NPORT-P false 0000939934 XXXXXXXX S000014581 C000039813 SEI INSTITUTIONAL INVESTMENTS TRUST 811-07257 0000939934 0N2JSH1PTH72JCCP2A88 ONE FREEDOM VALLEY DRIVE OAKS 19456 8003425734 SIIT OPPORTUNISTIC INCOME FUND S000014581 QITQ3ENZHD0VPXRH4978 2022-05-31 2022-05-31 N 694172321.47 27367190.04 666805131.43 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 0.00000000 USD N FCG ACQUISITIONS, INC. N/A 30260UAF2 790191.18000000 PA USD 774387.36000000 0.116133983303 Long LON US N 3 2029-03-30 Floating 7.25000040 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKF5 195000.00000000 PA USD 193468.57000000 0.029014259321 Long DBT CORP US N 2 2025-02-04 Floating 0.96011280 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST N/A 80287EAD7 130000.00000000 PA USD 128147.11000000 0.019218074960 Long ABS-MBS US N 2 2025-12-15 Fixed 0.60000000 N N N N N N CPS AUTO RECEIVABLES TRUST N/A 12656QAB0 330000.00000000 PA USD 324213.62000000 0.048621944360 Long ABS-MBS US Y 2 2025-12-15 Fixed 0.81000000 N N N N N N SS&C Technologies Holdings, Inc. N/A N/A 248529.41000000 PA USD 241819.12000000 0.036265335793 Long LON US N 2 2029-03-22 Floating 3.27546000 N N N N N N MISSOURI HIGHER ED LN AUTH STUDENT LN REV N/A 606072LD6 1045514.84000000 PA USD 1021986.78000000 0.153266184051 Long ABS-MBS US N 2 2061-01-25 Floating 1.75570920 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03463WAA1 26172.95000000 PA USD 26118.43000000 0.003916950960 Long ABS-MBS US N 2 2049-03-25 Floating 3.62800080 N N N N N N BA MORTGAGE SECURITIES INCORPORATED N/A 05949AH86 10790.56000000 PA USD 10895.52000000 0.001633988625 Long ABS-MBS US N 2 2035-02-25 Floating 2.58095880 N N N N N N MFA TRUST N/A 55283FAA6 976965.00000000 PA USD 932401.33000000 0.139831156967 Long ABS-MBS US Y 2 2065-04-25 Floating 1.15300080 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03464XAL4 92680.29000000 PA USD 89870.08000000 0.013477712717 Long ABS-MBS US N 2 2065-01-26 Floating 2.53100160 N N N N N N PUG/Viagogo/StubHub 7/21 Incremental N/A N/A 761149.46000000 PA USD 738314.98000000 0.110724249889 Long LON US N 2 2027-02-12 Floating 5.01370920 N N N N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST N/A 025286AA3 49278.68000000 PA USD 49095.35000000 0.007362773273 Long ABS-MBS US Y 2 2025-06-13 Fixed 0.33000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418BXC5 327384.54000000 PA USD 327463.31000000 0.049109296639 Long DBT USGA US N 2 2030-12-01 Fixed 3.00000000 N N N N N N RADNOR RE/ESSENT N/A 75049TAB7 456828.80000000 PA USD 455177.04000000 0.068262378098 Long ABS-MBS BM N 2 2029-06-25 Floating 2.75571000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 056054AH2 1062499.99000000 PA USD 1033197.09000000 0.154947381371 Long ABS-MBS US N 2 2036-10-15 Floating 2.67500160 N N N N N N TD SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162WAC4 475000.00000000 PA USD 446566.96000000 0.066971134286 Long DBT CORP US N 2 2024-08-09 Fixed 1.25000000 N N N N N N DBCG N/A 233062AJ7 1100000.00000000 PA USD 1067474.21000000 0.160087881704 Long ABS-MBS US N 2 2034-06-15 Floating 1.87499880 N N N N N N CP ATLAS BUYER, INC. 2549006ZZ07G0NDDCR36 12597YAA7 710000.00000000 PA USD 582200.00000000 0.087311865574 Long DBT CORP US N 2 2028-12-01 Fixed 7.00000000 N N N N N N Quirch Foods 4/22 Cov-Lite N/A N/A 2902826.94000000 PA USD 2775828.26000000 0.416287777217 Long LON US N 2 2027-10-27 Floating 0.00000000 N N N N N N LANDesk Software 10/21 2nd Lien TL N/A N/A 992857.14000000 PA USD 930803.57000000 0.139591542735 Long LON US N 2 2028-12-01 Floating 7.77300120 N N N N N N MASTR ALTERNATIVE LOAN TR N/A 576434FF6 809749.82000000 PA USD 800994.00000000 0.120124150556 Long ABS-MBS US N 2 2033-07-25 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AYP31 57421.48000000 PA USD 57251.49000000 0.008585940224 Long DBT USGA US N 2 2024-10-25 Floating 0.84857040 N N N N N N MERRILL LYNCH MORTGAGE TRUST N/A 59020UNN1 577876.17000000 PA USD 559388.00000000 0.083890776125 Long ABS-MBS US N 2 2034-12-25 Floating 2.16900360 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64831TAA5 299111.14000000 PA USD 279862.20000000 0.041970612823 Long ABS-MBS US Y 2 2056-11-27 Floating 1.15611840 N N N N N N FCG Acquisitions Inc N/A 26658NAB5 102080.00000000 PA USD -2041.60000000 -0.00030617640 Long LON US N 2 2029-03-30 Floating 6.75000000 N N N N N N OBX TRUST N/A 670857AA9 1638029.56000000 PA USD 1470420.48000000 0.220517271192 Long ABS-MBS US Y 2 2061-05-25 Floating 1.10099880 N N N N N N ELARA HGV TIMESHARE N/A 28416DAA8 437702.04000000 PA USD 429824.72000000 0.064460319775 Long ABS-MBS US N 2 2030-03-25 Fixed 2.69000000 N N N N N N CONNECTICUT AVENUE SECURITIES N/A 20754DAA5 485067.41000000 PA USD 480798.87000000 0.072104854527 Long ABS-MBS US Y 2 2042-04-25 Floating 2.18869920 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST N/A 78448YAK7 2500000.00000000 PA USD 2453482.25000000 0.367945916183 Long ABS-MBS US Y 2 2053-01-15 Floating 1.60471080 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST N/A 83192CAC1 984786.67000000 PA USD 986851.28000000 0.147996953455 Long ABS-MBS US N 2 2037-06-15 Floating 1.87471080 N N N N N N NASCAR HOLDINGS, LLC N/A 63108EAB4 1946344.39000000 PA USD 1901169.74000000 0.285116243170 Long LON US N 2 2026-10-19 Floating 3.26370960 N N N N N N DCG ACQUISITION CORP. N/A 23308UAG9 2401334.77000000 PA USD 2287271.37000000 0.343019461337 Long LON US N 2 2026-09-30 Floating 5.26371120 N N N N N N PACKAGING COORDINATORS MIDCO, INC. N/A 69515EAH5 452887.51000000 PA USD 435338.12000000 0.065287158043 Long LON US N 2 2027-11-30 Floating 4.75599960 N N N N N N Hunter Douglas 2/22 (USD) N/A N/A 1055000.00000000 PA USD 951261.85000000 0.142659647498 Long LON US N 2 2029-02-26 Floating 4.84169040 N N N N N N Renaissance Learning 3/22 Incremental N/A N/A 330000.00000000 PA USD 320720.40000000 0.048098070168 Long LON US N 2 2029-03-30 Floating 5.24162880 N N N N N N Government National Mortgage Association 2 N/A 3620E0F27 360804.78000000 PA USD 364337.35000000 0.054639254082 Long DBT USGA US N 2 2060-09-20 Floating 2.54999880 N N N N N N MARLETTE FUNDING TRUST N/A 57110NAA4 15499.91000000 PA USD 15461.76000000 0.002318782395 Long ABS-MBS US Y 2 2031-06-16 Fixed 0.60000000 N N N N N N PALMER SQUARE LOAN FUNDING LTD. N/A 69702BAA9 199974.13000000 PA USD 197146.90000000 0.029565894248 Long ABS-CBDO CORP KY Y 2 2029-07-20 Floating 1.86270840 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE TRUST N/A 24381WAC2 672229.94000000 PA USD 612112.28000000 0.091797775864 Long ABS-MBS US Y 2 2066-04-25 Floating 1.26000000 N N N N N N APPLIED SYSTEMS INC. N/A 03827FAX9 640000.00000000 PA USD 621440.00000000 0.093196643323 Long LON US N 2 2024-09-19 Floating 4.00600080 N N N N N N VOLVO FINANCIAL EQUIPMENT LLC N/A 92888EAB9 5.11000000 PA USD 5.11000000 0.000000766340 Long ABS-MBS US Y 2 2023-04-17 Fixed 0.37000000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FBV9 719002.71000000 PA USD 694382.19000000 0.104135699812 Long ABS-MBS US N 2 2033-09-25 Floating 2.52801000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31398TTV3 112768.40000000 PA USD 115685.36000000 0.017349200620 Long DBT USGA US N 2 2040-08-25 Fixed 5.00000000 N N N N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746UDC0 250000.00000000 PA USD 249144.72000000 0.037363947614 Long DBT CORP US N 2 2023-01-15 Fixed 2.45000000 N N N N N N BLUEMOUNTAIN CLO LTD. N/A 09629LAG0 800000.00000000 PA USD 750767.20000000 0.112591695026 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 3.21270840 N N N N N N GLOBAL MEDICAL RESPONSE, INC. N/A 00169QAF6 1117013.12000000 PA USD 1062558.73000000 0.159350712811 Long LON US N 2 2025-10-02 Floating 5.24999880 N N N N N N Snap One 11/21 Cov-Lite TLB N/A N/A 126898.17000000 PA USD 118015.30000000 0.017698619047 Long LON US N 2 2028-12-08 Floating 5.50599840 N N N N N N BRE GRAND ISLANDER TIMESHARE ISSUER LLC N/A 05584AAA8 2112087.62000000 PA USD 2079924.33000000 0.311923863804 Long ABS-MBS US N 2 2029-05-25 Fixed 2.94000000 N N N N N N BRE GRAND ISLANDER TIMESHARE ISSUER LLC N/A 05588UAA0 909647.44000000 PA USD 883037.98000000 0.132428192042 Long ABS-MBS US N 2 2033-09-26 Fixed 3.28000000 N N N N N N ECI MACOLA/MAX HOLDING, LLC N/A 26825UAK7 1968559.45000000 PA USD 1901293.77000000 0.285134843807 Long LON US N 2 2027-11-09 Floating 4.75599960 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138EGMD3 439411.08000000 PA USD 461140.45000000 0.069156703850 Long DBT USGA US N 2 2036-07-01 Floating 2.28300120 N N N N N N NEUBERGER BERMAN CLO LTD N/A 64131JAL0 590000.00000000 PA USD 580634.93000000 0.087077153823 Long ABS-CBDO CORP KY Y 2 2029-10-18 Floating 1.97429040 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 05608WAL8 1500000.00000000 PA USD 1401465.15000000 0.210176119520 Long ABS-MBS US Y 2 2038-06-15 Floating 2.27499840 N N N N N N EyeCare Partners 10/21 Incremental Cov-Lite TL N/A N/A 555000.00000000 PA USD 518331.15000000 0.077733527468 Long LON US N 2 2028-11-15 Floating 4.75599960 N N N N N N SYMPHONY STATIC CLO LTD N/A 87190TAA1 370018.85000000 PA USD 366108.12000000 0.054904814426 Long ABS-CBDO CORP KY Y 2 2029-10-25 Floating 2.01399840 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64828FAN2 2011302.50000000 PA USD 1957604.75000000 0.293579736826 Long ABS-MBS US N 2 2048-01-25 Floating 2.05571160 N N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST (CWMBS) N/A 761128AJ6 420178.58000000 PA USD 265727.40000000 0.039850833095 Long ABS-MBS US N 2 2022-08-25 Floating 6.21858240 N N N N N N BBCMS TRUST N/A 05552EAG5 5000000.00000000 PA USD 4887200.00000000 0.732927772994 Long ABS-MBS US N 2 2036-08-15 Floating 1.90470960 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AL6 115000.00000000 PA USD 112269.77000000 0.016836968509 Long DBT CORP US N 2 2023-10-01 Fixed 1.30000000 N N N N N N NASDAQ, INC. 549300L8X1Q78ERXFD06 63111XAC5 155000.00000000 PA USD 153019.41000000 0.022948145235 Long DBT CORP US N 2 2022-12-21 Fixed 0.44500000 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST N/A 86358ELS3 2495947.55000000 PA USD 2446092.50000000 0.366837683860 Long ABS-MBS US N 2 2034-09-25 Floating 2.00571120 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 466247QJ5 216178.46000000 PA USD 216032.26000000 0.032398110005 Long ABS-MBS US N 2 2035-06-25 Floating 3.01262760 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJU4 475000.00000000 PA USD 471238.38000000 0.070671078818 Long DBT CORP US N 2 2025-04-22 Floating 0.96009120 N N N N N N DRIVETIME AUTO OWNER TRUST N/A 23345EAC9 155000.00000000 PA USD 151006.75000000 0.022646308926 Long ABS-MBS US Y 2 2027-01-15 Fixed 0.81000000 N N N N N N CPS AUTO RECEIVABLES TRUST N/A 12656NAC5 160481.88000000 PA USD 159987.69000000 0.023993170187 Long ABS-MBS US Y 2 2025-02-18 Fixed 0.61000000 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAJ3 205000.00000000 PA USD 190841.33000000 0.028620255154 Long DBT CORP AE N 2 2024-08-01 Fixed 1.55000000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64830BAA5 391979.17000000 PA USD 387343.82000000 0.058089507975 Long ABS-MBS US N 2 2057-08-27 Floating 3.99999960 N N N N N N BEAR STEARNS ARM TRUST N/A 07384MM25 775065.13000000 PA USD 728336.53000000 0.109227793199 Long ABS-MBS US N 2 2034-05-25 Floating 2.70572760 N N N N N N ExamWorks/Electron 10/21 TL N/A N/A 1107606.87000000 PA USD 1066625.42000000 0.159960589642 Long LON US N 2 2028-11-01 Floating 3.76371000 N N N N N N CIFC FUNDING LTD N/A 17180WAA3 250000.00000000 PA USD 246210.50000000 0.036923906010 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 2.10270960 N N N N N N GSR MORTGAGE LOAN TRUST N/A 36242DUL5 46962.15000000 PA USD 44890.23000000 0.006732136254 Long ABS-MBS US N 2 2035-01-25 Floating 2.56810680 N N N N N N GCAT TRUST N/A 36168KAA5 554642.12000000 PA USD 492989.27000000 0.073933034819 Long ABS-MBS US Y 2 2066-07-25 Floating 1.26200160 N N N N N N HYLAND SOFTWARE N/A 44908XAT5 859631.57000000 PA USD 837306.94000000 0.125569960477 Long LON US N 2 2024-07-01 Floating 4.26371040 N N N N N N LASERSHIP, INC. N/A 51809EAB1 940275.00000000 PA USD 893261.25000000 0.133961364107 Long LON US N 2 2028-05-07 Floating 5.24999880 N N N N N N Government National Mortgage Association N/A 38379K6Q6 10363865.98000000 PA USD 348522.30000000 0.052267489191 Long DBT USGA US N 2 2055-11-16 Floating 0.80902080 N N N N N N PACKERS HOLDINGS, LLC N/A 69519UAF9 1525998.74000000 PA USD 1442068.81000000 0.216265403793 Long LON US N 2 2028-03-09 Floating 3.99999960 N N N N N N FLAGSHIP CREDIT AUTO TRUST N/A 33844WAC4 215000.00000000 PA USD 204642.63000000 0.030690020270 Long ABS-MBS US Y 2 2027-06-15 Fixed 0.93000000 N N N N N N HIGHTOWER HOLDING, LLC N/A 43117LAG8 1771623.60000000 PA USD 1643180.89000000 0.246425951533 Long LON US N 2 2028-04-21 Floating 5.09829120 N N N N N N WeddingWire 2/22 Cov-Lite N/A 94847DAG6 1300000.00000000 PA USD 1270750.00000000 0.190572918548 Long LON US N 2 2025-12-19 Floating 5.30035920 N N N N N N MFA LLC N/A 552747AA5 110936.11000000 PA USD 104925.99000000 0.015735630254 Long ABS-MBS US Y 2 2056-01-25 Floating 0.85200120 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST N/A 885220FS7 1984645.79000000 PA USD 1888222.17000000 0.283174510962 Long ABS-MBS US N 2 2034-09-25 Floating 1.74570840 N N N N N N Achilles/OneDigital Health 11/21 TL N/A N/A 1946178.64000000 PA USD 1853735.15000000 0.278002532167 Long LON US N 2 2027-11-16 Floating 4.74999840 N N N N N N Dell Software (Quest/One Identity) 1/22 N/A 74834YAN2 1804433.89000000 PA USD 1663092.58000000 0.249412084822 Long LON US N 2 2029-02-01 Floating 4.74999840 N N N N N N HOME RE LIMITED N/A 43730VAA6 3000000.00000000 PA USD 2976465.90000000 0.446377173735 Long ABS-MBS BM Y 2 2034-01-25 Floating 1.83445920 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XAL0 300000.00000000 PA USD 303273.41000000 0.045481565108 Long DBT CORP US N 2 2023-05-15 Fixed 4.25000000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 05609VAN5 2000000.00000000 PA USD 1879987.40000000 0.281939551959 Long ABS-MBS US Y 2 2036-09-15 Floating 2.87471880 N N N N N N AMUR EQUIPMENT FINANCE RECEIVABLES LLC N/A 03237MAC4 1500000.00000000 PA USD 1491158.40000000 0.223627313245 Long ABS-MBS US N 2 2025-03-20 Fixed 2.80000000 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 2027A0KE8 300000.00000000 PA USD 295492.85000000 0.044314723458 Long DBT NUSS AU N 2 2026-06-15 Floating 0.57000240 N N N N N N THORNBURG MORTGAGE SECURITIES TRUST N/A 885220HB2 789418.54000000 PA USD 782946.18000000 0.117417539712 Long ABS-MBS US N 2 2045-04-25 Floating 2.16838080 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FLD8 1340922.97000000 PA USD 1346724.07000000 0.201966662600 Long ABS-MBS US N 2 2034-03-25 Floating 2.46191760 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST N/A 96041LAE2 33805.28000000 PA USD 33807.03000000 0.005070001475 Long ABS-MBS US N 2 2024-07-15 Fixed 2.84000000 N N N N N N SBA SENIOR FINANCE II LLC N/A 78404XAH8 357099.35000000 PA USD 348953.91000000 0.052332217247 Long LON US N 2 2025-04-11 Floating 2.52000000 N N N N N N TRITON WATER HOLDINGS, INC. N/A 89678QAB2 6589.53000000 PA USD 6071.99000000 0.000910609369 Long LON US N 2 2028-03-31 Floating 3.99999960 N N N N N N STAR TRUST N/A 78474LAE6 3000000.00000000 PA USD 2960180.40000000 0.443934855997 Long ABS-MBS US Y 2 2024-01-17 Floating 2.48671080 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81743VAA1 1049774.74000000 PA USD 1035121.88000000 0.155236039917 Long ABS-MBS US N 2 2027-10-20 Floating 1.72729080 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03464RAA1 18631.80000000 PA USD 18187.22000000 0.002727516502 Long ABS-MBS US N 2 2059-12-25 Floating 2.46600000 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST N/A 85573JAA4 179397.04000000 PA USD 167057.14000000 0.025053367487 Long ABS-MBS US Y 2 2056-06-25 Floating 1.12700160 N N N N N N ALLEGRO CLO LTD N/A 01751EAC2 1827048.26000000 PA USD 1808321.02000000 0.271191827231 Long ABS-CBDO CORP KY N 2 2028-10-21 Floating 2.17829160 N N N N N N UBS AG LONDON BRANCH N/A 902674YL8 400000.00000000 PA USD 397567.60000000 0.059622756523 Long DBT NUSS CH N 2 2024-08-09 Floating 1.24013160 N N N N N N CONAGRA BRANDS, INC. 54930035UDEIH090K650 205887CG5 225000.00000000 PA USD 218479.63000000 0.032765139274 Long DBT CORP US N 2 2023-08-11 Fixed 0.50000000 N N N N N N GLOBAL MEDICAL RESPONSE, INC. 549300ZFWD4ZFCEJCQ87 37960BAA3 462000.00000000 PA USD 443520.00000000 0.066514185193 Long DBT CORP US N 2 2025-10-01 Fixed 6.50000000 N N N N N N AQUA FINANCE TRUST N/A 03842VAA5 153825.72000000 PA USD 144712.92000000 0.021702430467 Long ABS-MBS US Y 2 2046-07-17 Fixed 1.54000000 N N N N N N CHARTER NEXT GENERATION, INC. N/A 16125TAJ1 725000.00000000 PA USD 697812.50000000 0.104650139464 Long LON US N 2 2027-12-01 Floating 4.51370880 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64830UAA3 41169.80000000 PA USD 39954.42000000 0.005991918495 Long ABS-MBS US N 2 2060-05-24 Floating 1.65017160 N N N N N N ASURION LLC N/A 04649VAY6 527162.56000000 PA USD 497905.04000000 0.074670247202 Long LON US N 2 2027-07-31 Floating 4.01370840 N N N N N N COMM MORTGAGE TRUST N/A 12630DAZ7 24485739.14000000 PA USD 179429.05000000 0.026908768625 Long DBT USGA US N 2 2047-02-10 Floating 0.53159760 N N N N N N ION TRADING FINANCE LIMITED N/A L5582BAV9 1551789.12000000 PA USD 1483619.02000000 0.222496641082 Long LON US N 2 2028-04-01 Floating 5.51370960 N N N N N N SOUTHERN NATURAL GAS COMPANY, L.L.C. N/A 84346LAC4 205000.00000000 PA USD 203649.42000000 0.030541069707 Long DBT CORP US N 2 2023-04-28 Fixed 0.