432 Long ABS-MBS US N 2 2022-01-15 Fixed 2.06000000 N N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST N/A 22534UAA0 919168.22000000 PA USD 920742.20000000 0.071160695975 Long ABS-MBS US N 2 2026-06-15 Fixed 2.65000000 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81745XAD9 295752.22000000 PA USD 298388.47000000 0.023061320743 Long ABS-MBS US N 2 2047-07-25 Floating 3.49999920 N N N N N N KINDER MORGAN, INC. 549300WR7IX8XE0TBO16 49456BAA9 5000000.00000000 PA USD 5087482.60000000 0.393192364355 Long DBT CORP US Y 2 2021-02-15 Fixed 5.00000000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZH9 840000.00000000 PA USD 816900.00000000 0.063135123536 Long DBT CORP US N 2 2021-10-12 Fixed 3.81300000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131AT9 1490000.00000000 PA USD 1529838.07000000 0.118235421154 Long DBT CORP US N 2 2022-12-15 Fixed 2.95000000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAD3 30000.00000000 PA USD 25318.52000000 0.001956773029 Long DBT NUSS KY Y 2 2024-05-15 Fixed 5.25000000 N N N N N N Federal National Mortgage Association N/A 31397LAH2 315333.27000000 PA USD 317543.91000000 0.024541772537 Long DBT USGA US N 2 2038-02-25 Floating 0.81825120 N N N N N N PROTECTIVE LIFE GLOBAL FUNDING 635400EVYITCJYWL2I50 74368CAN4 2090000.00000000 PA USD 2091748.24000000 0.161663341339 Long DBT CORP US Y 2 2020-07-13 Floating 1.68138000 N N N N N N AMERIQUEST MORTGAGE SECURITIES INC N/A 03072SXD2 746432.30000000 PA USD 744795.08000000 0.057562405906 Long ABS-MBS US N 2 2035-01-25 Floating 1.02324960 N N N N N N JFIN CLO LTD N/A 46617NAQ0 644715.72000000 PA USD 637712.82000000 0.049286421436 Long ABS-CBDO CORP KY N 2 2026-07-20 Floating 2.98913040 N N N N N N NXP B.V. 724500RKKW4NOJ9YQF60 62947QAU2 930000.00000000 PA USD 956932.46000000 0.073957704833 Long DBT NUSS NL Y 2 2021-06-01 Fixed 4.12500000 N N N N N N Freddie Mac N/A 3137FJYA1 384923.31000000 PA USD 393891.56000000 0.030442394786 Long DBT USGA US N 2 2023-05-25 Fixed 3.45400000 N N N N N N HSI ASSET SECURITIZATION CORPORATION TRUST N/A 40430HAG3 784219.69000000 PA USD 797385.33000000 0.061626908209 Long ABS-MBS US N 2 2035-07-25 Floating 1.25224920 N N N N N N DRIVE AUTO RECEIVABLES TRUST N/A 26208RAE5 2250000.00000000 PA USD 2273356.58000000 0.175699165774 Long ABS-MBS US N 2 2023-11-15 Fixed 3.17000000 N N N N N N CHESAPEAKE FUNDING LLC 549300LG5AUFDML64706 165183BC7 4395000.00000000 PA USD 4319311.07000000 0.333823280693 Long ABS-MBS US N 2 2029-11-15 Fixed 2.59000000 N N N N N N DBUBS MORTGAGE TRUST N/A 23305XAS0 366206.25000000 PA USD 367143.92000000 0.028375170455 Long ABS-MBS US N 2 2044-07-12 Floating 1.54800000 N N N N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746UDE6 1570000.00000000 PA USD 1693389.88000000 0.130875724409 Long DBT CORP US N 2 2025-03-15 Fixed 3.30000000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922F5T1 1575037.32000000 PA USD 1461981.14000000 0.112991014668 Long ABS-MBS US N 2 2045-11-25 Floating 0.42824880 N N N N N N SLM STUDENT LOAN TRUST N/A 78442GPQ3 1077630.35000000 PA USD 1048783.16000000 0.081056499412 Long ABS-MBS US N 2 2028-10-25 Floating 1.93412880 N N N N N N ENTERPRISE FLEET FINANCING LLC N/A 29374AAB0 1223789.85000000 PA USD 1240557.85000000 0.095878042739 Long ABS-MBS US N 2 2024-10-20 Fixed 2.98000000 N N N N N N Freddie Mac N/A 3137BWVV3 1141485.39000000 PA USD 1181216.50000000 0.091291773351 Long DBT USGA US N 2 2022-08-25 Fixed 2.86400000 N N N N N N Inter-American Development Bank VKU1UKDS9E7LYLMACP54 4581X0CZ9 13000000.00000000 PA USD 13409883.50000000 1.036399377385 Long DBT NUSS XX N 2 2022-09-14 Fixed 1.75000000 N N N N N N SAN FRANCISCO CALIF BAY AREA RAPID TRAN DIST SALES TAX REV N/A 797669XV5 3355000.00000000 PA USD 3416732.00000000 0.264066344610 Long DBT MUN US N 2 2022-07-01 Fixed 2.53700000 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS, INC. UMI46YPGBLUE4VGNNT48 65339KAY6 2000000.00000000 PA USD 1998484.36000000 0.154455327402 Long DBT CORP US N 2 2021-05-04 Floating 1.03613040 N N N N N N U.S. Bank National Association 6BYL5QZYBDK8S7L73M02 90331HNU3 2160000.00000000 PA USD 2164180.68000000 0.167261371756 Long DBT CORP US N 2 2020-07-24 Fixed 3.05000000 N N N N N N Freddie Mac N/A 31398QUF2 54516.44000000 PA USD 55153.48000000 0.004262604692 Long DBT USGA US N 2 2038-04-15 Fixed 4.00000000 N N N N N N CHC COMMERCIAL MORTGAGE SECURITIES INC N/A 162665AA1 2952260.52000000 PA USD 2842295.02000000 0.219670274471 Long ABS-MBS US N 2 2034-06-15 Floating 1.93399920 N N N N N N Freddie Mac N/A 3137ASV27 874413.39000000 PA USD 872009.54000000 0.067394332272 Long DBT USGA US N 2 2032-08-15 Floating 0.58362840 N N N N N N Freddie Mac N/A 3137AGJL5 172341.56000000 PA USD 172129.96000000 0.013303276152 Long DBT USGA US N 2 2039-10-15 Floating 0.53363160 N N N N N N BRAVO MORTGAGE ASSET TRUST N/A 105667AB5 394057.10000000 PA USD 390446.43000000 0.030176133666 Long ABS-MBS US N 2 2036-07-25 Floating 0.40825080 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 369604BW2 1190000.00000000 PA USD 1176549.54000000 0.090931081595 Long DBT CORP US N 2 2030-05-01 Fixed 3.62500000 N N N N N N Freddie Mac N/A 3128MDH30 707587.52000000 PA USD 755393.98000000 0.058381554959 Long DBT USGA US N 2 2026-09-01 Fixed 4.50000000 N N N N N N Federal National Mortgage Association N/A 3136ABY64 423706.73000000 PA USD 428397.63000000 0.033109238943 Long DBT USGA US N 2 2040-02-25 Fixed 2.00000000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 46648UAF1 1267206.08000000 PA USD 1276968.38000000 0.098692075436 Long ABS-MBS US N 2 2048-11-25 Floating 2.99999880 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36252HAA9 669376.05000000 PA USD 669004.28000000 0.051704820497 Long ABS-MBS US N 2 2050-03-10 Fixed 2.04500000 N N N N N N KIMCO REALTY CORPORATION 549300EA7I6T15IBYS12 49446RAN9 1350000.00000000 PA USD 1393900.89000000 0.107729348620 Long DBT CORP US N 2 2022-11-01 Fixed 3.40000000 N N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST N/A 22535KAC7 500000.00000000 PA USD 493302.45000000 0.038125487968 Long ABS-MBS US N 2 2029-01-16 Fixed 2.86000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000CAX1 447245.25000000 PA USD 448638.46000000 0.034673576441 Long ABS-MBS US N 2 2059-01-15 Fixed 2.71100000 N N N N N N Nationwide Building Society 549300XFX12G42QIKN82 63861VAD9 1595000.00000000 PA USD 1641866.54000000 0.126893679561 Long DBT NUSS GB Y 2 2023-04-26 Fixed 3.62200000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZG1 500000.00000000 PA USD 469824.50000000 0.036310965660 Long DBT CORP US N 2 2021-10-12 Floating 2.19138120 N N N N N N Government National Mortgage Association N/A 38376GYM6 1610203.54000000 PA USD 1641517.33000000 0.126866690436 Long DBT USGA US N 2 2044-09-16 Floating 4.28631840 N N N N N N Federal National Mortgage Association N/A 31398SU84 11078.56000000 PA USD 11078.93000000 0.000856248762 Long DBT USGA US N 2 2020-11-25 Floating 0.76825080 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 61763QAA9 1610000.00000000 PA USD 1640364.76000000 0.126777612642 Long ABS-MBS US N 2 2029-07-13 Fixed 3.35000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 17308CC46 7770000.00000000 PA USD 7874208.60000000 0.608567918613 Long DBT CORP US N 2 2022-11-04 Fixed 2.31200000 N N N N N N Government National Mortgage Association 2 N/A 36179MZW3 699952.12000000 PA USD 736930.65000000 0.056954593739 Long DBT USGA US N 2 2028-02-20 Fixed 3.00000000 N N N N N N Federal National Mortgage Association N/A 3136AF4S0 822188.54000000 PA USD 856997.45000000 0.066234104390 Long DBT USGA US N 2 2028-08-25 Fixed 2.50000000 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940JAB5 1832238.44000000 PA USD 1816475.14000000 0.140388520461 Long ABS-MBS US N 2 2066-07-26 Floating 0.76825080 N N N N N N INGERSOLL-RAND COMPANY XRCBIIVYC7OYQ5IGZZ62 456866AG7 750000.00000000 PA USD 812020.50000000 0.062758005364 Long DBT CORP US N 2 2021-08-15 Fixed 9.00000000 N N N N N N Freddie Mac N/A 3137B1UG5 6020000.00000000 PA USD 6284946.22000000 0.485739816405 Long DBT USGA US N 2 2023-01-25 Fixed 2.63700000 N N N N N N PFS FINANCING CORP. N/A 69335PCL7 1250000.00000000 PA USD 1256230.75000000 0.097089342137 Long ABS-MBS US N 2 2022-10-17 Fixed 2.40000000 N N N N N N CWABS ASSET-BACKED CERTIFICATES TRUST N/A 12667NAD0 3092435.63000000 PA USD 2948707.26000000 0.227894475619 Long ABS-MBS US N 2 2036-11-25 Floating 0.40825080 N N N N N N Freddie Mac N/A 3137BCZH4 654228.25000000 PA USD 672785.24000000 0.051997036652 Long DBT USGA US N 2 2033-04-15 Fixed 2.50000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAL7 180000.00000000 PA USD 191080.72000000 0.014767909000 Long DBT NUSS GB N 2 2025-07-09 Fixed 3.87000000 N N N N N N CHEVRON CORPORATION N/A 166764BV1 4605000.00000000 PA USD 4691746.73000000 0.362607429797 