0001752724-24-015801.txt : 20240126
0001752724-24-015801.hdr.sgml : 20240126
20240126154505
ACCESSION NUMBER: 0001752724-24-015801
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231130
FILED AS OF DATE: 20240126
DATE AS OF CHANGE: 20240126
PERIOD START: 20240531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INVESTMENTS TRUST
CENTRAL INDEX KEY: 0000939934
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07257
FILM NUMBER: 24567576
BUSINESS ADDRESS:
STREET 1: 1 FREEDOM VALLEY DRIVE
CITY: OAK
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610 676-3097
MAIL ADDRESS:
STREET 1: 1 FREEDOM VALLEY DRIVE
CITY: OAK
STATE: PA
ZIP: 19456
0000939934
S000031047
SIIT Ultra Short Duration Bond Fund
C000096276
SIIT Ultra Short Duration Bond Fund - Class A
SUSAX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000939934
XXXXXXXX
S000031047
C000096276
SEI INSTITUTIONAL INVESTMENTS TRUST
811-07257
0000939934
0N2JSH1PTH72JCCP2A88
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIIT ULTRA SHORT DURATION BOND FUND
S000031047
4XPOML8UCYOE64MHI207
2024-05-31
2023-11-30
N
491575259.50
5368360.20
486206899.30
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
72977.72000000
USD
N
OCP CLO LTD
N/A
OCP CLO 2014-5 LTD OCP 2014-5A A1R
67102SAL8
292111.02000000
PA
USD
291864.77000000
0.060028923986
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
6.72121080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0630
31418MVY5
5.86000000
PA
USD
5.81000000
0.000001194964
Long
DBT
USGA
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 05/16/2024
912797FH5
2000000.00000000
PA
USD
1952095.74000000
0.401494866241
Long
DBT
UST
US
N
2
2024-05-16
None
0.00000000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2015-K49 MORTGAGE TRUST FREMF 2015-K49 B
30287TAN7
375000.00000000
PA
USD
361030.54000000
0.074254507807
Long
ABS-MBS
US
N
2
2048-10-25
Floating
3.72114000
N
N
N
N
N
N
TRK TRUST
N/A
TRK 2021-INV1 TRUST TRK 2021-INV1 A1
89688WAA9
367972.91000000
PA
USD
309962.31000000
0.063751113043
Long
ABS-MBS
US
Y
2
2056-07-25
Floating
1.15300080
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2023-X1 AFFRM 2023-X1 A
00834KAA5
1185000.00000000
PA
USD
1185930.70000000
0.243914823443
Long
ABS-MBS
US
Y
2
2028-11-15
Fixed
7.11000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2020-NQM2 TRUST GCAT 2020-NQM2 A1
36166RAA2
102656.48000000
PA
USD
92732.46000000
0.019072633509
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.55499840
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY VARIABLE RATE 02/02/2024
22550UAB7
2780000.00000000
PA
USD
2775672.79000000
0.570883052872
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
5.74551000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-1 GMALT 2022-1 A4
36265MAD7
1250000.00000000
PA
USD
1226237.50000000
0.252204874460
Long
ABS-MBS
US
N
2
2026-02-20
Fixed
1.96000000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM3 TRUST GCAT 2021-NQM3 A1
36167HAA3
438669.50000000
PA
USD
352551.66000000
0.072510624696
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.09100160
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 03/08/2024
37045XDF0
1000000.00000000
PA
USD
999969.72000000
0.205667529901
Long
DBT
CORP
US
N
2
2024-03-08
Floating
6.10736400
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 3.550000% 11/15/2024
281020AQ0
375000.00000000
PA
USD
366160.01000000
0.075309505177
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.55000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-3 BSARM 2005-3 2A1
07387AAW5
13707.64000000
PA
USD
12546.25000000
0.002580434382
Long
ABS-MBS
US
N
2
2035-06-25
Floating
4.87556640
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLE TRUST
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2021-C WOART 2021-C A3
98164CAC3
191186.49000000
PA
USD
185100.09000000
0.038070231061
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
0.44000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1 EART 2023-1A A2
30168BAB6
62524.28000000
PA
USD
62505.86000000
0.012855815104
Long
ABS-MBS
US
N
2
2025-06-16
Fixed
5.61000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 5.539000% 02/20/2026
00206RMP4
300000.00000000
PA
USD
300074.07000000
0.061717361566
Long
DBT
CORP
US
N
2
2026-02-20
Fixed
5.53900000
N
N
N
N
N
N
PARAGON MORTGAGES PLC
N/A
PARAGON MORTGAGES NO 12 PLC PARGN 12A A2C
69913BAB2
57582.68000000
PA
USD
55545.87000000
0.011424327807
Long
ABS-MBS
GB
N
2
2038-11-15
Floating
5.86132920
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2
03237KAB0
160360.30000000
PA
USD
158181.45000000
0.032533773220
Long
ABS-MBS
US
Y
2
2026-11-20
Fixed
0.75000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 3.650000% 03/16/2025
06738EAE5
475000.00000000
PA
USD
461598.71000000
0.094938741236
Long
DBT
NUSS
GB
N
2
2025-03-16
Fixed
3.65000000
N
N
N
N
N
N
DLLAD LLC
N/A
DLLAD 2023-1 LLC DLLAD 2023-1A A2
233258AB8
383133.85000000
PA
USD
381291.51000000
0.078421657641
Long
ABS-MBS
US
Y
2
2026-04-20
Fixed
5.19000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-1 MCMLT 2018-1 A1
59980VAA9
55143.01000000
PA
USD
53407.55000000
0.010984531498
Long
ABS-MBS
US
N
2
2062-05-25
Floating
3.25000080
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2021-2 FHF 2021-2A A
30322JAA4
143522.71000000
PA
USD
138206.27000000
0.028425402888
Long
ABS-MBS
US
Y
2
2026-12-15
Fixed
0.83000000
N
N
N
N
N
N
BANK
N/A
BANK 2017-BNK7 BANK 2017-BNK7 ASB
06541XAD2
161077.07000000
PA
USD
155148.87000000
0.031910051096
Long
ABS-MBS
US
N
2
2060-09-15
Fixed
3.26500000
N
N
N
N
N
N
KKR FINANCIAL CLO, LTD.
N/A
KKR CLO 21 LTD KKR 21 A
48252KAA7
736972.32000000
PA
USD
734436.40000000
0.151054294181
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.65547840
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM1 TRUST GCAT 2021-NQM1 A1
36167TAA7
328030.69000000
PA
USD
262154.68000000
0.053918338134
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.87400080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4272 YG
3137B6DF5
56200.88000000
PA
USD
55474.11000000
0.011409568658
Long
DBT
USGA
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
JDE Peet's N.V.
724500EHG519SE5ZRT89
JDE PEET'S NV 144A 0.800000% 09/24/2024
47216QAA1
1000000.00000000
PA
USD
957461.10000000
0.196924622291
Long
DBT
NUSS
NL
N
2
2024-09-24
Fixed
0.80000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A
00834CAA3
168561.97000000
PA
USD
166356.67000000
0.034215201437
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
1.07000000
N
N
N
N
N
N
SREIT COMMERCIAL MORTGAGE TRUST
N/A
SREIT TRUST 2021-MFP SREIT 2021-MFP B
78472UAC2
900000.00000000
PA
USD
880949.25000000
0.181188142592
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
6.51719160
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.620000% 07/30/2024
3130AWKF6
3000000.00000000
PA
USD
2999423.34000000
0.616902669278
Long
DBT
USGA
US
N
2
2024-07-30
Fixed
5.62000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1
03465CAA3
539442.82000000
PA
USD
448870.10000000
0.092320800187
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.90900000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2021-C HALST 2021-C A4
44933MAD3
860000.00000000
PA
USD
854076.58000000
0.175661139574
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
0.48000000
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XVIII LTD SYMP 2016-18A X
87154GAS4
250000.00000000
PA
USD
249009.00000000
0.051214616731
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-23
Floating
6.42354120
N
N
N
N
N
N
BRIDGECREST LENDING AUTO SECURITIZATION TRUST
N/A
BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2023 BLAST 2023-1 A2
108056AB8
335000.00000000
PA
USD
335039.76000000
0.068908886419
Long
ABS-MBS
US
N
2
2026-07-15
Fixed
6.34000000
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-III LTD CIFC 2015-3A AR
12550MAJ9
611714.76000000
PA
USD
609989.72000000
0.125458877872
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
6.52842000
N
N
N
N
N
N
HCA INC.
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.375000% 02/01/2025
404119BR9
600000.00000000
PA
USD
596477.43000000
0.122679754412
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 5.400000% 03/02/2026
969457CH1
1390000.00000000
PA
USD
1389114.67000000
0.285704434058
Long
DBT
CORP
US
N
2
2026-03-02
Fixed
5.40000000
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD NEUB 2017-26A AR
64131QAJ9
1106146.42000000
PA
USD
1103341.23000000
0.226928336802
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-18
Floating
6.57664920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AE0643
31419AWD5
24535.81000000
PA
USD
25319.93000000
0.005207645147
Long
DBT
USGA
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
USAA AUTO OWNER TRUST
N/A
USAA AUTO OWNER TRUST 2023-A USAOT 2023-A A2
90291VAB6
410000.00000000
PA
USD
410225.09000000
0.084372535764
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
5.83000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2023-2 DEFT 2023-2 A2
24703GAB0
510000.00000000
PA
USD
509683.70000000
0.104828561818
Long
ABS-MBS
US
Y
2
2029-01-22
Fixed
5.84000000
N
N
N
N
N
N
CROWN CASTLE INC.
54930012H97VSM0I2R19
CROWN CASTLE INC 1.350000% 07/15/2025
22822VAS0
350000.00000000
PA
USD
326223.16000000
0.067095543166
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.35000000
N
N
N
N
N
N
KNDL KNSQ MORTGAGE TRUST
N/A
KNDL 6.33101 05/15/2036 19KNSQ 1
482598AA7
290000.00000000
PA
USD
288883.85000000
0.059415826969
Long
ABS-MBS
US
N
2
2036-05-15
Floating
6.31901160
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A
00834HAA2
100260.03000000
PA
USD
98609.15000000
0.020281314424
Long
ABS-MBS
US
Y
2
2027-02-15
Fixed
1.75000000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-8 IMM 2005-8 1A
45254NRG4
44652.71000000
PA
USD
40034.05000000
0.008233953499
Long
ABS-MBS
US
N
2
2036-02-25
Floating
5.97526920
N
N
N
N
N
N
ONEMAIN DIRECT AUTO RECEIVABLES TRUST
N/A
ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2019-1 ODART 2019-1A A
68267EAA2
385000.00000000
PA
USD
374981.34000000
0.077123821266
Long
ABS-MBS
US
N
2
2027-09-14
Fixed
3.63000000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2006-AR2 1A1
92925CDQ2
63503.55000000
PA
USD
56049.76000000
0.011527964757
Long
ABS-MBS
US
N
2
2036-03-25
Floating
3.83664960
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA 5.650000% 08/18/2025
06428CAC8
600000.00000000
PA
USD
602892.71000000
0.123999209157
Long
DBT
CORP
US
N
2
2025-08-18
Fixed
5.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.000000% 12/30/2024
3134GXA61
1245000.00000000
PA
USD
1229149.16000000
0.252803726514
Long
DBT
USGA
US
N
2
2024-12-30
Fixed
4.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 3.950000% 06/01/2025
958254AE4
400000.00000000
PA
USD
388338.72000000
0.079871083803
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.95000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A1
92537QAA9
233788.60000000
PA
USD
196040.41000000
0.040320367786
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
0.81500040
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A2
92537QAE1
304956.29000000
PA
USD
256470.95000000
0.052749344028
Long
ABS-MBS
US
Y
2
2066-01-25
Floating
1.05199920
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2023-1 UACST 2023-1 A
90945CAA0
77844.71000000
PA
USD
77769.80000000
0.015995207001
Long
ABS-MBS
US
Y
2
2025-07-10
Fixed
5.57000000
N
N
N
N
N
N
PACIFIC LIFE GLOBAL FUNDING II
6354003EUPCHXTWUU869
PACIFIC LIFE GLOBAL FUNDING II 144A 5.500000% 08/28/2026
6944PL2W8
600000.00000000
PA
USD
604910.72000000
0.124414260857
Long
DBT
CORP
US
N
2
2026-08-28
Fixed
5.50000000
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-C BHG 2022-C A
08860DAA1
93031.48000000
PA
USD
92265.26000000
0.018976542729
Long
ABS-MBS
US
Y
2
2035-10-17
Fixed
5.32000000
N
N
N
N
N
N
Regal Rexnord Corporation
QH78R09VCJGQKPBPYU33
REGAL REXNORD CORP 144A 6.050000% 02/15/2026
758750AC7
625000.00000000
PA
USD
623908.79000000
0.128321665303
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.05000000
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A VARIABLE RATE 01/21/2026
83368RBF8
800000.00000000
PA
USD
795358.10000000
0.163584289146
Long
DBT
NUSS
FR
N
2
2026-01-21
Floating
6.40298880
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2018-RP2 CMLTI 2018-RP2 A1
17326UAA2
146183.14000000
PA
USD
140137.94000000
0.028822696716
Long
ABS-MBS
US
N
2
2058-02-25
Floating
3.49999920
N
N
N
N
N
N
Cooperatieve Rabobank UA (New York Branch)
N/A
COOPERATIEVE RABOBANK UA/NY MTN 5.500000% 07/18/2025
21688AAW2
600000.00000000
PA
USD
601135.42000000
0.123637780719
Long
DBT
NUSS
NL
N
2
2025-07-18
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.620000% 04/17/2025
61747YEQ4
550000.00000000
PA
USD
544894.75000000
0.112070550784
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
3.62000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC VARIABLE RATE 03/20/2026
92343VGE8
670000.00000000
PA
USD
670140.28000000
0.137830269575
Long
DBT
CORP
US
N
2
2026-03-20
Floating
6.13959120
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A
00834TAA6
107360.26000000
PA
USD
104209.69000000
0.021433198531
Long
ABS-MBS
US
Y
2
2026-11-16
Fixed
1.17000000
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST
N/A
HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A
43285HAA6
892215.82000000
PA
USD
842252.63000000
0.173229263347
Long
ABS-MBS
US
N
2
2039-02-25
Fixed
2.74000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 7.336000% 11/03/2026
404280DQ9
400000.00000000
PA
USD
412410.94000000
0.084822107747
Long
DBT
NUSS
GB
N
2
2026-11-03
Fixed
7.33600000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024
37045XDN3
2660000.00000000
PA
USD
2653660.18000000
0.545788260886
Long
DBT
CORP
US
N
2
2024-10-15
Floating
5.97212640
N
N
N
N
N
N
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK NA 5.550000% 08/01/2025
94988J6B8
600000.00000000
PA
USD
601807.33000000
0.123775974974
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
5.55000000
N
N
N
N
N
N
AMGEN INC.
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.250000% 03/02/2025
031162DM9
275000.00000000
PA
USD
273961.26000000
0.056346641809
Long
DBT
CORP
US
N
2
2025-03-02
Fixed
5.25000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2023-1 GCAR 2023-1A A2
36266XAB6
595014.11000000
PA
USD
594631.46000000
0.122300086826
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
5.98000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2020-REV1 FORDR 2020-1 A
34531NAA4
2700000.00000000
PA
USD
2585943.36000000
0.531860688057
Long
ABS-MBS
US
N
2
2031-08-15
Fixed
2.04000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 06/15/2024(MATURITY DATE)
91282CCG4
6000000.00000000
PA
USD
5840859.36000000
1.201311492784
Long
SN
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.250000% 09/15/2024
25179MBC6
1805000.00000000
PA
USD
1793045.94000000
0.368782496213
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
5.25000000
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE 1.950000% 02/01/2024
097023CZ6
750000.00000000
PA
USD
745210.47000000
0.153270237644
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
1.95000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2023-A CNH 2023-A A2
12664QAB0
600000.00000000
PA
USD
597841.56000000
0.122960320156
Long
ABS-MBS
US
N
2
2026-09-15
Fixed
5.34000000
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XII APID 2013-12A AR
03764DAH4
901856.06000000
PA
USD
900833.36000000
0.185277782215
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.73548120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4818 BD
3137FGV36
190366.32000000
PA
USD
185390.92000000
0.038130047160
Long
DBT
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST
N/A
TESLA AUTO LEASE TRUST 2023-B TESLA 2023-B A2
88167QAB2
615000.00000000
PA
USD
615732.53000000
0.126640023184
Long
ABS-MBS
US
Y
2
2025-09-22
Fixed
6.02000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-3 GMALT 2022-3 A4
380130AE4
350000.00000000
PA
USD
344776.74000000
0.070911527684
Long
ABS-MBS
US
N
2
2026-08-20
Fixed
4.11000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER COMPANY, INC.
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER CO INC 5.699000% 08/15/2025
02557TAD1
450000.00000000
PA
USD
450291.25000000
0.092613093448
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.69900000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING
635400B4JJBON4TCHF02
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 144A 5.500000% 12/02/2025
29449WAP2
395000.00000000
PA
USD
391658.51000000
0.080553877487
Long
DBT
CORP
US
N
2
2025-12-02
Fixed
5.50000000
N
N
N
N
N
N
SBNA AUTO LEASE TRUST
N/A
SBNA AUTO LEASE TRUST 2023-A SBALT 2023-A A2
78436TAB2
380000.00000000
PA
USD
381308.45000000
0.078425141755
Long
ABS-MBS
US
Y
2
2026-04-20
Fixed
6.27000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 4.300000% 03/04/2024
96950FAM6
2520000.00000000
PA
USD
2509341.11000000
0.516105615451
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
4.30000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-2 GMALT 2023-3 A2A
379929AB8
560000.00000000
PA
USD
559501.26000000
0.115074726583
Long
ABS-MBS
US
Y
2
2026-01-20
Fixed
5.58000000
N
N
N
N
N
N
PENSKE TRUCK LEASING CO., L.P.
549300ZX07JYMI8GHQ39
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 144A 5.750000% 05/24/2026
709599BU7
950000.00000000
PA
USD
946584.54000000
0.194687599325
Long
DBT
CORP
US
N
2
2026-05-24
Fixed
5.75000000
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC 3.071000% 08/15/2024
25746UDB2
650000.00000000
PA
USD
636640.42000000
0.130940227486
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.07100000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2020-2 LLC EFF 2020-2 A3
29375MAC1
1000000.00000000
PA
USD
975485.60000000
0.200631788936
Long
ABS-MBS
US
Y
2
2026-07-20
Fixed
0.65000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2023-1S TRUST SCLP 2023-1S A
83407EAA2
78969.67000000
PA
USD
78805.50000000
0.016208223312
Long
ABS-MBS
US
Y
2
2031-05-15
Fixed
5.81000000
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST
N/A
CITIZENS AUTO RECEIVABLES TRUST 2023-2 CITZN 2023-2 A2A
17295FAB0
820000.00000000
PA
USD
820830.82000000
0.168823359187
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
6.09000000
N
N
N
N
N
N
PLAINS ALL AMERICAN PIPELINE, L.P.