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KNK1 3000000.00000000 PA USD 2909666.70000000 0.436359374403 Long DBT USGA US Y 2 2041-12-25 Floating 1.53446040 N N N N N N RADNET MANAGEMENT INC N/A 75049EAM6 1591020.58000000 PA USD 1536003.09000000 0.230352619918 Long LON US N 2 2028-04-23 Floating 4.00570920 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81743SAA8 320095.92000000 PA USD 306349.94000000 0.045942948780 Long ABS-MBS US N 2 2032-09-20 Floating 1.62729000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31400YA22 102847.41000000 PA USD 103011.67000000 0.015448541881 Long DBT USGA US N 2 2033-04-01 Floating 1.91499840 N N N N N N TRANSDIGM INC. N/A 89364MBR4 320000.00000000 PA USD 311139.20000000 0.046661188604 Long LON US N 2 2025-12-09 Floating 3.01371120 N N N N N N MILANO ACQUISITION N/A 59909TAC8 3083771.92000000 PA USD 3006677.62000000 0.450907990697 Long LON US N 2 2027-10-01 Floating 5.00600160 N N N N N N VOYA CLO N/A 92916WAA7 500000.00000000 PA USD 493883.50000000 0.074067141466 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 2.15399880 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 12433YAJ6 827133.48000000 PA USD 790839.44000000 0.118601282852 Long ABS-MBS US Y 2 2037-10-15 Floating 2.27471040 N N N N N N Mizuho Financial Group, Inc. 353800CI5L6DDAN5XZ33 60687YBC2 525000.00000000 PA USD 524620.56000000 0.078676743065 Long DBT NUSS JP N 2 2024-05-25 Floating 2.15385840 N N N N N N METLIFE SECURITIZATION TRUST N/A 59166BAA9 152261.40000000 PA USD 149113.12000000 0.022362323409 Long ABS-MBS US N 2 2055-04-25 Floating 2.99999880 N N N N N N HPEFS EQUIPMENT TRUST N/A 40441JAD3 155000.00000000 PA USD 148769.70000000 0.022310821106 Long ABS-MBS US Y 2 2028-09-20 Fixed 0.61000000 N N N N N N DEXT ABS LLC N/A 23345CAA7 123514.44000000 PA USD 119934.92000000 0.017986502254 Long ABS-MBS US Y 2 2028-02-15 Fixed 1.12000000 N N N N N N CONSOLIDATED COMMUNICATIONS, INC. N/A 20903EBB0 0.02000000 PA USD 0.02000000 0.000000002999 Long LON US N 2 2027-10-02 Floating 4.31250120 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31408C2W5 321544.11000000 PA USD 331214.76000000 0.049671897288 Long DBT USGA US N 2 2035-10-01 Floating 1.73999880 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128Q2CR2 383470.26000000 PA USD 400990.43000000 0.060136074409 Long DBT USGA US N 2 2035-06-01 Floating 2.30400000 N N N N N N VERUS SECURITIZATION TRUST N/A 92538DAA7 1051784.38000000 PA USD 1025619.03000000 0.153810908413 Long ABS-MBS US Y 2 2064-02-25 Floating 0.91800000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 05610HAA1 1887537.46000000 PA USD 1822554.83000000 0.273326455375 Long ABS-MBS US Y 2 2039-02-15 Floating 1.80889920 N N N N N N UBS AG LONDON BRANCH N/A 902674YK0 300000.00000000 PA USD 284015.46000000 0.042593472457 Long DBT NUSS CH N 2 2024-08-09 Fixed 0.70000000 N N N N N N AFFIRM ASSET SECURITIZATION TRUST N/A 00834CAA3 168626.35000000 PA USD 164977.71000000 0.024741517757 Long ABS-MBS US Y 2 2025-08-15 Fixed 1.07000000 N N N N N N PROOFPOINT INC TL 1L B N/A 74345HAB7 538547.90000000 PA USD 515745.78000000 0.077345802497 Long LON US N 2 2028-08-31 Floating 3.75786000 N N N N N N FREDDIE MAC STACR REMIC TRUST N/A 3137G0UD9 1128237.30000000 PA USD 1118294.14000000 0.167709288259 Long DBT USGA US N 2 2030-09-25 Floating 3.30571080 N N N N N N THE CHARLES SCHWAB CORPORATION 549300VSGCJ7E698NM85 808513BM6 300000.00000000 PA USD 299221.81000000 0.044873951308 Long DBT CORP US N 2 2024-03-18 Floating 0.78793200 N N N N N N ADJUSTABLE RATE MORTGAGE TRUST N/A 007036FX9 1837598.99000000 PA USD 1762898.02000000 0.264379792071 Long ABS-MBS US N 2 2035-05-25 Floating 2.05571160 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64831EAA8 77184.90000000 PA USD 74963.68000000 0.011242217023 Long ABS-MBS US N 2 2058-10-25 Floating 0.94053960 N N N N N N PETVET CARE CENTERS, LLC N/A 70476XAK1 1269640.13000000 PA USD 1220441.57000000 0.183028221061 Long LON US N 2 2025-02-14 Floating 4.26371040 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03465LAA3 121379.64000000 PA USD 116690.13000000 0.017499884823 Long ABS-MBS US N 2 2065-04-25 Floating 1.69099920 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST N/A 78449DAC0 2525424.09000000 PA USD 2473768.81000000 0.370988268295 Long ABS-MBS US Y 2 2054-09-15 Floating 1.85571000 N N N N N N Epicor 7/20 Cov-Lite N/A 29426NAN4 66010.43000000 PA USD 64078.30000000 0.009609749082 Long LON US N 2 2027-07-30 Floating 4.01370840 N N N N N N Deutsche Bank AG (New York Branch) N/A 251526CL1 400000.00000000 PA USD 397469.85000000 0.059608097068 Long DBT NUSS DE N 2 2023-11-08 Floating 1.29011040 N N N N N N KKR FINANCIAL CLO, LTD. N/A 48250RBE5 500000.00000000 PA USD 494736.00000000 0.074194989912 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 2.17928880 N N N N N N CNA FINANCIAL CORPORATION 549300YX2GSZD7YG1R84 126117AE0 100000.00000000 PA USD 105688.58000000 0.015849995001 Long DBT CORP US N 2 2023-11-15 Fixed 7.25000000 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE TRUST N/A 24380VAA9 52892.17000000 PA USD 50842.95000000 0.007624858838 Long ABS-MBS US Y 2 2065-05-25 Floating 0.71499960 N N N N N N ORGANON & CO N/A 68621XAE3 536368.34000000 PA USD 522401.31000000 0.078343924690 Long LON US N 2 2028-06-02 Floating 3.56249880 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31403K6T5 149386.39000000 PA USD 148900.61000000 0.022330453528 Long DBT USGA US N 2 2033-10-01 Floating 2.01999960 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST N/A 85573AAA3 19068.41000000 PA USD 19015.03000000 0.002851662217 Long ABS-MBS US N 2 2050-02-25 Floating 2.27499840 N N N N N N MILEAGE PLUS HOLDINGS LLC N/A 59921PAB2 905000.00000000 PA USD 917063.65000000 0.137530982707 Long LON US N 2 2027-06-21 Floating 6.24999960 N N N N N N FLAGSHIP CREDIT AUTO TRUST N/A 33843FAA6 6610.45000000 PA USD 6608.76000000 0.000991108149 Long ABS-MBS US N 2 2024-08-15 Fixed 1.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KMA4 1500000.00000000 PA USD 1459313.55000000 0.218851577652 Long DBT USGA US N 2 2041-11-25 Floating 1.43445960 N N N N N N TGG TS ACQUISITION COMPANY N/A 87242CAB4 1178381.16000000 PA USD 1154813.54000000 0.173186060749 Long LON US N 2 2025-12-14 Floating 7.26370920 N N N N N N CIFC FUNDING LTD N/A 12550MAJ9 838703.86000000 PA USD 825397.82000000 0.123783963424 Long ABS-CBDO CORP KY N 2 2029-04-19 Floating 1.91428920 N N N N N N MILL CITY MORTGAGE LOAN TRUST N/A 59982HAC4 110482.81000000 PA USD 104696.89000000 0.015701272390 Long ABS-MBS US Y 2 2060-11-25 Floating 1.12500000 N N N N N N CAST & CREW ENTERTAINMENT 12/21 INCREMENTAL N/A N/A 1755600.00000000 PA USD 1707321.00000000 0.256044970190 Long LON US N 2 2028-12-29 Floating 4.45035960 N N N N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST N/A 02530WAA2 378111.39000000 PA USD 373582.75000000 0.056025776106 Long ABS-MBS US Y 2 2025-12-15 Fixed 0.99000000 N N N N N N Pretium Packaging 9/21 2nd Lien N/A 74142KAH2 1685000.00000000 PA USD 1479986.06000000 0.221951810242 Long LON US N 2 2029-10-01 Floating 7.71685920 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31410KWF7 119717.06000000 PA USD 124235.60000000 0.018631470296 Long DBT USGA US N 2 2035-05-01 Floating 2.30299920 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64828MAA5 147374.12000000 PA USD 145514.11000000 0.021822584011 Long ABS-MBS US N 2 2057-04-25 Floating 3.99999960 N N N N N N AMERISOURCEBERGEN CORPORATION AI8GXW8LG5WK7E9UD086 03073EAS4 340000.00000000 PA USD 335275.19000000 0.050280835314 Long DBT CORP US N 2 2023-03-15 Fixed 0.73700000 N N N N N N Safe Fleet 2/22 N/A N/A 685000.00000000 PA USD 652462.50000000 0.097849052031 Long LON US N 2 2029-02-23 Floating 4.77343080 N N N N N N CONNECTICUT AVENUE SECURITIES N/A 30711XAR5 117215.37000000 PA USD 118105.53000000 0.017712150736 Long DBT USGA US N 2 2024-11-25 Floating 6.00571080 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD N/A 14310MAW7 648029.75000000 PA USD 636481.86000000 0.095452453797 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 2.01429000 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 12434FAG2 2000000.00000000 PA USD 1904897.60000000 0.285675306054 Long ABS-MBS US Y 2 2038-12-15 Floating 2.34600120 N N N N N N ATHENAHEALTH GROUP INC. 254900AA3KZN4Q7A5Z33 74049LAQ4 334675.25000000 PA USD -15897.07000000 -0.00238406533 Long LON US N 2 2029-02-15 Floating 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564WAA1 1266029.17000000 PA USD 1243590.70000000 0.186499869509 Long DBT USGA US N 2 2048-11-25 Floating 1.95571080 N N N N N N Brook & Whittle 12/21 Cov-Lite TL N/A N/A 1042428.21000000 PA USD 1000731.08000000 0.150078491125 Long LON US N 2 2028-12-14 Floating 5.02545960 N N N N N N MIDCAP FINANCIAL ISSUER TRUST N/A 59590AAA7 350000.00000000 PA USD 273000.00000000 0.040941496568 Long DBT CORP US N 2 2030-01-15 Fixed 5.62500000 N N N N N N NOMURA ASSET SECURITIES CORPORATION N/A 65535VFM5 624969.20000000 PA USD 625781.28000000 0.093847700100 Long ABS-MBS US N 2 2034-11-25 Floating 2.14571160 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST N/A 80287EAC9 160000.00000000 PA USD 159325.39000000 0.023893845816 Long ABS-MBS US N 2 2025-03-17 Fixed 0.33000000 N N N N N N MORGAN STANLEY DEAN WITTER CAPITAL I INC N/A 61748HFC0 598093.23000000 PA USD 587372.29000000 0.088087547967 Long ABS-MBS US N 2 2034-11-25 Floating 3.49458840 N N N N N N MERRILL LYNCH MORTGAGE TRUST N/A 59020UTB1 725054.58000000 PA USD 681700.30000000 0.102233811329 Long ABS-MBS US N 2 2030-03-25 Floating 1.46571120 N N N N N N Generation Brands/Visual Comfort 6/21 2 Lien CL TL N/A N/A 1474394.60000000 PA USD 1360129.02000000 0.203976987562 Long LON US N 2 2029-07-23 Floating 7.75599840 N N N N N N CARVANA AUTO RECEIVABLES TRUST N/A 14687DAA0 142372.79000000 PA USD 137476.22000000 0.020617150876 Long ABS-MBS US N 2 2028-01-10 Fixed 0.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2HP8 132355435.35000000 PA USD 155504.40000000 0.023320816333 Long DBT USGA US N 2 2023-02-25 Floating 0.21779640 N N N N N N BAYVIEW COMMERCIAL ASSET TRUST N/A 07324SAX0 1429176.57000000 PA USD 1415710.58000000 0.212312490301 Long ABS-MBS US N 2 2035-01-25 Floating 1.56071160 N N N N N N CAMBREX CORPORATION N/A 13201FAU0 1566483.57000000 PA USD 1510685.43000000 0.226555759515 Long LON US N 2 2026-12-04 Floating 4.26371040 N N N N N N ELARA HGV TIMESHARE N/A 28416TAA3 1217103.96000000 PA USD 1170971.09000000 0.175609189972 Long ABS-MBS US N 2 2034-01-25 Fixed 2.61000000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FEB0 647350.78000000 PA USD 630955.46000000 0.094623665934 Long ABS-MBS US N 2 2033-10-25 Floating 2.49863040 N N N N N N BANK N/A 06541KAX6 600000.00000000 PA USD 602047.26000000 0.090288336370 Long ABS-MBS US N 2 2061-05-15 Fixed 4.07400000 N N N N N N PRPM LLC N/A 69360GAA1 100702.66000000 PA USD 93877.71000000 0.014078732387 Long ABS-MBS US Y 2 2051-07-25 Fixed 1.31900000 N N N N N N Vantage Elevator 11/21 TL N/A N/A 700000.00000000 PA USD 663250.00000000 0.099466841021 Long LON US N 2 2028-11-19 Floating 4.67843040 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST N/A 85573HAA8 66195.08000000 PA USD 62522.42000000 0.009376415545 Long ABS-MBS US Y 2 2065-05-25 Floating 0.94299840 N N N N N N CROSS FINANCIAL CORP. N/A 22750JAD6 1419502.37000000 PA USD 1368641.60000000 0.205253609411 Long LON US N 2 2027-09-15 Floating 4.81250160 N N N N N N AVERY POINT CLO, LIMITED N/A 05363UAW3 717983.70000000 PA USD 712361.17000000 0.106831986801 Long ABS-CBDO CORP KY N 2 2026-04-25 Floating 3.53400120 N N N N N N BERLIN PACKAGING L.L.C. N/A 08511LAX6 1513688.55000000 PA USD 1437731.65000000 0.215614964887 Long LON US N 2 2028-03-11 Floating 4.55000040 N N N N N N GCAT TRUST N/A 36166RAA2 55056.91000000 PA USD 53029.49000000 0.007952771732 Long ABS-MBS US N 2 2065-04-25 Floating 1.55499840 N N N N N N LSTAR SECURITIES INVESTMENT LTD. N/A 54912JAA0 186030.03000000 PA USD 182750.32000000 0.027406855674 Long ABS-MBS US N 2 2024-05-01 Floating 4.29999840 N N N N N N DRIVE AUTO RECEIVABLES TRUST N/A 262108AD5 110000.00000000 PA USD 109275.57000000 0.016387931773 Long ABS-MBS US N 2 2025-07-15 Fixed 0.65000000 N N N N N N United Talent 6/21 TLB N/A N/A 545000.00000000 PA USD 520475.00000000 0.078055038191 Long LON US N 2 2028-07-07 Floating 5.00600160 N N N N N N ILLUMINA, INC. SQ95QG8SR5Q56LSNF682 452327AL3 225000.00000000 PA USD 220257.99000000 0.033031837881 Long DBT CORP US N 2 2023-03-23 Fixed 0.55000000 N N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST N/A 22535GAA0 250000.00000000 PA USD 239663.00000000 0.035941984952 Long ABS-MBS US Y 2 2030-05-15 Fixed 1.00000000 N N N N N N FIRST INVESTORS AUTO OWNER TRUST N/A 32059FAE9 610000.00000000 PA USD 576968.01000000 0.086527230041 Long ABS-MBS US Y 2 2027-03-15 Fixed 1.17000000 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST N/A 96043FAD5 230000.00000000 PA USD 225674.83000000 0.033844195157 Long ABS-MBS US Y 2 2026-03-16 Fixed 0.64000000 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST N/A 86358EFK7 1818528.17000000 PA USD 1720268.55000000 0.257986699399 Long ABS-MBS US N 2 2033-11-25 Floating 1.72571040 N N N N N N NETSMART, INC. N/A 64119DAM7 1720071.87000000 PA USD 1668469.71000000 0.250218486834 Long LON US N 2 2027-10-01 Floating 4.76371080 N N N N N N WOODFORD EXPRESS N/A 97939DAD5 1432678.73000000 PA USD 1402234.31000000 0.210291469562 Long LON US N 2 2025-01-27 Floating 6.00599880 N N N N N N VERUS SECURITIZATION TRUST N/A 92538LAA9 33309.41000000 PA USD 31996.62000000 0.004798496366 Long ABS-MBS US N 2 2065-05-25 Floating 1.50199920 N N N N N N LBM ACQUISITION, LLC N/A 50179JAB4 1172807.09000000 PA USD 1068427.26000000 0.160230809518 Long LON US N 2 2027-12-17 Floating 4.51370880 N N N N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST N/A 02660TEQ2 10813.24000000 PA USD 10783.55000000 0.001617196612 Long ABS-MBS US N 2 2045-09-25 Floating 3.34814040 N N N N N N BEAR STEARNS ALT-A TRUST N/A 07386HDL2 657681.50000000 PA USD 657572.00000000 0.098615317880 Long ABS-MBS US N 2 2033-12-25 Floating 2.83723920 N N N N N N MADISON PARK FUNDING, LTD. N/A 55818YBN0 250000.00000000 PA USD 247071.00000000 0.037052954207 Long ABS-CBDO CORP KY Y 2 2030-07-21 Floating 2.09828880 N N N N N N ENVISION HEALTHCARE CORPORATION N/A 29373UAC5 452449.82000000 PA USD 175075.46000000 0.026255865731 Long LON US N 2 2025-10-10 Floating 4.51370880 N N N N N N BXHPP TRUST N/A 05609JAL6 2530000.00000000 PA USD 2368241.67000000 0.355162484266 Long ABS-MBS US Y 2 2036-08-15 Floating 1.97499960 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 034651AA7 97182.22000000 PA USD 94313.63000000 0.014144106809 Long ABS-MBS US Y 2 2053-04-25 Floating 0.99000000 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST N/A 105690AA9 186187.52000000 PA USD 180654.86000000 0.027092601943 Long ABS-MBS US Y 2 2060-04-25 Floating 1.69899840 N N N N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36264LAJ7 2000000.00000000 PA USD 1920276.40000000 0.287981647034 Long ABS-MBS US Y 2 2036-12-15 Floating 2.27471040 N N N N N N GSK CONSUMER HEALTHCARE CAPITAL US LLC 549300N8C3A3L0UVQB07 36264GAB5 250000.00000000 PA USD 250102.50000000 0.037507584781 Long DBT CORP US N 2 2024-03-24 Floating 0.79999920 N N N N N N CHASE MORTGAGE FINANCE CORPORATION N/A 161630AU2 156699.03000000 PA USD 158437.17000000 0.023760640482 Long ABS-MBS US N 2 2037-02-25 Floating 2.83843440 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS, INC. UMI46YPGBLUE4VGNNT48 65339KBT6 400000.00000000 PA USD 398907.94000000 0.059823765774 Long DBT CORP US N 2 2023-02-22 Floating 1.77486120 N N N N N N CONNECTICUT AVENUE SECURITIES N/A 30711XCT9 172771.07000000 PA USD 179276.16000000 0.026885839887 Long DBT USGA US N 2 2028-10-25 Floating 6.90571080 N N N N N N BHG SECURITIZATION TRUST N/A 054977AA1 375581.57000000 PA USD 362702.58000000 0.054394089502 Long ABS-MBS US Y 2 2035-02-20 Fixed 1.71000000 N N N N N N MA FINANCECO., LLC N/A 55280FAL5 1515168.46000000 PA USD 1431834.19000000 0.214730529582 Long LON US N 2 2025-06-05 Floating 5.24999880 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST N/A 41161PFU2 935113.23000000 PA USD 954192.81000000 0.143099200204 Long ABS-MBS US N 2 2034-08-19 Floating 2.58659640 N N N N N N FCI FUNDING LIMITED N/A 30260GAA4 82838.28000000 PA USD 81803.89000000 0.012268035464 Long ABS-MBS US Y 2 2033-04-15 Fixed 1.13000000 N N N N N N Pro Mach 8/21 Cov-Lite Delayed TL N/A 74273JAF0 27569.83000000 PA USD 26589.45000000 0.003987589289 Long LON US N 2 2028-08-31 Floating 3.99999960 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST N/A 31572LAA4 102681.80000000 PA USD 93621.26000000 0.014040272875 Long ABS-MBS US Y 2 2066-06-25 Floating 0.93099960 N N N N N N BENEFIT STREET PARTNERS CLO LTD N/A 08179HAE0 425000.00000000 PA USD 419151.15000000 0.062859616737 Long ABS-CBDO CORP KY Y 2 2030-10-15 Floating 1.99428840 N N N N N N AFFIRM ASSET SECURITIZATION TRUST N/A 00833MAA2 100000.00000000 PA USD 98400.57000000 0.014757020508 Long ABS-MBS US Y 2 2025-08-15 Fixed 0.88000000 N N N N N N SUMMER (BC) BIDCO B LLC N/A N/A 1448964.04000000 PA USD 1363837.40000000 0.204533129053 Long LON US N 2 2026-12-04 Floating 5.50599840 N N N N N N APTTUS CORPORATION N/A 03835XAC6 940517.58000000 PA USD 899369.94000000 0.134877477333 Long LON US N 2 2028-05-08 Floating 5.62070880 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89177EAA7 588888.10000000 PA USD 583025.31000000 0.087435636367 Long ABS-MBS US N 2 2048-10-25 Floating 1.18685880 N N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST N/A 86359BVG3 1356457.87000000 PA USD 1338711.74000000 0.200765062669 Long ABS-MBS US N 2 2034-07-25 Floating 1.37571120 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RHN5 325000.00000000 PA USD 339410.67000000 0.050901028501 Long DBT CORP US N 2 2023-02-01 Fixed 9.15000000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 46630GAA3 613179.12000000 PA USD 622547.09000000 0.093362672339 Long ABS-MBS US N 2 2035-07-25 Floating 2.60053920 N N N N N N STAR TRUST N/A 85521DAG7 1000000.00000000 PA USD 971659.80000000 0.145718704641 Long ABS-MBS US Y 2 2038-04-17 Floating 2.18700000 N N N N N N 1011778 B.C. UNLIMITED LIABILITY COMPANY 549300RHSHNRWI5LLA86 68245XAJ8 639000.00000000 PA USD 600468.30000000 0.090051541551 Long DBT NUSS CA N 2 2028-01-15 Fixed 4.37500000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XDF0 400000.00000000 PA USD 