Long DBT CORP US N 2 2023-05-11 Fixed 1.14100000 N N N N N N VNDO MORTGAGE TRUST N/A 91830MAA4 800000.00000000 PA USD 802520.16000000 0.062023759875 Long ABS-MBS US N 2 2029-12-13 Fixed 3.80800000 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46642EAZ9 862869.69000000 PA USD 891932.52000000 0.068934104341 Long ABS-MBS US N 2 2047-08-15 Fixed 3.42820000 N N N N N N DRIVE AUTO RECEIVABLES TRUST N/A 26209AAE1 3825000.00000000 PA USD 3843384.48000000 0.297040707484 Long ABS-MBS US N 2 2024-01-16 Fixed 2.23000000 N N N N N N NEW CENTURY HOME EQUITY LOAN TRUST N/A 64352VKU4 57027.30000000 PA USD 57006.34000000 0.004405805261 Long ABS-MBS US N 2 2035-06-25 Floating 0.84324960 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 38148PP84 1000000.00000000 PA USD 1000222.09000000 0.077303397253 Long DBT CORP US N 2 2020-06-05 Fixed 3.20000000 N N N N N N WELLS FARGO BANK, NATIONAL ASSOCIATION KB1H1DSPRFMYMCUFXT09 94988J5T0 1000000.00000000 PA USD 1037829.44000000 0.080209927658 Long DBT CORP US N 2 2021-10-22 Fixed 3.62500000 N N N N N N NEW YORK N Y CITY TRANSITIONAL FIN AUTH BLDG AID REV N/A 64972HV90 5195000.00000000 PA USD 5410956.15000000 0.418192416430 Long DBT MUN US N 2 2022-07-15 Fixed 3.31000000 N N N N N N N/A N/A 80281MAA1 6000000.00000000 PA USD 5999250.00000000 0.463659431849 Long ABS-MBS US N 2 2024-10-15 Fixed 1.37000000 N N N N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAV7 2109000.00000000 PA USD 2173023.55000000 0.167944803865 Long DBT CORP US N 2 2022-08-15 Fixed 2.76400000 N N N N N N COMM MORTGAGE TRUST N/A 12592KAZ7 302109.65000000 PA USD 303071.81000000 0.023423278448 Long ABS-MBS US N 2 2047-09-10 Fixed 3.03100000 N N N N N N NIKE, INC. 787RXPR0UX0O0XUXPZ81 654106AK9 965000.00000000 PA USD 1073720.08000000 0.082983780015 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N FLAGSTAR MORTGAGE TRUST N/A 33851LAD6 273941.12000000 PA USD 274824.31000000 0.021240135589 Long ABS-MBS US N 2 2048-07-25 Floating 3.99999960 N N N N N N Freddie Mac N/A 3128S4JM0 55218.09000000 PA USD 57739.21000000 0.004462446023 Long DBT USGA US N 2 2037-03-01 Floating 3.64100040 N N N N N N PENNSYLVANIA ST UNIV N/A 709235S22 1870000.00000000 PA USD 1896591.40000000 0.146580404379 Long DBT MUN US N 2 2023-09-01 Fixed 1.35300000 N N N N N N SLM STUDENT LOAN TRUST N/A 78446JAA4 483316.48000000 PA USD 482113.12000000 0.037260706806 Long ABS-MBS US N 2 2027-11-25 Floating 0.76825080 N N N N N N DBRR TRUST N/A 23305UAA5 1747839.98000000 PA USD 1768796.93000000 0.136703651226 Long ABS-MBS US N 2 2044-07-12 Floating 4.53700080 N N N N N N SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY N/A 87166PAF8 2460000.00000000 PA USD 2485210.08000000 0.192072524685 Long ABS-MBS US N 2 2025-06-15 Fixed 2.34000000 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST N/A 36256GAF6 2105000.00000000 PA USD 2134037.00000000 0.164931680287 Long ABS-MBS US N 2 2022-07-20 Fixed 3.48000000 N N N N N N Federal National Mortgage Association N/A 31396XJ88 479436.58000000 PA USD 479241.88000000 0.037038799483 Long DBT USGA US N 2 2037-06-25 Floating 0.61824960 N N N N N N Federal National Mortgage Association N/A 31394FUN3 1053640.83000000 PA USD 1049640.58000000 0.081122766173 Long DBT USGA US N 2 2035-10-25 Floating 0.49825080 N N N N N N PFS FINANCING CORP. N/A 69335PCQ6 2500000.00000000 PA USD 2503476.25000000 0.193484248151 Long ABS-MBS US N 2 2023-02-15 Fixed 2.89000000 N N N N N N FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 5493001DTG5N7T8BG747 34528QFU3 6690000.00000000 PA USD 6680353.69000000 0.516299370164 Long ABS-MBS US N 2 2024-09-15 Fixed 2.48000000 N N N N N N PRESTIGE AUTO RECEIVABLES TRUST N/A 74113NAB4 1215295.65000000 PA USD 1220089.87000000 0.094296149673 Long ABS-MBS US N 2 2022-07-15 Fixed 2.44000000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAK1 580000.00000000 PA USD 509687.34000000 0.039391814391 Long DBT NUSS IE N 2 2024-01-16 Fixed 4.87500000 N N N N N N STRUCTURED ASSET SECURITIES CORPORATION N/A 86361EAF8 2117287.71000000 PA USD 2065085.77000000 0.159602699477 Long ABS-MBS US N 2 2036-09-25 Floating 0.73725120 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940TAB3 1010781.52000000 PA USD 998292.40000000 0.077154258782 Long ABS-MBS US N 2 2067-03-25 Floating 0.58825080 N N N N N N Federal National Mortgage Association N/A 31418AM39 312639.58000000 PA USD 327946.32000000 0.025345735618 Long DBT USGA US N 2 2027-12-01 Fixed 2.50000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000DBB6 2155000.00000000 PA USD 2165324.61000000 0.167349781796 Long ABS-MBS US N 2 2049-06-15 Fixed 2.60300000 N N N N N N BANQUE ROYALE DU CANADA ES7IP3U3RHIGC71XBU11 780082AC7 5000000.00000000 PA USD 5029822.45000000 0.388736028582 Long DBT NUSS CA N 2 2020-10-14 Fixed 2.10000000 N N N N N N Federal National Mortgage Association N/A 3138NJAB4 1602009.56000000 PA USD 1618064.61000000 0.125054118059 Long DBT USGA US N 2 2020-12-01 Floating 3.78000000 N N N N N N Federal National Mortgage Association N/A 31417EYB1 613697.00000000 PA USD 645413.50000000 0.049881577983 Long DBT USGA US N 2 2028-02-01 Fixed 2.50000000 N N N N N N MORGAN STANLEY CAPITAL I INC. 3IFG42XD94UUZ7FL2766 617458AG9 170154.50000000 PA USD 172116.96000000 0.013302271431 Long ABS-MBS XX N 2 2047-09-15 Fixed 5.03300000 N N N N N N Federal National Mortgage Association N/A 3136AEEU7 473542.30000000 PA USD 477816.30000000 0.036928621775 Long DBT USGA US N 2 2037-06-25 Fixed 3.00000000 N N N N N N OCEAN TRAILS CLO N/A 67514RAL2 329084.06000000 PA USD 328094.83000000 0.025357213396 Long ABS-CBDO CORP KY N 2 2025-08-13 Floating 1.33350120 N N N N N N AGATE BAY MORTGAGE TRUST N/A 00841XAG5 474942.15000000 PA USD 475831.24000000 0.036775203966 Long ABS-MBS US N 2 2045-03-25 Fixed 3.50000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC N/A 17313CAC3 1116665.52000000 PA USD 1104033.13000000 0.085326561453 Long ABS-MBS US N 2 2037-06-25 Floating 0.41825160 N N N N N N RIVERSIDE CNTY CALIF PENSION OBLIG N/A 76913CAX7 2855000.00000000 PA USD 2901136.80000000 0.224217933976 Long DBT MUN US N 2 2023-02-15 Fixed 2.36300000 N N N N N N HPEFS EQUIPMENT TRUST N/A 40438DAD1 3475000.00000000 PA USD 3458004.82000000 0.267256165383 Long ABS-MBS US N 2 2029-09-20 Fixed 2.32000000 N N N N N N FRESENIUS MEDICAL CARE US FINANCE II, INC. 5493008GJ5TVVTY4UM62 35802XAF0 540000.00000000 PA USD 573438.09000000 0.044318869693 Long DBT CORP US Y 2 2022-01-31 Fixed 5.87500000 N N N N N N CAPITAL ONE MULTI-ASSET EXECUTION TRUST N/A 14041NFU0 6235000.00000000 PA USD 6395768.85000000 0.494304879982 Long ABS-MBS US N 2 2024-08-15 Fixed 1.72000000 N N N N N N Kraft Heinz Foods Company 5493003STKEZ2S0RNU91 50077LAK2 1140000.00000000 PA USD 1195752.11000000 0.092415175889 Long DBT CORP US N 2 2025-07-15 Fixed 3.95000000 N N N N N N PNC BANK, NATIONAL ASSOCIATION AD6GFRVSDT01YPT1CS68 69353RFU7 9975000.00000000 PA USD 9856799.14000000 0.761794872543 Long DBT CORP US N 2 2023-02-24 Floating 0.68450040 N N N N N N Federal National Mortgage Association N/A 3136AHYG9 834134.89000000 PA USD 852816.59000000 0.065910981471 Long DBT USGA US N 2 2028-03-25 Fixed 2.50000000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 46644MAU0 927547.76000000 PA USD 931394.21000000 0.071983949699 Long ABS-MBS US N 2 2045-05-25 Fixed 3.50000000 N N N N N N BANQUE CANADIENNE IMPERIALE DE COMMERCE 2IGI19DL77OX0HC3ZE78 136069VX6 7360000.00000000 PA USD 7404507.17000000 0.572266464569 Long DBT NUSS CA N 2 2020-10-05 Fixed 2.10000000 N N N N N N EFS VOLUNTEER NO 3, LLC N/A 26845CAC1 635755.56000000 PA USD 624487.24000000 0.048264266182 Long ABS-MBS US N 2 2033-04-25 Floating 1.16825040 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HQJ2 4036000.00000000 PA USD 4091375.01000000 0.316206961306 Long DBT CORP US N 2 2021-03-01 Fixed 2.55000000 N N N N N N BOSTON PROPERTIES LIMITED PARTNERSHIP BVHHEFJI6SHNOKQT2572 10112RAS3 1000000.00000000 PA USD 1020773.76000000 0.078891758404 Long DBT CORP US N 2 2021-05-15 Fixed 4.12500000 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81747DAK5 954346.55000000 PA USD 963634.16000000 0.074475653979 Long ABS-MBS US N 2 2048-02-25 Floating 3.99999960 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBK7 2080000.00000000 PA USD 2352303.45000000 0.181800671944 Long DBT CORP US N 2 2030-03-19 Fixed 3.48200000 N N N N N N Federal National Mortgage Association N/A 31398SU76 59196.06000000 PA USD 59545.74000000 0.004602065921 Long DBT USGA US N 2 2020-11-25 Fixed 3.65500000 N N N N N N FREMF MORTGAGE TRUST N/A 30262BAL9 3518000.00000000 PA USD 3537570.63000000 0.273405507094 Long ABS-MBS US N 2 2048-12-25 Floating 4.56722640 N N N N N N CITIBANK CREDIT CARD ISSUANCE TRUST N/A 17305EGR0 3200000.00000000 PA USD 3415398.08000000 0.263963250958 Long ABS-MBS US N 2 2024-12-07 Fixed 3.21000000 N N N N N N MAGNETITE