5521FA2ITF25TVH63740
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 4.650000% 10/15/2025
72650RBJ0
400000.00000000
PA
USD
392172.69000000
0.080659630820
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.65000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY VARIABLE RATE 02/02/2024
22550UAB7
1325000.00000000
PA
USD
1322937.57000000
0.272093541227
Long
DBT
NUSS
CH
N
2
2024-02-02
Floating
5.74551000
N
N
N
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC VARIABLE RATE 02/16/2024
29250NBM6
1400000.00000000
PA
USD
1400499.16000000
0.288045924896
Long
DBT
NUSS
CA
N
2
2024-02-16
Floating
5.97658320
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 4.705000% 01/10/2025
09659W2G8
475000.00000000
PA
USD
474221.63000000
0.097534944625
Long
DBT
NUSS
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 04/12/2024
74256LEM7
430000.00000000
PA
USD
430160.82000000
0.088472792265
Long
DBT
CORP
US
N
2
2024-04-12
Floating
5.80233600
N
N
N
N
N
N
NATIONAL SECURITIES CLEARING CORPORATION
549300RYC9NELN2ICA34
NATIONAL SECURITIES CLEARING CORP 144A 5.150000% 05/30/2025
637639AJ4
325000.00000000
PA
USD
324451.72000000
0.066731204445
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
5.15000000
N
N
N
N
N
N
RADIAN GROUP INC.
54930005OUP720S5U385
RADIAN GROUP INC 4.500000% 10/01/2024
750236AU5
475000.00000000
PA
USD
465134.25000000
0.095665909033
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-2 AMCAR 2022-2 A3
03065WAD7
1000000.00000000
PA
USD
984392.80000000
0.202463766231
Long
ABS-MBS
US
N
2
2028-04-18
Fixed
4.38000000
N
N
N
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLOBAL FUNDING I 144A 0.550000% 06/07/2024
59217GEN5
195000.00000000
PA
USD
190099.46000000
0.039098470275
Long
DBT
CORP
US
N
2
2024-06-07
Fixed
0.55000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-1 SDART 2023-1 A2
80287GAB6
337592.38000000
PA
USD
337232.91000000
0.069359959820
Long
ABS-MBS
US
N
2
2026-05-15
Fixed
5.36000000
N
N
N
N
N
N
O'Reilly Automotive, Inc.
549300K2RLMQL149Q332
O'REILLY AUTOMOTIVE INC 5.750000% 11/20/2026
67103HAM9
425000.00000000
PA
USD
429830.70000000
0.088404895244
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
5.75000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 6.051000% 03/01/2025
65339KBP4
255000.00000000
PA
USD
255918.54000000
0.052635727787
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.05100000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-3 CARMX 2023-3 A2A
14319BAB8
505000.00000000
PA
USD
504801.64000000
0.103824450193
Long
ABS-MBS
US
N
2
2026-11-16
Fixed
5.72000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.125000% 01/27/2025
3134GYFG2
2115000.00000000
PA
USD
2105135.03000000
0.432971032091
Long
DBT
USGA
US
N
2
2025-01-27
Fixed
5.12500000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 6.338000% 10/30/2026
025816DL0
705000.00000000
PA
USD
714610.63000000
0.146976653566
Long
DBT
CORP
US
N
2
2026-10-30
Fixed
6.33800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2014-M9 A2
3136AKXV0
921778.50000000
PA
USD
905983.18000000
0.186336965046
Long
DBT
USGA
US
N
2
2024-07-25
Floating
3.10299840
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-5 TPMT 2017-5 A1
89169EAA7
112911.48000000
PA
USD
113581.01000000
0.023360633130
Long
ABS-MBS
US
N
2
2057-02-25
Floating
5.51202120
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1
105699AA0
103803.85000000
PA
USD
97698.19000000
0.020093953858
Long
ABS-MBS
US
N
2
2060-05-25
Floating
1.44900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1377
3140XGQ77
434803.28000000
PA
USD
424675.07000000
0.087344517449
Long
DBT
USGA
US
N
2
2034-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2017-M13 FA
3136AYP31
43385.24000000
PA
USD
43068.43000000
0.008858045836
Long
DBT
USGA
US
N
2
2024-10-25
Floating
6.02200080
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.875000% 04/29/2024
61746BDQ6
1000000.00000000
PA
USD
992856.73000000
0.204204574519
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.87500000
N
N
N
N
N
N
BWAY MORTGAGE TRUST
N/A
BWAY 2013-1515 MORTGAGE TRUST BWAY 2013-1515 A1
05604FAA3
138355.32000000
PA
USD
134304.12000000
0.027622833035
Long
ABS-MBS
US
N
2
2033-03-10
Fixed
2.80930000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-3 AOMT 2021-3 A1
03465EAA9
440902.01000000
PA
USD
359200.18000000
0.073878050788
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.06800120
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-G NAVSL 2019-GA A
63941JAA6
271585.71000000
PA
USD
250099.53000000
0.051438910134
Long
ABS-MBS
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C.
N/A
GREATAMERICA LEASING RECEIVABLES GALC 2023-1 A2
39154TCB2
590000.00000000
PA
USD
587825.38000000
0.120900254777
Long
ABS-MBS
US
Y
2
2026-02-16
Fixed
5.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.750000% 08/28/2025
3134H1BG7
3750000.00000000
PA
USD
3748383.94000000
0.770944210252
Long
DBT
USGA
US
N
2
2025-08-28
Fixed
5.75000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC 0.972000% 02/15/2024
595017BB9
610000.00000000
PA
USD
603904.53000000
0.124207313978
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-4 SDART 2023-4 A2
802927AC7
1825000.00000000
PA
USD
1827884.05000000
0.375947781208
Long
ABS-MBS
US
N
2
2027-02-16
Fixed
6.18000000
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VIII LTD OZLM 2014-8A A1R3
67107FBL0
417134.22000000
PA
USD
415867.38000000
0.085533006750
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-17
Floating
6.64444080
N
N
N
N
N
N
SANTANDER BANK, N.A.
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2022-B B
80290CAX2
595415.92000000
PA
USD
592662.54000000
0.121895131651
Long
ABS-MBS
US
Y
2
2032-08-16
Fixed
5.72100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4783 BV
3137F4XX5
1256115.90000000
PA
USD
1225394.19000000
0.252031427724
Long
DBT
USGA
US
N
2
2037-03-15
Fixed
4.00000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-3 AMCAR 2020-3 D
03066PAF6
1265000.00000000
PA
USD
1182436.61000000
0.243196180823
Long
ABS-MBS
US
N
2
2026-09-18
Fixed
1.49000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-6 TPMT 2017-6 A1
89175JAA8
69274.97000000
PA
USD
65873.40000000
0.013548429710
Long
ABS-MBS
US
N
2
2057-10-25
Floating
2.75000040
N
N
N
N
N
N
HALEON US CAPITAL LLC
549300N8C3A3L0UVQB07
HALEON US CAPITAL LLC 3.024000% 03/24/2024
36264FAH4
735000.00000000
PA
USD
727932.28000000
0.149716567380
Long
DBT
CORP
US
N
2
2024-03-24
Fixed
3.02400000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA 144A 6.250000% 11/03/2025
44891ACQ8
500000.00000000
PA
USD
503411.50000000
0.103538534875
Long
DBT
CORP
US
N
2
2025-11-03
Fixed
6.25000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT CGCMT 2019-SMRT A
29429MAA1
625000.00000000
PA
USD
623870.69000000
0.128313829132
Long
ABS-MBS
US
N
2
2036-01-10
Fixed
4.14900000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM1 TRUST MFRA 2020-NQM1 A1
552754AA1
85104.18000000
PA
USD
78323.03000000
0.016108991894
Long
ABS-MBS
US
N
2
2065-03-25
Floating
1.47899880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KW07 A1
3137FJYG8
968321.87000000
PA
USD
940085.02000000
0.193350818623
Long
DBT
USGA
US
N
2
2028-07-25
Fixed
3.60000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-2 GMALT 2023-2 A2A
362548AB5
578821.73000000
PA
USD
577592.60000000
0.118795640463
Long
ABS-MBS
US
N
2
2025-10-20
Fixed
5.44000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM2R NRZT 2021-NQ2R A1
64831EAA8
126295.04000000
PA
USD
112824.66000000
0.023205071783
Long
ABS-MBS
US
Y
2
2058-10-25
Floating
0.94053960
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST 2007-AR2 GSR 2007-AR2 1A1
3622N6AA7
77741.04000000
PA
USD
42351.46000000
0.008710583922
Long
ABS-MBS
US
N
2
2037-05-25
Floating
3.68058600
N
N
N
N
N
N
VMWARE LLC
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
2675000.00000000
PA
USD
2587513.35000000
0.532183593800
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NOTE TRUST
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NOTE TRUST DCENT 2022-A2 A
254683CS2
635000.00000000
PA
USD
616356.53000000
0.126768363609
Long
ABS-MBS
US
N
2
2027-05-15
Fixed
3.32000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM2 IMPRL 2021-NQM2 A1
452761AA7
403726.28000000
PA
USD
311660.66000000
0.064100419070
Long
ABS-MBS
US
Y
2
2056-09-25
Floating
1.07300160
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-23.00000000
NC
USD
-2457585.94000000
-0.50546093515
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2024
2024-03-31
-2439564.55000000
USD
-18021.39000000
N
N
N
BRIGHTHOUSE FINANCIAL GLOBAL FUNDING
549300BLFX3KJ2IFOA78
BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MTN VARIABLE RATE 04/12/2024
10921U2B3
1080000.00000000
PA
USD
1076965.20000000
0.221503479599
Long
DBT
CORP
US
N
2
2024-04-12
Floating
6.11233920
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A3
35105UAC7
33202.51000000
PA
USD
33069.42000000
0.006801511876
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
0.81000000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
SPRINT LLC 7.625000% 02/15/2025
85207UAJ4
450000.00000000
PA
USD
456901.65000000
0.093972679256
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S MTN 6.259000% 09/22/2026
23636ABE0
575000.00000000
PA
USD
578889.96000000
0.119062473369
Long
DBT
NUSS
DK
N
2
2026-09-22
Fixed
6.25900000
N
N
N
N
N
N
BARINGS CLO LTD
N/A
BARINGS CLO LTD 2020-IIII BABSN 2020-2A AR
06762CAQ1
1000000.00000000
PA
USD
997376.00000000
0.205134069762
Long
ABS-CBDO
CORP
KY
Y
2
2033-10-15
Floating
6.66547920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP MTN 5.080000% 10/25/2024
3134GX4M3
1950000.00000000
PA
USD
1942912.34000000
0.399606081854
Long
DBT
USGA
US
N
2
2024-10-25
Fixed
5.08000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP VARIABLE RATE 04/22/2025
06051GJU4
1600000.00000000
PA
USD
1595649.31000000
0.328183189563
Long
DBT
CORP
US
N
2
2025-04-22
Floating
6.04388160
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2022-MHIL MHP 2022-MHIL A
55293DAA9
355529.42000000
PA
USD
347275.80000000
0.071425518745
Long
ABS-MBS
US
Y
2
2027-01-15
Floating
6.13751040
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2023-2 A2
35104AAB4
640000.00000000
PA
USD
638946.56000000
0.131414539966
Long
ABS-MBS
US
Y
2
2028-05-15
Fixed
5.99000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-99 H
3136AUB83
421204.46000000
PA
USD
405711.09000000
0.083444124421
Long
DBT
USGA
US
N
2
2043-08-25
Fixed
3.00000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM3 IMPRL 2021-NQM3 A1
452762AA5
412278.33000000
PA
USD
332573.88000000
0.068401719613
Long
ABS-MBS
US
Y
2
2056-11-25
Floating
1.59500160
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2
46650AAD5
128657.29000000
PA
USD
122923.33000000
0.025282103190
Long
ABS-MBS
US
N
2
2046-04-25
Floating
6.20736840
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.406000% 10/30/2025
95000U2H5
3305000.00000000
PA
USD
3196988.07000000
0.657536549687
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
2.40600000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R2 VERUS 2021-R2 A1
92538DAA7
451954.36000000
PA
USD
390614.80000000
0.080339213730
Long
ABS-MBS
US
Y
2
2064-02-25
Floating
0.91800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 493805
31382VR22
3141.16000000
PA
USD
3082.89000000
0.000634069570
Long
DBT
USGA
US
N
2
2029-01-01
Floating
4.46500080
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 B
14686KAC1
127336.69000000
PA
USD
118360.71000000
0.024343691990
Long
ABS-MBS
US
N
2
2028-03-10
Fixed
0.75000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 MCMLT 2021-NMR1 A1
59982HAC4
255472.60000000
PA
USD
235324.88000000
0.048400152350
Long
ABS-MBS
US
Y
2
2060-11-25
Floating
1.12500000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2018-REV1 FORDR 2018-1 A
34532RAA4
605000.00000000
PA
USD
587708.31000000
0.120876176550
Long
ABS-MBS
US
N
2
2031-07-15
Fixed
3.19000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024
63906YAC2
1265000.00000000
PA
USD
1262200.68000000
0.259601556830
Long
DBT
NUSS
GB
N
2
2024-08-12
Floating
5.88466080
N
N
N
N
N
N
BUNKER HILL LOAN DEPOSITARY TRUST
N/A
BUNKER HILL LOAN DEPOSITARY TRUST 2020-1 BHLD 2020-1 A1
12062RAA8
104440.14000000
PA
USD
98771.21000000
0.020314645913
Long
ABS-MBS
US
N
2
2055-02-25
Floating
1.72400040
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 4.985000% 07/24/2026
14040HCU7
250000.00000000
PA
USD
244038.56000000
0.050192327659
Long
DBT
CORP
US
N
2
2026-07-24
Fixed
4.98500000
N
N
N
N
N
N
SOUND POINT CLO
N/A
SOUND POINT CLO XVII SNDPT 2017-3A A1R
83611GAL5
587510.33000000
PA
USD
585915.83000000
0.120507510453
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-20
Floating
6.65742960
N
N
N
N
N
N
TAPESTRY, INC.
549300LJNVY5SW3VTN33
TAPESTRY INC 7.050000% 11/27/2025
876030AB3
290000.00000000
PA
USD
293592.87000000
0.060384348807
Long
DBT
CORP
US
N
2
2025-11-27
Fixed
7.05000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 5.029000% 01/15/2025
05578AAZ1
440000.00000000
PA
USD
434544.97000000
0.089374496870
Long
DBT
NUSS
FR
N
2
2025-01-15
Fixed
5.02900000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-56 LB
38379LUL8
18895.73000000
PA
USD
18811.52000000
0.003869036006
Long
DBT
USGA
US
N
2
2040-04-16
Fixed
1.50000000
N
N
N
N
N
N
BMO MORTGAGE TRUST
N/A
BMO 2022-C3 MORTGAGE TRUST BMO 2022-C3 A1
05602QAU7
711663.54000000
PA
USD
701109.71000000
0.144199868617
Long
ABS-MBS
US
N
2
2054-09-15
Floating
5.25216960
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A
14687DAA0
394877.22000000
PA
USD
375669.76000000
0.077265411194
Long
ABS-MBS
US
N
2
2028-01-10
Fixed
0.70000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-4 AOMT 2020-4 A1
03464LAA4
146436.81000000
PA
USD
134552.09000000
0.027673833957
Long
ABS-MBS
US
N
2
2065-06-25
Floating
1.46900160
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C03 2M2
30711XCT9
274611.99000000
PA
USD
292419.07000000
0.060142928950
Long
DBT
USGA
US
N
2
2028-10-25
Floating
11.34257040
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST
N/A
HPEFS EQUIPMENT TRUST 2022-3 HPEFS 2022-3A A3
403951AC0
475000.00000000
PA
USD
472177.88000000
0.097114598883
Long
ABS-MBS
US
Y
2
2029-08-20
Fixed
5.43000000
N
N
N
N
N
N
DLLMT LLC
N/A
DLLMT 2023-1 LLC DLLMT 2023-1A A2
232989AB9
460000.00000000
PA
USD
458788.04000000
0.094360660175
Long
ABS-MBS
US
Y
2
2025-11-20
Fixed
5.78000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2022-2 LLC EFF 2022-2 A2
29374JAB1
1277998.34000000
PA
USD
1262545.68000000
0.259672514276
Long
ABS-MBS
US
Y
2
2029-05-21
Fixed
4.65000000
N
N
N
N
N
N
ATALAYA EQUIPMENT LEASING TRUST LLC.
N/A
ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A2
046497AB9
80851.87000000
PA
USD
79973.58000000
0.016448466715
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
1.23000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K043 A2
3137BGK24
987330.32000000
PA
USD
963113.28000000
0.198087127390
Long
DBT
USGA
US
N
2
2024-12-25
Fixed
3.06200000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.460000% 07/19/2024
3130AWGZ7
1475000.00000000
PA
USD
1473684.11000000
0.303098148570
Long
DBT
USGA
US
N
2
2024-07-19
Fixed
5.46000000
N
N
N
N
N
N
CITIZENS BANK, NATIONAL ASSOCIATION
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA/PROVIDENCE RI 5.284000% 01/26/2026
75524KQB3
250000.00000000
PA
USD
238535.42000000
0.049060476176
Long
DBT
CORP
US
N
2
2026-01-26
Fixed
5.28400000
N
N
N
N
N
N
FIFTH THIRD AUTO TRUST
N/A
FIFTH THIRD AUTO TRUST 2023-1 FITAT 2023-1 A2A
31680EAB7
950000.00000000
PA
USD
949695.24000000
0.195327388683
Long
ABS-MBS
US
N
2
2026-11-16
Fixed
5.80000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2 AMCAR 2020-2 C
03066EAF1
2017309.51000000
PA
USD
1977113.61000000
0.406640385573
Long
ABS-MBS
US
N
2
2026-02-18
Fixed
1.48000000
N
N
N
N
N
N
BANK OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE TRUST
N/A
BANK OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE BACM 2017-BNK3 ASB
06427DAQ6
248900.21000000
PA
USD
240629.26000000
0.049491124117
Long
ABS-MBS
US
N
2
2050-02-15
Fixed
3.36600000
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-1 LTD CGMS 2015-1A AR3
14311DBN5
966580.03000000
PA
USD
964567.61000000
0.198386244906
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
6.65742960
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM5 TRUST GCAT 2021-NQM5 A1
36168KAA5
1241631.62000000
PA
USD
960507.85000000
0.197551258812
Long
ABS-MBS
US
Y
2
2066-07-25
Floating
1.26200160
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST
N/A
METLIFE SECURITIZATION TRUST MST 2017-1A A
59166BAA9
88166.73000000
PA
USD
80876.66000000
0.016634206572
Long
ABS-MBS
US
N
2
2055-04-25
Floating
2.99999880
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2 EFMT 2020-2 A1
31573WAA9
53890.45000000
PA
USD
47461.69000000
0.009761624129
Long
ABS-MBS
US
Y
2
2065-10-25
Floating
1.17799920
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST VZMT 2022-7 A1A
92348KBC6
1775000.00000000
PA
USD
1769284.68000000
0.363895428581
Long
ABS-MBS
US
N
2
2027-11-22
Fixed
5.23000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3 WLAKE 2023-3A A2A
96041CAC6
540000.00000000
PA
USD
540198.29000000
0.111104612208
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
5.96000000
N
N
N
N
N
N
MHC COMMERCIAL MORTGAGE TRUST
N/A
MHC COMMERCIAL MORTGAGE TRUST 2021-MHC MHC 2021-MHC B
55316VAC8
1891106.45000000
PA
USD
1861452.01000000
0.382851829679
Long
ABS-MBS
US
N
2
2038-04-15
Floating
6.53844240
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 B
33844WAC4
673660.25000000
PA
USD
663020.80000000
0.136365979371
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
0.93000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-2 MCMLT 2018-2 A1
59980MAC5
114471.01000000
PA
USD
112170.90000000
0.023070610507
Long
ABS-MBS
US
N
2
2058-05-25
Floating
3.49999920
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 6.615000% 10/20/2027
693475BT1
375000.00000000
PA
USD
383655.26000000
0.078907818986
Long
DBT
CORP
US
N
2
2027-10-20
Fixed
6.61500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.500000% 11/01/2024
92343VCR3
3115000.00000000
PA
USD
3056975.99000000
0.628739739070
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.50000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-1 WLAKE 2023-1A A2A
96042XAB1
354703.21000000
PA
USD
354078.40000000
0.072824635049
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
5.51000000
N
N
N
N
N
N
SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY
N/A
SYNCHRONY CARD FUNDING LLC SYNIT 2022-A1 A
87166PAG6
525000.00000000
PA
USD
509181.86000000
0.104725346500
Long
ABS-MBS
US
N
2
2028-04-15
Fixed
3.37000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
CREDIT AGRICOLE SA 144A 5.568000% 02/28/2025
22534PAD5
475000.00000000
PA
USD
472567.39000000
0.097194710869
Long
DBT
NUSS
FR
N
2
2025-02-28
Fixed
5.56800000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP ELP 2021-ELP A
26863LAA2
1058767.62000000
PA
USD
1036175.42000000
0.213114092270
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
6.13847880
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-2 LLC EFF 2023-2 A2
29375NAB1
530000.00000000
PA
USD
527870.20000000
0.108569047613
Long
ABS-MBS
US
Y
2
2030-04-22
Fixed
5.56000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A3
29374EAC0
380000.00000000
PA
USD
368298.74000000
0.075749385812
Long
ABS-MBS
US
Y
2
2026-12-21
Fixed
0.70000000
N
N
N
N
N
N
RADIAN GROUP INC.