393057.97000000 0.058946452490 Long DBT CORP US N 2 2024-03-08 Floating 0.81000360 N N N N N N FREMF MORTGAGE TRUST N/A 30291HAG2 1460000.00000000 PA USD 1457692.91000000 0.218608532132 Long ABS-MBS US N 2 2046-06-25 Floating 3.48879600 N N N N N N RADIAN GUARANTY INC AND EAGLE RE LTD N/A 26982LAA8 1108096.02000000 PA USD 1101339.40000000 0.165166605367 Long ABS-MBS BM N 2 2030-01-25 Floating 1.90571040 N N N N N N HOLLEY INC. N/A 26658NAB5 2917.86000000 PA USD -122.78000000 -0.00001841317 Long LON US N 2 2028-11-17 Floating 3.75000120 N N N N N N SERVICE LOGIC ACQUISITION, INC. N/A 81759AAC4 2576398.16000000 PA USD 2460460.24000000 0.368992397332 Long LON US N 2 2027-10-29 Floating 5.28599880 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07332GAA6 308500.31000000 PA USD 298487.50000000 0.044763827680 Long ABS-MBS US N 2 2057-10-28 Floating 3.49999920 N N N N N N DYNASTY ACQUISITION CO., INC. N/A 26812CAE6 998542.29000000 PA USD 944121.74000000 0.141588853399 Long LON US N 2 2026-04-06 Floating 4.50600120 N N N N N N SKYMILES IP LTD. (DELA AIR LINES, INC.) N/A 24736CBS2 1175000.00000000 PA USD 1184987.50000000 0.177711214888 Long LON US N 2 2027-10-20 Floating 4.74999840 N N N N N N SCIH SALT HOLDINGS INC. N/A 78397GAF8 1011881.69000000 PA USD 948011.72000000 0.142172229233 Long LON US N 2 2027-03-16 Floating 4.74999840 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCL7 275000.00000000 PA USD 272538.75000000 0.040872323435 Long DBT CORP US N 2 2024-12-06 Floating 0.74000160 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AP2 2000000.00000000 PA USD 1996570.56000000 0.299423394615 Long DBT CORP US N 2 2022-11-15 Fixed 3.12500000 N N N N N N LIFE TIME, INC. N/A 50218KAG3 556381.93000000 PA USD 548870.77000000 0.082313519217 Long LON US N 2 2024-12-16 Floating 5.74999920 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 056054AA7 227050.56000000 PA USD 224203.94000000 0.033623607472 Long ABS-MBS US N 2 2036-10-15 Floating 1.79499960 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63942NAB4 1289417.28000000 PA USD 1251923.35000000 0.187749507463 Long ABS-MBS US Y 2 2069-12-26 Floating 1.60571160 N N N N N N ITP Aero 1/22 N/A N/A 1250000.00000000 PA USD 1212500.00000000 0.181837232925 Long LON US N 2 2029-02-10 Floating 0.00000000 N N N N N N FLEXSYS HOLDINGS, INC. N/A 33939NAC0 851345.10000000 PA USD 804521.12000000 0.120653108693 Long LON US N 3 2028-11-01 Floating 6.05000160 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89177HAD4 3000000.00000000 PA USD 2960877.00000000 0.444039324300 Long ABS-MBS US N 2 2058-05-25 Floating 2.08685880 N N N N N N MH SUB I, LLC N/A 45567YAJ4 261000.00000000 PA USD 251102.88000000 0.037657610621 Long LON US N 2 2024-09-13 Floating 4.26371040 N N N N N N Enbridge Inc. 98TPTUM4IVMFCZBCUR27 29250NBM6 250000.00000000 PA USD 248916.14000000 0.037329667734 Long DBT NUSS CA N 2 2024-02-16 Floating 1.42099560 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137G1AY3 556370.03000000 PA USD 533930.51000000 0.080072945577 Long DBT USGA US N 2 2046-07-25 Floating 3.90293280 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 05608KAA8 240000.00000000 PA USD 230385.91000000 0.034550710416 Long ABS-MBS US Y 2 2038-05-15 Floating 1.52732880 N N N N N N CHANGE HEALTHCARE HOLDINGS INC. N/A 15911AAC7 1334601.83000000 PA USD 1310418.86000000 0.196522011939 Long LON US N 2 2024-03-01 Floating 3.49999920 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JX6 340000.00000000 PA USD 339341.99000000 0.050890728640 Long DBT CORP US N 2 2022-11-14 Floating 1.95035040 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FWL8 1614650.27000000 PA USD 1605615.01000000 0.240792239639 Long ABS-MBS US N 2 2034-08-25 Floating 2.75268600 N N N N N N TransDigm 2/20 Cov-Lite N/A 89364MBS2 1250723.49000000 PA USD 1220018.23000000 0.182964733247 Long LON US N 2 2024-08-22 Floating 3.01371120 N N N N N N MORGAN STANLEY DEAN WITTER CAPITAL I INC N/A 61748HAR2 319624.19000000 PA USD 311561.80000000 0.046724565441 Long ABS-MBS US N 2 2034-07-25 Floating 2.39945760 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST N/A 10569TAA6 96569.72000000 PA USD 91137.21000000 0.013667742748 Long ABS-MBS US Y 2 2049-02-25 Floating 0.94100040 N N N N N N HYLAND SOFTWARE, INC. N/A 44908XAV0 1980600.00000000 PA USD 1954614.53000000 0.293131296966 Long LON US N 2 2025-07-07 Floating 7.01371080 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST N/A 03067DAF2 475000.00000000 PA USD 466061.83000000 0.069894757558 Long ABS-MBS US N 2 2025-10-20 Fixed 1.59000000 N N N N N N ACCREDITED MORTGAGE LOAN TRUST N/A 004375CA7 19103.04000000 PA USD 18958.17000000 0.002843134988 Long ABS-MBS US N 2 2035-01-25 Floating 1.68571080 N N N N N N VERUS SECURITIZATION TRUST N/A 92537QAA9 1050862.74000000 PA USD 1001484.38000000 0.150191462662 Long ABS-MBS US Y 2 2066-01-25 Floating 0.81500040 N N N N N N APIDOS CLO N/A 03764DAH4 725000.00000000 PA USD 715362.58000000 0.107282104813 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.12429160 N N N N N N FIRST STUDENT/FIRST TRANSIT 7/21 TLB N/A 33718FAD2 996468.82000000 PA USD 936321.96000000 0.140419129347 Long LON US N 2 2028-07-21 Floating 3.98286000 N N N N N N WarnerMedia Holdings, Inc. 549300DXR29GD4N0A520 55903VAA1 165000.00000000 PA USD 166196.25000000 0.024924260802 Long DBT CORP US N 2 2024-03-15 Floating 2.06414640 N N N N N N BAIN CAPITAL CREDIT CLO N/A 05683LAA4 450000.00000000 PA USD 445047.30000000 0.066743232621 Long ABS-CBDO CORP KY N 2 2031-04-23 Floating 2.14400160 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST N/A 31574XAA6 900616.10000000 PA USD 825095.03000000 0.123738554355 Long ABS-MBS US Y 2 2066-02-25 Floating 0.79700040 N N N N N N INVITATION HOMES TRUST N/A 46185JAE8 2199684.51000000 PA USD 2156318.83000000 0.323380659260 Long ABS-MBS US N 2 2037-03-17 Floating 2.13699960 N N N N N N CSMC TRUST N/A 12660LAA7 282205.51000000 PA USD 259069.60000000 0.038852370473 Long ABS-MBS US Y 2 2066-04-25 Floating 1.01499840 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST N/A 85573MAA7 560288.09000000 PA USD 549864.10000000 0.082462487776 Long ABS-MBS US N 2 2065-04-25 Floating 1.48600080 N N N N N N CIM TRUST N/A 12553HAA6 94022.32000000 PA USD 93994.10000000 0.014096187262 Long ABS-MBS US N 2 2057-04-25 Floating 2.99999880 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03464LAA4 52064.48000000 PA USD 50047.28000000 0.007505533122 Long ABS-MBS US N 2 2065-06-25 Floating 1.46900160 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81744FFY8 1731258.67000000 PA USD 1650017.28000000 0.247451197092 Long ABS-MBS US N 2 2035-01-20 Floating 1.46729160 N N N N N N FREDDIE MAC STACR REMIC TRUST N/A 3137G0GW3 255335.12000000 PA USD 261895.34000000 0.039276143457 Long DBT USGA US N 2 2028-04-25 Floating 5.70570840 N N N N N N FLAGSHIP CREDIT AUTO TRUST N/A 33844WAA8 203235.02000000 PA USD 200420.19000000 0.030056785791 Long ABS-MBS US Y 2 2026-12-15 Fixed 0.37000000 N N N N N N LBM ACQUISITION, LLC 549300FAEB3VWZL4NI86 05552BAA4 1304000.00000000 PA USD 1011221.76000000 0.151651766361 Long DBT CORP US N 2 2029-01-15 Fixed 6.25000000 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03465DAA1 1048282.54000000 PA USD 965139.69000000 0.144740891230 Long ABS-MBS US Y 2 2066-04-25 Floating 0.98499960 N N N N N N DUN & BRADSTREET 1/22 INCREMENTAL N/A N/A 965000.00000000 PA USD 933637.50000000 0.140016543963 Long LON US N 2 2029-01-18 Floating 4.22529840 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89169EAA7 798548.40000000 PA USD 791107.45000000 0.118641476004 Long ABS-MBS US N 2 2057-02-25 Floating 1.60571160 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03464NAA0 9200.75000000 PA USD 9166.09000000 0.001374627993 Long ABS-MBS US N 2 2048-09-25 Floating 3.64899960 N N N N N N GLS AUTO RECEIVABLES TRUST N/A 36263LAA7 292902.35000000 PA USD 290093.71000000 0.043505020631 Long ABS-MBS US Y 2 2025-01-15 Fixed 0.42000000 N N N N N N ARROYO MORTGAGE TRUST N/A 042853AA9 1262237.98000000 PA USD 1177577.91000000 0.176600007182 Long ABS-MBS US Y 2 2048-10-25 Floating 1.17500040 N N N N N N DEWOLF PARK CLO, LTD. N/A 25211AAE9 425000.00000000 PA USD 419423.58000000 0.062900472751 Long ABS-CBDO CORP KY Y 2 2030-10-15 Floating 1.96428960 N N N N N N VERUS SECURITIZATION TRUST N/A 92538BAA1 147561.17000000 PA USD 144302.31000000 0.021640851756 Long ABS-MBS US Y 2 2063-10-25 Floating 0.82000080 N N N N N N IMPERIAL FUND MORTGAGE TRUST N/A 452762AA5 157558.39000000 PA USD 141042.84000000 0.021152032783 Long ABS-MBS US Y 2 2056-11-25 Floating 1.59500160 N N N N N N STAR US BIDCO LLC N/A 85519WAC8 2494861.09000000 PA USD 2420015.26000000 0.362926910116 Long LON US N 2 2027-03-17 Floating 5.24999880 N N N N N N FREDDIE MAC STACR REMIC TRUST N/A 35564KUW7 1572061.49000000 PA USD 1566695.26000000 0.234955489415 Long DBT USGA US Y 2 2042-04-25 Floating 2.58446160 N N N N N N LIFE MORTGAGE TRUST N/A 53218CAG5 982970.15000000 PA USD 922033.86000000 0.138276359394 Long ABS-MBS US Y 2 2038-03-15 Floating 2.27499840 N N N N N N N/A N/A 12656GAA4 46879.42000000 PA USD 46009.30000000 0.006899961897 Long ABS-MBS US N 2 2065-10-26 Floating 1.32500160 N N N N N N SPX FLOW 1/22 N/A N/A 1024211.80000000 PA USD 960843.82000000 0.144096644538 Long LON US N 2 2029-04-05 Floating 5.30035920 N N N N N N ELP COMMERCIAL MORTGAGE TRUST N/A 26863LAA2 350000.00000000 PA USD 334441.94000000 0.050155873768 Long ABS-MBS US Y 2 2038-11-15 Floating 1.57600080 N N N N N N NORDSTROM, INC. 549300S3IZB5P35KNV16 655664AX8 160000.00000000 PA USD 153600.00000000 0.023035215651 Long DBT CORP US N 2 2024-04-08 Fixed 2.30000000 N N N N N N MAGNETITE CLO, LIMITED N/A 55953TAL1 1000000.00000000 PA USD 973153.00000000 0.145942638130 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 2.91129120 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST N/A 80285RAF5 1009765.66000000 PA USD 1006578.03000000 0.150955351504 Long ABS-MBS US N 2 2025-09-15 Fixed 1.46000000 N N N N N N KNDL KNSQ MORTGAGE TRUST N/A 482598AA7 150000.00000000 PA USD 147124.01000000 0.022064018866 Long ABS-MBS US N 2 2036-05-15 Floating 1.67500080 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17309DAJ2 129764.17000000 PA USD 128946.66000000 0.019337982556 Long ABS-MBS US N 2 2049-03-15 Floating 6.30624600 N N N N N N ENTERPRISE DEVELOPMENT AUTHORITY N/A 29372LAC6 1773988.06000000 PA USD 1720768.42000000 0.258061664329 Long LON US N 3 2028-02-28 Floating 5.01370920 N N N N N N MFA TRUST N/A 552754AA1 813670.31000000 PA USD 787074.84000000 0.118036710112 Long ABS-MBS US N 2 2065-03-25 Floating 1.47899880 N N N N N N COLT MORTGAGE LOAN TRUST N/A 12656YAA5 73032.20000000 PA USD 71604.11000000 0.010738386167 Long ABS-MBS US Y 2 2054-07-27 Fixed 0.79800000 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 2027A0KG3 300000.00000000 PA USD 296017.50000000 0.044393404616 Long DBT NUSS AU N 2 2025-07-07 Floating 0.88616160 N N N N N N GLS AUTO RECEIVABLES TRUST N/A 36261XAC9 250000.00000000 PA USD 244769.75000000 0.036707838386 Long ABS-MBS US Y 2 2025-09-15 Fixed 0.77000000 N N N N N N CARVANA AUTO RECEIVABLES TRUST N/A 14686KAC1 82329.02000000 PA USD 79627.12000000 0.011941587766 Long ABS-MBS US N 2 2028-03-10 Fixed 0.75000000 N N N N N N ARTERA SERVICES, LLC 549300J2G34D0WX8Z443 73939VAA2 700000.00000000 PA USD 553000.00000000 0.082932775099 Long DBT CORP US N 2 2025-12-04 Fixed 9.03300000 N N N N N N UPSTART SECURITIZATION TRUST N/A 91680FAA0 180505.22000000 PA USD 176853.51000000 0.026522517848 Long ABS-MBS US Y 2 2031-06-20 Fixed 0.91000000 N N N N N N Pro Mach 8/21 Cov-Lite TLB N/A 74273JAE3 1535467.37000000 PA USD 1480866.15000000 0.222083796329 Long LON US N 2 2028-08-31 Floating 5.00000040 N N N N N N GLS AUTO RECEIVABLES TRUST N/A 36261AAC9 365000.00000000 PA USD 362968.96000000 0.054434038205 Long ABS-MBS US Y 2 2025-04-15 Fixed 0.82000000 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST N/A 63941CAC7 2950939.34000000 PA USD 2901849.28000000 0.435187004901 Long ABS-MBS US N 2 2059-12-15 Floating 1.92471120 N N N N N N COLT MORTGAGE LOAN TRUST N/A 12597QAA4 34282.10000000 PA USD 33075.83000000 0.004960344250 Long ABS-MBS US N 2 2065-04-27 Floating 1.50599880 N N N N N N CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV N/A 16772PCJ3 110000.00000000 PA USD 108193.99000000 0.016225728462 Long DBT MUN US N 2 2023-12-01 Fixed 1.83800000 N N N N N N BA MORTGAGE SECURITIES INCORPORATED N/A 05948XT27 569464.95000000 PA USD 569243.14000000 0.085368740156 Long ABS-MBS US N 2 2034-02-25 Floating 2.63032920 N N N N N N PRO MACH GROUP, INC. 5493008SZGSVUCSNB151 74028HAF2 78114.53000000 PA USD -2777.75000000 -0.00041657597 Long LON US N 2 2028-08-31 Floating 0.00000360 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST N/A 85573GAA0 126379.54000000 PA USD 119292.05000000 0.017890091779 Long ABS-MBS US Y 2 2065-05-25 Floating 1.21899960 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46652BBA6 12500000.00000000 PA USD 481687.50000000 0.072238121348 Long DBT USGA US N 2 2037-01-16 Floating 1.87589160 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03465CAA3 218478.05000000 PA USD 205786.97000000 0.030861635626 Long ABS-MBS US Y 2 2066-01-25 Floating 0.90900000 N N N N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023DD4 325000.00000000 PA USD 320619.73000000 0.048082972803 Long DBT CORP US N 2 2023-02-04 Fixed 1.16700000 N N N N N N LA BANQUE TORONTO-DOMINION PT3QB789TSUIDF371261 89114TZF2 350000.00000000 PA USD 345795.80000000 0.051858599117 Long DBT NUSS CA N 2 2024-09-10 Floating 0.40000320 N N N N N N LCM LTD. N/A 50188YAE4 280000.00000000 PA USD 275119.88000000 0.041259412537 Long ABS-CBDO CORP KY Y 2 2030-03-20 Floating 2.04270840 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED N/A 59020USJ5 1586468.65000000 PA USD 1542555.04000000 0.231335208337 Long ABS-MBS US N 2 2035-02-25 Floating 2.81918160 N N N N N N IMPERIAL FUND MORTGAGE TRUST N/A 452764AA1 239736.98000000 PA USD 221768.69000000 0.033258395826 Long ABS-MBS US Y 2 2056-06-25 Floating 1.07100000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAG8 450000.00000000 PA USD 436874.19000000 0.065517520698 Long DBT NUSS US N 2 2023-09-02 Fixed 0.75000000 N N N N N N OBX TRUST N/A 67112FAD2 914637.00000000 PA USD 900195.89000000 0.135001344106 Long ABS-MBS US N 2 2057-06-25 Floating 1.65570840 N N N N N N GCAT TRUST N/A 36168AAA7 239871.11000000 PA USD 233582.82000000 0.035030147338 Long ABS-MBS US Y 2 2065-04-25 Floating 1.46900160 N N N N N N BLERIOT US BIDCO INC. N/A 09353TAG5 1724605.46000000 PA USD 1685801.84000000 0.252817766471 Long LON US N 2 2026-10-30 Floating 5.00600160 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GZF4 275000.00000000 PA USD 272940.25000000 0.040932535929 Long DBT NUSS US N 2 2023-12-06 Floating 0.67000320 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31406HG50 248267.99000000 PA USD 258486.70000000 0.038764953629 Long DBT USGA US N 2 2034-04-01 Floating 2.43600120 N N N N N N ARES CLO LTD N/A 04017EAE2 725000.00000000 PA USD 705707.75000000 0.105834181042 Long ABS-CBDO CORP KY N 2 2030-05-15 Floating 2.61128880 N N N N N N MARLETTE FUNDING TRUST N/A 57109KAA3 416436.52000000 PA USD 411207.24000000 0.061668277674 Long ABS-MBS US Y 2 2032-04-15 Fixed 1.36000000 N N N N N N SANTANDER CONSUMER AUTO RECEIVABLES TRUST N/A 80281MAA1 33924.03000000 PA USD 33872.52000000 0.005079822935 Long ABS-MBS US N 2 2024-10-15 Fixed 1.37000000 N N N N N N HOLLEY INC. N/A N/A 3857.68000000 PA USD 3695.35000000 0.000554187396 Long LON US N 2 2028-11-17 Floating 4.57599960 N N N N N N AMUR EQUIPMENT FINANCE RECEIVABLES LLC N/A 03237KAB0 225094.10000000 PA USD 219284.26000000 0.032885808711 Long ABS-MBS US Y 2 2026-11-20 Fixed 0.75000000 N N N N N N TOYOTA LEASE OWNER TRUST N/A 89239CAB5 249185.46000000 PA USD 246131.24000000 0.036912019478 Long ABS-MBS US Y 2 2024-03-20 Fixed 0.25000000 N N N N N N ENVISION HEALTHCARE 4/20 COV-LITE N/A N/A 333968.64000000 PA USD 127409.04000000 0.019107387450 Long LON US N 2 2025-10-10 Floating 6.99999840 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED N/A 59023HAB7 697433.87000000 PA USD 683044.69000000 0.102435427954 Long ABS-MBS US N 2 2037-01-25 Floating 2.26773720 N N N N N N CREDIT SUISSE FIRST BOSTON CORPORATION N/A 22541SJE9 1252306.71000000 PA USD 1278564.58000000 0.191744862139 Long ABS-MBS US N 2 2034-06-25 Floating 2.75887440 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST N/A 86358EKX3 731566.08000000 PA USD 709629.71000000 0.106422352881 Long ABS-MBS US N 2 2034-09-25 Floating 1.94571000 N N N N N N ALLEGRO CLO LTD N/A 01748RAL9 1000000.00000000 PA USD 983313.00000000 0.147466321666 Long ABS-CBDO CORP KY Y 2 2030-10-16 Floating 1.99428840 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PCL8 200000.00000000 PA USD 197265.00000000 0.029583605569 Long DBT CORP US N 2 2025-06-23 Floating 0.85041720 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XDN3 600000.00000000 PA USD 585641.60000000 0.087827998375 Long DBT CORP US N 2 2024-10-15 Floating 0.88239240 N N N N N N VMWARE, INC. 549300BUDHS3LRWBE814 928563AG0 275000.00000000 PA USD 266749.14000000 0.040004062270 Long DBT CORP US N 2 2023-08-15 Fixed 0.60000000 N N N N N N TIBCO SOFTWARE INC. N/A 88632NAP5 717048.39000000 PA USD 703603.73000000 0.105518643578 Long LON US N 2 2026-06-30 Floating 4.52000160 N N N N N N Deutsche Bank AG (New York Branch) N/A 251526CN7 325000.00000000 PA USD 312507.00000000 0.046866315999 Long DBT NUSS DE N 2 2027-11-16 Floating 2.00999880 N N N N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST N/A 025291AB1 120000.00000000 PA USD 119273.48000000 0.017887306857 Long ABS-MBS US Y 2 2025-05-13 Fixed 0.68000000 N N N N N N BRIGHTHOUSE FINANCIAL GLOBAL FUNDING 549300BLFX3KJ2IFOA78 10921U2B3 315000.00000000 PA USD 315460.31000000 0.047309220509 Long DBT CORP US N 2 2024-04-12 Floating 1.05054120 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO LTD N/A 38136MAU2 275000.00000000 PA USD 270800.75000000 0.040611677570 Long ABS-CBDO CORP KY Y 2 2030-11-20 Floating 