CLO, LIMITED N/A 55953RAL5 745233.66000000 PA USD 733071.45000000 0.056656330710 Long ABS-CBDO CORP KY N 2 2028-01-18 Floating 1.93524840 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST N/A 02587AAN4 6400000.00000000 PA USD 6658419.84000000 0.514604185528 Long ABS-MBS US N 2 2024-11-15 Fixed 2.67000000 N N N N N N SEI Daily Income Trust: Government Fund; Class F Shares N/A 783965593 7676946.13000000 NS USD 7676946.13000000 0.593322245443 Long STIV RF XX N 2 N N N DRIVETIME AUTO OWNER TRUST N/A 23343JAC0 3260000.00000000 PA USD 3288673.98000000 0.254169222670 Long ABS-MBS US N 2 2024-01-16 Fixed 2.36000000 N N N N N N CNH EQUIPMENT TRUST N/A 12597PAC2 8835000.00000000 PA USD 8850383.50000000 0.684012799143 Long ABS-MBS US N 2 2025-06-16 Fixed 1.16000000 N N N N N N FRANKLIN CNTY WASH PUB UTIL DIST NO 001 ELEC REV N/A 353406SD4 1000000.00000000 PA USD 1006660.00000000 0.077800959064 Long DBT MUN US N 2 2021-09-01 Fixed 1.98000000 N N N N N N SYNCHRONY CREDIT CARD MASTER NOTE TRUST N/A 87165LBB6 7946000.00000000 PA USD 8030148.93000000 0.620619959253 Long ABS-MBS US N 2 2024-05-15 Fixed 2.21000000 N N N N N N SLM STUDENT LOAN TRUST N/A 78442GPG5 1361724.25000000 PA USD 1337978.09000000 0.103407286083 Long ABS-MBS US N 2 2027-01-25 Floating 1.91413080 N N N N N N AEGIS ASSET BACKED SECURITIES TRUST N/A 00764MHD2 444474.60000000 PA USD 441741.70000000 0.034140551843 Long ABS-MBS US N 2 2035-12-25 Floating 0.41825160 N N N N N N MORGAN STANLEY CAPITAL I INC. 3IFG42XD94UUZ7FL2766 61760RBB7 1206526.62000000 PA USD 1229995.86000000 0.095061746322 Long ABS-MBS US N 2 2049-07-15 Fixed 4.11800000 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36198FAF9 815235.93000000 PA USD 841404.19000000 0.065028960068 Long ABS-MBS US N 2 2046-08-10 Fixed 3.81700000 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36191YBA5 1408218.58000000 PA USD 1417678.71000000 0.109567046751 Long ABS-MBS US N 2 2044-08-10 Fixed 3.81700000 N N N N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636QAP9 610000.00000000 PA USD 704712.36000000 0.054464563479 Long DBT CORP US N 2 2030-03-26 Fixed 3.35000000 N N N N N N Saudi Arabian Oil Company 5586006WD91QHB7J4X50 80414L2C8 9270000.00000000 PA USD 9599232.49000000 0.741888516482 Long DBT NUSS SA Y 2 2024-04-16 Fixed 2.87500000 N N N N N N OPTION ONE MORTGAGE LOAN TRUST N/A 68389FJH8 1005144.71000000 PA USD 1000275.49000000 0.077307524338 Long ABS-MBS US N 2 2035-11-25 Floating 1.14725160 N N N N N N Freddie Mac N/A 3137BQBY2 3919165.93000000 PA USD 3998615.26000000 0.309037909678 Long DBT USGA US N 2 2022-05-25 Fixed 2.18300000 N N N N N N BARINGS CLO LTD N/A 06760PAC5 800000.00000000 PA USD 785904.00000000 0.060739559466 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 2.76913080 N N N N N N LG&E AND KU ENERGY LLC N/A 50188FAD7 1000000.00000000 PA USD 1004760.19000000 0.077654129906 Long DBT CORP US N 2 2020-11-15 Fixed 3.75000000 N N N N N N Freddie Mac N/A 3137AWVA0 4483859.66000000 PA USD 4549819.93000000 0.351638442098 Long DBT USGA US N 2 2027-12-15 Fixed 1.50000000 N N N N N N Government National Mortgage Association N/A 38378WUY7 1116690.03000000 PA USD 1133813.69000000 0.087628188745 Long DBT USGA US N 2 2041-06-20 Fixed 2.50000000 N N N N N N COMM MORTGAGE TRUST N/A 12624KAD8 1000000.00000000 PA USD 1026585.50000000 0.079340925894 Long ABS-MBS US N 2 2045-08-15 Fixed 3.14700000 N N N N N N Freddie Mac N/A 3137B4HD1 291543.92000000 PA USD 308810.75000000 0.023866819501 Long DBT USGA US N 2 2042-12-15 Fixed 4.50000000 N N N N N N RESIDENTIAL ASSET SECURITIES CORPORATION N/A 75406WAD3 1740784.23000000 PA USD 1708955.91000000 0.132078764226 Long ABS-MBS US N 2 2036-08-25 Floating 0.73725120 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCK6 1200000.00000000 PA USD 977580.00000000 0.075553475415 Long DBT NUSS MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC N/A 17319TAE6 555334.64000000 PA USD 555087.13000000 0.042900593127 Long ABS-MBS US N 2 2037-09-25 Floating 4.13519040 N N N N N N Federal National Mortgage Association N/A 3136AY2G7 1590085.29000000 PA USD 1727260.52000000 0.133493458575 Long DBT USGA US N 2 2027-11-25 Floating 2.97168120 N N N N N N Federal National Mortgage Association N/A 3136ATMA9 380686.08000000 PA USD 379685.60000000 0.029344469654 Long DBT USGA US N 2 2046-08-25 Floating 0.56824920 N N N N N N Freddie Mac N/A 3137AYSH5 435156.42000000 PA USD 440819.98000000 0.034069315576 Long DBT USGA US N 2 2042-12-15 Fixed 1.75000000 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 61763QAA9 2375000.00000000 PA USD 2419792.74000000 0.187016664920 Long ABS-MBS US N 2 2029-07-13 Fixed 3.35000000 N N N N N N Federal National Mortgage Association N/A 3138L2GH4 1671880.85000000 PA USD 1693736.43000000 0.130902507952 Long DBT USGA US N 2 2021-07-01 Fixed 1.87000000 N N N N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 40414LAG4 585000.00000000 PA USD 589206.09000000 0.045537519011 Long DBT CORP US N 2 2022-08-01 Fixed 3.15000000 N N N N N N Federal National Mortgage Association N/A 3136B9AC1 4680400.05000000 PA USD 4690522.82000000 0.362512838404 Long DBT USGA US N 2 2050-03-25 Floating 0.66825000 N N N N N N Freddie Mac N/A 31396H5M7 701376.41000000 PA USD 699747.39000000 0.054080839652 Long DBT USGA US N 2 2036-01-15 Floating 0.48363120 N N N N N N SLM STUDENT LOAN TRUST N/A 78446CAA9 1280890.79000000 PA USD 1203517.17000000 0.093015308124 Long ABS-MBS US N 2 2043-06-25 Floating 0.61824960 N N N N N N SLM STUDENT LOAN TRUST N/A 78442GJS6 657227.37000000 PA USD 651179.24000000 0.050327190307 Long ABS-MBS US N 2 2025-12-15 Floating 2.44362960 N N N N N N BARINGS CLO LTD N/A 06760EAA4 945523.02000000 PA USD 932658.23000000 0.072081641043 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 2.61912960 N N N N N N Federal National Mortgage Association N/A 3136AG4N9 762096.22000000 PA USD 791556.04000000 0.061176384345 Long DBT USGA US N 2 2033-04-25 Fixed 2.50000000 N N N N N N NEXTGEAR FLOORPLAN MASTER OWNER TRUST N/A 65341KAX4 1065000.00000000 PA USD 1062313.75000000 0.082102227740 Long ABS-MBS US N 2 2022-10-17 Fixed 2.56000000 N N N N N N Freddie Mac N/A 3137A3WT2 548270.80000000 PA USD 575713.78000000 0.044494749200 Long DBT USGA US N 2 2025-12-15 Fixed 3.50000000 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 61764JAA4 390000.00000000 PA USD 398713.58000000 0.030815070546 Long ABS-MBS US N 2 2033-08-11 Fixed 3.46900000 N N N N N N FLAGSTAR MORTGAGE TRUST N/A 33849NAG0 241268.31000000 PA USD 242176.49000000 0.018716908573 Long ABS-MBS US N 2 2048-09-25 Floating 3.99999960 N N N N N N BCAP LLC TRUST N/A 05490MAC1 673381.29000000 PA USD 666515.49000000 0.051512471294 Long ABS-MBS US N 2 2036-08-26 Floating 2.10002040 N N N N N N Freddie Mac N/A 3131X6L73 282256.51000000 PA USD 299602.11000000 0.023155118407 Long DBT USGA US N 2 2026-03-01 Fixed 4.00000000 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36250SAA7 1260623.28000000 PA USD 1295146.96000000 0.100097029401 Long ABS-MBS US N 2 2051-07-10 Fixed 3.19900000 N N N N N N Freddie Mac N/A 31395V3H0 1254474.08000000 PA USD 1253059.28000000 0.096844231168 Long DBT USGA US N 2 2034-10-15 Floating 0.55362960 N N N N N N Federal National Mortgage Association N/A 31395DAM1 195680.43000000 PA USD 194368.92000000 0.015022041591 Long DBT USGA US N 2 2036-05-25 Floating 0.46824840 N N N N N N CONSTELLATION BRANDS, INC. 5493005GKEG8QCVY7037 21036PBA5 665000.00000000 PA USD 660718.56000000 0.051064448413 Long DBT CORP US N 2 2021-11-15 Floating 1.09238040 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST N/A 36255PAF7 1400000.00000000 PA USD 1425150.30000000 0.110144497795 Long ABS-MBS US N 2 2023-07-17 Fixed 2.57000000 N N N N N N Freddie Mac N/A 31394RY37 305736.29000000 PA USD 303410.03000000 0.023449418198 Long DBT USGA US N 2 2033-12-15 Floating 0.53363160 N N N N N N SLM STUDENT LOAN TRUST N/A 78442GJG2 1361552.53000000 PA USD 1350509.79000000 0.104375813966 Long ABS-MBS US N 2 2027-12-15 Floating 1.21050000 N N N N N N GS MORTGAGE SECURITIES CORP. N/A 362341JK6 2078915.93000000 PA USD 2054989.69000000 0.158822411488 Long ABS-MBS US N 2 2035-06-25 Floating 0.81825120 N N N N N N United States of America 254900HROIFWPRGM1V77 912810FD5 22270000.00000000 PA USD 23575074.89000000 1.822028725142 Long DBT USGA XX N 2 2024-04-15 Fixed 0.50000000 N N N N N N CORE MORTGAGE TRUST N/A 21871FAA6 500000.00000000 PA USD 481164.45000000 0.037187387675 Long ABS-MBS US N 2 2031-12-15 Floating 1.06363080 N N N N N N HOUSTON TEX UTIL SYS REV N/A 4424354Z3 2225000.00000000 PA USD 2351001.75000000 0.181700068455 Long DBT MUN US N 2 2023-05-15 Fixed 3.42800000 N N N N N N CITIBANK NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 17325FAQ1 250000.00000000 PA USD 257680.70000000 0.019915170556 Long DBT CORP US N 2 2021-07-23 Fixed 3.40000000 N N N N N N SLM