54930005OUP720S5U385
RADIAN GROUP INC 6.625000% 03/15/2025
750236AX9
475000.00000000
PA
USD
472625.00000000
0.097206559734
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.62500000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST
N/A
TOYOTA LEASE OWNER TRUST 2023-B TLOT 2023-B A2A
89240HAB1
1115000.00000000
PA
USD
1116289.61000000
0.229591478773
Long
ABS-MBS
US
Y
2
2026-04-20
Fixed
5.73000000
N
N
N
N
N
N
DAIMLER TRUCKS RETAIL TRUST
N/A
DAIMLER TRUCKS RETAIL TRUST 2023-1 DTRT 2023-1 A2
233868AB4
740000.00000000
PA
USD
740994.12000000
0.152403045095
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
6.03000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-2 EART 2023-2A A3
30168CAC2
210000.00000000
PA
USD
209435.52000000
0.043075390394
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
5.60000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2023-A AFFRM 2023-A 1A
00834JAE0
340000.00000000
PA
USD
339392.73000000
0.069804178116
Long
ABS-MBS
US
Y
2
2028-01-18
Fixed
6.61000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-B HALST 2023-B A2A
448980AB8
188607.71000000
PA
USD
188229.27000000
0.038713821270
Long
ABS-MBS
US
Y
2
2025-09-15
Fixed
5.47000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C31 ASB
46644YAW0
112543.40000000
PA
USD
109897.14000000
0.022602957744
Long
ABS-MBS
US
N
2
2048-08-15
Fixed
3.53950000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-4 VERUS 2019-4 A1
92537KAA2
55804.61000000
PA
USD
53353.65000000
0.010973445682
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
3.64200000
N
N
N
N
N
N
UNITED AUTO CREDIT SECURITIZATION TRUST
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2 UACST 2022-2 A
90944KAA3
25700.77000000
PA
USD
25689.63000000
0.005283682736
Long
ABS-MBS
US
Y
2
2025-04-10
Fixed
4.39000000
N
N
N
N
N
N
TRICOLOR AUTO SECURITIZATION TRUST
N/A
TRICOLOR AUTO SECURITIZATION TRUST 2023-1 TAST 2023-1A A
89616KAA2
134716.76000000
PA
USD
134444.23000000
0.027651649985
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
6.48000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2023-B FORDO 2023-B A2A
344930AB8
1050000.00000000
PA
USD
1049340.18000000
0.215821737929
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
5.57000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2
29374EAB2
47871.49000000
PA
USD
47278.42000000
0.009723930299
Long
ABS-MBS
US
Y
2
2026-12-21
Fixed
0.44000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2023-3 MFT 2023-3A A
57109RAA8
547226.59000000
PA
USD
546975.85000000
0.112498578442
Long
ABS-MBS
US
Y
2
2033-09-15
Fixed
6.49000000
N
N
N
N
N
N
AUTOZONE, INC.
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 5.050000% 07/15/2026
053332BE1
975000.00000000
PA
USD
969356.30000000
0.199371152773
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.05000000
N
N
N
N
N
N
VOYA FINANCIAL, INC.
549300T065Z4KJ686G75
VOYA FINANCIAL INC 3.650000% 06/15/2026
929089AB6
309000.00000000
PA
USD
294871.62000000
0.060647354125
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.65000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1
64831TAA5
638170.42000000
PA
USD
516196.01000000
0.106167973087
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.15611840
N
N
N
N
N
N
JOHN DEERE OWNER TRUST
N/A
JOHN DEERE OWNER TRUST 2023-B JDOT 2023-B A2
477920AB8
1055000.00000000
PA
USD
1054199.99000000
0.216821273313
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
5.59000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.300000% 05/22/2024
3130AVT51
850000.00000000
PA
USD
848947.30000000
0.174606181282
Long
DBT
USGA
US
N
2
2024-05-22
Fixed
5.30000000
N
N
N
N
N
N
SANTANDER BANK, N.A.
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2022-C B
80290CBF0
255902.30000000
PA
USD
255788.63000000
0.052609008709
Long
ABS-MBS
US
Y
2
2032-12-15
Fixed
6.45100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 928005
31412LAE0
4173.12000000
PA
USD
4185.49000000
0.000860845456
Long
DBT
USGA
US
N
2
2027-01-01
Fixed
6.00000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.300000% 05/28/2024
3130AVVB5
850000.00000000
PA
USD
848599.24000000
0.174534594474
Long
DBT
USGA
US
N
2
2024-05-28
Fixed
5.30000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024
37045XDN3
1500000.00000000
PA
USD
1496424.92000000
0.307775336416
Long
DBT
CORP
US
N
2
2024-10-15
Floating
5.97212640
N
N
N
N
N
N
CCG RECEIVABLES TRUST
N/A
CCG RECEIVABLES TRUST 2021-1 CCG 2021-1 A2
12510KAC7
40862.64000000
PA
USD
40297.40000000
0.008288117683
Long
ABS-MBS
US
Y
2
2027-06-14
Fixed
0.30000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 6.557000% 10/18/2027
63861VAJ6
500000.00000000
PA
USD
507315.94000000
0.104341575722
Long
DBT
NUSS
GB
N
2
2027-10-18
Fixed
6.55700000
N
N
N
N
N
N
PRESTIGE AUTO RECEIVABLES TRUST
N/A
PRESTIGE AUTO RECEIVABLES TRUST 2023-1 PART 2023-1A B
74113GAG8
1665000.00000000
PA
USD
1652837.51000000
0.339945301553
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
5.55000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1 NRZT 2020-NQM1 A1
64830VAA1
252504.62000000
PA
USD
225472.91000000
0.046373860659
Long
ABS-MBS
US
N
2
2060-01-26
Floating
2.46413160
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-1 CARMX 2023-1 A2A
14318DAB5
502036.65000000
PA
USD
500777.14000000
0.102996716155
Long
ABS-MBS
US
N
2
2026-01-15
Fixed
5.23000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2 MORTGAGE LOAN TRUST COLT 2021-2 A1
19685WAA9
530167.76000000
PA
USD
413622.20000000
0.085071232143
Long
ABS-MBS
US
Y
2
2066-08-25
Floating
0.92400120
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 BRAVO 2021-NQM1 A1
10569TAA6
223217.07000000
PA
USD
193555.36000000
0.039809258214
Long
ABS-MBS
US
Y
2
2049-02-25
Floating
0.94100040
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1
85573MAA7
56449.98000000
PA
USD
51946.07000000
0.010683943414
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.48600080
N
N
N
N
N
N
GMACM MORTGAGE LOAN TRUST
N/A
GMACM MORTGAGE LOAN TRUST 2005-AR6 GMACM 2005-AR6 2A1
36185MBJ0
87562.54000000
PA
USD
74795.11000000
0.015383391331
Long
ABS-MBS
US
N
2
2035-11-19
Floating
3.64790520
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 12/31/2024
912828YY0
3325000.00000000
PA
USD
3206676.75000000
0.659529256910
Long
SN
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 01/07/2025
04685A3H2
800000.00000000
PA
USD
792238.73000000
0.162942716596
Long
DBT
CORP
US
N
2
2025-01-07
Floating
6.06290760
N
N
N
N
N
N
ILLINOIS FIN AUTH REV
N/A
ILLINOIS ST FIN AUTH REVENUE ILLINOIS FINANCE AUTHORITY
45204FVC6
305000.00000000
PA
USD
305001.43000000
0.062730790212
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
6.53500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 846789
3128HDRJ0
3258.02000000
PA
USD
3217.00000000
0.000661652478
Long
DBT
USGA
US
N
2
2030-02-01
Floating
5.29800120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2002-64 FG
31392EP61
186.18000000
PA
USD
186.81000000
0.000038421914
Long
DBT
USGA
US
N
2
2032-10-18
Floating
5.68577160
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-1 CARMX 2021-1 A3
14316NAC3
304441.08000000
PA
USD
298084.84000000
0.061308229157
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
0.34000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2023-2 MFT 2023-2A A
57109LAA1
337102.64000000
PA
USD
335859.07000000
0.069077396985
Long
ABS-MBS
US
Y
2
2033-06-15
Fixed
6.04000000
N
N
N
N
N
N
SOUTH CAROLINA ST PUB SVCS AUTH REV
N/A
SOUTH CAROLINA ST PUBLIC SVC A SOUTH CAROLINA PUBLIC SERVICE AUTHORITY
837151WF2
2470000.00000000
PA
USD
2470000.00000000
0.508014181525
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
3.72200000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2023-B ARIFL 2023-B A2
04033GAB3
220000.00000000
PA
USD
220879.45000000
0.045429106480
Long
ABS-MBS
US
Y
2
2032-07-15
Fixed
6.05000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R1 VERUS 2021-R1 A1
92538BAA1
339199.93000000
PA
USD
303604.56000000
0.062443490710
Long
ABS-MBS
US
Y
2
2063-10-25
Floating
0.82000080
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2021-B A
69335PED3
900000.00000000
PA
USD
867090.69000000
0.178337800481
Long
ABS-MBS
US
Y
2
2026-08-15
Fixed
0.77000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2017-3 MCMLT 2017-3 A1
59980CAA1
68919.46000000
PA
USD
67251.70000000
0.013831909850
Long
ABS-MBS
US
N
2
2061-01-25
Fixed
2.75000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1 CGCMT 2015-P1 AAB
17324DAV6
332930.05000000
PA
USD
326318.59000000
0.067115170613
Long
ABS-MBS
US
N
2
2048-09-15
Fixed
3.47000000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS, L.P.
549300PDHUGWPWGOT525
KINDER MORGAN ENERGY PARTNERS LP 4.300000% 05/01/2024
28370TAG4
2510000.00000000
PA
USD
2490561.05000000
0.512243049941
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
4.30000000
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2021-4 UPST 2021-4 A
91682NAA1
48534.51000000
PA
USD
48286.49000000
0.009931263844
Long
ABS-MBS
US
Y
2
2031-09-20
Fixed
0.84000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2022-3 LLC EFF 2022-3 A2
29374FAB9
63908.82000000
PA
USD
62893.98000000
0.012935641203
Long
ABS-MBS
US
Y
2
2029-07-20
Fixed
4.38000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-C CPS 2023-C A
223928AA0
173723.70000000
PA
USD
173798.37000000
0.035745763840
Long
ABS-MBS
US
Y
2
2026-09-15
Fixed
6.13000000
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL FUNDING
635400EVYITCJYWL2I50
PROTECTIVE LIFE GLOBAL FUNDING 144A 3.104000% 04/15/2024
74368CAP9
615000.00000000
PA
USD
609171.14000000
0.125290517447
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.10400000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-J TRUST BOAMS 2005-J 2A1
05949CKQ8
5334.32000000
PA
USD
4729.50000000
0.000972734037
Long
ABS-MBS
US
N
2
2035-11-25
Floating
5.22661680
N
N
N
N
N
N
EVERGREEN CREDIT CARD TRUST
N/A
EVERGREEN CREDIT CARD TRUST SERIES 2022-CRT1 EVGRN 2022-CRT1 B
30023JBV9
675000.00000000
PA
USD
670550.33000000
0.137914606099
Long
ABS-MBS
CA
Y
2
2026-07-15
Fixed
5.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KBX1 A2
3137F4CZ3
980000.00000000
PA
USD
946868.26000000
0.194745953083
Long
DBT
USGA
US
N
2
2026-01-25
Fixed
2.92000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-2 AOMT 2020-2 A1A
03464XAL4
208352.09000000
PA
USD
189154.42000000
0.038904100347
Long
ABS-MBS
US
N
2
2065-01-26
Floating
2.53100160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.000000% 02/28/2025
3134GXS88
2350000.00000000
PA
USD
2317083.64000000
0.476563299150
Long
DBT
USGA
US
N
2
2025-02-28
Fixed
4.00000000
N
N
N
N
N
N
SANTANDER BANK, N.A.
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2023-A B
80290CBU7
716453.01000000
PA
USD
717517.09000000
0.147574436116
Long
ABS-MBS
US
Y
2
2033-06-15
Fixed
6.49300000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 4.788000% 07/18/2025
606822CH5
600000.00000000
PA
USD
595553.30000000
0.122489685123
Long
DBT
NUSS
JP
N
2
2025-07-18
Fixed
4.78800000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-H6 MSC 2019-H6 A2
61769JAX9
1000000.00000000
PA
USD
984910.20000000
0.202570181833
Long
ABS-MBS
US
N
2
2052-06-15
Fixed
3.22800000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4 WLAKE 2023-4A A2
96041AAC0
1035000.00000000
PA
USD
1038105.41000000
0.213511040566
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
6.23000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-3 STAR 2021-3 A1
85573JAA4
534396.60000000
PA
USD
421798.54000000
0.086752890715
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.12700160
N
N
N
N
N
N
MIAMI-DADE CNTY FLA AVIATION REV
N/A
MIAMI-DADE CNTY FL AVIATION RE COUNTY OF MIAMI-DADE FL AVIATION REVENUE
59333PV39
795000.00000000
PA
USD
776060.08000000
0.159615192856
Long
DBT
MUN
US
N
2
2024-10-01
Fixed
2.50400000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1
64828EAA3
54549.04000000
PA
USD
49547.98000000
0.010190719233
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.49188040
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1 EFMT 2021-1 A1
31574XAA6
90302.86000000
PA
USD
73772.19000000
0.015173003531
Long
ABS-MBS
US
Y
2
2066-02-25
Floating
0.79700040
N
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED
N/A
RFMSI SERIES 2007-SA3 TRUST RFMSI 2007-SA3 2A1
74958TAB9
59296.39000000
PA
USD
43418.29000000
0.008930002857
Long
ABS-MBS
US
N
2
2037-07-27
Floating
4.91214960
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST
N/A
HYUNDAI AUTO RECEIVABLES TRUST 2022-A HART 2022-A A3
448977AD0
835000.00000000
PA
USD
812721.70000000
0.167155526005
Long
ABS-MBS
US
N
2
2026-10-15
Fixed
2.22000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2022-EBO1 TPMT 2022-EBO1 A
89180EAA2
46179.01000000
PA
USD
45839.14000000
0.009427908173
Long
ABS-MBS
US
Y
2
2052-01-25
Floating
2.16100080
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024
04685A2X8
1820000.00000000
PA
USD
1816234.40000000
0.373551753916
Long
DBT
CORP
US
N
2
2024-05-24
Floating
6.04629000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-1 WLAKE 2021-1A D
96043FAF0
675000.00000000
PA
USD
649058.33000000
0.133494265699
Long
ABS-MBS
US
Y
2
2026-04-15
Fixed
1.23000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST
N/A
KUBOTA CREDIT OWNER TRUST 2023-2 KCOT 2023-2A A2
500945AB6
1575000.00000000
PA
USD
1572851.54000000
0.323494286540
Long
ABS-MBS
US
N
2
2026-07-15
Fixed
5.61000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 04/30/2024
912828X70
4525000.00000000
PA
USD
4463134.74000000
0.917949693109
Long
SN
UST
US
N
1
2024-04-30
Fixed
2.00000000
N
N
N
N
N
N
TTAN MHC
N/A
TTAN 2021-MHC TTN 2021-MHC B
87303TAG2
600581.16000000
PA
USD
586985.26000000
0.120727464140
Long
ABS-MBS
US
Y
2
2038-03-15
Floating
6.53748120
N
N
N
N
N
N
MASTER CREDIT CARD TRUST II
N/A
MASTER CREDIT CARD TRUST MCCT 2021-1A A
576339CJ2
1435000.00000000
PA
USD
1399193.88000000
0.287777463054
Long
ABS-MBS
CA
Y
2
2025-11-21
Fixed
0.53000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1
89180FCD1
652298.20000000
PA
USD
608089.21000000
0.125067992839
Long
ABS-MBS
US
Y
2
2068-07-25
Floating
2.25000000
N
N
N
N
N
N
MHP COMMERCIAL MORTGAGE TRUST
N/A
MHP 2021-STOR MHP 2021-STOR A
55293BAB1
325000.00000000
PA
USD
318673.19000000
0.065542712466
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
6.13748160
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2015-1 LTD VOYA 2015-1A A1R
92914NAJ0
212939.00000000
PA
USD
212672.19000000
0.043741088476
Long
ABS-CBDO
CORP
KY
N
2
2029-01-18
Floating
6.55665120
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 01/24/2025
38141GZJ6
800000.00000000
PA
USD
798848.11000000
0.164302092617
Long
DBT
CORP
US
N
2
2025-01-24
Floating
6.05445120
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A
5493001DTG5N7T8BG747
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2019-2 B
34528QGX6
1290000.00000000
PA
USD
1274357.98000000
0.262101994404
Long
ABS-MBS
US
N
2
2026-04-15
Fixed
3.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.875000% 06/01/2025
55336VAJ9
750000.00000000
PA
USD
741824.96000000
0.152573927080
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
COREBRIDGE FINANCIAL, INC.