1.97271000 N N N N N N PowerTeam/Artera Services 6/21 Incremental TL N/A N/A 776025.82000000 PA USD 605300.14000000 0.090776167049 Long LON US N 2 2025-03-06 Floating 4.50600120 N N N N N N BEAR STEARNS ARM TRUST N/A 07384MK27 183513.36000000 PA USD 179957.61000000 0.026988036161 Long ABS-MBS US N 2 2034-04-25 Floating 2.33893440 N N N N N N MKS Instruments 4/22 (USD) N/A N/A 610236.22000000 PA USD 600319.88000000 0.090029283174 Long LON US N 2 2029-04-11 Floating 0.00000000 N N N N N N Brickman Group/Brightview Landscapes 4/22 TLB N/A N/A 804000.00000000 PA USD 773850.00000000 0.116053396040 Long LON US N 2 2029-04-20 Floating 3.95035920 N N N N N N CHESAPEAKE FUNDING LLC 549300LG5AUFDML64706 165183BY9 76483.00000000 PA USD 76508.55000000 0.011473899403 Long ABS-MBS US N 2 2031-04-15 Fixed 2.94000000 N N N N N N CONAIR HOLDINGS LLC N/A 20600RAB8 320949.23000000 PA USD 293068.37000000 0.043951126976 Long LON US N 2 2028-05-17 Floating 4.75599960 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89172UAA6 23361.84000000 PA USD 23311.10000000 0.003495938903 Long ABS-MBS US N 2 2056-07-25 Floating 2.25000000 N N N N N N TEAM HEALTH HOLDINGS, INC. N/A 87817JAG3 1262918.28000000 PA USD 1098738.90000000 0.164776611368 Long LON US N 2 2027-03-02 Floating 6.24999960 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83368RBF8 275000.00000000 PA USD 268243.43000000 0.040228159226 Long DBT NUSS FR N 2 2026-01-21 Floating 1.32009120 N N N N N N ATRIUM N/A 04965CAQ1 500000.00000000 PA USD 461962.00000000 0.069279910760 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 3.93629040 N N N N N N United States of America 254900HROIFWPRGM1V77 912796U31 915000.00000000 PA USD 901576.23000000 0.135208352111 Long DBT UST US N 2 2023-03-23 None 0.00000000 N N N N N N CommonSpirit Health 4SXHN5XW08IBO0UG2V58 20268JAA1 180000.00000000 PA USD 176642.23000000 0.026490832429 Long DBT CORP US N 2 2024-10-01 Fixed 2.76000000 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89175JAA8 192552.82000000 PA USD 189251.17000000 0.028381780685 Long ABS-MBS US N 2 2057-10-25 Floating 2.75000040 N N N N N N Confluent Medical 2/22 Cov-Lite N/A 20717RAB8 980000.00000000 PA USD 935900.00000000 0.140355848490 Long LON US N 2 2029-02-16 Floating 4.25000160 N N N N N N TAL ADVANTAGE LLC N/A 87407RAA4 825000.00000000 PA USD 751900.79000000 0.112761698217 Long ABS-MBS US N 2 2045-09-20 Fixed 2.05000000 N N N N N N COLT MORTGAGE LOAN TRUST N/A 19688GAA1 366938.50000000 PA USD 321382.90000000 0.048197424532 Long ABS-MBS US Y 2 2066-10-25 Floating 1.39700160 N N N N N N ALLIANT HOLDINGS INTERMEDIATE, LLC 5493006Q26653NF8SI73 01883LAA1 1000000.00000000 PA USD 965200.00000000 0.144749935851 Long DBT CORP US N 2 2027-10-15 Fixed 6.75000000 N N N N N N CPS AUTO RECEIVABLES TRUST N/A 12659WAA6 165530.13000000 PA USD 163493.66000000 0.024518956482 Long ABS-MBS US Y 2 2029-04-16 Fixed 0.98000000 N N N N N N BANC OF AMERICA FUNDING CORPORATION N/A 058933AG7 30472.94000000 PA USD 29935.74000000 0.004489428558 Long ABS-MBS US N 2 2036-05-20 Floating 3.40257240 N N N N N N AFFIRM ASSET SECURITIZATION TRUST N/A 00834TAA6 153070.20000000 PA USD 149728.42000000 0.022454599243 Long ABS-MBS US Y 2 2026-11-16 Fixed 1.17000000 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST N/A 78449VAC0 1874420.02000000 PA USD 1837830.97000000 0.275617400552 Long ABS-MBS US N 2 2054-09-15 Floating 1.85571000 N N N N N N BX TRUST N/A 05608VAG1 1000000.00000000 PA USD 951822.40000000 0.142743712538 Long ABS-MBS US Y 2 2034-01-15 Floating 2.07470880 N N N N N N SECURITIZED TERM AUTO RECEIVABLES TRUST N/A 81379MAD6 280022.40000000 PA USD 271203.35000000 0.040672055030 Long ABS-MBS CA N 2 2026-03-25 Fixed 4.57200000 N N N N N N SS&C Technologies Holdings, Inc. N/A N/A 336470.59000000 PA USD 327385.88000000 0.049097684551 Long LON US N 2 2029-03-22 Floating 3.37546080 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967MW8 300000.00000000 PA USD 294649.04000000 0.044188178241 Long DBT CORP US N 2 2025-05-01 Floating 0.96911280 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZX4 750000.00000000 PA USD 734968.88000000 0.110222439114 Long DBT CORP US N 2 2024-11-01 Fixed 4.06300000 N N N N N N Dell Software (Quest/One Identity) 1/22 2nd Lien N/A N/A 968894.21000000 PA USD 907127.20000000 0.136040824709 Long LON US N 2 2030-02-01 Floating 8.72403120 N N N N N N ACURIS FINANCE US, INC. N/A 00510DAB0 630000.00000000 PA USD 608214.60000000 0.091213245269 Long LON US N 2 2028-02-16 Floating 4.80035880 N N N N N N Avid Automobile Receivables Trust N/A 05369LAA5 71425.96000000 PA USD 70227.30000000 0.010531907552 Long ABS-MBS US N 2 2025-01-15 Fixed 0.61000000 N N N N N N COCA-COLA EUROPACIFIC PARTNERS PLC 549300LTH67W4GWMRF57 19123MAD5 725000.00000000 PA USD 707066.57000000 0.106037961718 Long DBT NUSS GB N 2 2023-05-05 Fixed 0.50000000 N N N N N N VERIZON OWNER TRUST N/A 92290BAA9 225000.00000000 PA USD 221722.74000000 0.033251504757 Long ABS-MBS US N 2 2025-02-20 Fixed 0.47000000 N N N N N N BCPE ULYSSES INTERMEDIATE, INC. N/A 05553LAA1 724000.00000000 PA USD 582813.99000000 0.087403944950 Long DBT CORP US N 2 2027-04-01 Fixed 7.75000000 N N Y N N N ANCHORAGE CAPITAL CLO LTD N/A 03329AAC9 1204631.12000000 PA USD 1193873.76000000 0.179043877097 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 2.03429160 N N N N N N TREMAN PARK CLO LTD N/A 89473LAH7 244140.36000000 PA USD 243713.11000000 0.036549375299 Long ABS-CBDO CORP KY Y 2 2028-10-20 Floating 2.13270840 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST N/A 10568GAD9 548349.85000000 PA USD 545834.73000000 0.081858207783 Long ABS-MBS US N 2 2058-03-25 Fixed 3.50000000 N N N N N N CREDIT SUISSE AG (NEW YORK BRANCH) 549300D0YARF5HYP1809 22550L2F7 475000.00000000 PA USD 461252.96000000 0.069173576845 Long DBT NUSS CH N 2 2023-08-09 Fixed 0.52000000 N N N N N N COLT MORTGAGE LOAN TRUST N/A 19685WAA9 2760412.09000000 PA USD 2447166.05000000 0.366998682921 Long ABS-MBS US Y 2 2066-08-25 Floating 0.92400120 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03465EAA9 179090.79000000 PA USD 162300.96000000 0.024340088633 Long ABS-MBS US Y 2 2066-05-25 Floating 1.06800120 N N N N N N UNITED AUTO CREDIT SECURITIZATION TRUST N/A 90944DAA9 137882.05000000 PA USD 137151.04000000 0.020568384005 Long ABS-MBS US Y 2 2024-07-10 Fixed 1.11000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KTA7 1944185.81000000 PA USD 1933214.38000000 0.289921941040 Long DBT USGA US N 2 2042-03-25 Floating 2.68445880 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST N/A 89615BAA3 110169.52000000 PA USD 109716.44000000 0.016454048541 Long ABS-MBS US Y 2 2024-04-15 Fixed 0.74000000 N N N N N N Mondelez International, Inc. 549300DV9GIB88LZ5P30 609207AZ8 165000.00000000 PA USD 162455.75000000 0.024363302311 Long DBT CORP US N 2 2024-03-17 Fixed 2.12500000 N N N N N N PALMER SQUARE LOAN FUNDING LTD. N/A 69689LAC0 1000000.00000000 PA USD 983812.00000000 0.147541156123 Long ABS-CBDO CORP KY N 2 2027-08-20 Floating 3.07800000 N N N N N N BWAY MORTGAGE TRUST N/A 05604FAA3 111482.25000000 PA USD 109521.37000000 0.016424794117 Long ABS-MBS US N 2 2033-03-10 Fixed 2.80930000 N N N N N N MERRILL LYNCH MORTGAGE TRUST N/A 589929Y36 414088.93000000 PA USD 398657.78000000 0.059786249566 Long ABS-MBS US N 2 2028-10-25 Floating 1.62570960 N N N N N N CENT CLO LIMITED N/A 15137EBN2 2000000.00000000 PA USD 1970910.00000000 0.295575109893 Long ABS-CBDO CORP KY Y 2 2030-07-27 Floating 2.19485880 N N N N N N LAKESHORE LEARNING MATERIALS N/A 51207KAB5 1239285.52000000 PA USD 1192812.31000000 0.178884692660 Long LON US N 2 2028-09-29 Floating 3.99999960 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST N/A 35105JAB4 100000.00000000 PA USD 98352.50000000 0.014749811506 Long ABS-MBS US Y 2 2025-09-15 Fixed 1.15000000 N N N N N N Keybank National Association HUX2X73FUCYHUVH1BK78 49327M3B8 475000.00000000 PA USD 471903.59000000 0.070770839598 Long DBT CORP US N 2 2024-01-03 Floating 1.11999960 N N N N N N AUDIO VISUAL SERVICES 12/20 COV-LITE N/A 00241YAT1 2434603.80000000 PA USD 2151897.61000000 0.322717613972 Long LON US N 2 2025-03-03 Floating 4.50000000 N N N N N N Reladyne 1/22 N/A N/A 500000.00000000 PA USD 483750.00000000 0.072547432105 Long LON US N 2 2028-12-22 Floating 4.99163040 N N N N N N FREDDIE MAC STACR REMIC TRUST N/A 35563TAK7 2542292.56000000 PA USD 2527267.87000000 0.379011460901 Long DBT USGA US N 2 2030-12-25 Floating 1.95571080 N N N N N N BW HOLDING, INC. N/A 58985XAC8 209155.32920000 PA USD 200789.12000000 0.030112113799 Long LON US N 2 2028-12-14 Floating 5.02545960 N N N N N N DRIVE AUTO RECEIVABLES TRUST N/A 26208JAG8 30692.21000000 PA USD 30759.00000000 0.004612891915 Long ABS-MBS US N 2 2024-08-15 Fixed 4.14000000 N N N N N N NEW HAMPSHIRE HIGHER EDUCATION LOAN CORPORATION N/A 644622AC6 902222.07000000 PA USD 885249.56000000 0.132759860156 Long ABS-MBS US N 2 2060-09-25 Floating 2.20570920 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED N/A 59020UXH3 263772.50000000 PA USD 155295.95000000 0.023289555325 Long ABS-MBS US N 2 2035-07-25 Floating 2.59291440 N N N N N N ICON PUBLIC LIMITED COMPANY N/A L5000DAC1 760639.64000000 PA USD 747328.45000000 0.112075989636 Long LON US N 2 2028-07-03 Floating 3.31250040 N N N N N N Groupe Solmax Inc. N/A C4127PAB7 139780.93000000 PA USD 129472.09000000 0.019416780690 Long LON US N 2 2028-05-29 Floating 5.74629120 N N N N N N CFMT TRUST N/A 12529UAF7 360775.97000000 PA USD 350266.24000000 0.052529025871 Long ABS-MBS US Y 2 2031-09-22 Fixed 1.39000000 N N N N N N COLT MORTGAGE LOAN TRUST N/A 19688GAB9 1834692.50000000 PA USD 1601391.53000000 0.240158849192 Long ABS-MBS US Y 2 2066-10-25 Floating 1.50000120 N N N N N N MH SUB I, LLC (WEBMD HEALTH CORP.) N/A 55303BAD5 550000.00000000 PA USD 530750.00000000 0.079595968144 Long LON US N 2 2029-02-23 Floating 7.01371080 N N N N N N HOUSTON TEX ARPT SYS REV N/A 442349EJ1 45000.00000000 PA USD 44983.99000000 0.006746197334 Long DBT MUN US N 2 2022-07-01 Fixed 0.88300000 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03465HAA2 344715.26000000 PA USD 317150.35000000 0.047562673868 Long ABS-MBS US Y 2 2066-07-25 Floating 0.95100120 N N N N N N PRETIUM PKG HOLDINGS, INC. N/A 74142KAF6 933315.73000000 PA USD 867404.97000000 0.130083727481 Long LON US N 2 2028-10-02 Floating 4.96668600 N N N N N N GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C. N/A 39154TBP2 285000.00000000 PA USD 279764.64000000 0.041955981862 Long ABS-MBS US Y 2 2024-03-15 Fixed 0.38000000 N N N N N N BA MORTGAGE SECURITIES INCORPORATED N/A 05948XZG9 565138.30000000 PA USD 551750.80000000 0.082745434009 Long ABS-MBS US N 2 2033-12-25 Floating 2.60550360 N N N N N N CATSKILL PARK CLO LTD N/A 149420AC5 1000000.00000000 PA USD 974680.00000000 0.146171640567 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 2.41270920 N N N N N N CSMC TRUST N/A 12659PAA1 197792.08000000 PA USD 184237.80000000 0.027629931342 Long ABS-MBS US Y 2 2066-05-25 Floating 1.10099880 N N N N N N Proofpoint 6/21 2nd Lien TL N/A N/A 863118.81000000 PA USD 842619.74000000 0.126366714994 Long LON US N 2 2029-08-31 Floating 6.75785880 N N N N N N United States of America 254900HROIFWPRGM1V77 912796S34 460000.00000000 PA USD 454909.68000000 0.068222282426 Long DBT UST US N 2 2023-01-26 None 0.00000000 N N N N N N KOBE US MIDCO 2, INC. N/A 499894AA1 816000.00000000 PA USD 787945.92000000 0.118167344979 Long DBT CORP US N 2 2026-11-01 Fixed 9.25000000 N N Y N N N CHESAPEAKE FUNDING LLC 549300LG5AUFDML64706 165183CT9 132415.99000000 PA USD 131015.96000000 0.019648313101 Long ABS-MBS US Y 2 2033-04-15 Floating 1.10471040 N N N N N N GEMS MENASA (CAYMAN) LIMITED 213800KB2HCLUSOQ2G49 36166LAA5 587000.00000000 PA USD 571151.00000000 0.085654859730 Long DBT NUSS AE N 2 2026-07-31 Fixed 7.12500000 N N N N N N Keybank National Association HUX2X73FUCYHUVH1BK78 49327M3D4 250000.00000000 PA USD 247257.29000000 0.037080891904 Long DBT CORP US N 2 2024-06-14 Floating 0.37000080 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST N/A 03066EAF1 550000.00000000 PA USD 533883.30000000 0.080065865548 Long ABS-MBS US N 2 2026-02-18 Fixed 1.48000000 N N N N N N IMPAC CMB TRUST N/A 45254NKD8 709238.26000000 PA USD 692903.08000000 0.103913879383 Long ABS-MBS US N 2 2034-10-25 Floating 1.78571160 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94988HAE1 275000.00000000 PA USD 275134.48000000 0.041261602083 Long ABS-MBS US N 2 2045-10-15 Fixed 3.53900000 N N N N N N CONNECTICUT AVENUE SECURITIES N/A 20754KAA9 1522697.68000000 PA USD 1499832.39000000 0.224928141567 Long DBT USGA US Y 2 2041-11-25 Floating 1.48446000 N N N N N N TRIDENT TPI HOLDINGS, INC. N/A 00216EAF6 30731.72000000 PA USD 29321.44000000 0.004397302692 Long LON US N 2 2028-09-15 Floating 4.76371080 N N N N N N SANTANDER RETAIL AUTO LEASE TRUST N/A 80286DAB4 159545.95000000 PA USD 158070.49000000 0.023705649904 Long ABS-MBS US N 2 2024-01-22 Fixed 0.31000000 N N N N N N MADISON IAQ LLC TL 1L N/A 55759VAB4 1861196.23000000 PA USD 1762701.73000000 0.264350354686 Long LON US N 2 2028-06-21 Floating 4.52442960 N N N N N N KEYCORP STUDENT LOAN TRUST N/A 493268AY2 383867.87000000 PA USD 381875.79000000 0.057269473793 Long ABS-MBS US N 2 2029-07-25 Floating 1.49400000 N N N N N N CPS AUTO RECEIVABLES TRUST N/A 12598CAC0 650000.00000000 PA USD 637623.94000000 0.095623730224 Long ABS-MBS US Y 2 2025-07-15 Fixed 0.84000000 N N N N N N AFFIRM ASSET SECURITIZATION TRUST N/A 00834DAA1 260000.00000000 PA USD 248071.67000000 0.037203023538 Long ABS-MBS US Y 2 2026-08-17 Fixed 1.03000000 N N N N N N PRODIGY FINANCE LTD N/A 742855AA7 1527482.42000000 PA USD 1504098.19000000 0.225567878695 Long ABS-MBS IE Y 2 2051-07-25 Floating 2.25570960 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31416L4C7 300990.50000000 PA USD 310622.43000000 0.046583689200 Long DBT USGA US N 2 2037-05-01 Floating 1.85100120 N N N N N N SERVICE LOGIC ACQUISITION, INC. 25490008CFAWEVHSQF88 03306UAD0 169507.47000000 PA USD -7627.84000000 -0.00114393840 Long LON US N 2 2027-10-29 Floating 3.99999960 N N N N N N FREDDIE MAC STACR REMIC TRUST N/A 35564KPV5 750000.00000000 PA USD 696762.98000000 0.104492744155 Long DBT USGA US Y 2 2042-01-25 Floating 2.43446040 N N N N N N VERUS SECURITIZATION TRUST N/A 92539LAA8 2825516.94000000 PA USD 2619638.76000000 0.392864217223 Long ABS-MBS US Y 2 2066-06-25 Floating 1.04600160 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136A97B8 26728.97000000 PA USD 26731.19000000 0.004008845874 Long DBT USGA US N 2 2041-09-25 Fixed 1.75000000 N N N N N N GCAT TRUST N/A 36167HAA3 170743.35000000 PA USD 157215.54000000 0.023577434034 Long ABS-MBS US Y 2 2066-05-25 Floating 1.09100160 N N N N N N MHC COMMERCIAL MORTGAGE TRUST N/A 55316VAG9 1500000.00000000 PA USD 1428681.45000000 0.214257716783 Long ABS-MBS US N 2 2038-04-15 Floating 2.47596120 N N N N N N TRIDENT TPI HLDNGS, INC. N/A 00216EAE9 344686.13000000 PA USD 328868.48000000 0.049320028370 Long LON US N 2 2028-09-15 Floating 4.76371080 N N N N N N CSMC TRUST N/A 12596XAA0 271812.80000000 PA USD 263397.53000000 0.039501425166 Long ABS-MBS US N 2 2049-07-25 Fixed 2.57300000 N N N N N N VERUS SECURITIZATION TRUST N/A 92538HAA8 153272.67000000 PA USD 135323.32000000 0.020294282935 Long ABS-MBS US Y 2 2066-07-25 Floating 0.93800160 N N N N N N BANC OF AMERICA FUNDING CORPORATION N/A 05951VAA7 1246173.47000000 PA USD 1240178.25000000 0.185988108300 Long ABS-MBS US N 2 2036-12-20 Floating 2.23686360 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST N/A 949803AA8 882079.68000000 PA USD 842598.50000000 0.126363529655 Long ABS-MBS US N 2 2034-10-25 Floating 2.98958040 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2017-RT1 N/A 07332BAA7 712323.54000000 PA USD 699044.97000000 0.104834971575 Long ABS-MBS US Y 2 2057-03-28 Floating 2.99999880 N N N N N N AFFIRM ASSET SECURITIZATION TRUST N/A 00834AAA7 81239.93000000 PA USD 80284.68000000 0.012040201284 Long ABS-MBS US Y 2 2025-01-15 Fixed 1.90000000 N N N N N N FC COMPASSUS, LLC N/A 20452RAD3 645465.27000000 PA USD 623951.91000000 0.093573351582 Long LON US N 2 2026-12-31 Floating 5.00000040 N N N N N N Government National Mortgage Association 2 N/A 3620E0GM2 1055658.55000000 PA USD 1061690.79000000 0.159220548846 Long DBT USGA US N 2 2060-11-20 Floating 2.22599880 N N N N N N SANTANDER BANK, N.A. N/A 80290CAE4 463420.58000000 PA USD 452009.27000000 0.067787311268 Long ABS-MBS US Y 2 2031-12-15 Fixed 1.83300000 N N N N N N CHASE MORTGAGE FINANCE CORPORATION N/A 16163LAF9 327139.78000000 PA USD 325415.62000000 0.048802206920 Long ABS-MBS US N 2 2035-06-25 Floating 2.42551800 N N N N N N ECMC GROUP STUDENT LOAN TRUST N/A 26833BAB9 731572.39000000 PA USD 717767.18000000 0.107642719914 Long ABS-MBS US Y 2 2070-01-27 Floating 2.00571120 N N N N N N TELOS CLO N/A 87974KAQ7 23338.43000000 PA USD 23278.96000000 0.003491118904 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 1.99428840 N N N N N N ARI FLEET LEASE TRUST N/A 00217TAB1 24564.42000000 PA USD 24547.71000000 0.003681391885 Long ABS-MBS US N 2 2028-08-15 Fixed 1.77000000 N N N N N N TRUCK HERO, INC. N/A 89778PAG2 1905289.16000000 PA USD 1721905.08000000 0.258232127924 Long LON US N 2 2028-01-31 Floating 4.01370840 N N N N N N HILTON ORLANDO TRUST N/A 432885AG6 1000000.00000000 PA USD 964900.90000000 0.144705080167 Long ABS-MBS US N 2 2034-12-15 Floating 2.07470880 N N N N N N CARLYLE US CLO LTD N/A 14315JAQ2 1450000.00000000 PA USD 1425906.80000000 0.213841605709 Long ABS-CBDO CORP KY Y 2 2031-07-20 Floating 2.11271040 N N N N N N LEARNING CARE GROUP (US) NO. 2 INC. N/A 52201CAC5 858503.35000000 PA USD 827811.85000000 0.124145992731 Long LON US N 2 2025-03-13 Floating 4.48886160 N N N N N N PALMER SQUARE LOAN FUNDING LTD. N/A 69702HAA6 548526.97000000 PA USD 540845.95000000 0.081110046174 Long ABS-CBDO CORP KY Y 2 2029-10-15 Floating 1.84429080 N N N N N N KNDL KNSQ MORTGAGE TRUST N/A 482598AN9 1250000.00000000 PA USD 1208099.25000000 0.181177257500 Long ABS-MBS US N 2 2036-05-15 Floating 2.67500160 N N N N N N VOYA