STUDENT LOAN TRUST N/A 83149VAA7 41929.65000000 PA USD 41920.71000000 0.003239893750 Long ABS-MBS US N 2 2026-03-25 Floating 0.68825160 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST N/A 86358ENX0 47931.51000000 PA USD 47922.27000000 0.003703731713 Long ABS-MBS US N 2 2034-11-25 Floating 1.22825160 N N N N N N NATIONAL SECURITIES CLEARING CORPORATION 549300RYC9NELN2ICA34 637639AA3 7290000.00000000 PA USD 7333702.53000000 0.566794240682 Long DBT CORP US Y 2 2023-04-23 Fixed 1.20000000 N N N N N N PARK AEROSPACE HOLDINGS LIMITED 635400CPI3EOIFF6OC33 70014LAA8 425000.00000000 PA USD 375016.67000000 0.028983625644 Long DBT NUSS KY Y 2 2022-08-15 Fixed 5.25000000 N N N N N N SLM STUDENT LOAN TRUST N/A 78443KAE6 331987.57000000 PA USD 331252.28000000 0.025601240812 Long ABS-MBS US N 2 2026-01-26 Floating 1.09137960 N N N N N N CARMAX AUTO OWNER TRUST N/A 14315XAC2 2510000.00000000 PA USD 2578853.57000000 0.199309877249 Long ABS-MBS US N 2 2024-12-16 Fixed 1.89000000 N N N N N N SPRINT SPECTRUM CO LLC N/A 85208NAD2 635000.00000000 PA USD 673100.00000000 0.052021363266 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N Government National Mortgage Association N/A 38378B6A2 1142258.58000000 PA USD 1154478.80000000 0.089225317246 Long DBT USGA US N 2 2052-11-16 Fixed 1.82600000 N N N N N N NXP B.V. 724500RKKW4NOJ9YQF60 62947QAV0 620000.00000000 PA USD 668488.50000000 0.051664957804 Long DBT NUSS NL Y 2 2023-06-01 Fixed 4.62500000 N N N N N N DIGITAL REALTY TRUST, L.P. CD4SPTZ3YBTHY0C1AH38 25389JAL0 500000.00000000 PA USD 522822.83000000 0.040407006928 Long DBT CORP US N 2 2022-07-01 Fixed 3.95000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967LC3 9200000.00000000 PA USD 9451679.71000000 0.730484717983 Long DBT CORP US N 2 2021-12-08 Fixed 2.90000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796TJ8 382000.00000000 PA USD 381825.85000000 0.029509881514 Long DBT UST US N 2 2020-09-10 None 0.00000000 N N N N N N PHOENIX ARIZ CIVIC IMPT CORP RENT CAR FAC CHARGE REV N/A 718846BE7 3500000.00000000 PA USD 3521385.00000000 0.272154580726 Long DBT MUN US N 2 2021-07-01 Fixed 2.10700000 N N N N N N Federal National Mortgage Association N/A 3136A8JF8 195686.59000000 PA USD 195838.99000000 0.015135657763 Long DBT USGA US N 2 2040-07-25 Floating 0.41825160 N N N N N N CITIBANK CREDIT CARD ISSUANCE TRUST N/A 17305EGK5 2100000.00000000 PA USD 2127673.17000000 0.164439843841 Long ABS-MBS US N 2 2023-01-20 Fixed 2.49000000 N N N N N N COMM MORTGAGE TRUST N/A 12626LAC6 307505.49000000 PA USD 318005.70000000 0.024577462547 Long ABS-MBS US N 2 2050-08-10 Fixed 3.66000000 N N N N N N Government National Mortgage Association 2 N/A 36202F4K9 301042.40000000 PA USD 316925.06000000 0.024493943952 Long DBT USGA US N 2 2027-03-20 Fixed 3.00000000 N N N N N N BARINGS BDC STATIC CLO LTD N/A 06761QAA6 1149433.00000000 PA USD 1130340.92000000 0.087359791434 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.23887960 N N N N N N WELLS FARGO BANK, NATIONAL ASSOCIATION KB1H1DSPRFMYMCUFXT09 94988J5P8 1445000.00000000 PA USD 1449922.87000000 0.112059076406 Long DBT CORP US N 2 2021-07-23 Fixed 3.32500000 N N N N N N HSI ASSET SECURITIZATION CORPORATION TRUST N/A 40430HDE5 3168000.00000000 PA USD 2977049.12000000 0.230084911208 Long ABS-MBS US N 2 2035-12-25 Floating 0.84724920 N N N N N N Freddie Mac N/A 31397R4V5 105695.45000000 PA USD 105744.99000000 0.008172631909 Long DBT USGA US N 2 2037-08-15 Floating 0.75363120 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST N/A 36256BAC4 1672505.48000000 PA USD 1739931.03000000 0.134472714560 Long ABS-MBS US N 2 2057-10-25 Fixed 3.75000000 N N N N N N ONCOR ELECTRIC DELIVERY COMPANY LLC 549300SP2X2BS1KERD24 68233JAM6 500000.00000000 PA USD 507532.30000000 0.039225259467 Long DBT CORP US N 2 2020-09-30 Fixed 5.75000000 N N N N N N Federal National Mortgage Association N/A 31381RWZ3 2695000.00000000 PA USD 2765173.11000000 0.213709812584 Long DBT USGA US N 2 2021-07-01 Fixed 4.16000000 N N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST N/A 22534BAA2 862878.88000000 PA USD 866257.83000000 0.066949804274 Long ABS-MBS US N 2 2027-02-16 Fixed 3.01000000 N N N N N N Federal National Mortgage Association N/A 3136ATTD6 811621.44000000 PA USD 809934.08000000 0.062596753822 Long DBT USGA US N 2 2023-09-25 Floating 1.33999920 N N N N N N Federal National Mortgage Association N/A 31412PPE5 365920.29000000 PA USD 388290.85000000 0.030009537009 Long DBT USGA US N 2 2024-05-01 Fixed 4.50000000 N N N N N N AGATE BAY MORTGAGE TRUST N/A 00842BAE7 1318292.03000000 PA USD 1331977.62000000 0.102943532362 Long ABS-MBS US N 2 2045-07-25 Floating 3.49999920 N N N N N N UBS AG LONDON BRANCH N/A 902674XK1 6840000.00000000 PA USD 6900649.66000000 0.533325215776 Long DBT NUSS CH Y 2 2020-12-01 Fixed 2.45000000 N N N N N N Freddie Mac N/A 3137AASA2 196659.98000000 PA USD 196895.93000000 0.015217344674 Long DBT USGA US N 2 2040-04-15 Floating 0.53363160 N N N N N N Freddie Mac N/A 3137B04Y7 1500000.00000000 PA USD 1567635.60000000 0.121156649855 Long DBT USGA US N 2 2023-01-25 Fixed 2.61500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747WAF6 6943000.00000000 PA USD 7172442.82000000 0.554331085201 Long DBT CORP US N 2 2021-01-25 Fixed 5.75000000 N N N N N N STRUCTURED ASSET SECURITIES CORPORATION N/A 86359DDB0 597371.64000000 PA USD 576657.78000000 0.044567707404 Long ABS-MBS US N 2 2035-05-25 Floating 1.05725160 N N N N N N DELL EQUIPMENT FINANCE TRUST N/A 24704BAC8 1863419.01000000 PA USD 1873104.32000000 0.144765176448 Long ABS-MBS US N 2 2021-08-23 Fixed 2.78000000 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 61764JAA4 2500000.00000000 PA USD 2555856.25000000 0.197532501023 Long ABS-MBS US N 2 2033-08-11 Fixed 3.46900000 N N N N N N COMM MORTGAGE TRUST N/A 12625UBA0 1018596.82000000 PA USD 1054317.28000000 0.081484210698 Long ABS-MBS US N 2 2045-07-10 Fixed 3.83400000 N N N N N N PALMER SQUARE LOAN FUNDING LTD. N/A 69701FAA1 1000000.00000000 PA USD 990756.00000000 0.076571798818 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 2.10899880 N N N N N N Federal National Mortgage Association N/A 3136A4JW0 2764157.29000000 PA USD 2834311.60000000 0.219053266015 Long DBT USGA US N 2 2031-01-25 Fixed 2.00000000 N N N N N N United States of America N/A N/A -54.00000000 NC USD -6783750.00000000 -0.52429048144 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Sep 2020 2020-10-03 -6772461.22000000 USD -11288.78000000 N N N SLM STUDENT LOAN TRUST N/A 78443HAE3 399718.24000000 PA USD 397222.36000000 0.030699819770 Long ABS-MBS US N 2 2025-01-27 Floating 1.90413000 N N N N N N CHESAPEAKE FUNDING LLC 549300LG5AUFDML64706 165183BY9 4713476.00000000 PA USD 4751191.35000000 0.367201680535 Long ABS-MBS US N 2 2031-04-15 Fixed 2.94000000 N N N N N N Freddie Mac N/A 3137B2JG6 2401295.96000000 PA USD 2446205.72000000 0.189058024640 Long DBT USGA US N 2 2032-05-15 Fixed 1.50000000 N N N N N N TIDEWATER AUTO RECEIVABLES TRUST N/A 88641WAB5 7460000.00000000 PA USD 7411592.81000000 0.572814086991 Long ABS-MBS US N 2 2024-08-15 Fixed 1.39000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RJX1 2000000.00000000 PA USD 2029210.82000000 0.156830059741 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2B8 9580000.00000000 PA USD 9883185.83000000 0.763834200408 Long DBT CORP US N 2 2022-07-22 Fixed 2.62500000 N N N N N N MORGAN STANLEY CAPITAL BARCLAYS BANK TRUST N/A 61691BAA9 900000.00000000 PA USD 895088.70000000 0.069178033603 Long ABS-MBS US N 2 2031-09-13 Fixed 2.20040000 N N N N N N N/A N/A 95002RAS7 2065000.00000000 PA USD 2064956.64000000 0.159592719506 Long ABS-MBS US N 2 2053-06-15 Fixed 1.34100000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 056059AA6 435924.35000000 PA USD 424993.29000000 0.032846130329 Long ABS-MBS US N 2 2035-11-15 Floating 1.56399840 N N N N N N SLM STUDENT LOAN TRUST N/A 83149EAE7 345314.30000000 PA USD 344578.71000000 0.026631190383 Long ABS-MBS US N 2 2027-01-25 Floating 1.90413000 N N N N N N REGENCY ENERGY PARTNERS LP N/A 75886AAL2 250000.00000000 PA USD 263372.00000000 0.020355029692 Long DBT CORP US N 2 2022-03-01 Fixed 5.87500000 N N N N N N Federal National Mortgage Association N/A 3138ERT83 2045990.75000000 PA USD 2219403.67000000 0.171529348614 Long DBT USGA US N 2 2026-01-01 Floating 2.91800160 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XBM7 445000.00000000 PA USD 445104.66000000 0.034400462352 Long DBT CORP US N 2 2021-07-06 Fixed 3.20000000 N N N N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 247367AX3 292182.91000000 PA USD 284698.09000000 0.022003242848 Long DBT CORP US N 2 2023-01-02 Fixed 6.71800000 N N N N N N Federal National Mortgage Association N/A 3136A9WT1 4378576.17000000 PA USD 4415550.18000000 0.341261238948 Long DBT USGA US N 2 2039-08-25 Fixed 1.75000000 