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 3.500000% 04/04/2025
21871XAB5
385000.00000000
PA
USD
373083.09000000
0.076733401055
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
Banco Santander, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.892000% 05/24/2024
05971KAM1
600000.00000000
PA
USD
594517.44000000
0.122276635904
Long
DBT
NUSS
ES
N
2
2024-05-24
Fixed
3.89200000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1
12656YAA5
166762.64000000
PA
USD
143155.62000000
0.029443354301
Long
ABS-MBS
US
Y
2
2054-07-27
Fixed
0.79800000
N
N
N
N
N
N
PRESTIGE AUTO RECEIVABLES TRUST
N/A
PRESTIGE AUTO RECEIVABLES TRUST 2023-2 PART 2023-2A A2
74113VAC4
1565000.00000000
PA
USD
1567899.48000000
0.322475777751
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
6.24000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1
31572LAA4
289344.98000000
PA
USD
224394.99000000
0.046152160802
Long
ABS-MBS
US
Y
2
2066-06-25
Floating
0.93099960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.050000% 08/28/2025
3134GXR63
1140000.00000000
PA
USD
1121251.30000000
0.230611968200
Long
DBT
USGA
US
N
2
2025-08-28
Fixed
4.05000000
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2021-1A A2
165183CT9
194763.18000000
PA
USD
193902.21000000
0.039880596157
Long
ABS-MBS
US
Y
2
2033-04-15
Floating
5.66852040
N
N
N
N
N
N
TRICOLOR AUTO SECURITIZATION TRUST
N/A
TRICOLOR AUTO SECURITIZATION TRUST 2022-1 TAST 2022-1A A
89616BAA2
7573.51000000
PA
USD
7564.80000000
0.001555880842
Long
ABS-MBS
US
Y
2
2025-02-18
Fixed
3.30000000
N
N
N
N
N
N
ACCREDITED MORTGAGE LOAN TRUST
N/A
ACCREDITED MORTGAGE LOAN TRUST 2004-4 ACCR 2004-4 A1A
004375CA7
40185.87000000
PA
USD
39963.87000000
0.008219519315
Long
ABS-MBS
US
N
2
2035-01-25
Floating
4.70873880
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2019-4 EART 2019-4A D
30167GAG5
216162.93000000
PA
USD
213534.56000000
0.043918455354
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
2.58000000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2023-3 DTAOT 2023-3A A
23345WAA3
591912.86000000
PA
USD
593212.35000000
0.122008213140
Long
ABS-MBS
US
Y
2
2027-08-16
Fixed
6.29000000
N
N
N
N
N
N
OVINTIV INC.
2549003MEX7YMKLGI239
OVINTIV INC 5.650000% 05/15/2025
69047QAA0
500000.00000000
PA
USD
499787.28000000
0.102793127929
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
5.65000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D NAVSL 2020-DA A
63941HAA0
697336.07000000
PA
USD
627204.07000000
0.128999417923
Long
ABS-MBS
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDING II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FUNDING II 144A 2.750000% 06/22/2024
57629WCE8
1325000.00000000
PA
USD
1303185.12000000
0.268030980612
Long
DBT
CORP
US
N
2
2024-06-22
Fixed
2.75000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1
12597QAA4
63831.02000000
PA
USD
59560.21000000
0.012249972200
Long
ABS-MBS
US
N
2
2065-04-27
Floating
1.50599880
N
N
N
N
N
N
NEXTGEAR FLOORPLAN MASTER OWNER TRUST
N/A
NEXTGEAR FLOORPLAN MASTER OWNER TRUST NFMOT 2022-1A A2
65341KBT2
329000.00000000
PA
USD
316171.34000000
0.065028147575
Long
ABS-MBS
US
Y
2
2027-03-15
Fixed
2.80000000
N
N
N
N
N
N
TAKE-TWO INTERACTIVE SOFTWARE, INC.
BOMSTHHJK882EWYX3334
TAKE-TWO INTERACTIVE SOFTWARE INC 3.300000% 03/28/2024
874054AE9
22000.00000000
PA
USD
21824.73000000
0.004488774229
Long
DBT
CORP
US
N
2
2024-03-28
Fixed
3.30000000
N
N
N
N
N
N
VIBRANT CLO LTD
N/A
VIBRANT CLO VI LTD VIBR 2017-6A AR
92558EAJ1
283717.98000000
PA
USD
283426.89000000
0.058293473500
Long
ABS-CBDO
CORP
KY
Y
2
2029-06-20
Floating
6.60945960
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-4 MORTGAGE LOAN TRUST COLT 2021-4 A1
19688GAA1
892589.71000000
PA
USD
694808.08000000
0.142903788695
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.39700160
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 6.170000% 01/09/2027
853254CQ1
450000.00000000
PA
USD
451546.21000000
0.092871205787
Long
DBT
NUSS
GB
N
2
2027-01-09
Fixed
6.17000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3 CGCMT 2016-P3 AAB
29429CAE5
103233.58000000
PA
USD
100404.48000000
0.020650566691
Long
ABS-MBS
US
N
2
2049-04-15
Fixed
3.12700000
N
N
N
N
N
N
MISSISSIPPI POWER COMPANY
LNZ0J6YZ5SC6ILIRU850
MISSISSIPPI POWER CO VARIABLE RATE 06/28/2024
605417CC6
740000.00000000
PA
USD
738963.36000000
0.151985371055
Long
DBT
CORP
US
N
2
2024-06-28
Floating
5.65101000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING LLC
N/A
WHEELS FLEET LEASE FUNDING 1 LLC WFLF 2023-2A A
96328GBG1
820000.00000000
PA
USD
824443.58000000
0.169566409112
Long
ABS-MBS
US
Y
2
2038-08-18
Fixed
6.46000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2018-2 TPMT 2018-2 A1
89175VAA1
279021.66000000
PA
USD
267878.87000000
0.055095653802
Long
ABS-MBS
US
N
2
2058-03-25
Floating
3.25000080
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2019-INV3 VERUS 2019-INV3 A1
92537MAA8
73899.08000000
PA
USD
71287.54000000
0.014661976229
Long
ABS-MBS
US
N
2
2059-11-25
Floating
3.69200160
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST SERIES 2023- WLAKE 2023-P1 A2
96042UAB7
454000.00000000
PA
USD
454265.14000000
0.093430418337
Long
ABS-MBS
US
Y
2
2027-02-16
Fixed
5.89000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6 NRZT 2017-6A A1
64830BAA5
313076.01000000
PA
USD
292229.72000000
0.060103984624
Long
ABS-MBS
US
N
2
2057-08-27
Floating
3.99999960
N
N
N
N
N
N
LENDBUZZ SECURITIZATION TRUST
N/A
LENDBUZZ SECURITIZATION TRUST 2021-1 LBZZ 2021-1A A
52607BAA1
354664.95000000
PA
USD
342180.14000000
0.070377475205
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
1.46000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-AFC1 TRUST CSMC 2021-AFC1 A1
12657LAA2
438498.27000000
PA
USD
332278.12000000
0.068340889542
Long
ABS-MBS
US
Y
2
2056-03-25
Floating
0.83000160
N
N
N
N
N
N
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2023-1 A2
35105NAB5
267380.80000000
PA
USD
266271.73000000
0.054765107279
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
5.43000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-2 WLAKE 2023-2A A3
959926AD8
985000.00000000
PA
USD
983230.84000000
0.202224781551
Long
ABS-MBS
US
Y
2
2027-02-16
Fixed
5.80000000
N
N
N
N
N
N
VFI ABS LLC
N/A
VFI ABS 2023-1 LLC VFI 2023-1A A
92555QAA6
603852.04000000
PA
USD
605312.58000000
0.124496912913
Long
ABS-MBS
US
Y
2
2029-03-26
Fixed
7.27000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
620891.03000000
PA
USD
619314.46000000
0.127376732187
Long
ABS-MBS
US
N
2
2036-10-15
Floating
6.35739120
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY 3.350000% 03/15/2026
30040WAB4
650000.00000000
PA
USD
618721.92000000
0.127254862259
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.35000000
N
N
N
N
N
N
TD SYNNEX CORPORATION
5493004HI6PFLF46NS53
TD SYNNEX CORP 1.250000% 08/09/2024
87162WAD2
1375000.00000000
PA
USD
1327969.91000000
0.273128561505
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
1.25000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2023-1S TRUST SCLP 2023-1S A
83407EAA2
659503.47000000
PA
USD
658132.43000000
0.135360569944
Long
ABS-MBS
US
Y
2
2031-05-15
Fixed
5.81000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4 EART 2023-4A A2
30166TAB9
220000.00000000
PA
USD
219835.15000000
0.045214321375
Long
ABS-MBS
US
N
2
2025-12-15
Fixed
6.07000000
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
BAYER US FINANCE LLC 144A 6.125000% 11/21/2026
07274EAH6
270000.00000000
PA
USD
270679.63000000
0.055671696635
Long
DBT
CORP
DE
N
2
2026-11-21
Fixed
6.12500000
N
N
N
N
N
N
BPR TRUST
N/A
BPR TRUST 2021-TY BPR 2021-TY A
05592AAA8
1000000.00000000
PA
USD
965716.80000000
0.198622603132
Long
ABS-MBS
US
Y
2
2038-09-15
Floating
6.48748080
N
N
N
N
N
N
DUNKIN BRANDS
N/A
DB MASTER FINANCE LLC DNKN 2019-1A A2II
233046AK7
1101125.00000000
PA
USD
1043488.81000000
0.214618264673
Long
ABS-MBS
US
N
2
2049-05-20
Fixed
4.02100000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2005-A6 JPMMT 2005-A6 7A1
466247UG6
17881.15000000
PA
USD
14680.08000000
0.003019307216
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.04938520
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2021-NQM2 TRUST MFRA 2021-NQM2 A1
55283WAA9
336602.22000000
PA
USD
278519.39000000
0.057284129534
Long
ABS-MBS
US
Y
2
2064-11-25
Floating
1.02899880
N
N
N
N
N
N
CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV
N/A
CHICAGO IL TRANSIT AUTH SALES CHICAGO TRANSIT AUTHORITY SALES TAX RECEIPTS FUND
16772PCJ3
145000.00000000
PA
USD
145000.00000000
0.029822694866
Long
DBT
MUN
US
N
2
2023-12-01
Fixed
1.83800000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST
N/A
SANTANDER RETAIL AUTO LEASE TRUST 2022-A SRT 2022-A B
80287CAE9
1025000.00000000
PA
USD
986814.24000000
0.202961792895
Long
ABS-MBS
US
Y
2
2026-01-20
Fixed
1.61000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2001-33 FA
31359S6L9
2704.93000000
PA
USD
2680.08000000
0.000551222124
Long
DBT
USGA
US
N
2
2031-07-25
Floating
5.89257000
N
N
N
N
N
N
NEUBERGER BERMAN LOAN ADVISERS LLC
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD NEUB 2019-31A AR
64132JAN5
595000.00000000
PA
USD
594565.06000000
0.122286430088
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
6.71743080
N
N
N
N
N
N
GLS AUTO SELECT RECEIVABLES TRUST
N/A
GLS AUTO SELECT RECEIVABLES TRUST 2023-2 GSAR 2023-2A A2
36269EAB5
575000.00000000
PA
USD
576994.79000000
0.118672686634
Long
ABS-MBS
US
Y
2
2028-06-15
Fixed
6.37000000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 2.200000% 09/15/2025
682680BA0
675000.00000000
PA
USD
634517.15000000
0.130503526567
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
2.20000000
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS
N/A
1300000.00000000
PA
USD
1300000.00000000
0.267375885013
Long
RA
US
N
2
Repurchase
Y
5.29999920
N/A
1300000.00003410
USD
1326000.02000000
USD
AMBS
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 3.650000% 02/04/2024
06406HCS6
1000000.00000000
PA
USD
995914.62000000
0.204833502246
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.320000% 03/21/2025
3134GXZ64
2450000.00000000
PA
USD
2418418.23000000
0.497405165060
Long
DBT
USGA
US
N
2
2025-03-21
Fixed
4.32000000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-5 IMM 2005-5 A1
45254NPU5
14300.02000000
PA
USD
12909.76000000
0.002655198850
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.77527120
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A
05609VAA3
540000.00000000
PA
USD
523728.77000000
0.107717264142
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
6.13739160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-97 KA
3136AGCX8
10471.28000000
PA
USD
10342.53000000
0.002127187009
Long
DBT
USGA
US
N
2
2031-11-25
Fixed
3.00000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-42.00000000
NC
USD
-4611468.75000000
-0.94845810634
N/A
DIR
US
N
1
J.P. MORGAN SECURITIES
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Mar 2024
2024-03-22
-4586159.13000000
USD
-25309.62000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4379 CB
3137BCZG6
61185.37000000
PA
USD
59281.12000000
0.012192570711
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
2.25000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 WFCM 2016-C32 ASB
94989YBA0
240987.06000000
PA
USD
235201.92000000
0.048374862705
Long
ABS-MBS
US
N
2
2059-01-15
Fixed
3.32400000
N
N
N
N
N
N
GTE AUTO RECEIVABLES TRUST
N/A
GTE AUTO RECEIVABLES TRUST 2023-1 GTE 2023-1 A2
362304AB3
1217807.87000000
PA
USD
1214050.20000000
0.249698266673
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
5.65000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM4 CSMC 2021-NQM4 A1
12659PAA1
714155.10000000
PA
USD
577585.01000000
0.118794079399
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
1.10099880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4030 AN
3137APJB7
138625.21000000
PA
USD
133513.07000000
0.027460134809
Long
DBT
USGA
US
N
2
2027-04-15
Fixed
1.75000000
N
N
N
N
N
N
CCG RECEIVABLES TRUST
N/A
CCG RECEIVABLES TRUST 2023-1 CCG 2023-1 A2
12512XAB9
515000.00000000
PA
USD
514192.89000000
0.105755983870
Long
ABS-MBS
US
Y
2
2030-09-16
Fixed
5.82000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C3 UBSCM 2017-C3 ASB
90276GAQ5
188423.85000000
PA
USD
179929.27000000
0.037006729081
Long
ABS-MBS
US
N
2
2050-08-15
Fixed
3.21500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41 WFCM 2017-C41 ASB
95001ABB1
117358.57000000
PA
USD
112732.80000000
0.023186178592
Long
ABS-MBS
US
N
2
2050-11-15
Fixed
3.39000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1 STAR 2020-1 A1
85573AAA3
17944.04000000
PA
USD
16699.94000000
0.003434739413
Long
ABS-MBS
US
N
2
2050-02-25
Floating
2.27499840
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1
670857AA9
605750.48000000
PA
USD
452545.22000000
0.093076675927
Long
ABS-MBS
US
Y
2
2061-05-25
Floating
1.10099880
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 5.550000% 07/19/2024
3130AWH29
1475000.00000000
PA
USD
1474594.86000000
0.303285465945
Long
DBT
USGA
US
N
2
2024-07-19
Fixed
5.55000000
N
N
N
N
N
N
MACQUARIE GROUP LIMITED.
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD MTN VARIABLE RATE 10/14/2025
55608JBB3
825000.00000000
PA
USD
821330.47000000
0.168926124080
Long
DBT
NUSS
AU
N
2
2025-10-14
Floating
6.06212640
N
N
N
N
N
N
AUTOZONE, INC.
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 3.250000% 04/15/2025
053332AR3
650000.00000000
PA
USD
629945.82000000
0.129563323948
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.25000000
N
N
N
N
N
N
OCTANE RECEIVABLES TRUST
N/A
OCTANE RECEIVABLES TRUST 2023-3 OCTL 2023-3A A2
67571CAB7
2380000.00000000
PA
USD
2386303.67000000
0.490800042828
Long
ABS-MBS
US
N
2
2029-03-20
Fixed
6.44000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-2 LLC EFF 2023-2 A1
29375NAA3
104659.58000000
PA
USD
104673.40000000
0.021528571509
Long
ABS-MBS
US
Y
2
2024-06-20
Fixed
5.79300000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A3
00217FAC9
875000.00000000
PA
USD
849794.05000000
0.174780335536
Long
ABS-MBS
US
Y
2
2030-03-15
Fixed
0.68000000
N
N
N
N
N
N
BANQUE FEDERATIVE DU CREDIT MUTUEL SA
VBHFXSYT7OG62HNT8T76
BANQUE FEDERATIVE DU CREDIT MUTUEL SA 144A 5.896000% 07/13/2026
06675FBA4
475000.00000000
PA
USD
477987.66000000
0.098309518167
Long
DBT
NUSS
FR
N
2
2026-07-13
Fixed
5.89600000
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST
N/A
ONEMAIN FINANCIAL ISSUANCE TRUST 2018-2 OMFIT 2018-2A A
68269CAA4
341042.01000000
PA
USD
337619.28000000
0.069439425990
Long
ABS-MBS
US
N
2
2033-03-14
Fixed
3.57000000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-2 IMM 2005-2 1A1
45254NMY0
18724.35000000
PA
USD
17302.52000000
0.003558674306
Long
ABS-MBS
US
N
2
2035-04-25
Floating
5.97737160
N
N
N
N
N
N
HARLEY DAVIDSON MOTORCYCLE TRUST
N/A
HARLEY-DAVIDSON MOTORCYCLE TRUST 2023-A HDMOT 2023-A A2A
41285JAB4
713576.18000000
PA
USD
711768.55000000
0.146392112293
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
5.32000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST SERIES 2023- WLAKE 2023-P1 A2
96042UAB7
1735000.00000000
PA
USD
1736013.24000000
0.357052366492
Long
ABS-MBS
US
Y
2
2027-02-16
Fixed
5.89000000
N
N
N
N
N
N
SG RESIDENTIAL MORTGAGE TRUST
N/A
SG RESIDENTIAL MORTGAGE TRUST 2021-1 SGR 2021-1 A1
784212AA0
895314.64000000
PA
USD
683749.19000000
0.140629265233
Long
ABS-MBS
US
Y
2
2061-07-25
Floating
1.15999920
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A
33846QAA9
92222.62000000
PA
USD
91015.78000000
0.018719557482
Long
ABS-MBS
US
Y
2
2027-07-15
Fixed
0.36000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-1 NRZT 2019-1A A1
64830CAA3
135333.06000000
PA
USD
124297.92000000
0.025564820281
Long
ABS-MBS
US
N
2
2057-09-25
Floating
3.87664200
N
N
N
N
N
N
SYMPHONY STATIC CLO LTD
N/A
SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A
87190TAA1
804933.74000000
PA
USD
801012.10000000
0.164747168572
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-25
Floating
6.46983000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2014-K37 MORTGAGE TRUST FREMF 2014-K37 B
35563BAJ9
125000.00000000
PA
USD
124343.40000000
0.025574174323
Long
ABS-MBS
US
N
2
2047-01-25
Floating
4.60683720
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ4793
3138YWKF3
206044.29000000
PA
USD
196339.07000000
0.040381794310
Long
DBT
USGA
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.352000% 04/24/2025
172967MF5
3155000.00000000
PA
USD
3120645.08000000
0.641834800059
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
3.35200000
N
N
N
N
N
N
Dae Funding LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC MTN 1.550000% 08/01/2024
23371DAJ3
965000.00000000
PA
USD
933680.04000000
0.192033482318
Long
DBT
CORP
AE
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.875000% 01/15/2024
29278NAM5
2545000.00000000
PA
USD
2544751.76000000
0.523388656899
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2023-P4 CRVNA 2023-P4 A2
14687NAB6
800000.00000000
PA
USD
801691.44000000
0.164886890982
Long
ABS-MBS
US
Y
2
2027-01-11
Fixed
6.23000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-1 AOMT 2020-1 A1
03464RAA1
27621.54000000
PA
USD
25597.76000000
0.005264787487
Long
ABS-MBS
US
N
2
2059-12-25
Floating
2.46600000
N
N
N
N
N
N
WPP FINANCE 2010
549300OJB3S151W7KN44
WPP FINANCE 2010 3.750000% 09/19/2024
92936MAF4
475000.00000000
PA
USD
467148.05000000
0.096080094846
Long
DBT
NUSS
GB
N
2
2024-09-19
Fixed
3.75000000
N
N
N
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 144A 6.339000% 09/18/2027
00084DBA7
700000.00000000
PA
USD
703495.07000000
0.144690474572
Long
DBT
NUSS
NL
N
2
2027-09-18
Fixed
6.33900000
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE COMPANY
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE CO 5.900000% 10/01/2024
42824CBL2
2410000.00000000
PA
USD
2409594.06000000
0.495590264858
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
34.00000000
NC
USD
6951671.88000000
1.429776477875
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2024
2024-03-31
6927030.26000000
USD
24641.62000000
N
N
N
ILLUMINA, INC.