CLO N/A 92917NAJ7 400000.00000000 PA USD 394392.40000000 0.059146575425 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.10429000 N N N N N N BELLEMEADE RE LTD. N/A 07876AAA1 737797.88000000 PA USD 725131.73000000 0.108747173022 Long ABS-MBS BM Y 2 2031-06-25 Floating 1.78445880 N N N N N N CULLIGAN 7/21 COV-LITE N/A 00132UAG9 2430176.87000000 PA USD 2307452.94000000 0.346046068219 Long LON US N 2 2028-07-31 Floating 4.54458960 N N N N N N MACQUARIE GROUP LIMITED ACMHD8HWFMFUIQQ8Y590 55608JBB3 300000.00000000 PA USD 296163.56000000 0.044415309067 Long DBT NUSS AU N 2 2025-10-14 Floating 1.00010520 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017BB9 205000.00000000 PA USD 196485.95000000 0.029466772335 Long DBT CORP US N 2 2024-02-15 Fixed 0.97200000 N N N N N N DYNASTY ACQUISITION CO., INC. N/A 26812CAF3 536850.69000000 PA USD 507592.33000000 0.076123038962 Long LON US N 2 2026-04-06 Floating 4.50600120 N N N N N N MILL CITY MORTGAGE LOAN TRUST N/A 59980CAA1 140013.45000000 PA USD 139524.87000000 0.020924384565 Long ABS-MBS US N 2 2061-01-25 Fixed 2.75000000 N N N N N N INVITATION HOMES TRUST N/A 46185JAC2 1499784.89000000 PA USD 1471603.78000000 0.220694729334 Long ABS-MBS US N 2 2037-03-17 Floating 1.83700080 N N N N N N SOUND POINT CLO N/A 83614BAN9 1120000.00000000 PA USD 1108101.12000000 0.166180652752 Long ABS-CBDO CORP KY Y 2 2034-07-15 Floating 0.69999840 N N N N N N RADNOR RE/ESSENT N/A 750493AA6 3538000.00000000 PA USD 3471354.34000000 0.520595024899 Long ABS-MBS BM N 2 2030-01-25 Floating 1.95571080 N N N N N N KUBOTA CREDIT OWNER TRUST N/A 50116YAB7 4743.27000000 PA USD 4740.00000000 0.000710852357 Long ABS-MBS US N 2 2023-06-15 Fixed 0.41000000 N N N N N N Bellemeade RE N/A 07877BAC4 489715.92000000 PA USD 489149.71000000 0.073357220414 Long ABS-MBS BM N 2 2029-04-25 Floating 2.45571120 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED N/A 59020USM8 325588.39000000 PA USD 316577.54000000 0.047476770210 Long ABS-MBS US N 2 2035-02-25 Floating 2.81918160 N N N N N N Viasat 2/22 N/A N/A 1335000.00000000 PA USD 1285778.55000000 0.192826732938 Long LON US N 2 2029-03-02 Floating 5.29458840 N N N N N N ENTERPRISE FLEET FINANCING LLC N/A 29374YAB8 141940.27000000 PA USD 137134.48000000 0.020565900521 Long ABS-MBS US Y 2 2027-05-20 Fixed 0.48000000 N N N N N N AFFIRM ASSET SECURITIZATION TRUST N/A 00832PAA6 29994.23000000 PA USD 29980.57000000 0.004496151662 Long ABS-MBS US N 2 2024-10-15 Fixed 3.46000000 N N N N N N MSCCG TRUST N/A 55358PAA4 1455000.00000000 PA USD 1432259.51000000 0.214794314334 Long ABS-MBS US N 2 2037-10-15 Floating 1.77500160 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KCU1 1024999.10000000 PA USD 1015735.47000000 0.152328682267 Long DBT USGA US Y 2 2033-08-25 Floating 1.38445920 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST N/A 80286XAD6 130000.00000000 PA USD 128403.64000000 0.019256546470 Long ABS-MBS US N 2 2025-09-15 Fixed 0.59000000 N N N N N N CONNECTICUT AVENUE SECURITIES N/A 20753YCH3 944011.84000000 PA USD 936323.43000000 0.140419349801 Long ABS-MBS US Y 2 2042-03-25 Floating 2.58446160 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST N/A 63942AAB2 1314735.05000000 PA USD 1297237.64000000 0.194545239509 Long ABS-MBS US Y 2 2069-04-15 Floating 1.87471080 N N N N N N MARLETTE FUNDING TRUST N/A 57108TAA5 44814.36000000 PA USD 44436.62000000 0.006664108883 Long ABS-MBS US Y 2 2031-09-15 Fixed 0.51000000 N N N N N N AADVANTAGE LOYALITY IP LTD. N/A 02376CBJ3 1519230.77000000 PA USD 1512774.04000000 0.226868985959 Long LON US N 2 2028-04-20 Floating 5.81271120 N N N N N N WCG PURCHASER CORP. N/A 23343FAB0 2133104.07000000 PA USD 2051342.19000000 0.307637433083 Long LON US N 2 2027-01-08 Floating 5.00600160 N N N N N N BA MORTGAGE SECURITIES INCORPORATED N/A 05949ADF4 235134.64000000 PA USD 230188.00000000 0.034521030080 Long ABS-MBS US N 2 2034-05-25 Floating 3.05481600 N N N N N N Cobham/AI Convoy 1/20 (USD) Cov-Lite N/A 00135BAC7 903776.37550000 PA USD 874729.00000000 0.131182103851 Long LON US N 2 2027-01-18 Floating 5.05157040 N N N N N N ANCHOR PACKAGING, LLC N/A 03306UAB4 1261643.85000000 PA USD 1208023.99000000 0.181165970845 Long LON US N 2 2026-07-18 Floating 4.76371080 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 9292276K7 643573.80000000 PA USD 615638.90000000 0.092326659016 Long ABS-MBS US N 2 2033-08-25 Floating 2.39404680 N N N N N N BANC OF AMERICA FUNDING CORPORATION N/A 05946XYZ0 31656.95000000 PA USD 28464.51000000 0.004268789884 Long ABS-MBS US N 2 2035-09-20 Floating 2.56245480 N N N N N N MASTR ADJUSTABLE RATE MORTGAGE TRUST N/A 576433A71 19847.24000000 PA USD 18523.82000000 0.002777996018 Long ABS-MBS US N 2 2035-07-25 Floating 2.76483600 N N N N N N St. George's/Medforth 6/21 Cov-Lite TLB N/A 78957LAF9 2019068.40000000 PA USD 1953448.67000000 0.292956454280 Long LON US N 2 2029-02-10 Floating 4.01370840 N N N N N N VISTRA OPERATIONS COMPANY LLC N/A 88233FAK6 605000.00000000 PA USD 587261.40000000 0.088070917921 Long LON US N 2 2025-12-31 Floating 2.51371080 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31377BUP8 5113.16000000 PA USD 5118.91000000 0.000767677055 Long DBT USGA US N 2 2024-10-01 Floating 2.51300160 N N N N N N BEAR STEARNS ARM TRUST N/A 07384MQ88 677473.72000000 PA USD 661126.01000000 0.099148308679 Long ABS-MBS US N 2 2034-07-25 Floating 2.81630880 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64828FCQ3 2302670.79000000 PA USD 2268068.56000000 0.340139637968 Long ABS-MBS US N 2 2048-01-25 Floating 1.75570920 N N N N N N TMK HAWK PARENT, CORP. N/A 87258WAK1 728007.01000000 PA USD 677046.52000000 0.101535889285 Long LON US N 2 2024-05-30 Floating 10.50000120 N N N N N N AQGEN ISLAND HOLDINGS, INC. N/A N/A 264907.45000000 PA USD 253648.88000000 0.038039431318 Long LON US N 2 2028-08-02 Floating 4.56249960 N N N N N N BELLEMEADE RE LTD. N/A 07877TAB7 1151187.24000000 PA USD 1145979.84000000 0.171861280902 Long ABS-MBS BM N 2 2028-10-25 Floating 2.85571080 N N N N N N EQUINOX HOLDINGS INC. N/A 29446CAR5 751612.50000000 PA USD 742217.34000000 0.111309482338 Long LON US N 2 2024-03-08 Floating 10.00599840 N N N N N N MAGNETITE CLO, LIMITED N/A 55952YAP2 780000.00000000 PA USD 771177.42000000 0.115652592286 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.02429080 N N N N N N CONNECTICUT AVENUE SECURITIES N/A 20754RAA4 370253.49000000 PA USD 366791.32000000 0.055007273146 Long ABS-MBS US Y 2 2041-10-25 Floating 1.33445880 N N N N N N AFFIRM ASSET SECURITIZATION TRUST N/A 00834HAA2 272511.89000000 PA USD 268696.18000000 0.040296057623 Long ABS-MBS US Y 2 2027-02-15 Fixed 1.75000000 N N N N N N GSR MORTGAGE LOAN TRUST N/A 36242DH55 164927.23000000 PA USD 155904.41000000 0.023380805373 Long ABS-MBS US N 2 2035-04-25 Floating 3.19324680 N N N N N N BX COMMERCIAL MORTGAGE TRUST N/A 05609VAA3 195000.00000000 PA USD 185667.14000000 0.027844287820 Long ABS-MBS US Y 2 2036-09-15 Floating 1.57471920 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KJG5 2500000.00000000 PA USD 2420313.50000000 0.362971636827 Long DBT USGA US N 2 2041-09-25 Floating 1.43445960 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GYF5 150000.00000000 PA USD 147838.38000000 0.022171152115 Long DBT CORP US N 2 2024-09-10 Floating 0.55000440 N N N N N N Crocs 1/22 N/A N/A 992649.86000000 PA USD 926469.89000000 0.138941625721 Long LON US N 2 2029-02-20 Floating 4.44944880 N N N N N N MF1 LTD N/A 55284JAA7 250000.00000000 PA USD 241778.50000000 0.036259244058 Long ABS-MBS KY Y 2 2037-02-19 Floating 1.83242160 N N N N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST N/A 025286AB1 185000.00000000 PA USD 181764.44000000 0.027259004382 Long ABS-MBS US Y 2 2026-02-13 Fixed 0.66000000 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST N/A 10569QAA2 2294899.49000000 PA USD 2272770.69000000 0.340844811005 Long ABS-MBS US N 2 2070-01-25 Floating 1.33445880 N N N N N N PointClickCare 2/22 Incremental N/A N/A 690000.00000000 PA USD 671025.00000000 0.100632848844 Long LON US N 2 2027-12-29 Floating 4.77516960 N N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST N/A 22535KAA1 151036.14000000 PA USD 150906.51000000 0.022631276048 Long ABS-MBS US N 2 2028-11-15 Fixed 2.38000000 N N N N N N ARUBA INVESTMENTS HOLDINGS, LLC N/A 04317JAB4 503908.38000000 PA USD 479972.73000000 0.071980959260 Long LON US N 2 2027-11-24 Floating 4.97356920 N N N N N N CCO HOLDINGS, LLC N/A 1248EPCE1 950000.00000000 PA USD 857945.00000000 0.128665026641 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31406VUL8 42246.90000000 PA USD 42157.68000000 0.006322338868 Long DBT USGA US N 2 2035-06-01 Floating 2.45499840 N N N N N N Zelis Cost Management Buyer, Inc. N/A 75774EAH8 55974.67000000 PA USD -2099.05000000 -0.00031479211 Long LON US N 2 2026-09-30 Floating 3.49999920 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST N/A 30166PAG6 95213.68000000 PA USD 95691.23000000 0.014350703899 Long ABS-MBS US N 2 2024-06-17 Fixed 4.35000000 N N N N N N CHASE AUTO CREDIT LINKED NOTES N/A 48128U2N8 654526.06000000 PA USD 635493.10000000 0.095304170595 Long ABS-MBS US Y 2 2028-12-26 Fixed 0.96900000 N N N N N N UNIVISION COMMUNICATIONS INC. N/A 914908AX6 750000.00000000 PA USD 738592.50000000 0.110765869245 Long LON US N 2 2024-03-15 Floating 3.75000120 N N N N N N ELEVATION CLO LTD N/A 28622QAB7 959350.22000000 PA USD 950906.98000000 0.142606428052 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.27428920 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST N/A 30165XAD7 275000.00000000 PA USD 271043.36000000 0.040648061513 Long ABS-MBS US N 2 2025-09-15 Fixed 0.57000000 N N N N N N Ultra Electronics 11/21 (USD) TL N/A N/A 2165000.00000000 PA USD 2079309.30000000 0.311831628461 Long LON US N 2 2028-11-17 Floating 0.00000000 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST N/A 31573WAA9 679343.15000000 PA USD 659021.21000000 0.098832654239 Long ABS-MBS US Y 2 2065-10-25 Floating 1.17799920 N N N N N N Truist Financial Corporation 549300DRQQI75D2JP341 89788MAF9 250000.00000000 PA USD 245832.50000000 0.036867217784 Long DBT CORP US N 2 2025-06-09 Floating 0.65899800 N N N N N N SOPHIA, L.P. Lien 1 N/A 83578BAN3 1341916.76000000 PA USD 1290252.96000000 0.193497755068 Long LON US N 2 2027-10-07 Floating 4.25599920 N N N N N N VISIO TRUST N/A 92837UAA7 1403657.00000000 PA USD 1324690.06000000 0.198662247418 Long ABS-MBS US Y 2 2056-05-25 Fixed 1.28000000 N N N N N N FIRST INVESTORS AUTO OWNER TRUST N/A 32059FAA7 345889.36000000 PA USD 341770.06000000 0.051254863511 Long ABS-MBS US Y 2 2026-03-16 Fixed 0.45000000 N N N N N N CAMB COMMERCIAL MORTGAGE TRUST N/A 12482HAN4 2000000.00000000 PA USD 1934900.60000000 0.290174821518 Long ABS-MBS US N 2 2037-12-15 Floating 3.02500080 N N N N N N CARVANA AUTO RECEIVABLES TRUST N/A 14687JAD1 186376.81000000 PA USD 184542.02000000 0.027675554866 Long ABS-MBS US N 2 2025-01-10 Fixed 0.38000000 N N N N N N SRS DISTRIBUTION INC. N/A 78466YAN8 242682.66000000 PA USD 229689.43000000 0.034446260110 Long LON US N 2 2028-06-02 Floating 4.01870880 N N N N N N TRANS UNION LLC TL N/A N/A 519609.13000000 PA USD 505969.39000000 0.075879648513 Long LON US N 2 2028-11-17 Floating 3.01371120 N N N N N N Ping Identity 11/21 TLB N/A N/A 700000.00000000 PA USD 680750.00000000 0.102091295929 Long LON US N 2 2028-11-22 Floating 4.55036040 N N N N N N IMPERIAL FUND MORTGAGE TRUST N/A 452761AA7 174304.50000000 PA USD 155181.45000000 0.023272383892 Long ABS-MBS US Y 2 2056-09-25 Floating 1.07300160 N N N N N N STAR TRUST N/A 85521DAE2 1000000.00000000 PA USD 971877.10000000 0.145751292872 Long ABS-MBS US Y 2 2038-04-17 Floating 1.93700160 N N N N N N VERUS SECURITIZATION TRUST N/A 92538CAA9 830247.37000000 PA USD 793314.65000000 0.118972487254 Long ABS-MBS US Y 2 2065-05-25 Fixed 1.21800000 N N N N N N DENALI CAPITAL CLO LTD. N/A 24823DAU0 1000000.00000000 PA USD 984242.00000000 0.147605642729 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 2.71271160 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31405MA64 98330.77000000 PA USD 101501.96000000 0.015222132406 Long DBT USGA US N 2 2034-07-01 Floating 1.82199960 N N N N N N ATHENAHEALTH GROUP INC. N/A 04686RAB9 1974583.99000000 PA USD 1880791.25000000 0.282060104421 Long LON US N 2 2029-02-15 Floating 4.36276080 N N N N N N Option Care/BioScrip 10/21 TLB N/A N/A 426121.72000000 PA USD 416712.95000000 0.062493962682 Long LON US N 2 2028-10-27 Floating 3.51371160 N N N N N N VOYA CLO N/A 92915HAN3 818182.00000000 PA USD 798021.18000000 0.119678320154 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 2.44428840 N N N N N N VERUS SECURITIZATION TRUST N/A 92537KAA2 29215.87000000 PA USD 29133.93000000 0.004369182033 Long ABS-MBS US N 2 2059-11-25 Fixed 2.64200000 N N N N N N COLT MORTGAGE LOAN TRUST N/A 19688KAA2 385881.10000000 PA USD 355816.25000000 0.053361354499 Long ABS-MBS US Y 2 2066-10-25 Floating 1.10999880 N N N N N N TESLA AUTO LEASE TRUST N/A 88167HAE6 1000000.00000000 PA USD 984961.40000000 0.147713530321 Long ABS-MBS US N 2 2024-01-22 Fixed 1.18000000 N N N N N N COLT MORTGAGE LOAN TRUST N/A 19688BAA2 133150.32000000 PA USD 130848.44000000 0.019623190319 Long ABS-MBS US Y 2 2065-05-25 Floating 0.85700160 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST N/A 35105UAC7 100000.00000000 PA USD 96497.89000000 0.014471677773 Long ABS-MBS US Y 2 2026-05-15 Fixed 0.81000000 N N N N N N Mitchell International 9/21 TLB N/A 60662WAS1 926569.47000000 PA USD 878600.97000000 0.131762778747 Long LON US N 2 2028-10-15 Floating 4.68556920 N N N N N N MISSOURI HIGHER ED LN AUTH STUDENT LN REV N/A 606072LG9 3167948.77000000 PA USD 3086072.50000000 0.462814749697 Long ABS-MBS US N 2 2061-03-25 Floating 1.70570880 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST N/A 96042RAD0 140000.00000000 PA USD 135633.33000000 0.020340774779 Long ABS-MBS US Y 2 2026-07-15 Fixed 0.62000000 N N N N N N BARINGS CLO LTD N/A 06760EAA4 3014443.47000000 PA USD 2980820.37000000 0.447030208601 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.86270840 N N N N N N VERUS SECURITIZATION TRUST N/A 92537MAA8 46838.21000000 PA USD 46204.03000000 0.006929165332 Long ABS-MBS US N 2 2059-11-25 Floating 2.69200080 N N N N N N WILLIAM MORRIS ENDEAVOR ENTERTAINMENT, LLC N/A 96925HAF9 1180826.02000000 PA USD 1129164.89000000 0.169339562156 Long LON US N 2 2025-05-18 Floating 3.52000080 N N N N N N BHG SECURITIZATION TRUST N/A 05553DAA9 325000.00000000 PA USD 324976.96000000 0.048736421584 Long ABS-MBS US Y 2 2035-06-18 Fixed 3.75000000 N N N N N N INVITATION HOMES TRUST N/A 46187XAA3 2692868.03000000 PA USD 2665955.78000000 0.399810327536 Long ABS-MBS US N 2 2038-01-17 Floating 1.98699840 N N N N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36258BAL2 500000.00000000 PA USD 490508.35000000 0.073560974095 Long ABS-MBS US N 2 2036-12-15 Floating 2.22500160 N N N N N N VASA TRUST N/A 92230AAC0 2000000.00000000 PA USD 1909075.80000000 0.286301905911 Long ABS-MBS US Y 2 2039-07-15 Floating 2.12500080 N N N N N N MISSISSIPPI POWER COMPANY LNZ0J6YZ5SC6ILIRU850 605417CC6 195000.00000000 PA USD 192738.83000000 0.028904821051 Long DBT CORP US N 2 2024-06-28 Floating 0.57998880 N N N N N N MCAFEE 5/21 N/A 55910RAB9 53716.74000000 PA USD 49204.53000000 0.007379146872 Long LON US N 2 2028-07-27 Floating 6.23000160 N N N N N N MARLETTE FUNDING TRUST N/A 57108QAA1 110207.98000000 PA USD 108405.05000000 0.016257380888 Long ABS-MBS US Y 2 2031-12-15 Fixed 0.65000000 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46651MAG1 2000000.00000000 PA USD 1951802.80000000 0.292709625046 Long ABS-MBS US N 2 2036-07-15 Floating 2.03500080 N N N N N N DBGS MORTGAGE TRUST N/A 23306GAA5 2741288.07000000 PA USD 2694850.92000000 0.404143698507 Long ABS-MBS US N 2 2035-05-15 Floating 1.64500920 N N N N N N OAKTOWN RE LTD N/A 67389JAA6 1000000.00000000 PA USD 983624.40000000 0.147513021966 Long ABS-MBS BM Y 2 2034-04-25 Floating 2.18445840 N N N N N N US Lumber/Specialty Building 10/21 TLB N/A N/A 1285607.78000000 PA USD 1199832.03000000 0.179937432009 Long LON US N 2 2028-10-15 Floating 4.67843040 N N N N N N COMM MORTGAGE TRUST N/A 12625XAN7 800000.00000000 PA USD 773180.00000000 0.115952916910 Long ABS-MBS US N 2 2030-08-10 Floating 4.39350120 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 61691MAA5 3000000.00000000 PA USD 2917381.50000000 0.437516354102 Long ABS-MBS US N 2 2035-07-15 Floating 1.77500160 N N N N N N MH SUB I, LLC (MICRO HOLDING CORP.) N/A 45567YAL9 723192.91000000 PA USD 697157.97000000 0.104551980352 Long LON US N 2 2024-09-13 Floating 4.74999840 N N N N N N FREDDIE MAC STACR REMIC TRUST N/A 35564KFN4 700515.60000000 PA USD 693254.27000000 0.103966546945 Long DBT USGA US Y 2 2033-12-25 Floating 1.28445840 N N N N N N COLT MORTGAGE LOAN TRUST N/A 19688DAA8 124729.08000000 PA USD 121355.93000000 0.018199609493 Long ABS-MBS US Y 2 2064-12-25 Floating 1.05099840 N N N N N N INVITATION HOMES TRUST N/A 46185JAA6 1684874.66000000 PA USD 1661612.44000000 0.249190109925 Long ABS-MBS US N 2 2037-03-17 Floating 1.58699880 N N N N N N SHUTTERFLY 6/21 N/A N/A 770401.16000000 PA USD 659979.56000000 0.098976376889 Long LON US N 2 2026-09-25 Floating 5.76371160 N N N N N N SEI Daily Income Trust: Government Fund; Class F Shares N/A 783965593 42196452.08000000 NS USD 42196452.08000000 6.328153472590 Long STIV RF US N 2 N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17326MAA0 4000000.00000000 PA USD 3899396.40000000 0.584788001201 Long ABS-MBS US N 2 2036-12-15 Floating 1.70499960 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89173FAA8 118049.44000000 PA USD 117586.46000000 0.017634306404 Long ABS-MBS US N 2 2056-10-25 Floating 2.75000040 N N N N N N KENTUCKY HIGHER ED STUDENT LN CORP STUDENT LN REV N/A 49130NEZ8 1667260.14000000 PA USD 1660889.04000000 0.249081622458 Long ABS-MBS US N 2 2050-11-25 Floating 1.71785880 N N N N N N BANQUE CANADIENNE IMPERIALE DE COMMERCE 2IGI19DL77OX0HC3ZE78 13607GRT3 425000.00000000 PA USD 422490.38000000 0.063360397226 Long DBT NUSS CA N 2 2023-12-14 Floating 0.68108040 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64828NAA3 1274807.33000000 PA USD 1279676.58000000 0.191911627502 Long ABS-MBS US N 2 2057-06-25 Floating 2.50571160 N N N N N N PREGIS TOPCO LLC N/A 74045BAC1 1164644.90000000 PA USD 1107379.31000000 0.166072403735 Long LON US N 2 2026-07-31 Floating 4.76371080 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31419A4K0 218953.49000000 PA USD 240523.43000000 0.036071022651 Long DBT USGA US N 2 2039-10-01 Fixed 6.