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940HAB9 155764.84000000 PA USD 155755.82000000 0.012037780557 Long ABS-MBS US N 2 2065-06-25 Floating 1.01824920 N N N N N N Freddie Mac N/A 3137A85H7 274643.29000000 PA USD 285070.29000000 0.022032008784 Long DBT USGA US N 2 2039-12-15 Fixed 3.50000000 N N N N N N WELLS FARGO BANK, NATIONAL ASSOCIATION KB1H1DSPRFMYMCUFXT09 94988J6A0 1225000.00000000 PA USD 1239693.57000000 0.095811245794 Long DBT CORP US N 2 2022-09-09 Fixed 2.08200000 N N N N N N Freddie Mac N/A 3137A3PD5 156132.49000000 PA USD 156264.03000000 0.012077058193 Long DBT USGA US N 2 2040-03-15 Floating 0.63362880 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397VR1 1000000.00000000 PA USD 1000000.00000000 0.077286232754 Long DBT CORP US N 2 2021-02-01 Fixed 5.75000000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YP2 955000.00000000 PA USD 869441.41000000 0.067195851179 Long DBT CORP US N 2 2022-08-03 Floating 1.63613160 N N N N N N FLATIRON CLO LTD N/A 33883EAL6 718599.28000000 PA USD 710808.23000000 0.054935690307 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.10888000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HJE1 12000000.00000000 PA USD 12628564.32000000 0.976014161384 Long DBT CORP US N 2 2022-09-23 Fixed 3.25000000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST N/A 61763BAS3 391531.05000000 PA USD 402907.14000000 0.031139175000 Long ABS-MBS US N 2 2046-11-15 Fixed 3.55700000 N N N N N N DIGITAL REALTY TRUST, L.P. CD4SPTZ3YBTHY0C1AH38 25389JAK2 460000.00000000 PA USD 477479.82000000 0.036902616503 Long DBT CORP US N 2 2022-10-01 Fixed 3.62500000 N N N N N N Federal National Mortgage Association N/A 31395NXU6 892638.00000000 PA USD 893059.68000000 0.069021218291 Long DBT USGA US N 2 2036-07-25 Floating 0.59825160 N N N N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 06367XF30 14800000.00000000 PA USD 14988394.82000000 1.158396570668 Long DBT NUSS CA Y 2 2021-06-15 Fixed 1.75000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XBF2 1000000.00000000 PA USD 1010018.35000000 0.078060513283 Long DBT CORP US N 2 2021-03-01 Fixed 4.20000000 N N N N N N American Airlines Pass Through Trust N/A 023767AA4 403893.64000000 PA USD 332724.15000000 0.025714996099 Long DBT CORP US N 2 2021-01-31 Fixed 5.25000000 N N N N N N EVERGREEN CREDIT CARD TRUST N/A 30023JBH0 3795000.00000000 PA USD 3800009.02000000 0.293688381587 Long ABS-MBS CA N 2 2024-09-15 Fixed 1.90000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAE3 1865000.00000000 PA USD 2011577.96000000 0.155467282419 Long DBT CORP US Y 2 2023-12-15 Fixed 3.87500000 N N N N N N Government National Mortgage Association N/A 38377RSZ9 1841.39000000 PA USD 1841.30000000 0.000142307140 Long DBT USGA US N 2 2039-06-16 Fixed 4.50000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000FAR7 1085000.00000000 PA USD 1092855.51000000 0.084462685312 Long ABS-MBS US N 2 2048-07-15 Fixed 2.49500000 N N N N N N Federal National Mortgage Association N/A 3136A9EW4 1105271.98000000 PA USD 1101671.56000000 0.085144044604 Long DBT USGA US N 2 2042-05-25 Floating 0.51824880 N N N N N N Freddie Mac N/A 3137BJSY0 743817.63000000 PA USD 783357.26000000 0.060542731525 Long DBT USGA US N 2 2034-04-15 Fixed 3.00000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 056059AA6 1208820.85000000 PA USD 1178508.94000000 0.091082516239 Long ABS-MBS US N 2 2035-11-15 Floating 1.56399840 N N N N N N Freddie Mac N/A 3137BDKF2 861186.65000000 PA USD 886047.99000000 0.068479311186 Long DBT USGA US N 2 2040-09-15 Fixed 3.50000000 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46638UAD8 768184.09000000 PA USD 776133.03000000 0.059984398004 Long ABS-MBS US N 2 2045-10-15 Fixed 2.37910000 N N N N N N STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 857477BH5 3965000.00000000 PA USD 4099424.76000000 0.316829096159 Long DBT CORP US Y 2 2023-03-30 Fixed 2.82500000 N N N N N N OPTION ONE MORTGAGE LOAN TRUST N/A 68389FKL7 402459.23000000 PA USD 395864.13000000 0.030594847290 Long ABS-MBS US N 2 2036-01-25 Floating 0.38824920 N N N N N N MERRILL LYNCH MORTGAGE TRUST N/A 59020UAR6 431274.12000000 PA USD 400687.04000000 0.030967591834 Long ABS-MBS US N 2 2029-04-25 Floating 0.62825040 N N N N N N Federal National Mortgage Association N/A 3138L5CS7 1361375.06000000 PA USD 1453364.93000000 0.112325100256 Long DBT USGA US N 2 2023-10-01 Fixed 3.43000000 N N N N N N Federal National Mortgage Association N/A 3136B72K6 1089112.52000000 PA USD 1092093.31000000 0.084403777745 Long DBT USGA US N 2 2050-01-25 Floating 0.66825000 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAF2 1615000.00000000 PA USD 1661964.80000000 0.128446998361 Long DBT NUSS GB N 2 2023-01-10 Fixed 3.57100000 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST N/A 96221TBC0 1369381.85000000 PA USD 1366837.40000000 0.105637713433 Long ABS-MBS US N 2 2047-03-15 Floating 1.50075000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796SZ3 1085000.00000000 PA USD 1084820.29000000 0.083841673429 Long DBT UST US N 2 2020-07-16 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9127962Z1 15000000.00000000 PA USD 14988639.60000000 1.158415488792 Long DBT UST US N 2 2020-11-12 None 0.00000000 N N N N N N DAIMLER TRUCKS RETAIL TRUST N/A 233871AB8 237562.85000000 PA USD 238031.44000000 0.018396553274 Long ABS-MBS US N 2 2021-04-15 Fixed 2.77000000 N N N N N N SPRINT SPECTRUM CO LLC N/A 85208NAA8 1192500.00000000 PA USD 1197711.23000000 0.092566588893 Long DBT CORP US N 2 2021-09-20 Fixed 3.36000000 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAC7 1000000.00000000 PA USD 1001439.60000000 0.077397494014 Long DBT CORP US N 2 2053-08-15 Fixed 2.28600000 N N N N N N Federal National Mortgage Association N/A 3136B8QE2 3829972.20000000 PA USD 4117491.28000000 0.318225389428 Long DBT USGA US N 2 2027-09-25 Fixed 6.50000000 N N N N N N ASSET BACKED FUNDING CORPORATION N/A 04542BNL2 1444361.02000000 PA USD 1434013.18000000 0.110829476401 Long ABS-MBS US N 2 2035-06-25 Floating 1.26725040 N N N N N N FORD CREDIT AUTO OWNER TRUST N/A 34529SAA7 4385000.00000000 PA USD 4427196.42000000 0.342161332963 Long ABS-MBS US N 2 2029-03-15 Fixed 2.36000000 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36198EAF2 635272.74000000 PA USD 654131.83000000 0.050555384865 Long ABS-MBS US N 2 2046-07-10 Floating 3.71900160 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46636VAC0 705891.86000000 PA USD 722349.02000000 0.055827634489 Long ABS-MBS US N 2 2046-08-15 Fixed 4.17120000 N N N N N N J.P. MORGAN MORTGAGE ACQUISITION CORPORATION N/A 46630XAE8 212551.70000000 PA USD 211970.39000000 0.016382392898 Long ABS-MBS US N 2 2037-03-25 Floating 0.37824840 N N N N N N CITIBANK CREDIT CARD ISSUANCE TRUST N/A 17305EGK5 2500000.00000000 PA USD 2532944.25000000 0.195761718858 Long ABS-MBS US N 2 2023-01-20 Fixed 2.49000000 N N N N N N Freddie Mac N/A 3137ASS62 319756.99000000 PA USD 320036.46000000 0.024734412337 Long DBT USGA US N 2 2039-04-15 Floating 0.58362840 N N N N N N DELL INTERNATIONAL L.L.C. N/A 25272KAD5 3900000.00000000 PA USD 3973087.48000000 0.307064963731 Long DBT CORP US Y 2 2021-06-15 Fixed 4.42000000 N N N N N N KUBOTA CREDIT OWNER TRUST N/A 50117WAA2 1178342.37000000 PA USD 1180816.42000000 0.091260852675 Long ABS-MBS US N 2 2021-05-17 Fixed 1.50000000 N N N N N N BEMIS COMPANY, INC. PTVU09TE3QPJPL7K4E13 081437AR6 1590000.00000000 PA USD 1634478.63000000 0.126322695829 Long DBT CORP US N 2 2021-10-15 Fixed 4.50000000 N N N N N N Federal National Mortgage Association N/A 3138ELY64 562571.41000000 PA USD 586160.94000000 0.045302170840 Long DBT USGA US N 2 2023-02-01 Fixed 6.00000000 N N N N N N BBCMS TRUST N/A 05529SAC3 3331000.00000000 PA USD 3331968.65000000 0.257515304613 Long ABS-MBS US N 2 2032-09-05 Fixed 3.75620000 N N N N N N DISCOVER CARD EXECUTION NOTE TRUST 549300CKCX1QE4RUW216 254683CK9 4615000.00000000 PA USD 4805762.87000000 0.371419307731 Long ABS-MBS US N 2 2024-07-15 Fixed 3.04000000 N N N N N N ENCORE CREDIT CORPORATION N/A 126673J29 231449.23000000 PA USD 232572.75000000 0.017974671688 Long ABS-MBS US N 2 2035-11-25 Floating 0.85825080 N N N N N N United States of America 254900HROIFWPRGM1V77 9127964J5 28090000.00000000 PA USD 28072396.84000000 2.169609796140 Long DBT UST US N 2 2020-10-20 None 0.00000000 N N N N N N NELNET STUDENT LOAN CORPORATION N/A 64033BAA0 394476.66000000 PA USD 376347.14000000 0.029086452658 Long ABS-MBS US N 2 2036-10-27 Floating 1.08725040 N N N N N N PHEAA STUDENT LOAN TRUST I N/A 69343FAA5 1734135.55000000 PA USD 1675453.96000000 0.129489524721 Long ABS-MBS US N 2 2065-09-25 Floating 1.31825160 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGS2 9335000.00000000 PA USD 9362412.32000000 0.723585577702 Long DBT CORP US N 2 2021-10-01 Fixed 2.32800000 N N N N N N KILROY REALTY, L.P. 5493008CT3N3JR7P1552 