SQ95QG8SR5Q56LSNF682
ILLUMINA INC 5.800000% 12/12/2025
452327AN9
400000.00000000
PA
USD
398420.09000000
0.081944557054
Long
DBT
CORP
US
N
2
2025-12-12
Fixed
5.80000000
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIV LTD LCM 24A AR
50188YAE4
639107.20000000
PA
USD
637320.26000000
0.131080052734
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-20
Floating
6.65742960
N
N
N
N
N
N
BANK OF AMERICA AUTO TRUST
N/A
BANK OF AMERICA AUTO TRUST 2023-2 BAAT 2023-2A A2
06054YAB3
430000.00000000
PA
USD
431331.71000000
0.088713613612
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
5.85000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3 EART 2023-3A A3
301989AC3
245000.00000000
PA
USD
244757.45000000
0.050340184467
Long
ABS-MBS
US
N
2
2026-07-15
Fixed
6.04000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2023-N3 CRVNA 2023-N3 A
14686RAA0
468960.69000000
PA
USD
469777.67000000
0.096620938673
Long
ABS-MBS
US
Y
2
2027-09-10
Fixed
6.41000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2022-C HALST 2022-C A3
448978AD8
965000.00000000
PA
USD
955179.87000000
0.196455433144
Long
ABS-MBS
US
N
2
2025-10-15
Fixed
4.38000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST
N/A
BMW VEHICLE OWNER TRUST 2023-A BMWOT 2023-A A2A
05592XAB6
530000.00000000
PA
USD
530199.92000000
0.109048209880
Long
ABS-MBS
US
N
2
2026-04-27
Fixed
5.72000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-A CPS 2023-A A
12664LAA3
280363.13000000
PA
USD
279847.57000000
0.057557301305
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
5.54000000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CFMT 2022-EBO2 LLC CFMT 2022-EBO2 A
12527QAA9
21297.10000000
PA
USD
20771.87000000
0.004272228557
Long
ABS-MBS
US
Y
2
2054-07-25
Floating
3.16900080
N
N
N
N
N
N
The Huntington National Bank
2WHM8VNJH63UN14OL754
HUNTINGTON NATIONAL BANK/THE 4.008000% 05/16/2025
44644MAD3
345000.00000000
PA
USD
337465.20000000
0.069407735777
Long
DBT
CORP
US
N
2
2025-05-16
Fixed
4.00800000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST
N/A
HPEFS EQUIPMENT TRUST 2023-2 HPEFS 2023-2A A2
44328UAB2
450000.00000000
PA
USD
451041.30000000
0.092767359050
Long
ABS-MBS
US
Y
2
2031-01-21
Fixed
6.04000000
N
N
N
N
N
N
MANUFACTURERS AND TRADERS TRUST COMPANY.
WWB2V0FCW3A0EE3ZJN75
MANUFACTURERS & TRADERS TRUST CO 5.400000% 11/21/2025
55279HAT7
400000.00000000
PA
USD
393850.30000000
0.081004671173
Long
DBT
CORP
US
N
2
2025-11-21
Fixed
5.40000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST
N/A
TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST TAOT 2023-C A2A
89231FAB6
1155000.00000000
PA
USD
1154439.48000000
0.237437905891
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
5.60000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SDART 2022-5 B
80287HAD0
705000.00000000
PA
USD
693585.77000000
0.142652391605
Long
ABS-MBS
US
N
2
2027-03-15
Fixed
4.43000000
N
N
N
N
N
N
NORDSTROM, INC.
549300S3IZB5P35KNV16
NORDSTROM INC 2.300000% 04/08/2024
655664AX8
530000.00000000
PA
USD
522050.00000000
0.107371985208
Long
DBT
CORP
US
N
2
2024-04-08
Fixed
2.30000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 4.950000% 04/15/2025
281020AR8
275000.00000000
PA
USD
271159.91000000
0.055770477628
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.95000000
N
N
N
N
N
N
SCF EQUIPMENT LEASING LLC
N/A
SCF EQUIPMENT LEASING 2022-1 LLC SCFET 2022-1A A2
784033AC6
2467.10000000
PA
USD
2461.75000000
0.000506317373
Long
ABS-MBS
US
Y
2
2028-02-22
Fixed
2.06000000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2014-K37 MORTGAGE TRUST FREMF 2014-K37 C
35563BAL4
500000.00000000
PA
USD
497152.30000000
0.102251181691
Long
ABS-MBS
US
N
2
2047-01-25
Floating
4.60683720
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2
257812AD9
225651.81000000
PA
USD
223669.30000000
0.046002905413
Long
ABS-MBS
US
Y
2
2034-12-11
Fixed
0.56000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 12/19/2023
912797HV2
2475000.00000000
PA
USD
2468467.86000000
0.507699060534
Long
DBT
UST
US
N
2
2023-12-19
None
0.00000000
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 5.875000% 08/24/2026
808513CG8
725000.00000000
PA
USD
732035.41000000
0.150560473546
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
5.87500000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN 2.500000% 06/28/2024
06367WMQ3
2150000.00000000
PA
USD
2112675.03000000
0.434521812224
Long
DBT
NUSS
CA
N
2
2024-06-28
Fixed
2.50000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3 EART 2023-3A A2
301989AB5
347794.93000000
PA
USD
347843.73000000
0.071542327042
Long
ABS-MBS
US
N
2
2025-09-15
Fixed
6.11000000
N
N
N
N
N
N
CARBONE CLO
N/A
CARBONE CLO LTD CRBN 2017-1A A1
141312AA6
304207.65000000
PA
USD
304048.85000000
0.062534869504
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.81743160
N
N
N
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE VIII LTD MAGNE 2014-8A AR2
55952YAP2
636601.86000000
PA
USD
635862.77000000
0.130780285289
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.63548040
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1
89173UAA5
243516.13000000
PA
USD
230969.45000000
0.047504354696
Long
ABS-MBS
US
N
2
2057-06-25
Floating
2.75000040
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021-3R A1
19688DAA8
284044.96000000
PA
USD
245017.89000000
0.050393750140
Long
ABS-MBS
US
Y
2
2064-12-25
Floating
1.05099840
N
N
N
N
N
N
CITIZENS BANK, NATIONAL ASSOCIATION
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA/PROVIDENCE RI 6.064000% 10/24/2025
75524KPT5
250000.00000000
PA
USD
241060.84000000
0.049579888797
Long
DBT
CORP
US
N
2
2025-10-24
Fixed
6.06400000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-CM1 TRUST GCAT 2021-CM1 A
36168AAA7
534928.75000000
PA
USD
487647.47000000
0.100296287589
Long
ABS-MBS
US
Y
2
2065-04-25
Floating
1.46900160
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2020-B17 MORTGAGE TRUST BMARK 2020-B17 A2
08162MAV0
285000.00000000
PA
USD
268611.02000000
0.055246237843
Long
ABS-MBS
US
N
2
2053-03-15
Fixed
2.21080000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST
N/A
JOHN DEERE OWNER TRUST 2023 JDOT 2023-A A2
47800CAB2
349000.86000000
PA
USD
348088.64000000
0.071592698602
Long
ABS-MBS
US
N
2
2026-03-16
Fixed
5.28000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A B
96042RAD0
83187.21000000
PA
USD
83004.97000000
0.017071944087
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
0.62000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST
N/A
IMPERIAL FUND MORTGAGE TRUST 2021-NQM1 IMPRL 2021-NQM1 A1
452764AA1
595318.11000000
PA
USD
482219.46000000
0.099179888375
Long
ABS-MBS
US
Y
2
2056-06-25
Floating
1.07100000
N
N
N
N
N
N
PLAINS ALL AMERICAN PIPELINE, L.P.
5521FA2ITF25TVH63740
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.600000% 11/01/2024
72650RBF8
900000.00000000
PA
USD
881920.64000000
0.181387932024
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.60000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-1 LLC EFF 2023-1 A2
29375CAB5
285000.00000000
PA
USD
283627.78000000
0.058334791301
Long
ABS-MBS
US
Y
2
2029-01-22
Fixed
5.51000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 2.250000% 03/25/2025
3134GXMT8
2150000.00000000
PA
USD
2070759.54000000
0.425900895890
Long
DBT
USGA
US
N
2
2025-03-25
Fixed
2.25000000
N
N
N
N
N
N
FCI FUNDING LIMITED
N/A
FCI FUNDING 2021-1 LLC FCITL 2021-1A A
30260GAA4
61751.07000000
PA
USD
60592.81000000
0.012462350922
Long
ABS-MBS
US
Y
2
2033-04-15
Fixed
1.13000000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2022-B CPS 2022-B A
12663BAA6
238412.81000000
PA
USD
236960.52000000
0.048736560575
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
2.88000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2023-2 FCAT 2023-2 A2
33843EAC5
313201.98000000
PA
USD
312024.75000000
0.064175302828
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
5.76000000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
533400.81000000
PA
USD
517434.26000000
0.106422648618
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM1 CSMC 2021-NQM1 A1
126407AA3
446701.29000000
PA
USD
371652.57000000
0.076439180631
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.80899920
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST VZMT 2021-2 A
92348KAD5
1250000.00000000
PA
USD
1200160.63000000
0.246841546618
Long
ABS-MBS
US
N
2
2028-04-20
Fixed
0.99000000
N
N
N
N
N
N
GRANITE PARK EQUIPMENT LEASING LLC
N/A
GRANITE PARK EQUIPMENT LEASING 2023-1 LLC SCFGP 2023-1A A2
387422AB4
815000.00000000
PA
USD
817876.38000000
0.168215708410
Long
ABS-MBS
US
Y
2
2030-05-20
Fixed
6.51000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-2 MORTGAGE LOAN TRUST COLT 2020-2 A1
19688JAA5
9562.72000000
PA
USD
9495.67000000
0.001953010130
Long
ABS-MBS
US
N
2
2065-03-25
Floating
1.85299920
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
SPRINT LLC 7.125000% 06/15/2024
85207UAH8
2420000.00000000
PA
USD
2431366.74000000
0.500068333769
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.300000% 01/27/2026
3134GYEA6
1900000.00000000
PA
USD
1891204.35000000
0.388971105248
Long
DBT
USGA
US
N
2
2026-01-27
Fixed
5.30000000
N
N
N
N
N
N
BANQUE FEDERATIVE DU CREDIT MUTUEL SA
VBHFXSYT7OG62HNT8T76
BANQUE FEDERATIVE DU CREDIT MUTUEL SA 144A 4.935000% 01/26/2026
06675FAZ0
350000.00000000
PA
USD
344586.79000000
0.070872459954
Long
DBT
NUSS
FR
N
2
2026-01-26
Fixed
4.93500000
N
N
N
N
N
N
N/A
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
2598183.49000000
NS
USD
2598183.49000000
0.534378161589
Long
STIV
RF
US
N
1
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SDART 2022-5 A3
80287HAC2
292083.59000000
PA
USD
290479.38000000
0.059743985619
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
4.11000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5264 AB
3137H9BH1
612709.50000000
PA
USD
599093.56000000
0.123217823700
Long
DBT
USGA
US
N
2
2039-08-25
Fixed
4.50000000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2023-2 DTAOT 2023-2A A
23346CAA6
353145.73000000
PA
USD
352848.84000000
0.072571746823
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
5.88000000
N
N
N
N
N
N
DT AUTO OWNER TRUST
N/A
DT AUTO OWNER TRUST 2023-1 DTAOT 2023-1A A
23346KAA8
366682.19000000
PA
USD
365573.78000000
0.075188933050
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
5.48000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2 WLAKE 2022-2A A3
96042VAD1
500000.00000000
PA
USD
495018.45000000
0.101812304743
Long
ABS-MBS
US
Y
2
2026-04-15
Fixed
3.75000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2020-B MMAF 2020-BA A4
60700KAD4
500000.00000000
PA
USD
469109.25000000
0.096483462220
Long
ABS-MBS
US
N
2
2027-11-15
Fixed
0.66000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2022-1 CARMX 2022-1 A3
14317CAC6
2898014.07000000
PA
USD
2798238.05000000
0.575524134690
Long
ABS-MBS
US
N
2
2026-12-15
Fixed
1.47000000
N
N
N
N
N
N
CFMT TRUST
N/A
CFMT 2021-AL1 LLC CFMT 2021-AL1 B
12529UAF7
429863.58000000
PA
USD
415186.32000000
0.085392930581
Long
ABS-MBS
US
Y
2
2031-09-22
Fixed
1.39000000
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST
N/A
GSR MORTGAGE LOAN TRUST 2005-AR4 GSR 2005-AR4 2A1
362341FH7
94690.71000000
PA
USD
49635.18000000
0.010208653984
Long
ABS-MBS
US
N
2
2035-07-25
Floating
5.09682960
N
N
N
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE 5.615000% 07/17/2026
13607LSL8
350000.00000000
PA
USD
351564.18000000
0.072307525974
Long
DBT
NUSS
CA
N
2
2026-07-17
Fixed
5.61500000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 6.150000% 11/10/2026
161175CM4
850000.00000000
PA
USD
860702.55000000
0.177023927722
Long
DBT
CORP
US
N
2
2026-11-10
Fixed
6.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K732 A2
3137FG7F6
1403735.95000000
PA
USD
1371789.59000000
0.282141119752
Long
DBT
USGA
US
N
2
2025-05-25
Fixed
3.70000000
N
N
N
N
N
N
MIDOCEAN CREDIT CLO
N/A
MIDOCEAN CREDIT CLO V MIDO 2016-5A B1R
59801TAN3
348052.25000000
PA
USD
347064.83000000
0.071382127752
Long
ABS-CBDO
CORP
KY
N
2
2028-07-19
Floating
7.25842080
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 WFCM 2016-NXS6 ASB
95000KBC8
340365.91000000
PA
USD
330308.17000000
0.067935722523
Long
ABS-MBS
US
N
2
2049-11-15
Fixed
2.82700000
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 CFCRE 2017-C8 ASB
12532CAY1
516406.86000000
PA
USD
497462.58000000
0.102314998145
Long
ABS-MBS
US
N
2
2050-06-15
Fixed
3.36740000
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC COMPANY
O1PLQWO3TX952VMBJ146
PENNSYLVANIA ELECTRIC CO 144A 4.150000% 04/15/2025
708696BX6
330000.00000000
PA
USD
321522.67000000
0.066128775725
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 02/22/2024
912796Z28
2850000.00000000
PA
USD
2815512.98000000
0.579077134457
Long
DBT
UST
US
N
2
2024-02-22
None
0.00000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1
10569EAA9
167610.48000000
PA
USD
154419.60000000
0.031760059394
Long
ABS-MBS
US
Y
2
2060-03-25
Floating
0.96999840
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 7.776000% 11/16/2025
853254CL2
400000.00000000
PA
USD
406619.28000000
0.083630915271
Long
DBT
NUSS
GB
N
2
2025-11-16
Fixed
7.77600000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-3 GMALT 2022-3 A3
380130AD6
1600000.00000000
PA
USD
1585452.00000000
0.326085870497
Long
ABS-MBS
US
N
2
2025-09-22
Fixed
4.01000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2021-2 DEFT 2021-2 A3
24702VAE2
330585.47000000
PA
USD
327129.93000000
0.067282041960
Long
ABS-MBS
US
N
2
2026-12-22
Fixed
0.53000000
N
N
N
N
N
N
FHF TRUST
N/A
FHF TRUST 2022-1 FHF 2022-1A A
30327CAA4
310359.52000000
PA
USD
305099.36000000
0.062750931843
Long
ABS-MBS
US
Y
2
2028-01-18
Fixed
4.43000000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 08/23/2024
74256LER6
900000.00000000
PA
USD
898010.78000000
0.184697251580
Long
DBT
CORP
US
N
2
2024-08-23
Floating
5.73514920
N
N
N
N
N
N
OCCU AUTO RECEIVABLES TRUST
N/A
OCCU AUTO RECEIVABLES TRUST 2023-1 OCCU 2023-1A A2
674921AB7
1175000.00000000
PA
USD
1178245.94000000
0.242334269977
Long
ABS-MBS
US
Y
2
2027-04-15
Fixed
6.23000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1
92538LAA9
121454.95000000
PA
USD
112657.46000000
0.023170683131
Long
ABS-MBS
US
N
2
2065-05-25
Floating
1.50199920
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2021-LGCY BX 2021-LGCY A
12434DAA0
1200000.00000000
PA
USD
1162309.56000000
0.239056574818
Long
ABS-MBS
US
Y
2
2036-10-15
Floating
5.94348120
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 5.798000% 08/10/2026
38145GAM2
750000.00000000
PA
USD
750650.65000000
0.154389139907
Long
DBT
CORP
US
N
2
2026-08-10
Fixed
5.79800000
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2020-1A A1
165183CJ1
468323.59000000
PA
USD
464242.38000000
0.095482474779
Long
ABS-MBS
US
N
2
2032-08-16
Fixed
0.87000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3 BRAVO 2021-NQM3 A1
105690AA9
364766.47000000
PA
USD
320389.38000000
0.065895687712
Long
ABS-MBS
US
Y
2
2060-04-25
Floating
1.69899840
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A NAVSL 2021-A A
63942BAA2
344073.31000000
PA
USD
296270.10000000
0.060934984761
Long
ABS-MBS
US
Y
2
2069-05-15
Fixed
0.84000000
N
N
N
N
N
N
DONLEN FLEET LEASE FUNDING 2
N/A
DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2
257812AD9
186810.10000000
PA
USD
185168.84000000
0.038084371132
Long
ABS-MBS
US
Y
2
2034-12-11
Fixed
0.56000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1 AMCAR 2020-1 C
03067DAF2
458769.39000000
PA
USD
454481.91000000
0.093475002237
Long
ABS-MBS
US
N
2
2025-10-20
Fixed
1.59000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2021-NQM3 CSMC 2021-NQM3 A1
12660LAA7
701821.97000000
PA
USD
572382.84000000
0.117724129547
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
1.01499840
N
N
N
N
N
N
DLLAD LLC
N/A
DLLAD 2021-1 LLC DLLAD 2021-1A A3
233262AC8
353870.72000000
PA
USD
339695.30000000
0.069866408824
Long
ABS-MBS
US
Y
2
2026-09-21
Fixed
0.64000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1RMORTGAGE PASS-THROUGH CERTIFICATES COLT 2021-1R A1
19688BAA2
427290.55000000
PA
USD
354177.33000000
0.072844982354
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.85700160
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 SDART 2021-4 C
80285VAE9
200000.00000000
PA
USD
195429.62000000
0.040194744311
Long
ABS-MBS
US
N
2
2027-02-16
Fixed
1.26000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2023-P3 CRVNA 2023-P3 A2
14688GAB0
180000.00000000
PA
USD
180121.91000000
0.037046350074
Long
ABS-MBS
US
Y
2
2026-11-10
Fixed
6.09000000
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2013-2 LTD INGIM 2013-2A A1R
92916WAA7
835814.03000000
PA
USD
832617.88000000
0.171247648110
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.60983040
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2 SDART 2022-2 C
80286MAE8
1245000.00000000
PA
USD
1189045.22000000
0.244555398475
Long
ABS-MBS
US
N
2
2029-07-16
Fixed
3.76000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 3.100000% 02/01/2025
958667AB3
475000.00000000
PA
USD
460472.79000000
0.094707169039
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.10000000
N
N
N
N
N
N
DLLAA LLC
N/A
DLLAA 2023-1 LLC DLLAA 2023-1A A2
23292HAB7
370000.00000000
PA
USD
370532.39000000
0.076208789001
Long
ABS-MBS
US
Y
2
2026-07-20
Fixed
5.93000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FHLMC MULTIFAMILY STRUCTURED PASS SERIES KIR1 CLASS A1
3137BP4J5
387838.15000000
PA
USD
373524.56000000
0.076824199849
Long
ABS-MBS
US
N
2
2026-03-25
Floating
2.44599840
N
N
N
N
N
N
Pfizer Investment Enterprises Pte. Ltd.