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31409VR39 117881.95000000 PA USD 122357.27000000 0.018349779303 Long DBT USGA US N 2 2033-10-01 Floating 2.12299920 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGD0 350000.00000000 PA USD 348652.61000000 0.052287031632 Long DBT CORP US N 2 2024-03-22 Floating 0.77141160 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81744FAZ0 457492.33000000 PA USD 454858.82000000 0.068214655010 Long ABS-MBS US N 2 2034-05-20 Floating 2.05670880 N N N N N N AMERICAN AIRLINES INC. N/A 02376CBB0 252615.61000000 PA USD 231696.51000000 0.034747259593 Long LON US N 2 2025-06-27 Floating 2.77300080 N N N N N N KKR FINANCIAL CLO, LTD. N/A 48252KAA7 580000.00000000 PA USD 569926.56000000 0.085471231869 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.04428880 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64830VAA1 83138.55000000 PA USD 79563.35000000 0.011932024252 Long ABS-MBS US N 2 2060-01-26 Floating 2.46413160 N N N N N N CLUBCORP HOLDINGS INC. N/A 18948TAB9 659227.55000000 PA USD 618230.19000000 0.092715271802 Long LON US N 2 2024-09-18 Floating 3.75599880 N N N N N N ARI FLEET LEASE TRUST N/A 00217FAB1 99702.21000000 PA USD 98183.86000000 0.014724520759 Long ABS-MBS US Y 2 2030-03-15 Fixed 0.37000000 N N N N N N MORGAN STANLEY DEAN WITTER CAPITAL I INC N/A 61746WRV4 475628.71000000 PA USD 474576.38000000 0.071171674846 Long ABS-MBS US N 2 2032-08-25 Floating 1.86571080 N N N N N N MFA TRUST N/A 552757AA4 55858.30000000 PA USD 53957.07000000 0.008091879839 Long ABS-MBS US Y 2 2065-01-26 Floating 1.01400120 N N N N N N CREDIT SUISSE FIRST BOSTON CORPORATION N/A 225458TY4 574206.48000000 PA USD 572157.42000000 0.085805791382 Long ABS-MBS US N 2 2035-07-25 Floating 1.30570920 N N N N N N Mohegan Gaming & Entertainment 549300UB083Z2NRDHC48 608328BH2 845000.00000000 PA USD 781210.95000000 0.117157309261 Long DBT CORP US N 2 2026-02-01 Fixed 8.00000000 N N N N N N ARROYO MORTGAGE TRUST N/A 042859AA6 791303.46000000 PA USD 772136.19000000 0.115796377922 Long ABS-MBS US N 2 2049-01-25 Floating 3.80499840 N N N N N N VIRGIN MEDIA BRISTOL LLC N/A G9368PBC7 547777.78000000 PA USD 532790.58000000 0.079901991584 Long LON US N 2 2028-01-31 Floating 3.37470840 N N N N N N PAREXEL INTERNATIONAL 8/21 TL N/A 71911KAC8 2280000.00000000 PA USD 2201636.40000000 0.330176883204 Long LON US N 2 2028-11-15 Floating 4.26371040 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 939336V91 1067158.71000000 PA USD 1032491.31000000 0.154841536354 Long ABS-MBS US N 2 2035-01-25 Floating 2.81209320 N N N N N N TUTOR PERINI N/A 90110FAM6 709375.88000000 PA USD 682774.28000000 0.102394874876 Long LON US N 2 2027-08-18 Floating 5.74999920 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KED7 984099.73000000 PA USD 967939.63000000 0.145160795017 Long DBT USGA US N 2 2033-10-25 Floating 1.33445880 N N N N N N UBS AG LONDON BRANCH N/A 902674YC8 250000.00000000 PA USD 248902.99000000 0.037327695644 Long DBT NUSS CH N 2 2024-02-09 Floating 1.15013160 N N N N N N OZLM FUNDING LTD N/A 67109WAJ7 25552.55000000 PA USD 25488.95000000 0.003822548567 Long ABS-CBDO CORP KY N 2 2027-04-30 Floating 2.33600040 N N N N N N CONNECTICUT AVENUE SECURITIES N/A 20753XAA2 946673.43000000 PA USD 944323.98000000 0.141619183099 Long ABS-MBS US Y 2 2042-03-25 Floating 2.68445880 N N N N N N SOPHIA, L.P. N/A N/A 1000000.00000000 PA USD 992500.00000000 0.148844085508 Long LON US N 3 2028-10-09 Floating 9.00600120 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81744FBS5 924253.20000000 PA USD 879511.86000000 0.131899383874 Long ABS-MBS US N 2 2034-06-20 Floating 1.83041640 N N N N N N CPS AUTO RECEIVABLES TRUST N/A 12656QAA2 45567.95000000 PA USD 45376.02000000 0.006804989623 Long ABS-MBS US Y 2 2025-03-17 Fixed 0.37000000 N N N N N N BEAR STEARNS ALT-A TRUST N/A 07386HKK6 1053695.97000000 PA USD 1053801.55000000 0.158037408581 Long ABS-MBS US N 2 2034-08-25 Floating 2.68006320 N N N N N N OPG TRUST N/A 67118AAL9 1000000.00000000 PA USD 918307.10000000 0.137717461476 Long ABS-MBS US Y 2 2036-10-15 Floating 2.00599920 N N N N N N OBX TRUST N/A 67113CAL0 392937.70000000 PA USD 387330.09000000 0.058087448902 Long ABS-MBS US N 2 2049-12-25 Floating 1.56786120 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE TRUST N/A 24380NAA7 2271.58000000 PA USD 2267.67000000 0.000340079866 Long ABS-MBS US N 2 2065-05-25 Fixed 1.69200000 N N N N N N NAVIENT PRIVATE EDUCATION LOAN TRUST N/A 63935BAA1 910263.26000000 PA USD 874540.07000000 0.131153770236 Long ABS-MBS US Y 2 2069-01-15 Fixed 1.31000000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64830GAB2 572316.43000000 PA USD 561512.70000000 0.084209414944 Long ABS-MBS US N 2 2057-12-25 Fixed 4.00000000 N N N N N N United States of America N/A N/A -13.00000000 NC USD -1552890.63000000 -0.23288522490 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Short U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Sep 2022 2022-09-24 -1560043.41000000 USD 7152.78000000 N N N LAD AUTO RECEIVABLES TRUST N/A 501683AA4 342418.83000000 PA USD 333483.96000000 0.050012206607 Long ABS-MBS US Y 2 2026-08-17 Fixed 1.30000000 N N N N N N BANQUE NATIONALE DU CANADA BSGEFEIOM18Y80CKCV46 63307A2Q7 350000.00000000 PA USD 346893.96000000 0.052023288911 Long DBT CORP CA N 2 2024-08-06 Floating 1.26564120 N N N N N N SMART START 12/21 N/A N/A 833978.31000000 PA USD 812086.38000000 0.121787662050 Long LON US N 2 2028-12-16 Floating 5.50599840 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 46630GAS4 356820.36000000 PA USD 352605.53000000 0.052879846506 Long ABS-MBS US N 2 2035-07-25 Floating 2.42210880 N N N N N N ThyssenKrupp Elevator 7/21 (USD) Cov-Lite N/A D9000BAD4 1720083.85000000 PA USD 1654514.25000000 0.248125602520 Long LON US N 2 2027-07-30 Floating 3.99999960 N N N N N N BAXTER INTERNATIONAL INC. J5OIVXX3P24RJRW5CK77 071813CZ0 275000.00000000 PA USD 270878.76000000 0.040623376640 Long DBT CORP US N 2 2024-11-29 Floating 1.22076000 N N N N N N THE CHEMOURS COMPANY 549300M1BOLNXL8DOV14 163851AH1 640000.00000000 PA USD 578400.00000000 0.086741983937 Long DBT CORP US N 2 2029-11-15 Fixed 4.62500000 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89180LAA6 1595246.38000000 PA USD 1569036.96000000 0.235306671476 Long ABS-MBS US Y 2 2061-12-25 Floating 2.25000000 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS INCORPORATED N/A 59020USK2 438540.79000000 PA USD 411079.94000000 0.061649186639 Long ABS-MBS US N 2 2035-02-25 Floating 2.81918160 N N N N N N DT AUTO OWNER TRUST N/A 23344QAA7 250038.95000000 PA USD 247073.96000000 0.037053398114 Long ABS-MBS US Y 2 2025-04-15 Fixed 0.33000000 N N N N N N COMM MORTGAGE TRUST N/A 12591RAE0 700000.00000000 PA USD 690129.37000000 0.103497909279 Long ABS-MBS US N 2 2047-02-10 Floating 4.67748360 N N N N N N CARMAX AUTO OWNER TRUST N/A 14317DAB6 165645.51000000 PA USD 164749.85000000 0.024707345854 Long ABS-MBS US N 2 2024-09-16 Fixed 0.29000000 N N N N N N USI. INC. N/A 90351NAF2 1711293.65000000 PA USD 1655676.61000000 0.248299920315 Long LON US N 2 2026-12-02 Floating 4.25599920 N N N N N N COUNTRYWIDE HOME LOANS INC N/A 12669FZW6 5924.40000000 PA USD 562.82000000 0.000084405469 Long ABS-MBS US N 2 2019-06-25 Fixed 4.50000000 N N N N N N ICON PUBLIC LIMITED COMPANY N/A L5000DAD9 189513.84000000 PA USD 186197.35000000 0.027923802805 Long LON US N 2 2028-07-03 Floating 3.31250040 N N N N N N Motus 10/21 TL N/A N/A 850000.00000000 PA USD 816000.00000000 0.122374583148 Long LON US N 2 2028-12-11 Floating 4.70300040 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGE8 350000.00000000 PA USD 345938.37000000 0.051879980176 Long DBT CORP US N 2 2026-03-20 Floating 1.06174080 N N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST N/A 863579PF9 623540.87000000 PA USD 609298.82000000 0.091375844497 Long ABS-MBS US N 2 2035-04-25 Floating 3.04354440 N N N N N N MELLON RESIDENTIAL FUNDING CORPORATION N/A 585525DF2 118058.03000000 PA USD 115942.41000000 0.017387750113 Long ABS-MBS US N 2 2029-10-20 Floating 2.61000360 N N N N N N N/A N/A 74049LAQ4 18279.09000000 PA USD -838.83000000 -0.00012579837 Long LON US N 2 2028-09-15 Floating 3.99999960 N N N N N N ARROYO MORTGAGE TRUST N/A 04285AAA3 43736.31000000 PA USD 42671.04000000 0.006399326878 Long ABS-MBS US N 2 2048-10-25 Floating 2.96200080 N N N N N N COLD STORAGE TRUST N/A 193051AN9 1474485.78000000 PA USD 1442138.51000000 0.216275856622 Long ABS-MBS US Y 2 2037-11-15 Floating 2.97470880 N N N N N N Ensemble RCM LLC N/A N/A 371402.16000000 PA USD 364809.77000000 0.054710102367 Long LON US N 2 2026-08-03 Floating 4.98885840 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CZ0 275000.00000000 PA USD 271320.13000000 0.040689568392 Long DBT NUSS GB N 2 2024-11-22 Floating 1.36097280 N N N N N N HYPERION INSURANCE/HOWDEN 2/21 COV-LITE TLB N/A G4712JAR3 1802456.74000000 PA USD 1727853.06000000 0.259124139655 Long LON US N 2 2027-11-12 Floating 4.06249920 N N N N N N SHARP 12/21 TL N/A N/A 780000.00000000 PA USD 752700.00000000 0.112881554823 Long LON US N 2 2028-12-31 Floating 5.00600160 N N N N N N ORTHO-CLINICAL DIAGNOSTICS N/A L7300KAJ3 515325.50000000 PA USD 510574.20000000 0.076570226582 Long LON US N 2 2025-06-30 Floating 3.80000160 N N N N N N Datatel/Ellucian 3/22 Incremental N/A N/A 780487.80000000 PA USD 766829.26000000 0.115000503723 Long LON US N 2 2027-10-07 Floating 0.00000000 N N N N N N MORTGAGEIT TRUST N/A 61913PAR3 355465.10000000 PA USD 345411.84000000 0.051801017076 Long ABS-MBS US N 2 2035-02-25 Floating 2.04999840 N N N N N N N/A N/A 89616BAA2 120528.72000000 PA USD 120193.01000000 0.018025207715 Long ABS-MBS US N 2 2025-02-18 Fixed 3.30000000 N N N N N N MFA TRUST N/A 55283WAA9 1427200.53000000 PA USD 1303878.42000000 0.195541149661 Long ABS-MBS US Y 2 2064-11-25 Floating 1.02899880 N N N N N N TOWD POINT HE TRUST N/A 89180DAA4 1231311.58000000 PA USD 1181078.62000000 0.177125004642 Long ABS-MBS US Y 2 2063-02-25 Floating 0.91800000 N N N N N N TRIDENT TPI HOLDINGS, INC. N/A 00216EAB5 1886862.48000000 PA USD 1839294.68000000 0.275836911461 Long LON US N 2 2024-10-17 Floating 4.25599920 N N N N N N PRINCIPAL LIFE GLOBAL FUNDING II 635400WSLKBQWSOIIT41 74256LEM7 130000.00000000 PA USD 129204.11000000 0.019376592037 Long DBT CORP US N 2 2024-04-12 Floating 0.74054520 N N N N N N PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED PUSS41EMO3E6XXNV3U28 744573AT3 255000.00000000 PA USD 246591.40000000 0.036981029145 Long DBT CORP US N 2 2023-11-08 Fixed 0.84100000 N N N N N N DLLAD LLC N/A 233262AB0 215348.40000000 PA USD 212269.50000000 0.031833813207 Long ABS-MBS US Y 2 2024-09-20 Fixed 0.35000000 N N N N N N HILTON WORLDWIDE FINANCE LLC N/A 43289DAH6 710443.61000000 PA USD 690984.56000000 0.103626161142 Long LON US N 2 2026-06-22 Floating 2.72356920 N N N N N N FHF TRUST N/A 30322JAA4 134824.29000000 PA USD 130216.29000000 0.019528387509 Long ABS-MBS US Y 2 2026-12-15 Fixed 0.83000000 N N N N N N Document Technologies/Epiq Systems 4/22 Cov-Lite N/A N/A 810000.00000000 PA USD 759172.50000000 0.113852228217 Long LON US N 2 2029-04-26 Floating 5.72178960 N N N N N N ELANCO ANIMAL HEALTH INC. N/A 28414BAF3 796364.03000000 PA USD 771979.36000000 0.115772858307 Long LON US N 2 2027-08-01 Floating 2.54999880 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KA4 200000.00000000 PA USD 197204.02000000 0.029574460468 Long DBT CORP US N 2 2024-02-16 Fixed 3.25000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GZJ6 275000.00000000 PA USD 271750.58000000 0.040754122485 Long DBT CORP US N 2 2025-01-24 Floating 0.97922880 N N N N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 06368FAD1 475000.00000000 PA USD 467629.50000000 0.070129859228 Long DBT NUSS CA N 2 2026-09-15 Floating 0.67000320 N N N N N N FLAGSHIP CREDIT AUTO TRUST N/A 33845XAA5 108478.92000000 PA USD 107909.76000000 0.016183102815 Long ABS-MBS US Y 2 2025-04-15 Fixed 0.53000000 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST N/A 004421KL6 846170.01000000 PA USD 852877.09000000 0.127904997997 Long ABS-MBS US N 2 2050-11-25 Floating 2.88070920 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST N/A 31573TAB4 512439.68000000 PA USD 500991.78000000 0.075133162056 Long ABS-MBS US N 2 2059-11-25 Floating 2.89199880 N N N N N N ASURION, LLC N/A 04649VAX8 701125.00000000 PA USD 662037.28000000 0.099284970795 Long LON US N 2 2026-12-23 Floating 4.01370840 N N N N N N CAMB COMMERCIAL MORTGAGE TRUST N/A 12482HAA2 2795000.00000000 PA USD 2745994.99000000 0.411813715966 Long ABS-MBS US N 2 2037-12-15 Floating 1.94500080 N N N N N N DELTA TOPCO, INC. N/A 24780DAE7 988559.23000000 PA USD 932537.58000000 0.139851590223 Long LON US N 2 2028-12-01 Floating 7.99999920 N N N N N N COMM MORTGAGE TRUST N/A 12626BAF1 29837526.28000000 PA USD 193218.87000000 0.028976812098 Long DBT USGA US N 2 2046-08-10 Floating 0.70301880 N N N N N N FLAGSHIP CREDIT AUTO TRUST N/A 33846QAA9 158863.94000000 PA USD 154726.07000000 0.023204091076 Long ABS-MBS US Y 2 2027-07-15 Fixed 0.36000000 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST N/A 03066PAE9 300000.00000000 PA USD 288310.74000000 0.043237630667 Long ABS-MBS US N 2 2026-08-18 Fixed 1.06000000 N N N N N N MCAFEE CORP. N/A 57906HAD9 2715517.23000000 PA USD 2571268.95000000 0.385610252351 Long LON US N 2 2029-03-01 Floating 4.84162920 N N N N N N BELLEMEADE RE LTD. N/A 078774AA4 1000000.00000000 PA USD 993377.20000000 0.148975638185 Long ABS-MBS BM Y 2 2032-01-26 Floating 2.33445960 N N N N N N DiamondSports/SinclairRegionalSports3/22 2ndLienTL N/A N/A 991860.38000000 PA USD 297310.15000000 0.044587261853 Long LON US N 2 2026-08-24 Floating 4.09163040 N N N N N N BANQUE NATIONALE DU CANADA BSGEFEIOM18Y80CKCV46 63307A2P9 350000.00000000 PA USD 330290.11000000 0.049533228589 Long DBT CORP CA N 2 2024-08-06 Fixed 0.75000000 N N N N N N ALLIANCE LAUNDRY SYSTEMS LLC N/A 01862LAW8 785000.00000000 PA USD 753764.85000000 0.113041249155 Long LON US N 2 2027-10-08 Floating 4.52143080 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 466247K93 96674.41000000 PA USD 95686.38000000 0.014349976550 Long ABS-MBS US N 2 2033-11-25 Floating 2.28336480 N N N N N N VSE VOI MORTGAGE LLC N/A 918288AA9 589493.46000000 PA USD 574106.97000000 0.086098163157 Long ABS-MBS US N 2 2035-03-20 Fixed 2.33000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31402QW98 312367.25000000 PA USD 320761.24000000 0.048104194896 Long DBT USGA US N 2 2033-10-01 Floating 2.27199960 N N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST N/A 22534GAA1 357191.50000000 PA USD 356198.04000000 0.053418611106 Long ABS-MBS US N 2 2029-02-15 Fixed 2.01000000 N N N N N N CSMC TRUST N/A 126407AA3 166822.46000000 PA USD 161919.41000000 0.024282868017 Long ABS-MBS US Y 2 2065-05-25 Floating 0.80899920 N N N N N N WAMU COMMERCIAL MORTGAGE SECURITIES TRUST N/A 933632AF8 196995.52000000 PA USD 196087.76000000 0.029407056238 Long ABS-MBS US N 2 2049-12-27 Floating 2.20131360 N N N N N N PUG LLC N/A 74530DAC9 33073.20000000 PA USD 31336.86000000 0.004699552916 Long LON US N 2 2027-02-12 Floating 4.26371040 N N N N N N LUCID ENERGY GROUP II TL N/A N/A 1090000.00000000 PA USD 1051621.10000000 0.157710408998 Long LON US N 2 2028-11-24 Floating 5.25570840 N N N N N N UNITED PF HOLDINGS, LLC N/A 91132UAG8 1239667.73000000 PA USD 1160118.25000000 0.173981602017 Long LON US N 2 2026-12-30 Floating 5.00600160 N N N N N N MMAF EQUIPMENT FINANCE LLC N/A 60700DAD0 924105.65000000 PA USD 927089.03000000 0.139034477435 Long ABS-MBS US N 2 2025-01-10 Fixed 3.39000000 N N N N N N BX TRUST N/A 05609QAC0 2000000.00000000 PA USD 1912589.20000000 0.286828806475 Long ABS-MBS US Y 2 2038-11-15 Floating 2.12500080 N N N N N N VERUS SECURITIZATION TRUST N/A 92537QAE1 214959.55000000 PA USD 204745.83000000 0.030705497055 Long ABS-MBS US Y 2 2066-01-25 Floating 1.05199920 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST N/A 96041LAG7 355000.00000000 PA USD 355448.97000000 0.053306273939 Long ABS-MBS US N 2 2025-04-15 Fixed 4.02000000 N N N N N N CNH EQUIPMENT TRUST N/A 12598AAB6 73575.36000000 PA USD 73309.66000000 0.010994165543 Long ABS-MBS US N 2 2024-03-15 Fixed 0.23000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418MGX4 13427.63000000 PA USD 14755.93000000 0.002212929880 Long DBT USGA US N 2 2039-09-01 Fixed 6.00000000 N N N N N N OXFORD FINANCE FUNDING LLC N/A 69144AAA7 1196273.74000000 PA USD 1189371.12000000 0.178368621346 Long ABS-MBS US N 2 2028-02-15 Fixed 3.10100000 N N N N N N CENTERPOINT ENERGY, INC. 21TPXMRRHFKOBHDC8J74 15189TAZ0 225000.00000000 PA USD 222106.80000000 0.033309101794 Long DBT CORP US N 2 2024-05-13 Floating 1.45014120 N N N N N N BX TRUST N/A 12434CAG9 1000000.00000000 PA USD 944933.20000000 0.141710547123 Long ABS-MBS US Y 2 2034-09-15 Floating 1.61300160 N N N N N N CP ATLAS BUYER, INC. N/A 12658HAG7 1721844.41000000 PA USD 1561144.67000000 0.234123073805 Long LON US N 2 2027-11-23 Floating 4.51370880 N N N N N N EXTENET SYSTEMS N/A 30227XAA9 2000000.00000000 PA USD 1982465.00000000 0.297307999977 Long ABS-MBS US N 2 2049-07-26 Fixed 3.20400000 N N N N N N ENSONO/ACXIOM 5/21 COV-LITE N/A 29359DAB3 1678764.00000000 PA USD 1612872.51000000 0.241880638581 Long LON US N 2 2028-05-26 Floating 4.74999840 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89175MAA1 823230.39000000 PA USD 812580.18000000 0.121861716669 Long ABS-MBS US N 2 2058-05-25 Floating 3.75000120 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 46650AAD5 95406.68000000 PA USD 94534.94000000 0.014177296416 Long ABS-MBS US N 2 2046-04-25 Floating 1.75570920 