49427RAM4 395000.00000000 PA USD 395777.13000000 0.030588123387 Long DBT CORP US N 2 2024-12-15 Fixed 3.45000000 N N N N N N NEW CENTURY HOME EQUITY LOAN TRUST N/A 64352VMV0 1238776.46000000 PA USD 1233539.28000000 0.095335603905 Long ABS-MBS US N 2 2035-09-25 Floating 0.67825080 N N N N N N Freddie Mac N/A 3137BAHA3 4824300.68000000 PA USD 4868685.69000000 0.376282375443 Long DBT USGA US N 2 2021-01-25 Fixed 2.85600000 N N N N N N Freddie Mac N/A 3137B4KW5 747962.76000000 PA USD 769018.88000000 0.059434572151 Long DBT USGA US N 2 2041-08-15 Fixed 3.50000000 N N N N N N DALLAS FORT WORTH TEX INTL ARPT REV N/A 2350364J6 3500000.00000000 PA USD 3467135.00000000 0.267961802599 Long DBT MUN US N 2 2023-11-01 Fixed 1.93900000 N N N N N N SLC STUDENT LOAN TRUST N/A 784424AD5 1160007.94000000 PA USD 1119906.35000000 0.086553342828 Long ABS-MBS US N 2 2029-05-15 Floating 1.75174920 N N N N N N 20 TIMES SQUARE TRUST N/A 90137LAC4 605000.00000000 PA USD 562981.72000000 0.043510736248 Long ABS-MBS US N 2 2035-05-15 Floating 3.20322960 N N N N N N CENTEX HOME EQUITY LOAN TRUST N/A 15231AAD8 1086495.23000000 PA USD 1084055.50000000 0.083782565691 Long ABS-MBS US N 2 2036-06-25 Floating 0.41825160 N N N N N N Federal National Mortgage Association N/A 3140J6DU8 8697241.39000000 PA USD 9123578.25000000 0.705126992179 Long DBT USGA US N 2 2031-08-01 Fixed 2.50000000 N N N N N N Freddie Mac N/A 3137FPJ48 4431506.20000000 PA USD 4566100.79000000 0.352896728434 Long DBT USGA US N 2 2025-07-25 Fixed 2.13500000 N N N N N N BAE SYSTEMS HOLDINGS INC. MF62XBVMNYTYMC18DL76 05523UAM2 500000.00000000 PA USD 502293.83000000 0.038820397856 Long DBT CORP US Y 2 2020-12-15 Fixed 2.85000000 N N N N N N DELL INTERNATIONAL L.L.C. N/A 25272KAD5 1620000.00000000 PA USD 1650359.42000000 0.127550062261 Long DBT CORP US Y 2 2021-06-15 Fixed 4.42000000 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST N/A 86358EVM5 123123.10000000 PA USD 122610.58000000 0.009476109823 Long ABS-MBS US N 2 2035-07-25 Floating 0.88824960 N N N N N N PARK AEROSPACE HOLDINGS LIMITED 635400CPI3EOIFF6OC33 70014LAD2 250000.00000000 PA USD 230075.59000000 0.017781675599 Long DBT NUSS KY Y 2 2021-03-15 Fixed 3.62500000 N N N N N N DBCG N/A 233062AA6 2400000.00000000 PA USD 2328224.16000000 0.179939674333 Long ABS-MBS US N 2 2034-06-15 Floating 0.88363080 N N N N N N United States of America 254900HROIFWPRGM1V77 912828UH1 20125000.00000000 PA USD 22730476.42000000 1.756752891206 Long DBT USGA XX N 2 2023-01-15 Fixed 0.12500000 N N N N N N ALIMENTATION COUCHE-TARD INC. 549300OSW32RVX8CCZ87 01626PAH9 400000.00000000 PA USD 420177.21000000 0.032473913650 Long DBT NUSS CA Y 2 2027-07-26 Fixed 3.55000000 N N N N N N Federal National Mortgage Association N/A 31418CQM9 2851928.63000000 PA USD 3007039.30000000 0.232402739240 Long DBT USGA US N 2 2027-10-01 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HJD3 460000.00000000 PA USD 488950.03000000 0.037789105823 Long DBT CORP US N 2 2022-01-24 Fixed 4.50000000 N N N N N N VORNADO FINANCE L.L.C. N/A 91830CAA6 3980000.00000000 PA USD 4061617.06000000 0.313907081456 Long ABS-MBS US N 2 2030-11-15 Fixed 2.99560000 N N N N N N BAYCARE HEALTH SYSTEM, INC. 1H90SRZU22X0SF1UZR52 072722AB7 2595000.00000000 PA USD 2618607.96000000 0.202382344288 Long DBT CORP US N 2 2021-11-15 Fixed 2.56000000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST N/A 61763KAZ7 374862.23000000 PA USD 400020.25000000 0.030916058147 Long ABS-MBS US N 2 2047-04-15 Fixed 3.77300000 N N N N N N DRIVE AUTO RECEIVABLES TRUST N/A 26208RAD7 2344095.37000000 PA USD 2353775.55000000 0.181914445008 Long ABS-MBS US N 2 2023-03-15 Fixed 3.04000000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 46648CAE4 3036206.32000000 PA USD 3074951.05000000 0.237651382557 Long ABS-MBS US N 2 2047-01-25 Floating 3.49999920 N N N N N N CAPITAL ONE MULTI-ASSET EXECUTION TRUST N/A 14041NFT3 5230000.00000000 PA USD 5445202.99000000 0.420839225678 Long ABS-MBS US N 2 2024-12-15 Fixed 2.84000000 N N N N N N WORLD OMNI SELECT AUTO TRUST N/A 98162DAG4 1660000.00000000 PA USD 1679953.53000000 0.129837279535 Long ABS-MBS US N 2 2023-07-15 Fixed 3.68000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773CZ1 6855000.00000000 PA USD 6983397.44000000 0.539720479961 Long DBT CORP US N 2 2023-05-05 Fixed 1.62500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGY9 1455000.00000000 PA USD 1470373.54000000 0.113639631647 Long DBT CORP US N 2 2022-01-23 Fixed 2.73800000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBC2 550000.00000000 PA USD 598206.45000000 0.046233122929 Long DBT CORP US N 2 2023-11-14 Fixed 3.75000000 N N N N N N Federal National Mortgage Association N/A 3136AM3B3 2095969.21000000 PA USD 2137892.58000000 0.165229663541 Long DBT USGA US N 2 2041-09-25 Fixed 2.50000000 N N N N N N CSMC TRUST N/A 12653VAC0 5520000.00000000 PA USD 5340141.84000000 0.412719445185 Long ABS-MBS US N 2 2036-05-15 Floating 2.04400080 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NDG3 870000.00000000 PA USD 986037.03000000 0.076207087404 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV N/A 64971XMF2 820000.00000000 PA USD 844337.60000000 0.065255672276 Long DBT MUN US N 2 2026-11-01 Fixed 2.31000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGP8 2515000.00000000 PA USD 2518123.45000000 0.194616275060 Long DBT CORP US N 2 2021-07-21 Fixed 2.36900000 N N N N N N Freddie Mac N/A 3137G1BW6 627169.40000000 PA USD 634535.57000000 0.049040863753 Long DBT USGA US N 2 2047-05-25 Fixed 3.50000000 N N N N N N Federal National Mortgage Association N/A 3138EGEZ3 123905.57000000 PA USD 125491.75000000 0.009698784599 Long DBT USGA US N 2 2021-04-01 Floating 4.44200040 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46639YAR8 1189100.58000000 PA USD 1204145.91000000 0.093063901070 Long ABS-MBS US N 2 2046-04-15 Fixed 2.55390000 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST N/A 90270RBD5 2500000.00000000 PA USD 2531478.25000000 0.195648417241 Long ABS-MBS US N 2 2045-12-10 Fixed 2.79190000 N N N N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109AN4 1000000.00000000 PA USD 1043982.79000000 0.080685496899 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N MILL CITY MORTGAGE LOAN TRUST N/A 599808AC6 2517796.72000000 PA USD 2540650.76000000 0.196357325984 Long ABS-MBS US N 2 2057-09-25 Floating 2.99999880 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST N/A 95001TAG0 361580.60000000 PA USD 362959.92000000 0.028051804857 Long ABS-MBS US N 2 2048-11-25 Floating 3.99999960 N N N N N N C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES N/A 12489WLG7 1000000.00000000 PA USD 953657.10000000 0.073704564598 Long ABS-MBS US N 2 2035-05-25 Floating 1.14324840 N N N N N N Freddie Mac N/A 31306YSL6 5353589.89000000 PA USD 5617464.70000000 0.434152684291 Long DBT USGA US N 2 2027-11-01 Fixed 2.50000000 N N N N N N Kraft Heinz Foods Company 5493003STKEZ2S0RNU91 50077LAS5 2000000.00000000 PA USD 2121666.46000000 0.163975607854 Long DBT CORP US N 2 2023-06-15 Fixed 4.00000000 N N N N N N SLM STUDENT LOAN TRUST N/A 78446YAA1 1036984.80000000 PA USD 955165.77000000 0.073821164018 Long ABS-MBS US N 2 2029-01-25 Floating 0.86825160 N N N N N N BAY AREA TOLL AUTH CALIF TOLL BRDG REV N/A 072024WV0 4000000.00000000 PA USD 4023280.00000000 0.310944154514 Long DBT MUN US N 2 2021-04-01 Fixed 2.07500000 N N N N N N Freddie Mac N/A 31396NGS9 634738.80000000 PA USD 632852.36000000 0.048910774793 Long DBT USGA US N 2 2036-04-15 Floating 0.48363120 N N N N N N WFRBS COMMERCIAL MORTGAGE TRUST N/A 92937EAD6 1750000.00000000 PA USD 1802104.50000000 0.139277867834 Long ABS-MBS US N 2 2045-03-15 Fixed 3.03700000 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XBE3 690000.00000000 PA USD 660316.54000000 0.051033377801 Long DBT CORP US N 2 2022-01-15 Fixed 3.50000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 05607QAA6 1000000.00000000 PA USD 967429.10000000 0.074768950595 Long ABS-MBS US N 2 2036-12-15 Floating 1.61399880 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAA1 1500000.00000000 PA USD 1532804.72000000 0.118464702356 Long DBT CORP US Y 2 2021-06-25 Fixed 3.50000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC N/A 17309QAE4 502835.38000000 PA USD 501426.18000000 0.038753340456 Long ABS-MBS US N 2 2036-10-25 Floating 0.77725080 N N N N N N GRACE MORTGAGE TRUST N/A 38406HAA0 1000000.00000000 PA USD 1011262.20000000 0.078156645764 Long ABS-MBS US N 2 2028-06-10 Fixed 3.36870000 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC N/A 83405TAA1 3308687.39000000 PA USD 3343494.45000000 0.258406090274 Long ABS-MBS US N 2 2028-05-25 Fixed 2.90000000 N N N N N N CSMLT TRUST N/A 12592UAF9 540591.60000000 PA USD 542192.83000000 0.041904041256 Long ABS-MBS US N 2 2045-05-25 Floating 3.49999920 N N N N N N Government National Mortgage