5493000FQO8XF9C0RT95
PFIZER INVESTMENT ENTERPRISES PTE LTD 4.650000% 05/19/2025
716973AA0
2740000.00000000
PA
USD
2720924.31000000
0.559622727262
Long
DBT
NUSS
US
N
2
2025-05-19
Fixed
4.65000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2022-3 MFT 2022-3A A
57109NAA7
83307.60000000
PA
USD
83063.94000000
0.017084072669
Long
ABS-MBS
US
Y
2
2032-11-15
Fixed
5.18000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C39 WFCM 2017-C39 ASB
95000XAD9
370322.94000000
PA
USD
355438.96000000
0.073104466537
Long
ABS-MBS
US
N
2
2050-09-15
Fixed
3.21200000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY 144A 0.550000% 01/22/2024
63859UBG7
750000.00000000
PA
USD
744581.32000000
0.153140837999
Long
DBT
NUSS
GB
N
2
2024-01-22
Fixed
0.55000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.843000% 02/04/2025
06051GKG3
3390000.00000000
PA
USD
3362857.69000000
0.691651577721
Long
DBT
CORP
US
N
2
2025-02-04
Fixed
1.84300000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2020-1 RMLT 2020-1 A1
76119CAA9
38528.06000000
PA
USD
36476.74000000
0.007502308184
Long
ABS-MBS
US
N
2
2060-01-26
Floating
2.37600000
N
N
N
N
N
N
CENTERPOINT ENERGY, INC.
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC VARIABLE RATE 05/13/2024
15189TAZ0
625000.00000000
PA
USD
624750.69000000
0.128494822039
Long
DBT
CORP
US
N
2
2024-05-13
Floating
6.00507000
N
N
N
N
N
N
JERSEY CENTRAL POWER & LIGHT COMPANY
549300W9UGH9ZPLNPF79
JERSEY CENTRAL POWER & LIGHT CO 144A 4.700000% 04/01/2024
476556DB8
475000.00000000
PA
USD
473137.70000000
0.097312008669
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.70000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-2 CARMX 2023-2 A2A
142921AB1
418732.03000000
PA
USD
417898.75000000
0.085950806251
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
5.50000000
N
N
N
N
N
N
MF1 LTD
N/A
MF1 2022-FL8 LTD MF1 2022-FL8 A
55284JAA7
750000.00000000
PA
USD
735362.25000000
0.151244717230
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-19
Floating
6.68252880
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST
N/A
TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1 TALNT 2019-1A A
89231XAA9
615000.00000000
PA
USD
605246.35000000
0.124483291140
Long
ABS-MBS
US
N
2
2031-11-25
Fixed
2.56000000
N
N
N
N
N
N
DEXT ABS LLC
N/A
DEXT ABS 2023-2 LLC DEXT 2023-2 A2
25216CAB6
1075000.00000000
PA
USD
1076575.52000000
0.221423332649
Long
ABS-MBS
US
Y
2
2034-05-15
Fixed
6.56000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2021-INV1 TRUST MFRA 2021-INV1 A1
552747AA5
218381.82000000
PA
USD
199204.88000000
0.040971216222
Long
ABS-MBS
US
Y
2
2056-01-25
Floating
0.85200120
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE COMPANY
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE CO 5.900000% 10/01/2024
42824CBL2
250000.00000000
PA
USD
249957.89000000
0.051409778503
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED
JHE42UYNWWTJB8YTTU19
AUSTRALIA&NEW ZEALAND BKG GRP CP 12/12/2023 0% 12/12/23
05253CZC3
2150000.00000000
PA
USD
2146179.73000000
0.441412849774
Long
ABS-APCP
US
N
2
2023-12-12
None
0.00000000
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TRUST
N/A
WORLD OMNI SELECT AUTO TRUST 2023-A WOSAT 2023-A A2A
98163UAB6
532402.44000000
PA
USD
531693.87000000
0.109355476190
Long
ABS-MBS
US
N
2
2027-03-15
Fixed
5.92000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 2.852000% 05/07/2026
06738EBL8
500000.00000000
PA
USD
476445.67000000
0.097992371290
Long
DBT
NUSS
GB
N
2
2026-05-07
Fixed
2.85200000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2 SDART 2022-2 A3
80286MAC2
474565.10000000
PA
USD
471334.36000000
0.096941108955
Long
ABS-MBS
US
N
2
2026-10-15
Fixed
2.98000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 CGCMT 2015-GC31 AAB
17323YAE9
644631.96000000
PA
USD
632873.74000000
0.130165520257
Long
ABS-MBS
US
N
2
2048-06-10
Fixed
3.43100000
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2004-29 CWHL 2004-29 1A1
12669GHY0
7337.19000000
PA
USD
6470.39000000
0.001330789425
Long
ABS-MBS
US
N
2
2035-02-25
Floating
5.99736960
N
N
N
N
N
N
M&T EQUIPTMENT LLC
N/A
M&T EQUIPMENT 2023-LEAF1 NOTES MTLRF 2023-1A A2
551925AA8
1200000.00000000
PA
USD
1199597.40000000
0.246725704988
Long
ABS-MBS
US
Y
2
2030-07-15
Fixed
6.09000000
N
N
N
N
N
N
SBNA AUTO LEASE TRUST
N/A
SBNA AUTO LEASE TRUST 2023-A SBALT 2023-A A2
78436TAB2
1705000.00000000
PA
USD
1710870.83000000
0.351881232550
Long
ABS-MBS
US
Y
2
2026-04-20
Fixed
6.27000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
CREDIT AGRICOLE SA 144A 5.589000% 07/05/2026
22534PAE3
1095000.00000000
PA
USD
1100038.18000000
0.226248986097
Long
DBT
NUSS
FR
N
2
2026-07-05
Fixed
5.58900000
N
N
N
N
N
N
GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C.
N/A
GREATAMERICA LEASING RECEIVABLES GALC 2023-1 A2
39154TCB2
280000.00000000
PA
USD
278967.98000000
0.057376392725
Long
ABS-MBS
US
Y
2
2026-02-16
Fixed
5.35000000
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-B BHG 2022-B A
05553DAA9
231802.22000000
PA
USD
230406.05000000
0.047388478100
Long
ABS-MBS
US
Y
2
2035-06-18
Fixed
3.75000000
N
N
N
N
N
N
BANQUE FEDERATIVE DU CREDIT MUTUEL SA
VBHFXSYT7OG62HNT8T76
BANQUE FEDERATIVE DU CREDIT MUTUEL SA 144A 4.524000% 07/13/2025
06675DCD2
475000.00000000
PA
USD
466969.79000000
0.096043431442
Long
DBT
NUSS
FR
N
2
2025-07-13
Fixed
4.52400000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 4.000000% 09/15/2025
96949LAB1
500000.00000000
PA
USD
486236.35000000
0.100006057236
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.00000000
N
N
N
N
N
N
BRIDGECREST LENDING AUTO SECURITIZATION TRUST
N/A
BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2023 BLAST 2023-1 A3
108056AC6
2300000.00000000
PA
USD
2313663.84000000
0.475859936033
Long
ABS-MBS
US
N
2
2027-11-15
Fixed
6.51000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 4.100000% 06/03/2026
94974BFY1
650000.00000000
PA
USD
626422.10000000
0.128838587215
Long
DBT
CORP
US
N
2
2026-06-03
Fixed
4.10000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 4.255000% 09/01/2024
65339KBL3
3100000.00000000
PA
USD
3062429.95000000
0.629861475517
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25500000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N4 CRVNA 2021-N4 A1
14687HAA1
108600.41000000
PA
USD
107137.61000000
0.022035394839
Long
ABS-MBS
US
N
2
2028-09-11
Fixed
0.83000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K728 A2
3137FBTA4
849864.80000000
PA
USD
834401.59000000
0.171614510448
Long
DBT
USGA
US
N
2
2024-08-25
Floating
3.06399960
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1
19688EAA6
395701.52000000
PA
USD
309193.25000000
0.063592937583
Long
ABS-MBS
US
Y
2
2066-06-25
Floating
0.91000080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 555561
31385XFA0
1420.79000000
PA
USD
1411.57000000
0.000290322906
Long
DBT
USGA
US
N
2
2024-09-01
Floating
5.12799840
N
N
N
N
N
N
GRAPHIC PACKAGING INTERNATIONAL, LLC
SO75N4VY5NXGQSK8YQ65
GRAPHIC PACKAGING INTERNATIONAL LLC 144A 1.512000% 04/15/2026
38869PAP9
650000.00000000
PA
USD
586997.37000000
0.120729954849
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
1.51200000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2023-A CNH 2023-A A2
12664QAB0
265000.00000000
PA
USD
264046.69000000
0.054307474941
Long
ABS-MBS
US
N
2
2026-09-15
Fixed
5.34000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2016-UBS12 MSC 2016-UB12 ASB
61691EAY1
741357.81000000
PA
USD
713428.64000000
0.146733549241
Long
ABS-MBS
US
N
2
2049-12-15
Fixed
3.43600000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 0.700000% 04/15/2024
0641593X2
1000000.00000000
PA
USD
981916.58000000
0.201954472759
Long
DBT
NUSS
CA
N
2
2024-04-15
Fixed
0.70000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-4 MCMLT 2018-4 A1B
59980YAB1
1608567.02000000
PA
USD
1535965.96000000
0.315907890696
Long
ABS-MBS
US
N
2
2066-04-25
Floating
3.47253480
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2015-M13 A2
3136AQHL7
385307.25000000
PA
USD
371109.06000000
0.076327394887
Long
DBT
USGA
US
N
2
2025-06-25
Floating
2.78875440
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-3 IMM 2005-3 A1
45254NNP8
21747.50000000
PA
USD
19377.85000000
0.003985515225
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.93736840
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2021-2 LLC EFF 2021-2 A2
29374YAB8
174778.93000000
PA
USD
170461.93000000
0.035059545688
Long
ABS-MBS
US
Y
2
2027-05-20
Fixed
0.48000000
N
N
N
N
N
N
AQUA FINANCE TRUST
N/A
AQUA FINANCE TRUST 2021-A AQFIT 2021-A A
03842VAA5
262446.78000000
PA
USD
231806.35000000
0.047676483063
Long
ABS-MBS
US
Y
2
2046-07-17
Fixed
1.54000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2004-12 SEMT 2004-12 A1
81744FFY8
6341.00000000
PA
USD
5795.69000000
0.001192021340
Long
ABS-MBS
US
N
2
2035-01-20
Floating
5.98555080
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2 WFCM 2015-NXS2 A2
94989MAB5
170130.27000000
PA
USD
164506.68000000
0.033834707042
Long
ABS-MBS
US
N
2
2058-07-15
Fixed
3.02000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A
14687DAA0
243137.90000000
PA
USD
231311.28000000
0.047574660156
Long
ABS-MBS
US
N
2
2028-01-10
Fixed
0.70000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO A
05608KAA8
774724.11000000
PA
USD
760123.66000000
0.156337489470
Long
ABS-MBS
US
Y
2
2038-05-15
Floating
6.08981040
N
N
N
N
N
N
CHESAPEAKE FUNDING LLC
549300LG5AUFDML64706
CHESAPEAKE FUNDING II LLC CFII 2023-1A A1
165183CU6
426390.81000000
PA
USD
424909.06000000
0.087392643052
Long
ABS-MBS
US
N
2
2035-05-15
Fixed
5.65000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2007-A3 JPMMT 2007-A3 1A1
46630UAA2
41493.23000000
PA
USD
35182.59000000
0.007236135491
Long
ABS-MBS
US
N
2
2037-05-25
Floating
4.14420840
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
SPRINT LLC 7.125000% 06/15/2024
85207UAH8
475000.00000000
PA
USD
477231.08000000
0.098153909516
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2023-2 DEFT 2023-2 A2
24703GAB0
185000.00000000
PA
USD
184885.26000000
0.038026046168
Long
ABS-MBS
US
Y
2
2029-01-22
Fixed
5.84000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4 WLAKE 2023-4A A3
96041AAG1
940000.00000000
PA
USD
943677.47000000
0.194089691314
Long
ABS-MBS
US
Y
2
2027-07-15
Fixed
6.24000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N3 CRVNA 2021-N3 B
14687GAC9
276359.96000000
PA
USD
255833.71000000
0.052618280482
Long
ABS-MBS
US
N
2
2028-06-12
Fixed
0.66000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C6 UBSCM 2017-C6 ASB
90276UAU5
196047.18000000
PA
USD
188442.39000000
0.038757654461
Long
ABS-MBS
US
N
2
2050-12-15
Fixed
3.50420000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2022-LBA6 BX 2022-LBA6 A
12433EAA9
670000.00000000
PA
USD
653605.44000000
0.134429486899
Long
ABS-MBS
US
Y
2
2039-01-15
Floating
6.32291040
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO 1.200000% 02/01/2026
842400GV9
300000.00000000
PA
USD
274945.46000000
0.056549065921
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
1.20000000
N
N
N
N
N
N
GE HEALTHCARE TECHNOLOGIES INC.
549300OI9J7XOWZMUN85
GE HEALTHCARE TECHNOLOGIES INC 5.550000% 11/15/2024
36267VAB9
3025000.00000000
PA
USD
3017469.78000000
0.620614348406
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.55000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C HALST 2023-C A2A
44935VAB5
1545000.00000000
PA
USD
1548808.43000000
0.318549249759
Long
ABS-MBS
US
Y
2
2026-03-16
Fixed
5.85000000
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2023-3 LADAR 2023-3A A2
50168BAB4
560000.00000000
PA
USD
560254.74000000
0.115229697646
Long
ABS-MBS
US
Y
2
2026-06-15
Fixed
6.09000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-137 UE
3136AAL29
138557.92000000
PA
USD
127597.48000000
0.026243453184
Long
DBT
USGA
US
N
2
2041-09-25
Fixed
1.75000000
N
N
N
N
N
N
DAIMLER TRUCK FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCK FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 12/13/2024
233853AE0
1125000.00000000
PA
USD
1124029.47000000
0.231183364863
Long
DBT
CORP
DE
N
2
2024-12-13
Floating
6.09736320
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2023-3 FCAT 2023-3 A2
33846BAC8
535000.00000000
PA
USD
534031.01000000
0.109836164556
Long
ABS-MBS
US
Y
2
2027-07-15
Fixed
5.89000000
N
N
N
N
N
N
U.S. Bank National Association
6BYL5QZYBDK8S7L73M02
US BANK NA/CINCINNATI OH 2.050000% 01/21/2025
90331HPL1
2380000.00000000
PA
USD
2285758.88000000
0.470120618051
Long
DBT
CORP
US
N
2
2025-01-21
Fixed
2.05000000
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A 4.351000% 06/13/2025
83368RBN1
525000.00000000
PA
USD
514448.01000000
0.105808455359
Long
DBT
NUSS
FR
N
2
2025-06-13
Fixed
4.35100000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 NRZT 2017-3A A1
64828MAA5
130128.75000000
PA
USD
121121.17000000
0.024911446171
Long
ABS-MBS
US
N
2
2057-04-25
Floating
3.99999960
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA 144A 1.000000% 09/17/2024
44891ABY2
2435000.00000000
PA
USD
2343871.32000000
0.482072821955
Long
DBT
CORP
US
N
2
2024-09-17
Fixed
1.00000000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 5.550000% 11/01/2026
682680BH5
850000.00000000
PA
USD
856239.20000000
0.176105933756
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.55000000
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD
N/A
CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-1 LTD CGMS 2014-1A A1R2
14310MAW7
951762.89000000
PA
USD
949142.69000000
0.195213743648
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.63444000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KVAD A
3137BLVK1
300000.00000000
PA
USD
289218.99000000
0.059484756472
Long
DBT
USGA
US
N
2
2025-07-25
Fixed
3.11600000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-1 DRMT 2021-1 A1
24380VAA9
119544.81000000
PA
USD
107691.00000000
0.022149212640
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.71499960
N
N
N
N
N
N
SAN ANTONIO TEX
N/A
SAN ANTONIO TX CITY OF SAN ANTONIO TX
79623PQQ1
1650000.00000000
PA
USD
1656988.25000000
0.340798999846
Long
DBT
MUN
US
N
2
2026-02-01
Fixed
5.63500000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST
N/A
KUBOTA CREDIT OWNER TRUST 2020-2 KCOT 2020-2A A3
50116YAC5
5255.42000000
PA
USD
5244.83000000
0.001078723894
Long
ABS-MBS
US
N
2
2024-10-15
Fixed
0.59000000
N
N
N
N
N
N
COREBRIDGE GLOBAL FUNDING
54930057MDZ7KOVOTV71
COREBRIDGE GLOBAL FUNDING 144A 5.750000% 07/02/2026
00138CAU2
285000.00000000
PA
USD
284655.29000000
0.058546123144
Long
DBT
CORP
US
N
2
2026-07-02
Fixed
5.75000000
N
N
N
N
N
N
BX TRUST
N/A
BX 2021-MFM1 BX 2021-MFM1 B
05608VAE6
475082.33000000
PA
USD
465524.01000000
0.095746072437
Long
ABS-MBS
US
Y
2
2034-01-15
Floating
6.38748000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 04/15/2024
91282CBV2
14500000.00000000
PA
USD
14239453.13000000
2.928681832878
Long
SN
UST
US
N
2
2024-04-15
Fixed
0.37500000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A
83407CAA6
3376.35000000
PA
USD
3363.84000000
0.000691853613
Long
ABS-MBS
US
Y
2
2030-09-25
Fixed
0.49000000
N
N
N
N
N
N
DEXT ABS LLC
N/A
DEXT ABS 2021-1 LLC DEXT 2021-1 A
23345CAA7
156194.39000000
PA
USD
151581.20000000
0.031176275001
Long
ABS-MBS
US
Y
2
2028-02-15
Fixed
1.12000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-3 AOMT 2020-3 A1
03465LAA3
273474.23000000
PA
USD
249187.53000000
0.051251335667
Long
ABS-MBS
US
N
2
2065-04-25
Floating
1.69099920
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 1.200000% 10/15/2024
37045XDM5
750000.00000000
PA
USD
719736.96000000
0.148031005120
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
1.20000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC
N/A
SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A
83407CAA6
8226.00000000
PA
USD
8195.51000000
0.001685601337
Long
ABS-MBS
US
Y
2
2030-09-25
Fixed
0.49000000
N
N
N
N
N
N
BSPRT ISSUER, LTD.