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST N/A 105699AA0 69304.69000000 PA USD 68742.58000000 0.010309245799 Long ABS-MBS US N 2 2060-05-25 Floating 1.44900000 N N N N N N EQUINOX FITNESS CLUBS N/A 29446CAP9 2497126.11000000 PA USD 2181239.66000000 0.327118007523 Long LON US N 2 2024-03-08 Floating 4.00600080 N N N N N N VERUS SECURITIZATION TRUST N/A 92538EAA5 108569.58000000 PA USD 104460.04000000 0.015665752267 Long ABS-MBS US Y 2 2064-04-25 Floating 1.01999880 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A2X8 450000.00000000 PA USD 436901.55000000 0.065521623845 Long DBT CORP US N 2 2024-05-24 Floating 1.48077720 N N N N N N Esdec Solar 8/21 TLB N/A N/A 684505.16000000 PA USD 643434.85000000 0.096495185725 Long LON US N 2 2028-08-30 Floating 6.49971000 N N N N N N KODIAK BP, LLC N/A 50011JAB6 2058126.05000000 PA USD 1912348.98000000 0.286792780958 Long LON US N 2 2028-03-12 Floating 4.01370840 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST N/A 35105UAB9 92816.52000000 PA USD 92258.65000000 0.013835923818 Long ABS-MBS US Y 2 2025-04-15 Fixed 0.40000000 N N N N N N DEERFIELD DAKOTA HOLDING LLC N/A 24440EAB3 614062.50000000 PA USD 588990.33000000 0.088330203568 Long LON US N 2 2027-04-09 Floating 4.74999840 N N N N N N VERUS SECURITIZATION TRUST N/A 92538HAB6 786055.11000000 PA USD 691578.20000000 0.103715188651 Long ABS-MBS US Y 2 2066-07-25 Floating 1.24700040 N N N N N N AIR MEDICAL GROUP HOLDINGS INC. N/A 00169QAD1 518658.83000000 PA USD 493291.23000000 0.073978319414 Long LON US N 2 2025-03-14 Floating 5.24999880 N N N N N N LANDesk Ivanti Software 12/21 Cov-Lite N/A N/A 1241735.00000000 PA USD 1129593.91000000 0.169403901793 Long LON US N 2 2027-12-01 Floating 5.00000040 N N N N N N ALTERRA MOUNTAIN COMPANY N/A 46124CAJ6 1579353.31000000 PA USD 1523096.75000000 0.228417070926 Long LON US N 2 2028-08-17 Floating 4.26371040 N N N N N N Scientific Games 2/22 (USD) Cov-Lite N/A N/A 975000.00000000 PA USD 933913.50000000 0.140057935366 Long LON US N 2 2029-04-04 Floating 4.46685840 N N N N N N LENDBUZZ SECURITIZATION TRUST N/A 52607BAA1 392292.81000000 PA USD 383324.37000000 0.057486715673 Long ABS-MBS US Y 2 2026-06-15 Fixed 1.46000000 N N N N N N SCF EQUIPMENT LEASING LLC N/A 784033AC6 415000.00000000 PA USD 407651.93000000 0.061135091915 Long ABS-MBS US Y 2 2028-02-22 Fixed 2.06000000 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63942QAB7 1801087.60000000 PA USD 1749811.72000000 0.262417254685 Long ABS-MBS US Y 2 2070-02-25 Floating 1.55571120 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBK0 250000.00000000 PA USD 249099.61000000 0.037357182519 Long DBT CORP US N 2 2023-06-10 Floating 0.29999880 N N N N N N GS MORTGAGE SECURITIES TRUST N/A 36248FAJ1 965562.81000000 PA USD 9.66000000 0.000001448699 Long DBT USGA US N 2 2044-03-10 Floating 0.29130480 N N N N N N COLT MORTGAGE LOAN TRUST N/A 12598RAA1 913932.56000000 PA USD 834830.87000000 0.125198627102 Long ABS-MBS US Y 2 2066-11-26 Floating 1.72599840 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST N/A 80286NAE6 600000.00000000 PA USD 597475.80000000 0.089602759762 Long ABS-MBS US N 2 2025-04-15 Fixed 0.50000000 N N N N N N MI Windows 1/22 Cov-Lite N/A 55336CAJ1 111062.56000000 PA USD 106064.74000000 0.015906407284 Long LON US N 2 2027-12-18 Floating 4.20036120 N N N N N N ASURION LLC N/A 04649VAW0 40729.56000000 PA USD 39231.12000000 0.005883446025 Long LON US N 2 2024-11-03 Floating 3.76371000 N N N N N N TGP HOLDINGS III LLC 549300LURVM6CQ1MNO41 63689EAS4 68494.99000000 PA USD -6815.25000000 -0.00102207521 Long LON US N 2 2028-06-29 Floating 3.25000080 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 61691LAL3 3400000.00000000 PA USD 3363777.76000000 0.504461888705 Long ABS-MBS US N 2 2034-11-15 Floating 2.27499840 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST N/A 94981VAB3 156071.70000000 PA USD 158039.31000000 0.023700973875 Long ABS-MBS US N 2 2034-07-25 Floating 2.61500040 N N N N N N BUNKER HILL LOAN DEPOSITARY TRUST N/A 12062RAA8 57465.89000000 PA USD 55839.74000000 0.008374221698 Long ABS-MBS US N 2 2055-02-25 Floating 1.72400040 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31402HC33 504102.37000000 PA USD 526954.56000000 0.079026770365 Long DBT USGA US N 2 2034-08-01 Floating 2.25299880 N N N N N N Sweetwater Sound 8/21 Cov-Lite TLB N/A N/A 808501.36000000 PA USD 711481.20000000 0.106700018710 Long LON US N 2 2028-08-07 Floating 5.56250040 N N N N N N Sumitomo Mitsui Trust Bank, Limited 5493006GGLR4BTEL8O61 86563VAX7 350000.00000000 PA USD 347590.25000000 0.052127710723 Long DBT NUSS JP N 2 2024-09-16 Floating 0.72108000 N N N N N N UPSTART SECURITIZATION TRUST N/A 91682NAA1 276188.48000000 PA USD 267434.96000000 0.040106913908 Long ABS-MBS US Y 2 2031-09-20 Fixed 0.84000000 N N N N N N SPECIALTY BUILDING PRODUCTS HOLDINGS, LLC 549300ICFD46O3KMJC06 84749AAA5 1144000.00000000 PA USD 1055340.00000000 0.158268128161 Long DBT CORP US N 2 2026-09-30 Fixed 6.37500000 N N N N N N MOUNTAIN VIEW CLO LTD N/A 62432HAJ9 1067809.81000000 PA USD 1058186.71000000 0.158695045992 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 2.13428880 N N N N N N VELOCITY COMMERCIAL CAPITAL LOAN TRUST N/A 92259LAB4 877925.05000000 PA USD 860631.07000000 0.129067853475 Long ABS-MBS US N 2 2050-02-25 Floating 2.61000000 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE TRUST N/A 24381WAA6 67222.96000000 PA USD 61098.61000000 0.009162888394 Long ABS-MBS US Y 2 2066-04-25 Floating 0.89899920 N N N N N N CARLISLE COMPANIES INCORPORATED XR64VGX1ZPX6G7ZN7Z11 142339AK6 105000.00000000 PA USD 101812.22000000 0.015268661742 Long DBT CORP US N 2 2023-09-01 Fixed 0.55000000 N N N N N N Datasite 7/21 (USD) TL N/A N/A 1664993.78000000 PA USD 1585906.58000000 0.237836589019 Long LON US N 2 2027-12-22 Floating 4.78599840 N N N N N N SG RESIDENTIAL MORTGAGE TRUST N/A 78432YAA7 1864201.02000000 PA USD 1660904.12000000 0.249083883988 Long ABS-MBS US Y 2 2061-12-25 Floating 1.73700000 N N N N N N CAMB COMMERCIAL MORTGAGE TRUST N/A 12482HAG9 3000000.00000000 PA USD 2928477.00000000 0.439180333498 Long ABS-MBS US N 2 2037-12-15 Floating 2.12500080 N N N N N N PPL ELECTRIC UTILITIES CORPORATION 549300GCZLSGYEYPIR35 69351UAY9 425000.00000000 PA USD 422413.68000000 0.063348894615 Long DBT CORP US N 2 2024-06-24 Floating 0.60987960 N N N N N N CHT MORTGAGE TRUST N/A 12546DAG2 2000000.00000000 PA USD 1963717.60000000 0.294496473923 Long ABS-MBS US N 2 2036-11-15 Floating 2.27471040 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST N/A 10569AAA7 428798.51000000 PA USD 421764.07000000 0.063251473349 Long ABS-MBS US N 2 2059-11-25 Floating 2.74799880 N N N N N N EAGLE PARENT CORP. N/A N/A 2107951.87000000 PA USD 2053946.14000000 0.308027944475 Long LON US N 2 2029-04-02 Floating 4.90089960 N N N N N N RESIDENTIAL MORTGAGE LOAN TRUST N/A 76119CAA9 36557.41000000 PA USD 35914.66000000 0.005386080326 Long ABS-MBS US N 2 2060-01-26 Floating 2.37600000 N N N N N N Government National Mortgage Association 2 N/A 3620E0G26 346787.54000000 PA USD 350856.85000000 0.052617598974 Long DBT USGA US N 2 2060-11-20 Floating 2.54999880 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 46631JAA6 28858.99000000 PA USD 24580.74000000 0.003686345356 Long ABS-MBS US N 2 2037-06-25 Floating 3.39617160 N N N N N N EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 635400B4JJBON4TCHF02 29449WAH0 400000.00000000 PA USD 399281.86000000 0.059879842127 Long DBT CORP US N 2 2023-04-06 Floating 0.69011280 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PCA2 350000.00000000 PA USD 348493.79000000 0.052263213579 Long DBT CORP US N 2 2024-03-16 Floating 0.86945040 N N N N N N BWAY HOLDING COMPANY N/A 05604XAP1 2104211.33600000 PA USD 2020042.88000000 0.302943511497 Long LON US N 2 2024-04-03 Floating 4.05000000 N N N N N N Imprivata 3/22 Incremental N/A N/A 580000.00000000 PA USD 566706.40000000 0.084988308171 Long LON US N 2 2027-12-01 Floating 0.00000000 N N N N N N PKHL COMMERCIAL MORTGAGE TRUST N/A 69356GAQ2 400000.00000000 PA USD 373887.36000000 0.056071458118 Long ABS-MBS US Y 2 2038-07-15 Floating 4.22499960 N N N N N N GFL ENVIRONMENTAL N/A C7052BAH7 1716023.91000000 PA USD 1694264.73000000 0.254086936368 Long LON US N 2 2025-05-30 Floating 4.23885960 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST N/A 10569CAE5 1328922.40000000 PA USD 1315769.66000000 0.197324465271 Long ABS-MBS US Y 2 2069-11-25 Floating 1.63446120 N N N N N N BX TRUST N/A 05609TAG5 1000000.00000000 PA USD 952464.90000000 0.142840067525 Long ABS-MBS US Y 2 2039-01-15 Floating 2.66164920 N N N N N N VERUS SECURITIZATION TRUST N/A 92536PAA2 16463.52000000 PA USD 16212.56000000 0.002431379009 Long ABS-MBS US N 2 2060-01-25 Floating 2.41700040 N N N N N N 280 PARK AVENUE MORTGAGE TRUST COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES N/A 90205FAL4 3000000.00000000 PA USD 2872671.30000000 0.430811216740 Long ABS-MBS US N 2 2034-09-15 Floating 2.38145400 N N N N N N DONLEN FLEET LEASE FUNDING 2 N/A 257812AD9 230983.90000000 PA USD 225736.36000000 0.033853422740 Long ABS-MBS US Y 2 2034-12-11 Fixed 0.56000000 N N N N N N CHASE AUTO CREDIT LINKED NOTES N/A 46591HCF5 1377291.26000000 PA USD 1327093.26000000 0.199022652563 Long ABS-MBS US Y 2 2029-02-26 Fixed 1.00900000 N N N N N N RADIAN GUARANTY INC AND EAGLE RE LTD N/A 26982AAA2 3000000.00000000 PA USD 2974349.70000000 0.446059809651 Long ABS-MBS BM Y 2 2034-04-25 Floating 2.13446160 N N N N N N VOYA CLO N/A 92912VAY1 298121.14000000 PA USD 295349.81000000 0.044293271913 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 2.06429040 N N N N N N TCI-FLATIRON CLO LTD N/A 87231BAE3 500000.00000000 PA USD 486406.50000000 0.072945824360 Long ABS-CBDO CORP KY N 2 2030-11-18 Floating 3.00371040 N N N N N N Traeger Grills 6/21 Delayed TL N/A N/A 22831.67000000 PA USD 20559.92000000 0.003083347597 Long LON US N 2 2028-06-29 Floating 0.00000000 N N N N N N ZAYO GROUP HOLDINGS, INC. N/A 98919XAB7 800000.00000000 PA USD 746200.00000000 0.111906757286 Long LON US N 2 2027-03-09 Floating 3.76371000 N N N N N N AVERY POINT CLO, LIMITED N/A 05363UAL7 800000.00000000 PA USD 784069.60000000 0.117586017719 Long ABS-CBDO CORP KY N 2 2026-04-25 Floating 4.68399960 N N N N N N MSG National 10/20 N/A 55357JAB7 1769510.40000000 PA USD 1742967.74000000 0.261390870862 Long LON US N 3 2025-11-12 Floating 7.12500120 N N N N N N PACIFIC LIFE GLOBAL FUNDING II 6354003EUPCHXTWUU869 6944PL2C2 185000.00000000 PA USD 179460.07000000 0.026913420659 Long DBT CORP US N 2 2023-09-23 Fixed 0.50000000 N N N N N N VELOCITY COMMERCIAL CAPITAL LOAN TRUST N/A 92259TAA9 877232.00000000 PA USD 799561.97000000 0.119909390661 Long ABS-MBS US Y 2 2051-05-25 Floating 1.40000040 N N N N N N BX TRUST N/A 12433EAA9 210000.00000000 PA USD 202630.18000000 0.030388215454 Long ABS-MBS US Y 2 2039-01-15 Floating 1.78165080 N N N N N N Assuredpartners 6/21 TLB N/A N/A 970340.65000000 PA USD 923764.30000000 0.138535871495 Long LON US N 2 2027-02-12 Floating 4.26371040 N N N N N N ATALAYA EQUIPMENT LEASING TRUST LLC. N/A 046497AB9 175000.00000000 PA USD 171720.06000000 0.025752660245 Long ABS-MBS US Y 2 2026-05-15 Fixed 1.23000000 N N N N N N CROSSROADS ASSET TRUST N/A 22767CAB6 108285.13000000 PA USD 106773.49000000 0.016012697708 Long ABS-MBS US Y 2 2024-03-20 Fixed 0.82000000 N N N N N N MHP COMMERCIAL MORTGAGE TRUST N/A 55293DAA9 135000.00000000 PA USD 129595.56000000 0.019435297344 Long ABS-MBS US Y 2 2027-01-15 Floating 1.59625080 N N N N N N TMK HAWK PARENT, CORP. N/A 87258WAL9 943609.62000000 PA USD 754887.70000000 0.113209641680 Long LON US N 2 2024-08-28 Floating 4.50000000 N N N N N N MATRIX PARENT INC N/A N/A 855000.00000000 PA USD 837900.00000000 0.125658901005 Long LON US N 2 2029-03-01 Floating 0.00000000 N N N N N N LEARNING CARE GROUP (US) NO. 2 INC. N/A 52201CAF8 515812.50000000 PA USD 514522.97000000 0.077162419085 Long LON US N 2 2025-03-13 Floating 9.54429120 N N N N N N LHS Borrower/Leaf Home 2/22 Cov-Lite N/A N/A 1970844.65000000 PA USD 1699853.51000000 0.254925079288 Long LON US N 2 2029-02-16 Floating 5.45036040 N N N N N N BELLEMEADE RE LTD. N/A 07877GAB5 1403580.45000000 PA USD 1398365.73000000 0.209711303061 Long ABS-MBS BM N 2 2029-07-25 Floating 2.60570880 N N N N N N WASHINGTON MUTUAL MSC MORTGAGE CORP N/A 92922FNW4 1587990.11000000 PA USD 1581104.58000000 0.237116438592 Long ABS-MBS US N 2 2044-04-25 Floating 1.72373040 N N N N N N VERDE CDO N/A 92338BAL9 325000.00000000 PA USD 325002.28000000 0.048740218795 Long ABS-CBDO CORP KY Y 2 2032-04-15 Floating 1.79429040 N N N N N N RENAISSANCE HOLDING CORP. N/A 75972JAE4 662778.35000000 PA USD 641708.63000000 0.096236306493 Long LON US N 2 2026-05-29 Floating 7.76370960 N N N N N N Traeger Grills 6/21 TL N/A N/A 692621.37000000 PA USD 623705.54000000 0.093536403755 Long LON US N 2 2028-06-29 Floating 4.01370840 N N N N N N CENTERPOINT ENERGY RESOURCES CORP. 2JADVB0458J06WCD4N56 15189WAN0 282000.00000000 PA USD 281265.59000000 0.042181077610 Long DBT CORP US N 2 2023-03-02 Floating 1.00428840 N N N N N N JACKSON FINANCIAL INC 213800WXW2KG1N4CO374 46817MAH0 275000.00000000 PA USD 265388.37000000 0.039799989155 Long DBT CORP US N 2 2023-11-22 Fixed 1.12500000 N N N N N N UPSTART SECURITIZATION TRUST N/A 91680EAA3 77309.11000000 PA USD 77037.63000000 0.011553244924 Long ABS-MBS US Y 2 2030-11-20 Fixed 1.70200000 N N N N N N United States of America N/A N/A -30.00000000 NC USD -3388593.75000000 -0.50818351423 N/A DIR US N 1 MORGAN STANLEY & CO, INC N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Sep 2022 2022-10-03 -3395348.92000000 USD 6755.17000000 N N N CARVANA AUTO RECEIVABLES TRUST N/A 14687GAC9 513361.15000000 PA USD 504303.00000000 0.075629741918 Long ABS-MBS US N 2 2028-06-12 Fixed 0.66000000 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03464WAA0 497918.20000000 PA USD 477145.70000000 0.071556992816 Long ABS-MBS US N 2 2065-05-25 Floating 1.37300040 N N N N N N WESTGATE RESORTS LLC N/A 96034LAA9 953416.59000000 PA USD 943137.90000000 0.141441308044 Long ABS-MBS US N 2 2034-03-20 Fixed 2.71300000 N N N N N N ASPLUNDH TREE EXPERT, LLC N/A 04538FAD1 91411.41000000 PA USD 88840.92000000 0.013323370773 Long LON US N 2 2027-09-07 Floating 2.51371080 N N N N N N ACRISURE LLC N/A 00488PAL9 1325159.29000000 PA USD 1262214.22000000 0.189292817422 Long LON US N 2 2027-02-15 Floating 4.26371040 N N N N N N ERESEARCHTECHNOLOGY, INC. N/A 29481PAH4 300000.01000000 PA USD 288483.01000000 0.043263465801 Long LON US N 2 2027-02-04 Floating 5.50000080 N N N N N N BEAR STEARNS ARM TRUST N/A 07384MZV7 1266915.99000000 PA USD 1266039.79000000 0.189866533763 Long ABS-MBS US N 2 2034-01-25 Floating 2.26035000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 466247RV7 591052.67000000 PA USD 577222.16000000 0.086565344625 Long ABS-MBS US N 2 2035-07-25 Floating 2.88368280 N N N N N N FORMULA ONE MANAGEMENT LIMITED N/A L2465BAQ9 1955000.00000000 PA USD 1930562.50000000 0.289524241641 Long LON LU N 2 2024-02-01 Floating 3.49999920 N N N N N N UNITED AUTO CREDIT SECURITIZATION TRUST N/A 90943UAB0 474695.29000000 PA USD 473265.56000000 0.070975092675 Long ABS-MBS US Y 2 2024-03-11 Fixed 0.68000000 N N N N N N HUMANA INC. 529900YLDW34GJAO4J06 444859BP6 315000.00000000 PA USD 306633.88000000 0.045985530936 Long DBT CORP US N 2 2023-08-03 Fixed 0.65000000 N N N N N N PARTICLE LUXEMBOURG S.A.R.L. N/A N/A 1318489.08880000 PA USD 1302007.97000000 0.195260640422 Long LON US N 2 2027-02-18 Floating 6.25600080 N N N N N N DUNKIN BRANDS N/A 233046AK7 364687.50000000 PA USD 356965.97000000 0.053533776687 Long ABS-MBS US N 2 2049-05-20 Fixed 4.02100000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FYA0 435851.24000000 PA USD 415052.68000000 0.062244973896 Long ABS-MBS US N 2 2034-10-25 Floating 2.40213960 N N N N N N HOWARD UNIVERSITY (THE) N/A 442851AE1 240000.00000000 PA USD 236582.77000000 0.035480046395 Long DBT CORP US N 2 2023-10-01 Fixed 2.80100000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31419AWD5 9916.21000000 PA USD 10897.22000000 0.001634243572 Long DBT USGA US N 2 2040-04-01 Fixed 6.00000000 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD N/A 14311DBN5 310000.00000000 PA USD 305006.83000000 0.045741524116 Long ABS-CBDO CORP KY Y 2 2031-07-20 Floating 2.04270840 N N N N N N INVITATION HOMES TRUST N/A 46187XAE5 1999907.72000000 PA USD 1964556.95000000 0.294622350278 Long ABS-MBS US N 2 2038-01-17 Floating 2.28700080 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAA1 175000.00000000 PA USD 171396.90000000 0.025704196311 Long DBT CORP US N 2 2024-04-05 Fixed 0.73100000 N N N N N N KREF Holdings 11/21 TL N/A N/A 1673949.87000000 PA USD 1640470.87000000 0.246019532945 Long LON US N 2 2027-09-01 Floating 4.37500080 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31406WFR0 90551.43000000 PA USD 90409.62000000 0.013558626911 Long DBT USGA US N 2 2035-06-01 Floating 1.79100000 N N N N N N LA BANQUE TORONTO-DOMINION PT3QB789TSUIDF371261 89114TZH8 300000.00000000 PA USD 295622.60000000 0.044334181916 Long DBT NUSS CA N 2 2026-09-10 Floating 0.64000440 N N N N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST N/A 02530TAA9 293251.18000000 PA USD 289810.17000000 0.043462498463 Long ABS-MBS US Y 2 2025-09-15 Fixed 0.45000000 N N N N N N NEUBERGER BERMAN CLO LTD N/A 64131QAJ9 400000.00000000 PA USD 394356.80000000 0.059141236534 Long ABS-CBDO CORP KY Y 2 2030-10-18 Floating 1.96428960 N N N N N N MADISON PARK FUNDING, LTD. N/A 55821TAA5 971975.36000000 PA USD 957995.44000000 0.143669476259 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.79429040 N N N N N N Marlink/Venga 11/21 (USD) TL N/A N/A 243782.47000000 PA USD 231593.35000000 0.034731788806 Long LON US N 2 2028-12-04 Floating 0.00000000 N N N N N N SRS DISTRIBUTION INC. 549300ZQ3XP75BCYM468 78471RAD8 712000.00000000 PA USD 613352.40000000 0.091983755236 Long DBT CORP US N 2 2029-12-01 Fixed 6.00000000 N N N N N N SORENSON COMMUNICATIONS, LLC N/A 83583KAH9 1765592.31000000 PA USD 1747936.39000000 0.262136013598 Long LON US N 2 2026-03-17 Floating 6.50599920 N N N N N N II-VI 12/21 TLB N/A N/A 596250.00000000 PA USD 580848.86000000 0.087109236660 Long LON US N 2 2028-12-08 Floating 0.00000000 N N N N N N PERATON CORP N/A 71360HAB3 2146486.29000000 PA USD 2077262.11000000 0.311524613727 Long LON US N 2 2028-02-01 Floating 4.51370880 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136AAL29 111640.54000000 PA USD 107937.75000000 0.016187300443 Long DBT USGA US N 2 2041-09-25 Fixed 1.75000000 N N N N N N SG RESIDENTIAL MORTGAGE TRUST N/A 784212AA0 296102.12000000 PA USD 264315.47000000 0.039639087574 Long ABS-MBS US Y 2 2061-07-25 Floating 1.15999920 N N N N N N VIBRANT CLO LTD N/A 92558EAJ1 223656.04000000 PA USD 222039.23000000 0.033298968399 Long ABS-CBDO CORP KY Y 2 2029-06-20 Floating 1.87786080 N N N N N N Maravai Lifesciences 1/22 Cov-Lite N/A 56589PAJ4 1595438.00000000 PA USD 1555552.05000000 0.233284355005 Long LON US N 2 2027-10-19 Floating 3.85121160 N N N N N N CONN'S RECEIVABLES FUNDING LLC N/A 20825XAA6 3915.39000000 PA USD 3912.91000000 0.000586814620 Long ABS-MBS US Y 2 2025-06-16 Fixed 1.71000000 N N N N N N BSPRT ISSUER, LTD. N/A 055983AA8 275000.00000000 PA USD 266874.85000000 0.040022914854 Long ABS-MBS KY Y 2 2037-02-15 Floating 1.76703120 N N N N N N 1011778 B.C. UNLIMITED LIABILITY COMPANY N/A C6901LAH0 884923.55000000 PA USD 850084.11000000 0.127486137993 Long LON US N 2 2026-11-19 Floating 2.51371080 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST N/A 80286WAF3 400000.00000000 PA USD 394503.24000000 0.059163197972 Long ABS-MBS US N 2 2026-01-15 Fixed 1.01000000 N N N N N N Hard Rock Northern Indiana 11/21 Cov-Lite TLB N/A N/A 911625.00000000 PA USD 888834.38000000 0.133297471495 Long LON US N 2 2028-12-11 Floating 5.01370920 N N N N N N ASTRAZENECA PLC PY6ZZQWO2IZFZC3IOL08 046353AY4 225000.00000000 PA USD 220863.85000000 0.033122698010 Long DBT NUSS GB N 2 2023-05-26 Fixed 0.