Association N/A 38375JEJ0 665304.81000000 PA USD 662584.45000000 0.051208656021 Long DBT USGA US N 2 2037-01-20 Floating 0.47075040 N N N N N N GLP Capital, L.P. 2549005PXW31DRW8EC44 361841AF6 2803000.00000000 PA USD 2809811.29000000 0.217159729353 Long DBT CORP US N 2 2023-11-01 Fixed 5.37500000 N N N N N N STANFORD HEALTH CARE 5493005311WCPXQGDG42 85434VAB4 965000.00000000 PA USD 1079736.35000000 0.083448754859 Long DBT CORP US N 2 2030-08-15 Fixed 3.31000000 N N N N N N Federal National Mortgage Association N/A 3136AJDR4 504489.80000000 PA USD 507543.73000000 0.039226142849 Long DBT USGA US N 2 2021-06-25 Floating 2.77700040 N N N N N N Federal National Mortgage Association N/A 3136AJJ23 1543764.69000000 PA USD 1605429.91000000 0.124077629694 Long DBT USGA US N 2 2033-05-25 Fixed 2.50000000 N N N N N N Federal National Mortgage Association N/A 01F030678 3750000.00000000 PA USD 3935829.56000000 0.304185439454 Long DBT USGA XX N 2 2042-07-01 Fixed 3.00000000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZM8 1450000.00000000 PA USD 1446375.00000000 0.111784874899 Long DBT CORP US N 2 2022-01-07 Fixed 5.59600000 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES INC N/A 0738793P1 1125749.44000000 PA USD 1093016.70000000 0.084475143080 Long ABS-MBS US N 2 2035-11-25 Floating 1.16224920 N N N N N N GOSFORTH FUNDING PLC N/A 38312RAA1 589423.55000000 PA USD 586565.44000000 0.045333433121 Long ABS-MBS GB N 2 2060-08-25 Floating 0.80949960 N N N N N N Government National Mortgage Association N/A 38379AKS8 6233181.67000000 PA USD 6524169.65000000 0.504228494096 Long DBT USGA US N 2 2042-07-20 Fixed 3.00000000 N N N N N N HEALTHCARE REALTY TRUST INCORPORATED 549300CB86LH2IOKHH22 421946AH7 750000.00000000 PA USD 753200.12000000 0.058211999784 Long DBT CORP US N 2 2023-04-15 Fixed 3.75000000 N N N N N N Government National Mortgage Association N/A 38378ACT6 653052.16000000 PA USD 651614.92000000 0.050360862373 Long DBT USGA US N 2 2041-04-20 Floating 0.52075080 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940GAA3 1956087.50000000 PA USD 1909801.38000000 0.147601353968 Long ABS-MBS US N 2 2066-03-25 Floating 1.31825160 N N N N N N HUMANA INC. 529900YLDW34GJAO4J06 444859BH4 855000.00000000 PA USD 862707.94000000 0.066675446649 Long DBT CORP US N 2 2020-12-15 Fixed 2.50000000 N N N N N N Freddie Mac N/A 3137BJV75 2821955.06000000 PA USD 2942245.41000000 0.227395063576 Long DBT USGA US N 2 2039-05-15 Fixed 3.75000000 N N N N N N TERWIN MORTGAGE TRUST N/A 881561T61 911441.90000000 PA USD 898188.08000000 0.069417573007 Long ABS-MBS US N 2 2037-04-25 Floating 0.39825000 N N N N N N PRINCIPAL LIFE GLOBAL FUNDING II 635400WSLKBQWSOIIT41 74256LAS8 7170000.00000000 PA USD 7223089.12000000 0.558245346931 Long DBT CORP US Y 2 2020-11-19 Fixed 2.62500000 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46639YAQ0 645000.00000000 PA USD 664350.52000000 0.051345148918 Long ABS-MBS US N 2 2046-04-15 Fixed 2.95990000 N N N N N N Federal National Mortgage Association N/A 31398RDQ5 723361.90000000 PA USD 726713.38000000 0.056164939432 Long DBT USGA US N 2 2040-05-25 Floating 0.71825040 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST N/A 86358ERW8 228677.41000000 PA USD 226405.00000000 0.017497989526 Long ABS-MBS US N 2 2035-04-25 Floating 0.82824840 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST N/A 61690KAE2 830000.00000000 PA USD 850481.41000000 0.065730504206 Long ABS-MBS US N 2 2046-02-15 Fixed 2.91800000 N N N N N N The Bank of New York Mellon Corporation N/A 06406RAN7 900000.00000000 PA USD 931222.11000000 0.071970648739 Long DBT CORP US N 2 2025-04-24 Fixed 1.60000000 N N N N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746UDC0 500000.00000000 PA USD 517745.58000000 0.040014605403 Long DBT CORP US Y 2 2023-01-15 Fixed 2.45000000 N N N N N N United States of America N/A N/A -38.00000000 NC USD -5978468.75000000 -0.46205332732 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Sep 2020 2020-09-24 -5947067.47000000 USD -31401.28000000 N N N HONOLULU HAWAII CITY & CNTY WASTEWTR SYS REV N/A 438701D84 3000000.00000000 PA USD 3057030.00000000 0.236266332116 Long DBT MUN US N 2 2022-07-01 Fixed 2.00000000 N N N N N N CITIZENS BANK, NATIONAL ASSOCIATION DRMSV1Q0EKMEXLAU1P80 17401QAN1 6550000.00000000 PA USD 6586935.06000000 0.509079396182 Long DBT CORP US N 2 2020-10-30 Fixed 2.25000000 N N N N N N AMERICOLD LLC TRUST N/A 03063NAA5 632567.46000000 PA USD 634346.56000000 0.049026255882 Long ABS-MBS US N 2 2029-01-14 Fixed 3.84730000 N N N N N N Federal National Mortgage Association N/A 01F022667 2150000.00000000 PA USD 2230708.98000000 0.172403093434 Long DBT USGA XX N 2 2043-06-01 Fixed 2.50000000 N N N N N N Federal National Mortgage Association N/A 3138L06R7 9540525.61000000 PA USD 9809635.12000000 0.758149743116 Long DBT USGA US N 2 2022-12-01 Fixed 2.24000000 N N N N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 06367WYH0 1970000.00000000 PA USD 1928081.75000000 0.149014174899 Long DBT NUSS CA N 2 2023-03-10 Floating 0.00000000 N N N N N N Federal National Mortgage Association N/A 3136AT5G5 1302910.48000000 PA USD 1325679.23000000 0.102456753526 Long DBT USGA US N 2 2039-07-25 Fixed 2.94400000 N N N N N N FREMF MORTGAGE TRUST N/A 30262LAF0 5605000.00000000 PA USD 5644360.55000000 0.436231363215 Long ABS-MBS US N 2 2046-01-25 Floating 4.48654680 N N N N N N FIRST INVESTORS AUTO OWNER TRUST N/A 32059RAC7 1551720.02000000 PA USD 1555036.05000000 0.120182878101 Long ABS-MBS US N 2 2023-01-17 Fixed 3.22000000 N N N N N N Freddie Mac N/A 3137BDZN9 1521823.45000000 PA USD 1537999.52000000 0.118866188878 Long DBT USGA US N 2 2040-06-15 Fixed 3.00000000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAE1 890000.00000000 PA USD 791806.12000000 0.061195712086 Long DBT NUSS KY Y 2 2022-05-01 Fixed 3.62500000 N N N N N N Government National Mortgage Association 2 N/A 36202F2H8 1343350.05000000 PA USD 1410897.72000000 0.109042969580 Long DBT USGA US N 2 2027-01-20 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3137AUMR7 273328.17000000 PA USD 273423.40000000 0.021131864532 Long DBT USGA US N 2 2040-01-15 Floating 0.43363080 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 056054AE9 2488818.41000000 PA USD 2404632.63000000 0.185844997130 Long ABS-MBS US N 2 2036-10-15 Floating 1.89399960 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 46648HAE3 781670.40000000 PA USD 792244.13000000 0.061229564229 Long ABS-MBS US N 2 2047-05-25 Floating 3.49999920 N N N N N N TIDEWATER AUTO RECEIVABLES TRUST N/A 88642MAB6 71418.87000000 PA USD 71454.11000000 0.005522418976 Long ABS-MBS US N 2 2022-07-15 Fixed 3.12000000 N N N N N N Federal National Mortgage Association N/A 3136A8BP4 9135922.07000000 PA USD 9375699.83000000 0.724612519293 Long DBT USGA US N 2 2031-08-25 Fixed 2.00000000 N N N N N N Government National Mortgage Association N/A 38373M4R8 806558.84000000 PA USD 835258.46000000 0.064553979749 Long DBT USGA US N 2 2044-03-16 Floating 5.55599880 N N N N N N Federal National Mortgage Association N/A 3138EJRP5 700493.11000000 PA USD 722448.27000000 0.055835305147 Long DBT USGA US N 2 2021-06-01 Floating 4.35499920 N N N N N N United States of America 254900HROIFWPRGM1V77 912828ZL7 21480000.00000000 PA USD 21547964.01000000 1.665360961852 Long DBT UST US N 2 2025-04-30 Fixed 0.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 9127963A5 3095000.00000000 PA USD 3092353.78000000 0.238996373998 Long DBT UST US N 2 2020-11-19 None 0.00000000 N N N N N N SBALR COMMERCIAL MORTGAGE TRUST N/A 78397EAA4 1398113.41000000 PA USD 1386890.75000000 0.107187561308 Long ABS-MBS US N 2 2053-02-13 Fixed 2.02500000 N N N N N N Federal National Mortgage Association N/A 31394BLG7 192455.11000000 PA USD 192623.49000000 0.014887143882 Long DBT USGA US N 2 2034-10-25 Floating 0.46824840 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747WAL3 1800000.00000000 PA USD 1895349.73000000 0.146484440383 Long DBT CORP US N 2 2021-07-28 Fixed 5.50000000 N N N N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523AB6 1000000.00000000 PA USD 994662.99000000 0.076873755356 Long DBT CORP US N 2 2021-09-17 Floating 1.49312880 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST N/A 02588QAB4 9280000.00000000 PA USD 9684321.25000000 0.748464706192 Long ABS-MBS US N 2 2024-10-15 Fixed 2.87000000 N N N N N N VOYA CLO N/A 92914XAL3 3000000.00000000 PA USD 2950116.00000000 0.228003351827 Long ABS-CBDO CORP KY N 2 2027-07-23 Floating 2.77625160 N N N N N N Highwoods Realty Limited Partnership JUJNVZX73BIYHLR58F51 431282AN2 1166000.00000000 PA USD 1176588.69000000 0.090934107351 Long DBT CORP US N 2 2021-06-15 Fixed 3.20000000 N N N N N N Freddie Mac N/A 3137BS6Q1 1560360.83000000 PA USD 1594175.57000000 0.123207824153 Long DBT USGA US N 2 2022-08-25 Fixed 2.35600000 