N/A
BSPRT 2022-FL8 ISSUER LTD BSPRT 2022-FL8 A
055983AA8
825000.00000000
PA
USD
811164.75000000
0.166835302248
Long
ABS-CBDO
CORP
KY
Y
2
2037-02-15
Floating
6.82404120
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2022-1 LADAR 2022-1A A
501687AA5
175777.04000000
PA
USD
174753.49000000
0.035942206959
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
5.21000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2023-A MMAF 2023-A A2
55317WAB7
885000.00000000
PA
USD
884495.37000000
0.181917486418
Long
ABS-MBS
US
Y
2
2026-11-13
Fixed
5.79000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR 2020-3 A4
362590AD3
2000000.00000000
PA
USD
1947527.00000000
0.400555196317
Long
ABS-MBS
US
N
2
2026-01-16
Fixed
0.58000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 STAR 2021-2 A1
85573HAA8
145021.01000000
PA
USD
128796.81000000
0.026490123892
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
0.94299840
N
N
N
N
N
N
KKR CLO LTD/LLC
N/A
KKR CLO 11 LTD KKR 11 AR
48250MAK3
651959.88000000
PA
USD
651601.30000000
0.134017287894
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.83547840
N
N
N
N
N
N
ARROYO MORTGAGE TRUST
N/A
ARROYO MORTGAGE TRUST 2019-3 ARRW 2019-3 A1
04285AAA3
127787.24000000
PA
USD
116056.75000000
0.023869827879
Long
ABS-MBS
US
N
2
2048-10-25
Floating
2.96200080
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 2.760000% 10/01/2024
20268JAA1
2218000.00000000
PA
USD
2154036.63000000
0.443028807921
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.76000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2022-2 FCAT 2022-2 A2
33844XAC2
87296.76000000
PA
USD
87214.32000000
0.017937696919
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
3.28000000
N
N
N
N
N
N
SEMPRA
PBBKGKLRK5S5C0Y4T545
SEMPRA 5.400000% 08/01/2026
816851BQ1
740000.00000000
PA
USD
740739.21000000
0.152350616798
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.40000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1
89173HAA4
5008.71000000
PA
USD
4987.35000000
0.001025767015
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.75000040
N
N
N
N
N
N
TESLA AUTO LEASE TRUST
N/A
TESLA AUTO LEASE TRUST 2023-A TESLA 2023-A A2
88167PAB4
455000.00000000
PA
USD
454989.54000000
0.093579408407
Long
ABS-MBS
US
Y
2
2025-08-20
Fixed
5.86000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2022-2 DEFT 2022-2 A2
24702CAC8
201847.75000000
PA
USD
200865.40000000
0.041312741610
Long
ABS-MBS
US
Y
2
2027-07-22
Fixed
4.03000000
N
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 CAALT 2021-3A A
22535GAA0
292262.57000000
PA
USD
287604.75000000
0.059152749665
Long
ABS-MBS
US
Y
2
2030-05-15
Fixed
1.00000000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2 DRMT 2021-2 A1
24381WAA6
166530.85000000
PA
USD
136112.92000000
0.027994855728
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
0.89899920
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-B CPS 2023-B A
12664WAA9
286199.91000000
PA
USD
285869.35000000
0.058795823426
Long
ABS-MBS
US
Y
2
2027-08-16
Fixed
5.91000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3 WLAKE 2023-3A A2A
96041CAC6
1485000.00000000
PA
USD
1485545.29000000
0.305537682031
Long
ABS-MBS
US
Y
2
2026-10-15
Fixed
5.96000000
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2015-I LTD CIFC 2015-1A ARR
12548MBF1
696855.78000000
PA
USD
696496.20000000
0.143250990679
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
6.78354120
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST
N/A
NISSAN AUTO LEASE TRUST 2023-B NALT 2023-B A2A
65473FAB3
410000.00000000
PA
USD
409987.29000000
0.084323626544
Long
ABS-MBS
US
N
2
2025-08-15
Fixed
5.74000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.620000% 04/17/2025
61747YEQ4
3295000.00000000
PA
USD
3264414.92000000
0.671404483297
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
3.62000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY COMPANY LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC DELIVERY CO LLC 2.750000% 06/01/2024
68233JBM5
2475000.00000000
PA
USD
2439793.97000000
0.501801593830
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
2.75000000
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2
55818YBN0
1613172.05000000
PA
USD
1609768.26000000
0.331087087064
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-21
Floating
6.67353960
N
N
N
N
N
N
MONONGAHELA POWER COMPANY
N/A
MONONGAHELA POWER CO 144A 4.100000% 04/15/2024
610202BN2
600000.00000000
PA
USD
595175.73000000
0.122412028882
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.10000000
N
N
N
N
N
N
Saudi Arabian Oil Company
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO MTN 2.875000% 04/16/2024
80414L2C8
1895000.00000000
PA
USD
1871236.70000000
0.384864283640
Long
DBT
NUSS
SA
N
2
2024-04-16
Fixed
2.87500000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2021-5 AOMT 2021-5 A1
03465HAA2
765903.96000000
PA
USD
630788.77000000
0.129736696642
Long
ABS-MBS
US
Y
2
2066-07-25
Floating
0.95100120
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.908000% 07/23/2025
161175AY0
625000.00000000
PA
USD
614744.15000000
0.126436739356
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
JUNIPER NETWORKS, INC.
AUHIXNGG7U2U7JEHM527
JUNIPER NETWORKS INC 1.200000% 12/10/2025
48203RAN4
700000.00000000
PA
USD
641179.67000000
0.131873832091
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
1.20000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST INC CMLTI 2004-HYB3 1A
17307GJX7
8561.97000000
PA
USD
7440.24000000
0.001530262119
Long
ABS-MBS
US
N
2
2034-09-25
Floating
4.65468840
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2019-AFC1 TRUST CSMC 2019-AFC1 A1
12596XAA0
556019.38000000
PA
USD
508062.37000000
0.104495096785
Long
ABS-MBS
US
N
2
2049-07-25
Fixed
3.57300000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL B
056054AE9
977499.99000000
PA
USD
970055.45000000
0.199514949581
Long
ABS-MBS
US
N
2
2036-10-15
Floating
6.51738960
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-H3 MSC 2018-H3 ASB
61767YAW0
271464.66000000
PA
USD
262109.66000000
0.053909078702
Long
ABS-MBS
US
N
2
2051-07-15
Fixed
4.12000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2006-AR2 CMLTI 2006-AR2 1A1
17307G6K9
47241.01000000
PA
USD
35970.65000000
0.007398218752
Long
ABS-MBS
US
N
2
2036-03-25
Floating
4.53307320
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 AMCAR 2023-2 A2
03065UAB5
1830000.00000000
PA
USD
1833846.48000000
0.377174096591
Long
ABS-MBS
US
N
2
2027-04-19
Fixed
6.19000000
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST 144A VARIABLE RATE 09/13/2024
36143L2E4
2275000.00000000
PA
USD
2252583.79000000
0.463297372629
Long
DBT
CORP
US
N
2
2024-09-13
Floating
5.84836560
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2023-D CPS 2023-D A
12598VAA2
549080.26000000
PA
USD
549663.00000000
0.113051254680
Long
ABS-MBS
US
Y
2
2027-06-15
Fixed
6.40000000
N
N
N
N
N
N
VULCAN MATERIALS COMPANY
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO 5.800000% 03/01/2026
929160BA6
625000.00000000
PA
USD
624510.75000000
0.128445472678
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.80000000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST
N/A
MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST SER MLMBS 2007-3 2A1
59025JAB1
55920.15000000
PA
USD
34300.73000000
0.007054760031
Long
ABS-MBS
US
N
2
2037-06-25
Floating
4.03341120
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C4 UBSCM 2017-C4 ASB
90276RBC1
637427.98000000
PA
USD
613455.46000000
0.126171689641
Long
ABS-MBS
US
N
2
2050-10-15
Fixed
3.36600000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2017-3 MCMLT 2017-3 A1
59980CAA1
384542.18000000
PA
USD
375236.76000000
0.077176354457
Long
ABS-MBS
US
N
2
2061-01-25
Fixed
2.75000000
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B
30227FAE0
469167.96000000
PA
USD
459757.62000000
0.094560077337
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
6.81747840
N
N
N
N
N
N
SCF EQUIPMENT LEASING LLC
N/A
SCF EQUIPMENT LEASING 2023-1 LLC SCFET 2023-1A A2
784024AB7
830000.00000000
PA
USD
832229.63000000
0.171167795273
Long
ABS-MBS
US
Y
2
2030-01-22
Fixed
6.56000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY3 TPMT 2019-HY3 A1A
89177XAA5
204022.07000000
PA
USD
203618.02000000
0.041878883309
Long
ABS-MBS
US
N
2
2059-10-25
Floating
6.45737040
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.600000% 11/21/2024
00287YBZ1
3225000.00000000
PA
USD
3134885.44000000
0.644763668412
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2017-GS8 GSMS 2017-GS8 AAB
36254KAM4
383004.34000000
PA
USD
367457.08000000
0.075576278438
Long
ABS-MBS
US
N
2
2050-11-10
Fixed
3.31300000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST
N/A
ALLY AUTO RECEIVABLES TRUST 2023-1 ALLYA 2023-1 A2
02007WAB4
1220000.00000000
PA
USD
1219912.89000000
0.250904068156
Long
ABS-MBS
US
N
2
2026-11-15
Fixed
5.76000000
N
N
N
N
N
N
BANK OF AMERICA AUTO TRUST
N/A
BANK OF AMERICA AUTO TRUST 2023-1 BAAT 2023-1A A2
06428AAB4
555000.00000000
PA
USD
555048.01000000
0.114158809922
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
5.83000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-2 AMCAR 2021-2 C
03066RAE5
1034000.00000000
PA
USD
958608.68000000
0.197160649382
Long
ABS-MBS
US
N
2
2027-01-19
Fixed
1.01000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2005-6 BSARM 2005-6 3A1
07387ADJ1
35382.85000000
PA
USD
31687.93000000
0.006517375636
Long
ABS-MBS
US
N
2
2035-08-25
Floating
5.66095320
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST
N/A
HYUNDAI AUTO RECEIVABLES TRUST 2023-B HART 2023-B A2A
44933XAB3
1105000.00000000
PA
USD
1105312.83000000
0.227333843183
Long
ABS-MBS
US
N
2
2026-05-15
Fixed
5.77000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2018-1 TRUST OBX 2018-1 A2
67112FAD2
23072.73000000
PA
USD
21861.14000000
0.004496262811
Long
ABS-MBS
US
N
2
2057-06-25
Floating
6.10737120
N
N
N
N
N
N
MANUFACTURERS AND TRADERS TRUST COMPANY.
WWB2V0FCW3A0EE3ZJN75
MANUFACTURERS & TRADERS TRUST CO 4.650000% 01/27/2026
55279HAV2
590000.00000000
PA
USD
568128.42000000
0.116849106999
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K727 A2
3137FARE0
1087107.88000000
PA
USD
1069679.80000000
0.220005064004
Long
DBT
USGA
US
N
2
2024-07-25
Fixed
2.94600000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-1 CARMX 2021-1 B
14316NAE9
300000.00000000
PA
USD
278677.44000000
0.057316636271
Long
ABS-MBS
US
N
2
2026-10-15
Fixed
0.74000000
N
N
N
N
N
N
SYMPHONY CLO, LTD.
N/A
SYMPHONY CLO XVII LTD SYMP 2016-17A BR
87165UAQ4
700000.00000000
PA
USD
697718.00000000
0.143502282876
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
6.85548000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-1 GMALT 2022-1 A3
36265MAC9
489484.01000000
PA
USD
485399.71000000
0.099833982343
Long
ABS-MBS
US
N
2
2025-03-20
Fixed
1.90000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1
92538EAA5
274198.21000000
PA
USD
242131.94000000
0.049800185959
Long
ABS-MBS
US
Y
2
2064-04-25
Floating
1.01999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2011-99 KB
3136A1LC7
792343.67000000
PA
USD
775101.40000000
0.159418017538
Long
DBT
USGA
US
N
2
2026-10-25
Fixed
3.50000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 1.757000% 01/24/2025
38141GZH0
4055000.00000000
PA
USD
4027975.49000000
0.828448854962
Long
DBT
CORP
US
N
2
2025-01-24
Fixed
1.75700000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2023-3 DEFT 2023-3 A2
24702EAB6
420000.00000000
PA
USD
421056.17000000
0.086600204687
Long
ABS-MBS
US
N
2
2029-04-23
Fixed
6.10000000
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO LTD
N/A
BENEFIT STREET PARTNERS CLO XII LTD BSP 2017-12A A1R
08179HAE0
940628.19000000
PA
USD
940126.84000000
0.193359419899
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-15
Floating
6.60548160
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-3 LLC EFF 2023-3 A2
29374LAB6
1805000.00000000
PA
USD
1827522.97000000
0.375873516527
Long
ABS-MBS
US
Y
2
2030-03-20
Fixed
6.40000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.875000% 02/01/2024
46625HJT8
1000000.00000000
PA
USD
996910.41000000
0.205038310117
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
3.87500000
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST
N/A
CITIZENS AUTO RECEIVABLES TRUST 2023-1 CITZN 2023-1 A2A
17331KAB5
1545000.00000000
PA
USD
1546185.02000000
0.318009683166
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
6.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3786 ED
3137A5R97
1773066.86000000
PA
USD
1739303.23000000
0.357729031098
Long
DBT
USGA
US
N
2
2039-09-15
Fixed
4.00000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2021-2 CARMX 2021-2 A3
14314QAC8
219910.09000000
PA
USD
214475.14000000
0.044111907977
Long
ABS-MBS
US
N
2
2026-02-17
Fixed
0.52000000
N
N
N
N
N
N
Deutsche Bank AG (New York Branch)
N/A
DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/16/2027
251526CN7
1100000.00000000
PA
USD
1060777.65000000
0.218174125362
Long
DBT
NUSS
DE
N
2
2027-11-16
Floating
6.57406440
N
N
N
N
N
N
JOHN DEERE OWNER TRUST
N/A
JOHN DEERE OWNER TRUST 2023-C JDOT 2023-C A2
47787CAB9
1605000.00000000
PA
USD
1606990.36000000
0.330515745933
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
5.76000000
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS MORTGAGE TRUST 2020-C8 BBCMS 2020-C8 A1
05552AAY4
294702.61000000
PA
USD
285381.64000000
0.058695514278
Long
ABS-MBS
US
N
2
2053-10-15
Fixed
0.60100000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2004-9 IMM 2004-9 1A1
45254NKX4
14554.82000000
PA
USD
13216.05000000
0.002718194665
Long
ABS-MBS
US
N
2
2035-01-25
Floating
6.21736920
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN VARIABLE RATE 02/04/2025
06051GKF5
950000.00000000
PA
USD
948616.67000000
0.195105555138
Long
DBT
CORP
US
N
2
2025-02-04
Floating
6.01466040
N
N
N
N
N
N
OZLM FUNDING LTD
N/A
OZLM VII LTD OZLM 2014-7RA A1R
67108WBE8
303148.27000000
PA
USD
302484.07000000
0.062213035322
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
6.67443960
N
N
N
N
N
N
N/A
N/A
TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET BARCLAYS
N/A
1400000.00000000
PA
USD
1400000.00000000
0.287943260783
Long
RA
US
N
2
Repurchase
Y
5.31000000
N/A
1400083.61600000
USD
1428085.29000000
USD
UST
N
N
N
CHASE MORTGAGE REFERENCE NOTES
N/A
CHASE MORTGAGE FINANCE CORP CHASE 2021-CL1 M1
46591HBX7
449274.08000000
PA
USD
418701.88000000
0.086115989016
Long
ABS-MBS
US
N
2
2050-02-25
Floating
6.52808880
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.050000% 01/28/2027
61747YEZ4
350000.00000000
PA
USD
346727.80000000
0.071312809525
Long
DBT
CORP
US
N
2
2027-01-28
Fixed
5.05000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-2 WLAKE 2023-2A A2A
959926AB2
800309.81000000
PA
USD
799643.07000000
0.164465595027
Long
ABS-MBS
US
Y
2
2026-07-15
Fixed
5.87000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 3.250000% 02/16/2024
694308KA4
625000.00000000
PA
USD
621172.98000000
0.127758980979
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
3.25000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2016-GS3 GSMS 2016-GS3 AAB
36251PAE4
173042.72000000
PA
USD
166735.21000000
0.034293057182
Long
ABS-MBS
US
N
2
2049-10-10
Fixed
2.77700000
N
N
N
N
N
N
BA MORTGAGE SECURITIES INCORPORATED
N/A
BANC OF AMERICA MORTGAGE 2005-F TRUST BOAMS 2005-F 2A2
05949CCA2
30840.36000000
PA
USD
28081.69000000
0.005775666704
Long
ABS-MBS
US
N
2
2035-07-25
Floating
5.21957880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K733 A2
3137FJXQ7
2047635.51000000
PA
USD
1996522.23000000
0.410632229381
Long
DBT
USGA
US
N
2
2025-08-25
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
RR 24 LTD RRAM 2022-24A A1AR
75000HAL8
830000.00000000
PA
USD
830000.00000000
0.170709218893
Long
ABS-CBDO
CORP
BM
N
2
2036-01-15
Floating
0.00000000
N
N
N
N
N
N
N/A
N/A
NYCTL 2021-A TRUST NYCTL 2021-A A
62955UAA6
199488.81000000
PA
USD
193628.99000000
0.039824401973
Long
ABS-MBS
US
N
2
2034-11-10
Fixed
2.10000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2020-B MMAF 2020-BA A3
60700KAC6
589923.89000000
PA
USD
575988.47000000
0.118465713018
Long
ABS-MBS
US
N
2
2025-08-14
Fixed
0.49000000
N
N
N
N
N
N
GE HEALTHCARE TECHNOLOGIES INC.