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QPLV2 604496.59000000 PA USD 628337.18000000 0.094231005489 Long DBT USGA US N 2 2036-03-01 Floating 2.81000160 N N N N N N CCG RECEIVABLES TRUST N/A 12510KAC7 60749.69000000 PA USD 59311.26000000 0.008894841566 Long ABS-MBS US Y 2 2027-06-14 Fixed 0.30000000 N N N N N N REGIONALCARE HOSPITAL PARTNERS HOLDINGS, INC. N/A 75915TAD4 532413.79000000 PA USD 512448.27000000 0.076851278708 Long LON US N 2 2025-11-16 Floating 4.49871120 N N N N N N FOUR SEASONS HOLDINGS INC. N/A 35100DAR7 336062.23000000 PA USD 334802.00000000 0.050209871553 Long LON US N 2 2023-11-30 Floating 2.76370920 N N N N N N BBCMS TRUST N/A 05548WAE7 3000000.00000000 PA USD 2701536.90000000 0.405146387252 Long ABS-MBS US N 2 2037-03-15 Floating 1.99599840 N N N N N N AIR METHODS N/A 00912YAL6 2003398.75000000 PA USD 1803900.30000000 0.270528856928 Long LON US N 2 2024-04-22 Floating 4.50600120 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KHE2 243920.39000000 PA USD 238508.46000000 0.035768839914 Long DBT USGA US N 2 2034-01-25 Floating 2.23445880 N N N N N N FLAGSHIP CREDIT AUTO TRUST N/A 33844TAA5 17608.83000000 PA USD 17530.78000000 0.002629070949 Long ABS-MBS US N 2 2025-04-15 Fixed 0.70000000 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89173HAA4 95117.21000000 PA USD 94799.32000000 0.014216945181 Long ABS-MBS US N 2 2057-04-25 Floating 2.75000040 N N N N N N ONE GAS, INC. 549300HXDWI0LATTX840 68235PAK4 198000.00000000 PA USD 197553.10000000 0.029626811595 Long DBT CORP US N 2 2023-03-11 Floating 1.35500040 N N N N N N TIDEWATER AUTO RECEIVABLES TRUST N/A 88641WAD1 2000000.00000000 PA USD 1985740.40000000 0.297799207954 Long ABS-MBS US N 2 2026-09-15 Fixed 1.91000000 N N N N N N C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES N/A 12489WPL2 332470.81000000 PA USD 331413.69000000 0.049701730592 Long ABS-MBS US N 2 2035-11-25 Floating 1.62070920 N N N N N N AVANT LOANS FUNDING TRUST N/A 05353LAA3 195000.00000000 PA USD 187532.38000000 0.028124015722 Long ABS-MBS US Y 2 2030-07-15 Fixed 1.21000000 N N N N N N SKYWORKS SOLUTIONS, INC. 549300WZ3ORQ2BVKBD96 83088MAJ1 480000.00000000 PA USD 467805.28000000 0.070156220753 Long DBT CORP US N 2 2023-06-01 Fixed 0.90000000 N N N N N N CAESARS RESORT COLLECTION, LLC N/A 12769LAD1 699636.27000000 PA USD 688707.95000000 0.103284740554 Long LON US N 2 2025-07-21 Floating 4.26371040 N N N N N N MERCURY FINANCIAL CREDIT CARD MASTER TRUST N/A 58940BAA4 355000.00000000 PA USD 342318.83000000 0.051337161918 Long ABS-MBS US Y 2 2026-03-20 Fixed 1.54000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 35564KRE1 1816681.08000000 PA USD 1787047.38000000 0.268001443865 Long DBT USGA US Y 2 2042-02-25 Floating 1.88445960 N N N N N N UFC HOLDINGS, LLC N/A 90266UAJ2 1392.23000000 PA USD 1345.83000000 0.000201832579 Long LON US N 2 2026-04-29 Floating 3.49999920 N N N N N N Pregis 6/21 Incremental TL N/A N/A 1086036.47000000 PA USD 1037164.83000000 0.155542418783 Long LON US N 2 2026-07-31 Floating 4.76371080 N N N N N N COREVEST AMERICAN FINANCE N/A 21872BAA4 986013.28000000 PA USD 986163.45000000 0.147893800379 Long ABS-MBS US N 2 2051-06-15 Fixed 3.80400000 N N N N N N N/A N/A 62955UAA6 429465.49000000 PA USD 421125.01000000 0.063155634255 Long ABS-MBS US N 2 2034-11-10 Fixed 2.10000000 N N N N N N MHP COMMERCIAL MORTGAGE TRUST N/A 55293DAC5 2000000.00000000 PA USD 1907526.20000000 0.286069514178 Long ABS-MBS US Y 2 2027-01-15 Floating 1.89564840 N N N N N N PRECISION MEDICINE GROUP, LLC N/A 74028HAE5 2107.53000000 PA USD 2045.19000000 0.000306714796 Long LON US N 2 2027-11-18 Floating 4.00600080 N N N N N N RADNOR RE/ESSENT N/A 75279YAB7 2000000.00000000 PA USD 1956202.00000000 0.293369368019 Long ABS-MBS BM Y 2 2033-12-27 Floating 2.28445920 N N N N N N CAESARS RESORT COLLECTION LLC N/A 12769LAB5 931627.07000000 PA USD 912528.72000000 0.136850884462 Long LON US N 2 2024-12-23 Floating 3.51371160 N N N N N N 7-ELEVEN, INC. 549300K23JPL0SS3LB18 817826AA8 225000.00000000 PA USD 221871.43000000 0.033273803625 Long DBT CORP US N 2 2023-02-10 Fixed 0.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31405MUY1 330606.53000000 PA USD 329930.98000000 0.049479370276 Long DBT USGA US N 2 2034-09-01 Floating 2.02700160 N N N N N N BRAVO RESIDENTIAL FUNDING TRUST N/A 10569EAA9 110088.23000000 PA USD 106514.23000000 0.015973816783 Long ABS-MBS US Y 2 2060-03-25 Floating 0.96999840 N N N N N N TITAN ACQUISITION LIMITED N/A C8856UAB4 1238677.77000000 PA USD 1185414.63000000 0.177775271083 Long LON GB N 2 2025-03-28 Floating 3.35437920 N N N N N N FCG ACQUISITIONS, INC. N/A 30260UAC9 502124.39000000 PA USD 479112.03000000 0.071851881069 Long LON US N 2 2028-03-31 Floating 4.51370880 N N N N N N BERRY GLOBAL,INC. N/A 08579JBG6 290000.00000000 PA USD 283692.50000000 0.042545038516 Long LON US N 2 2026-07-01 Floating 2.59443000 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JY4 125000.00000000 PA USD 121477.57000000 0.018217851704 Long DBT CORP US N 2 2023-11-15 Fixed 1.70000000 N N N N N N SCF EQUIPMENT LEASING LLC N/A 783897AB7 105168.87000000 PA USD 104795.81000000 0.015716107309 Long ABS-MBS US Y 2 2026-08-20 Fixed 0.42000000 N N N N N N AEGIS ASSET BACKED SECURITIES TRUST N/A 00764MCF2 1023568.15000000 PA USD 1008712.29000000 0.151275424026 Long ABS-MBS US N 2 2034-09-25 Floating 1.90571040 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31406UUX4 195412.14000000 PA USD 200815.78000000 0.030116111969 Long DBT USGA US N 2 2035-03-01 Floating 1.72000080 N N N N N N KENTUCKY HIGHER ED STUDENT LN CORP STUDENT LN REV N/A 49130NFC8 3111278.30000000 PA USD 3067172.20000000 0.459980293406 Long ABS-MBS US N 2 2051-03-25 Floating 1.44785880 N N N N N N United States of America N/A N/A -1.00000000 NC USD -139437.50000000 -0.02091128178 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US Long Bond (CBT) Sep 2022 2022-09-24 -140896.52000000 USD 1459.02000000 N N N PIONEER NATURAL RESOURCES COMPANY FY8JBF7CCL2VE4F1B628 723787AU1 175000.00000000 PA USD 171155.55000000 0.025668001329 Long DBT CORP US N 2 2023-05-15 Fixed 0.55000000 N N N N N N CPS AUTO RECEIVABLES TRUST N/A 22411YAE2 1041447.66000000 PA USD 1042523.48000000 0.156346049371 Long ABS-MBS US N 2 2024-09-16 Fixed 5.72000000 N N N N N N MDVIP/Mamba Purchaser 9/21 2nd Lien Cov-Lite TL N/A N/A 780000.00000000 PA USD 761475.00000000 0.114197531498 Long LON US N 2 2029-10-15 Floating 7.42843080 N N N N N N CLECO POWER LLC TM1ZH54SJKLNHFCBFK92 185508AH1 475000.00000000 PA USD 472672.65000000 0.070886174643 Long DBT CORP US N 2 2023-06-15 Floating 1.32599880 N N N N N N IRON MOUNTAIN INFORMATION MANAGEMENT SERVICES, INC. N/A 46285MAA8 405000.00000000 PA USD 371725.20000000 0.055747201465 Long DBT CORP US N 2 2032-07-15 Fixed 5.00000000 N N N N N N DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 233853AE0 400000.00000000 PA USD 397892.00000000 0.059671406419 Long DBT CORP DE N 2 2024-12-13 Floating 1.04186160 N N N N N N TRK TRUST N/A 89688WAA9 1738000.88000000 PA USD 1581740.35000000 0.237211784289 Long ABS-MBS US Y 2 2056-07-25 Floating 1.15300080 N N N N N N CHESAPEAKE FUNDING LLC 549300LG5AUFDML64706 165183CD4 129898.94000000 PA USD 129907.27000000 0.019482044135 Long ABS-MBS US N 2 2031-09-15 Fixed 1.95000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31404WUX2 152949.94000000 PA USD 158802.38000000 0.023815410607 Long DBT USGA US N 2 2034-05-01 Floating 2.17500120 N N N N N N JDE Peet's N.V. 724500EHG519SE5ZRT89 47216QAA1 375000.00000000 PA USD 351214.81000000 0.052671281825 Long DBT NUSS NL N 2 2024-09-24 Fixed 0.80000000 N N N N N N MORGAN STANLEY DEAN WITTER CAPITAL I INC N/A 61748HEG2 648586.75000000 PA USD 651741.41000000 0.097740910991 Long ABS-MBS US N 2 2034-10-25 Floating 2.50592760 N N N N N N LIFE MORTGAGE TRUST N/A 53218CAJ9 1228712.69000000 PA USD 1146759.77000000 0.171978246109 Long ABS-MBS US Y 2 2038-03-15 Floating 2.62500120 N N N N N N LIFE MORTGAGE TRUST N/A 53218DAA6 2000000.00000000 PA USD 1959972.20000000 0.293934780585 Long ABS-MBS US Y 2 2039-05-15 Floating 2.09523960 N N N N N N ENTERPRISE FLEET FINANCING LLC N/A 29373KAB9 97102.58000000 PA USD 96636.29000000 0.014492433462 Long ABS-MBS US N 2 2025-12-22 Fixed 1.78000000 N N N N N N LS GROUP OPCO ACQUISITION LLC N/A 50220KAB0 1478911.37000000 PA USD 1422535.27000000 0.213335981225 Long LON US N 2 2027-11-02 Floating 3.99999960 N N N N N N SYMPHONY STATIC CLO LTD N/A 87190TAG8 500000.00000000 PA USD 468554.50000000 0.070268580416 Long ABS-CBDO CORP KY Y 2 2029-10-25 Floating 3.93400080 N N N N N N NISSAN AUTO RECEIVABLES OWNER TRUST N/A 65479JAD5 123497.29000000 PA USD 123386.53000000 0.018504136243 Long ABS-MBS US N 2 2024-07-15 Fixed 1.93000000 N N N N N N GREENEDEN U.S. HOLDINGS I, LLC N/A 39479UAQ6 2814038.26000000 PA USD 2729110.59000000 0.409281581883 Long LON US N 2 2027-12-01 Floating 4.76371080 N N N N N N PERKINELMER, INC. 549300IKL1SDPFI7N655 714046AK5 425000.00000000 PA USD 411666.59000000 0.061737165866 Long DBT CORP US N 2 2023-09-15 Fixed 0.55000000 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST N/A 96042RAB4 114696.67000000 PA USD 113499.97000000 0.017021460191 Long ABS-MBS US Y 2 2025-04-15 Fixed 0.32000000 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC N/A 83407CAA6 59102.55000000 PA USD 57726.09000000 0.008657115441 Long ABS-MBS US Y 2 2030-09-25 Fixed 0.49000000 N N N N N N CONNECTICUT AVENUE SECURITIES N/A 20754BAA9 1728846.60000000 PA USD 1697299.99000000 0.254542130826 Long ABS-MBS US Y 2 2042-01-25 Floating 1.78445880 N N N N N N CARLYLE US CLO LTD N/A 14314FAS7 500000.00000000 PA USD 470380.00000000 0.070542348555 Long ABS-CBDO CORP KY Y 2 2029-07-20 Floating 3.06271080 N N N N N N STRUCTURED ASSET MORTGAGE INVESTORS N/A 07384MS78 617608.40000000 PA USD 594445.61000000 0.089148325647 Long ABS-MBS US N 2 2034-07-25 Floating 2.95112880 N N N N N N ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST N/A 04047AAA2 487410.26000000 PA USD 476471.95000000 0.071455951302 Long ABS-MBS US Y 2 2027-01-15 Fixed 1.19000000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST N/A 64828FCS9 1424038.92000000 PA USD 1402656.12000000 0.210354727923 Long ABS-MBS US N 2 2048-01-25 Floating 1.00770840 N N N N N N STRYKER CORPORATION 5493002F0SC4JTBU5137 863667BB6 160000.00000000 PA USD 154484.40000000 0.023167848104 Long DBT CORP US N 2 2023-12-01 Fixed 0.60000000 N N N N N N GCAT TRUST N/A 36167TAA7 1020815.08000000 PA USD 947698.59000000 0.142125269487 Long ABS-MBS US Y 2 2066-01-25 Floating 0.87400080 N N N N N N Driven Performance/Holley Perf 11/21 Cov-Lite TL N/A N/A 40510.71000000 PA USD 38806.02000000 0.005819694266 Long LON US N 2 2028-11-17 Floating 5.20499880 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03464MAA2 57496.95000000 PA USD 57385.25000000 0.008606000058 Long ABS-MBS US N 2 2048-11-25 Floating 3.92000040 N N N N N N SCIH SALT HOLDINGS INC. N/A 78433BAA6 565000.00000000 PA USD 524873.70000000 0.078714706180 Long DBT CORP US N 2 2028-05-01 Fixed 4.87500000 N N N N N N FIRST STUDENT/FIRST TRANSIT 7/21 TLC N/A N/A 368745.93000000 PA USD 346488.43000000 0.051962472042 Long LON US N 2 2028-07-21 Floating 3.98286000 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAC2 340000.00000000 PA USD 336877.74000000 0.050521167897 Long DBT NUSS GB N 2 2024-08-12 Floating 1.31076000 N N N N N N BX TRUST N/A 12434DAA0 400000.00000000 PA USD 377613.76000000 0.056630302047 Long ABS-MBS US Y 2 2023-10-15 Floating 1.38099960 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST N/A 36262EAB2 984361.30000000 PA USD 936881.22000000 0.140503000927 Long ABS-MBS US Y 2 2061-07-25 Floating 1.27500120 N N N N N N VERUS SECURITIZATION TRUST N/A 92538FAA2 126900.38000000 PA USD 118625.80000000 0.017790175031 Long ABS-MBS US Y 2 2066-02-25 Floating 1.03100040 N N N N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST N/A 02528BAC8 0.01000000 PA USD 0.01000000 0.000000001499 Long ABS-MBS US Y 2 2025-03-13 Fixed 0.61000000 N N N N N N APIDOS CLO N/A 03764QBC5 410000.00000000 PA USD 403603.18000000 0.060527905526 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 2.07271080 N N N N N N TOWD POINT MORTGAGE TRUST N/A 89173UAA5 861677.94000000 PA USD 847662.40000000 0.127122956924 Long ABS-MBS US N 2 2057-06-25 Floating 2.75000040 N N N N N N STATION CASINOS LLC N/A 85769EAZ4 202589.67000000 PA USD 196386.37000000 0.029451838437 Long LON US N 2 2027-02-08 Floating 3.02000040 N N N N N N Arby's/Inspire Brands 1/22 N/A N/A 1850266.10000000 PA USD 1768539.85000000 0.265225890839 Long LON US N 2 2027-12-15 Floating 3.91629960 N N N N N N QORVO, INC. 254900YAUJV2EUEVBR11 74739DAA2 220000.00000000 PA USD 209171.60000000 0.031369224701 Long DBT CORP US N 2 2024-12-15 Fixed 1.75000000 N N N N N N TEXAS TRANSN COMMN CENT TEX TPK SYS REV N/A 88283KBK3 190000.00000000 PA USD 189999.41000000 0.028493993378 Long DBT MUN US N 2 2042-08-15 Fixed 1.98000000 N N N N N N GRAY TELEVISION INC. N/A 389376AX2 640000.00000000 PA USD 628268.80000000 0.094220750619 Long LON US N 2 2024-02-07 Floating 3.30000120 N N N N N N FREDDIE MAC STACR REMIC TRUST N/A 35566CAA3 55529.09000000 PA USD 55295.39000000 0.008292586153 Long DBT USGA US Y 2 2050-12-25 Floating 1.48446000 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641596F8 700000.00000000 PA USD 693079.95000000 0.103940404374 Long DBT NUSS CA N 2 2024-07-31 Floating 0.67902480 N N N N N N Aristocrat Leisure 5/22 TLB N/A N/A 640000.00000000 PA USD 627360.00000000 0.094084458926 Long LON US N 2 2029-05-05 Floating 0.00000000 N N N N N N BFLD TRUST N/A 05553JAA6 240000.00000000 PA USD 237067.20000000 0.035552695806 Long ABS-MBS US Y 2 2028-11-15 Floating 2.92500000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FTW8 86566.05000000 PA USD 85544.19000000 0.012828963960 Long ABS-MBS US N 2 2034-07-25 Fixed 5.00000000 N N N N N N BELLEMEADE RE LTD. N/A 078777AB5 1000000.00000000 PA USD 988384.60000000 0.148226903695 Long ABS-MBS US Y 2 2031-09-25 Floating 1.58446080 N N N N N N MHP COMMERCIAL MORTGAGE TRUST N/A 55293BAB1 105000.00000000 PA USD 100857.23000000 0.015125442988 Long ABS-MBS US Y 2 2038-07-15 Floating 1.57500000 N N N N N N BELLEMEADE RE LTD. N/A 07876MAA5 381748.68000000 PA USD 380245.96000000 0.057025050059 Long ABS-MBS BM Y 2 2031-03-25 Floating 2.33445960 N N N N N N COLT MORTGAGE LOAN TRUST N/A 19688EAA6 148678.84000000 PA USD 132481.99000000 0.019868171937 Long ABS-MBS US Y 2 2066-06-25 Floating 0.91000080 N N N N N N United States of America N/A N/A -200.00000000 NC USD -42220312.50000000 -6.33173179238 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US 2-YEAR NOTE (Globex) Sep 2022 2022-10-03 -42247702.59000000 USD 27390.09000000 N N N VERUS SECURITIZATION TRUST N/A 924921AA7 750000.00000000 PA USD 733943.48000000 0.110068661053 Long ABS-MBS US Y 2 2067-04-25 Fixed 3.80000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PCF1 475000.00000000 PA USD 463533.50000000 0.069515586811 Long DBT CORP US N 2 2027-04-22 Floating 1.15498080 N N N N N N FREED ABS TRUST N/A 30322MAA7 32965.28000000 PA USD 32796.89000000 0.004918511939 Long ABS-MBS US Y 2 2028-11-20 Fixed 0.62000000 N N N N N N ANGEL OAK MORTGAGE TRUST N/A 03463UAA5 19772.17000000 PA USD 19702.23000000 0.002954720812 Long ABS-MBS US N 2 2049-07-26 Floating 2.99300040 N N N N N N FREED ABS TRUST N/A 35633KAA4 65409.19000000 PA USD 64805.25000000 0.009718768939 Long ABS-MBS US Y 2 2029-03-19 Fixed 0.94000000 N N N N N N DT AUTO OWNER TRUST N/A 23344GAC5 160000.00000000 PA USD 157218.03000000 0.023577807456 Long ABS-MBS US Y 2 2025-09-15 Fixed 0.62000000 N N N N N N CSMC TRUST N/A 12657LAA2 156549.37000000 PA USD 149562.48000000 0.022429713412 Long ABS-MBS US Y 2 2056-03-25 Floating 0.83000160 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABU0 360000.00000000 PA USD 352900.97000000 0.052924153304 Long DBT CORP US N 2 2023-04-03 Fixed 0.80000000 N N N N N N AMERICAN AIRLINES, INC. N/A 02376CAX3 1102500.00000000 PA USD 1004653.13000000 0.150666676461 Long LON US N 2 2027-01-29 Floating 2.51371080 N N N N N N 2022-05-31 SEI INSTITUTIONAL INVESTMENTS TRUST Peter Rodriguez Peter Rodriguez CFO