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC. N/A 75156XAC5 1579255.41000000 PA USD 1540739.11000000 0.119077921468 Long ABS-MBS US N 2 2036-10-25 Floating 0.43824960 N N N N N N Federal National Mortgage Association N/A 3136A0YR2 2462127.04000000 PA USD 2517214.42000000 0.194546019555 Long DBT USGA US N 2 2040-06-25 Fixed 3.00000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBG3 8775000.00000000 PA USD 8930994.49000000 0.690242918879 Long DBT CORP US Y 2 2021-11-19 Fixed 2.15000000 N N N N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 44962LAH0 430000.00000000 PA USD 448782.40000000 0.034684701022 Long DBT NUSS BM N 2 2024-05-01 Fixed 3.62500000 N N N N N N SLM STUDENT LOAN TRUST N/A 78442GKT2 772007.73000000 PA USD 763094.44000000 0.058976694503 Long ABS-MBS US N 2 2025-10-27 Floating 2.05413120 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST N/A 38013FAD3 5005000.00000000 PA USD 5132911.28000000 0.396703375891 Long ABS-MBS US N 2 2023-10-16 Fixed 3.21000000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST N/A 61690VAW8 780000.00000000 PA USD 813441.17000000 0.062867803596 Long ABS-MBS US N 2 2048-10-15 Fixed 3.32300000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XCP9 1270000.00000000 PA USD 1288585.28000000 0.099589901873 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N GRACE MORTGAGE TRUST N/A 38406HAE2 200000.00000000 PA USD 201127.88000000 0.015544416147 Long ABS-MBS US N 2 2028-06-10 Fixed 3.52000000 N N N N N N Government National Mortgage Association N/A 38377REV3 356513.07000000 PA USD 368790.10000000 0.028502397505 Long DBT USGA US N 2 2039-10-20 Fixed 3.50000000 N N N N N N MIAMI-DADE CNTY FLA AVIATION REV N/A 59333P2D9 2335000.00000000 PA USD 2330680.25000000 0.180129496276 Long DBT MUN US N 2 2021-10-01 Fixed 2.12400000 N N N N N N PARK AEROSPACE HOLDINGS LIMITED 635400CPI3EOIFF6OC33 70014LAC4 460000.00000000 PA USD 389672.33000000 0.030116306394 Long DBT NUSS KY Y 2 2023-03-15 Fixed 4.50000000 N N N N N N PFS FINANCING CORP. N/A 69335PCQ6 1300000.00000000 PA USD 1301807.65000000 0.100611809038 Long ABS-MBS US N 2 2023-02-15 Fixed 2.89000000 N N N N N N BENCHMARK MORTGAGE TRUST N/A 08161HAA8 567095.62000000 PA USD 579930.41000000 0.044820636648 Long ABS-MBS US N 2 2051-07-15 Fixed 3.12500000 N N N N N N TIDEWATER AUTO RECEIVABLES TRUST N/A 88641WAC3 3600000.00000000 PA USD 3499260.12000000 0.270444632101 Long ABS-MBS US N 2 2025-03-17 Fixed 1.61000000 N N N N N N COMM MORTGAGE TRUST N/A 12592PBD4 1835658.52000000 PA USD 1907898.47000000 0.147454285223 Long ABS-MBS US N 2 2047-12-10 Fixed 3.38700000 N N N N N N Freddie Mac N/A 3137AGZ37 1275561.66000000 PA USD 1274435.72000000 0.098496335685 Long DBT USGA US N 2 2040-05-15 Floating 0.53363160 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17323YAE9 1900000.00000000 PA USD 1983454.08000000 0.153293693683 Long ABS-MBS US N 2 2048-06-10 Fixed 3.43100000 N N N N N N SEI Daily Income Trust: Government Fund; Class F Shares N/A 783965593 15382623.16000000 NS USD 15382623.16000000 1.188864993911 Long STIV RF XX N 2 N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BC2 500000.00000000 PA USD 499078.17000000 0.038571871609 Long DBT CORP US N 2 2021-03-15 Floating 1.37049840 N N N N N N BBCMS TRUST N/A 05490VAG2 220000.00000000 PA USD 215345.02000000 0.016643205338 Long ABS-MBS US N 2 2032-09-15 Floating 3.98980080 N N N N N N ARI FLEET LEASE TRUST N/A 00217TAD7 1075000.00000000 PA USD 1026160.60000000 0.079308086974 Long ABS-MBS US N 2 2028-11-15 Fixed 2.06000000 N N N N N N Freddie Mac N/A 3137BMLC8 385313.46000000 PA USD 385441.42000000 0.029789315299 Long DBT USGA US N 2 2020-09-25 Floating 2.56600080 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XK4 565000.00000000 PA USD 564548.00000000 0.043631788128 Long DBT CORP US N 2 2020-08-04 Fixed 3.15700000 N N N N N N WELLS FARGO HOME EQUITY TRUST N/A 9497EUAK3 1978000.00000000 PA USD 1858661.52000000 0.143648946845 Long ABS-MBS US N 2 2036-05-25 Floating 0.81725040 N N N N N N Freddie Mac N/A 31306XQT3 8741147.04000000 PA USD 9171591.89000000 0.708837785535 Long DBT USGA US N 2 2027-09-01 Fixed 2.50000000 N N N N N N SOUTH CAROLINA ST PUB SVC AUTH REV N/A 837151RW1 3555000.00000000 PA USD 3609782.55000000 0.278986494350 Long DBT MUN US N 2 2023-12-01 Fixed 2.38800000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828L57 72275000.00000000 PA USD 74920377.75000000 5.790313752807 Long DBT UST US N 2 2022-09-30 Fixed 1.75000000 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81746HAL5 699542.29000000 PA USD 705388.36000000 0.054516808972 Long ABS-MBS US N 2 2047-08-25 Floating 3.49999920 N N N N N N ESSEX PORTFOLIO, L.P. 5493003GN3O58H286O74 29717PAJ6 1000000.00000000 PA USD 1015947.58000000 0.078518761133 Long DBT CORP US N 2 2021-03-15 Fixed 5.20000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBL5 9205000.00000000 PA USD 9461315.53000000 0.731229434211 Long DBT CORP US N 2 2023-04-15 Fixed 1.57100000 N N N N N N Federal National Mortgage Association N/A 3136A72D3 1227996.27000000 PA USD 1253159.02000000 0.096851939697 Long DBT USGA US N 2 2022-04-25 Fixed 2.48200000 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 36966TJA1 2000000.00000000 PA USD 1912251.90000000 0.147790745427 Long DBT CORP US N 2 2023-04-15 Floating 2.21888160 N N N N N N Freddie Mac N/A 3137FMD66 4795566.49000000 PA USD 5053599.14000000 0.390573639379 Long DBT USGA US N 2 2026-05-25 Fixed 2.28300000 N N N N N N Government National Mortgage Association N/A 38379JM99 2474045.30000000 PA USD 2536581.50000000 0.196042828208 Long DBT USGA US N 2 2041-02-16 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828ZM5 23950000.00000000 PA USD 23933160.28000000 1.849703795939 Long DBT UST US N 2 2022-04-30 Fixed 0.12500000 N N N N N N Freddie Mac N/A 31395MT90 952511.70000000 PA USD 949459.38000000 0.073380138633 Long DBT USGA US N 2 2035-02-15 Floating 0.43363080 N N N N N N CPS AUTO RECEIVABLES TRUST N/A 22412AAA1 751566.89000000 PA USD 754204.89000000 0.058289654672 Long ABS-MBS US N 2 2022-05-16 Fixed 2.89000000 N N N N N N Truist Financial Corporation 549300DRQQI75D2JP341 867914BK8 4995000.00000000 PA USD 5076189.88000000 0.392319592569 Long DBT CORP US N 2 2021-03-03 Fixed 2.90000000 N N N N N N Freddie Mac N/A 3137AJFC3 397117.56000000 PA USD 397408.65000000 0.030714217422 Long DBT USGA US N 2 2041-04-15 Floating 0.63362880 N N N N N N CWABS ASSET-BACKED CERTIFICATES TRUST N/A 126673NW8 163878.98000000 PA USD 163310.57000000 0.012621658724 Long ABS-MBS US N 2 2035-03-25 Floating 1.59324840 N N N N N N SLM STUDENT LOAN TRUST N/A 78444CAD5 1000814.86000000 PA USD 997174.70000000 0.077067875960 Long ABS-MBS US N 2 2024-10-25 Floating 2.17413000 N N N N N N Freddie Mac N/A 3137A7RM4 802453.11000000 PA USD 814964.48000000 0.062985534487 Long DBT USGA US N 2 2037-10-15 Fixed 4.50000000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BD0 3955000.00000000 PA USD 3936747.99000000 0.304256421449 Long DBT CORP US N 2 2021-01-15 Floating 1.71888120 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HBY0 8155000.00000000 PA USD 8329887.40000000 0.643785616411 Long DBT CORP US N 2 2021-04-30 Fixed 3.45000000 N N N N N N Freddie Mac N/A 3137B1BS0 4708000.00000000 PA USD 4893269.22000000 0.378182343865 Long DBT USGA US N 2 2022-11-25 Fixed 2.51000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YCE7 500000.00000000 PA USD 526259.47000000 0.040672611887 Long DBT CORP US Y 2 2021-12-15 Fixed 5.00000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XBY1 285000.00000000 PA USD 284166.66000000 0.021962170625 Long DBT CORP US N 2 2022-06-30 Fixed 3.15000000 N N N N N N Federal National Mortgage Association N/A 3136AERV1 3848625.65000000 PA USD 3969134.59000000 0.306759459754 Long DBT USGA US N 2 2032-12-25 Fixed 2.00000000 N N N N N N NATIONSTAR HOME EQUITY LOAN TRUST N/A 63860FAD5 1937890.71000000 PA USD 1892533.80000000 0.146266807761 Long ABS-MBS US N 2 2036-09-25 Floating 0.44825040 N N N N N N Credit Suisse AG (New York Branch) N/A 22550L2B6 5000000.00000000 PA USD 5181277.20000000 0.400441395642 Long DBT NUSS CH N 2 2022-04-08 Fixed 2.80000000 N N N N N N Federal National Mortgage Association N/A 3136AKAA1 745687.28000000 PA USD 776836.80000000 0.060038789736 Long DBT USGA US N 2 2029-06-25 Fixed 3.00000000 N N N N N N Freddie Mac N/A 31306YQA2 8604158.07000000 PA USD 9028403.72000000 0.697771311301 Long DBT USGA US N 2 2027-12-01 Fixed 2.50000000 N N N N N N SLM STUDENT LOAN TRUST N/A 78448AAA1 1364714.67000000 PA USD 1320905.55000000 0.102087813783 Long ABS-MBS US N 2 2043-06-25 Floating 0.71825040 N N N N N N Freddie Mac N/A 3137APP61 1669012.18000000 PA USD 1712488.95000000 0.132351819578 Long DBT USGA US N 2 2022-01-25 Fixed 2.78900000 N N N N N N 2020-05-31 SEI INSTITUTIONAL INVESTMENTS TRUST James Hoffmayer James Hoffmayer CFO