549300OI9J7XOWZMUN85
GE HEALTHCARE TECHNOLOGIES INC 5.550000% 11/15/2024
36267VAB9
500000.00000000
PA
USD
498755.34000000
0.102580884952
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.55000000
N
N
N
N
N
N
MFA TRUST
N/A
MFA 2020-NQM3 TRUST MFRA 2020-NQM3 A1
552757AA4
105637.36000000
PA
USD
93574.49000000
0.019245816983
Long
ABS-MBS
US
Y
2
2065-01-26
Floating
1.01400120
N
N
N
N
N
N
VANTAGE DATA CENTERS ISSUER LLC
N/A
VANTAGE DATA CENTERS ISSUER LLC VDC 2019-1A A2
92212KAA4
622374.98000000
PA
USD
608374.03000000
0.125126572838
Long
ABS-MBS
US
N
2
2044-07-15
Fixed
3.18800000
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST
N/A
AVANT LOANS FUNDING TRUST 2021-REV1 AVNT 2021-REV1 A
05353LAA3
244447.49000000
PA
USD
242125.80000000
0.049798923122
Long
ABS-MBS
US
Y
2
2030-07-15
Fixed
1.21000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 5.505000% 07/26/2024
3135G07C1
3550000.00000000
PA
USD
3546006.11000000
0.729320401480
Long
DBT
USGA
US
N
2
2024-07-26
Fixed
5.50500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP VARIABLE RATE 12/06/2024
14040HCL7
800000.00000000
PA
USD
799912.00000000
0.164520906871
Long
DBT
CORP
US
N
2
2024-12-06
Floating
6.03780840
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-1 CARMX 2023-1 A3
14318DAC3
1100000.00000000
PA
USD
1084464.59000000
0.223045907320
Long
ABS-MBS
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP 1.800000% 10/01/2024
448579AN2
500000.00000000
PA
USD
483260.23000000
0.099393947452
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
1.80000000
N
N
N
N
N
N
LENDBUZZ SECURITIZATION TRUST
N/A
LENDBUZZ SECURITIZATION TRUST 2023-3 LBZZ 2023-3A A2
525931AB7
600000.00000000
PA
USD
604715.94000000
0.124374199722
Long
ABS-MBS
US
Y
2
2028-12-15
Fixed
7.50000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1
89173FAA8
23022.21000000
PA
USD
22837.43000000
0.004697060044
Long
ABS-MBS
US
N
2
2056-10-25
Floating
2.75000040
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2014-5 JPMMT 2014-5 A1
46643KAA9
937042.86000000
PA
USD
886447.23000000
0.182318932799
Long
ABS-MBS
US
N
2
2029-10-25
Floating
2.75085720
N
N
N
N
N
N
PROSPER MARKETPLACE ISSUANCE TRUST
N/A
PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2023-1 PMIT 2023-1A A
74390NAA0
192621.45000000
PA
USD
192948.25000000
0.039684391619
Long
ABS-MBS
US
Y
2
2029-07-16
Fixed
7.06000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
ANGEL OAK MORTGAGE TRUST 2020-R1 AOMT 2020-R1 A1
034651AA7
203187.10000000
PA
USD
183239.55000000
0.037687566808
Long
ABS-MBS
US
Y
2
2053-04-25
Floating
0.99000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C21 ASB
61764XBG9
99227.60000000
PA
USD
97389.77000000
0.020030519957
Long
ABS-MBS
US
N
2
2048-03-15
Fixed
3.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 12/26/2023
912797HW0
1000000.00000000
PA
USD
996333.77000000
0.204919710401
Long
DBT
UST
US
N
2
2023-12-26
None
0.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.845000% 06/14/2025
46647PDE3
3880000.00000000
PA
USD
3838272.54000000
0.789431936388
Long
DBT
CORP
US
N
2
2025-06-14
Fixed
3.84500000
N
N
N
N
N
N
ARES CAPITAL CORPORATION.
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 7.000000% 01/15/2027
04010LBE2
475000.00000000
PA
USD
480299.29000000
0.098784959796
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
7.00000000
N
N
N
N
N
N
SANTANDER REVOLVING AUTO LOAN TRUST
N/A
SANTANDER REVOLVING AUTO LOAN TRUST 2019-A SREV 2019-A A
80286JAA3
2500000.00000000
PA
USD
2410354.75000000
0.495746718829
Long
ABS-MBS
US
N
2
2032-01-26
Fixed
2.51000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1
92536PAA2
25231.04000000
PA
USD
23802.96000000
0.004895644227
Long
ABS-MBS
US
N
2
2060-01-25
Floating
2.41700040
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2022-1 FIAOT 2022-1A A
32057KAA8
815737.04000000
PA
USD
799587.73000000
0.164454213042
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
2.03000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 374614
31377EDT3
111.57000000
PA
USD
111.07000000
0.000022844184
Long
DBT
USGA
US
N
2
2024-09-01
Floating
5.03799840
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 1.650000% 10/29/2024
00774MAU9
3210000.00000000
PA
USD
3080029.44000000
0.633481228759
Long
DBT
NUSS
IE
N
2
2024-10-29
Fixed
1.65000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS SECURITIZATION TRUST 2021-2 VERUS 2021-2 A1
92538FAA2
315276.80000000
PA
USD
263043.92000000
0.054101231467
Long
ABS-MBS
US
Y
2
2066-02-25
Floating
1.03100040
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST
N/A
STAR 2021-1 TRUST STAR 2021-1 A1
85573GAA0
289048.23000000
PA
USD
251494.19000000
0.051725755097
Long
ABS-MBS
US
Y
2
2065-05-25
Floating
1.21899960
N
N
N
N
N
N
CAPITAL ONE MULTI-ASSET EXECUTION TRUST
N/A
CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET 2022-A2 A
14041NGA3
474000.00000000
PA
USD
461115.31000000
0.094839318541
Long
ABS-MBS
US
N
2
2027-05-15
Fixed
3.49000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3 SDART 2023-3 A2
80285XAB1
312710.97000000
PA
USD
312932.84000000
0.064362073111
Long
ABS-MBS
US
N
2
2026-08-17
Fixed
6.08000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2023-2 GCAR 2023-2A A2
379928AC8
202236.34000000
PA
USD
201561.03000000
0.041455814446
Long
ABS-MBS
US
Y
2
2027-01-15
Fixed
5.70000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 6.466000% 01/09/2026
23636ABF7
450000.00000000
PA
USD
451106.07000000
0.092780680539
Long
DBT
NUSS
DK
N
2
2026-01-09
Fixed
6.46600000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2021-HX1 MORTGAGE LOAN TRUST COLT 2021-HX1 A1
19688KAA2
790734.14000000
PA
USD
642424.44000000
0.132129848614
Long
ABS-MBS
US
Y
2
2066-10-25
Floating
1.10999880
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 5.749000% 09/01/2025
65339KBS8
480000.00000000
PA
USD
480294.32000000
0.098783937597
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.74900000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1
89173FAA8
20861.60000000
PA
USD
20694.16000000
0.004256245649
Long
ABS-MBS
US
N
2
2056-10-25
Floating
2.75000040
N
N
N
N
N
N
CARDS II TRUST
N/A
CARDS II TRUST CARD2 2021-1A A
14161GBY5
2400000.00000000
PA
USD
2353713.60000000
0.484097120667
Long
ABS-MBS
CA
Y
2
2027-04-15
Fixed
0.60200000
N
N
N
N
N
N
COLT TRUST
N/A
COLT 2020-2R MORTGAGE LOAN TRUST COLT 2020-2R A1
12656GAA4
151209.66000000
PA
USD
132855.35000000
0.027324859065
Long
ABS-MBS
US
Y
2
2065-10-26
Floating
1.32500160
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TRUST
N/A
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1 SFAST 2023-1A A2A
78398AAB9
482839.75000000
PA
USD
482775.44000000
0.099294238871
Long
ABS-MBS
US
Y
2
2027-03-22
Fixed
5.89000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 09/10/2024
38141GYF5
550000.00000000
PA
USD
548298.92000000
0.112770699220
Long
DBT
CORP
US
N
2
2024-09-10
Floating
5.84758440
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS, LTD.
N/A
OCTAGON INVESTMENT PARTNERS 30 LTD OCT30 2017-1A A1R
675920AJ1
589779.39000000
PA
USD
588013.59000000
0.120938964635
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-17
Floating
6.67743120
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.250000% 04/01/2024
86765BAN9
550000.00000000
PA
USD
546838.86000000
0.112470403194
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1
89173HAA4
10137.00000000
PA
USD
10093.77000000
0.002076023605
Long
ABS-MBS
US
N
2
2057-04-25
Floating
2.75000040
N
N
N
N
N
N
VOLKSWAGEN AUTO LEASE TRUST
N/A
VOLKSWAGEN AUTO LEASE TRUST 2023-A VWALT 2023-A A2A
92867UAB8
1850000.00000000
PA
USD
1853943.28000000
0.381307480965
Long
ABS-MBS
US
N
2
2026-01-20
Fixed
5.87000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 6.100000% 01/15/2027
00774MBD6
500000.00000000
PA
USD
502547.29000000
0.103360789557
Long
DBT
NUSS
IE
N
2
2027-01-15
Fixed
6.10000000
N
N
N
N
N
N
COLUMBIA PIPELINES HOLDING COMPANY LLC
N/A
COLUMBIA PIPELINES HOLDING CO LLC 144A 6.055000% 08/15/2026
19828AAA5
100000.00000000
PA
USD
101212.00000000
0.020816652364
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.05500000
N
N
N
N
N
N
DAIMLER TRUCK FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCK FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 04/05/2024
233853AK6
750000.00000000
PA
USD
750813.88000000
0.154422712034
Long
DBT
CORP
DE
N
2
2024-04-05
Floating
6.35198040
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2021-A MMAF 2021-A A3
55317JAC4
130891.38000000
PA
USD
124801.68000000
0.025668430493
Long
ABS-MBS
US
Y
2
2028-06-13
Fixed
0.56000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1
69360GAA1
215847.59000000
PA
USD
190128.59000000
0.039104461552
Long
ABS-MBS
US
Y
2
2051-07-25
Fixed
1.31900000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLE TRUST
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C WOART 2023-C A2A
98164FAB8
1935000.00000000
PA
USD
1932705.86000000
0.397506876760
Long
ABS-MBS
US
N
2
2026-12-15
Fixed
5.57000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-3 CARMX 2023-3 A2A
14319BAB8
955000.00000000
PA
USD
954624.88000000
0.196341286266
Long
ABS-MBS
US
N
2
2026-11-16
Fixed
5.72000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.050000% 07/21/2025
3134GXG24
2400000.00000000
PA
USD
2358236.76000000
0.485027415981
Long
DBT
USGA
US
N
2
2025-07-21
Fixed
4.05000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM NRZT 2020-NQM2 A1
64830UAA3
101383.66000000
PA
USD
94214.23000000
0.019377394713
Long
ABS-MBS
US
N
2
2060-05-24
Floating
1.65017160
N
N
N
N
N
N
Morgan Stanley Bank, National Association
G1MLHIS0N32I3QPILB75
MORGAN STANLEY BANK NA 5.479000% 07/16/2025
61690U7U8
725000.00000000
PA
USD
726601.92000000
0.149442947240
Long
DBT
CORP
US
N
2
2025-07-16
Fixed
5.47900000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4 SDART 2022-4 B
80286FAD5
1550000.00000000
PA
USD
1517013.83000000
0.312009934903
Long
ABS-MBS
US
N
2
2027-11-15
Fixed
4.42000000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 5.200000% 07/20/2026
78016FZZ0
600000.00000000
PA
USD
598698.62000000
0.123136594906
Long
DBT
NUSS
CA
N
2
2026-07-20
Fixed
5.20000000
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO VARIABLE RATE 04/01/2024
842400HC0
1215000.00000000
PA
USD
1215188.33000000
0.249932350147
Long
DBT
CORP
US
N
2
2024-04-01
Floating
6.17752440
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-3 A
02530EAA2
352805.80000000
PA
USD
352765.09000000
0.072554521646
Long
ABS-MBS
US
Y
2
2027-03-12
Fixed
6.00000000
N
N
N
N
N
N
BHG SECURITIZATION TRUST
N/A
BHG SECURITIZATION TRUST 2022-A BHG 2022-A A
054977AA1
491063.87000000
PA
USD
477297.34000000
0.098167537459
Long
ABS-MBS
US
Y
2
2035-02-20
Fixed
1.71000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.875000% 09/01/2025
674599EB7
475000.00000000
PA
USD
475621.46000000
0.097822852922
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.87500000
N
N
N
N
N
N
J.P. MORGAN WEALTH MANAGEMENT MORTGAGE TRUST
N/A
JPMORGAN CHASE BANK NA - JPMWM JPMWM 2021-CL1 M1
46591HBK5
866514.87000000
PA
USD
817433.73000000
0.168124666922
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
6.62808960
N
N
N
N
N
N
NSTAR ELECTRIC COMPANY
54930080R72Y2Z31UR68
NSTAR ELECTRIC CO 3.250000% 11/15/2025
67021CAK3
650000.00000000
PA
USD
625379.93000000
0.128624240194
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.25000000
N
N
N
N
N
N
GECU AUTO RECEIVABLES TRUST
N/A
GECU AUTO RECEIVABLES TRUST 2023-1 GECU 2023-1A A2
36169EAB6
1850000.00000000
PA
USD
1847623.68000000
0.380007705086
Long
ABS-MBS
US
Y
2
2027-03-15
Fixed
5.95000000
N
N
N
N
N
N
MORTGAGEIT TRUST
N/A
MORTGAGEIT TRUST 2005-5 MHL 2005-5 A1
61915RAU0
38381.15000000
PA
USD
37023.29000000
0.007614719176
Long
ABS-MBS
US
N
2
2035-12-25
Floating
5.97737160
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR 2023-3 A2A
36267KAB3
690000.00000000
PA
USD
690226.87000000
0.141961554020
Long
ABS-MBS
US
N
2
2026-09-16
Fixed
5.74000000
N
N
N
N
N
N
TAMPA ELECTRIC COMPANY
WS423EPRKJIIJUITXD73
TAMPA ELECTRIC CO 3.875000% 07/12/2024
875127BK7
475000.00000000
PA
USD
469490.22000000
0.096561817752
Long
DBT
CORP
US
N
2
2024-07-12
Fixed
3.87500000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-2 GMALT 2023-3 A2A
379929AB8
1150000.00000000
PA
USD
1148975.81000000
0.236314172352
Long
ABS-MBS
US
Y
2
2026-01-20
Fixed
5.58000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AD0213
31418MGX4
41292.02000000
PA
USD
42632.63000000
0.008768413212
Long
DBT
USGA
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
USAA AUTO OWNER TRUST
N/A
USAA AUTO OWNER TRUST 2022-A USAOT 2022-A A3
90291UAC6
400000.00000000
PA
USD
397231.68000000
0.081700132304
Long
ABS-MBS
US
Y
2
2026-11-16
Fixed
4.86000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-4 CARMX 2023-4 A2A
14318XAB1
775000.00000000
PA
USD
778076.44000000
0.160029905194
Long
ABS-MBS
US
N
2
2026-12-15
Fixed
6.08000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2018-CH3 SEMT 2018-CH3 A1
81746WAA6
10263.79000000
PA
USD
9970.24000000
0.002050616725
Long
ABS-MBS
US
N
2
2048-08-25
Floating
4.50000000
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRUST
N/A
FIRST INVESTORS AUTO OWNER TRUST 2023-1 FIAOT 2023-1A A
320986AA0
993880.96000000
PA
USD
999089.00000000
0.205486388909
Long
ABS-MBS
US
Y
2
2028-10-16
Fixed
6.44000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2022-77 CA
3136BPGF2
620410.48000000
PA
USD
611606.61000000
0.125791429714
Long
DBT
USGA
US
N
2
2039-04-25
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-1 A
02530UAA6
218889.47000000
PA
USD
218468.02000000
0.044933138611
Long
ABS-MBS
US
Y
2
2026-09-14
Fixed
5.45000000
N
N
N
N
N
N
CITIZENS BANK, NATIONAL ASSOCIATION
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA/PROVIDENCE RI 4.119000% 05/23/2025
75524KNQ3
400000.00000000
PA
USD
386158.67000000
0.079422704728
Long
DBT
CORP
US
N
2
2025-05-23
Fixed
4.11900000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-2 A
02529YAA1
137890.13000000
PA
USD
137810.88000000
0.028344081541
Long
ABS-MBS
US
Y
2
2026-10-13
Fixed
5.89000000
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A2
00217FAB1
57999.40000000
PA
USD
57808.95000000
0.011889783975
Long
ABS-MBS
US
Y
2
2030-03-15
Fixed
0.37000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A
3137BJQ71
705000.00000000
PA
USD
679326.86000000
0.139719708004
Long
DBT
USGA
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3.875000% 08/28/2024
3135G06W8
2225000.00000000
PA
USD
2201753.36000000
0.452842887085
Long
DBT
USGA
US
N
2
2024-08-28
Fixed
3.87500000
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES XI LLC AXIS 2022-2A A2
03236XAB3
186257.00000000
PA
USD
184977.66000000
0.038045050423
Long
ABS-MBS
US
Y
2
2028-06-21
Fixed
5.30000000
N
N
N
N
N
N
CARRIER GLOBAL CORPORATION
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP 144A 5.800000% 11/30/2025
14448CAT1
515000.00000000
PA
USD
517982.01000000
0.106535306419
Long
DBT
CORP
US
N
2
2025-11-30
Fixed
5.80000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST
N/A
MARLETTE FUNDING TRUST 2023-1 MFT 2023-1A A
57110PAA9
348772.32000000
PA
USD
348012.66000000
0.071577071510
Long
ABS-MBS
US
Y
2
2033-04-15
Fixed
6.07000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM7649
3138L8QB3
268336.60000000
PA
USD
260658.99000000
0.053610713952
Long
DBT
USGA
US
N
2
2025-01-01
Fixed
2.88500000
N
N
N
N
N
N
WHEELS SPV, LLC
N/A
WHEELS SPV 2 LLC WHLS 2020-1A A3
96328DBU7
213494.78000000
PA
USD
211242.56000000
0.043447051101
Long
ABS-MBS
US
N
2
2029-08-20
Fixed
0.62000000
N
N
N
N
N
N
2023-11-30
SEI INSTITUTIONAL INVESTMENTS TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO