0001752724-24-015802.txt : 20240126
0001752724-24-015802.hdr.sgml : 20240126
20240126154505
ACCESSION NUMBER: 0001752724-24-015802
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: 24567577
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
S000046099
SIIT Limited Duration Bond Fund
C000144225
SIIT Limited Duration Bond Fund - Class A
SLDBX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000939934
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SEI INSTITUTIONAL INVESTMENTS TRUST
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ONE FREEDOM VALLEY DRIVE
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SIIT LIMITED DURATION BOND FUND
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2024-05-31
2023-11-30
N
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
156236.13000000
USD
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BofA ML 1-3 Year Treasury Index (G1O2)
ML1-3YR
TRACTOR SUPPLY COMPANY
549300OJ9VZHZRO6I137
TRACTOR SUPPLY CO 5.250000% 05/15/2033
892356AB2
400000.00000000
PA
USD
391516.44000000
0.017410951811
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 2990 LK
31395V3H0
507323.69000000
PA
USD
504050.94000000
0.022415423032
Long
DBT
USGA
US
N
2
2034-10-15
Floating
5.80852080
N
N
N
N
N
N
DENVER COLO CITY & CNTY ARPT REV
N/A
DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE
249182PL4
2865000.00000000
PA
USD
2754049.72000000
0.122474108522
Long
DBT
MUN
US
N
2
2024-11-15
Fixed
1.11500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/25/2024
912797HG5
27450000.00000000
PA
USD
26874635.37000000
1.195129842753
Long
DBT
UST
US
N
2
2024-04-25
None
0.00000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-SMP WFCM 2017-SMP A
95001CAA0
1125000.00000000
PA
USD
1045490.18000000
0.046493524366
Long
ABS-MBS
US
N
2
2034-12-15
Floating
6.24499920
N
N
N
N
N
N
CD COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
N/A
CD 2017-CD4 MORTGAGE TRUST CD 2017-CD4 ASB
12515DAP9
1459449.53000000
PA
USD
1396617.02000000
0.062108328411
Long
ABS-MBS
US
N
2
2050-05-10
Fixed
3.31700000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 1.650000% 03/25/2026
68389XCC7
1865000.00000000
PA
USD
1718525.25000000
0.076423764770
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K062 A2
3137BUX60
1500000.00000000
PA
USD
1436831.85000000
0.063896704059
Long
DBT
USGA
US
N
2
2026-12-25
Fixed
3.41300000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC.
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC 1.215000% 10/18/2024
883556CS9
11695000.00000000
PA
USD
11254611.09000000
0.500498756431
Long
DBT
CORP
US
N
2
2024-10-18
Fixed
1.21500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-116 FL
38384EEE1
3152490.01000000
PA
USD
3142829.83000000
0.139763374230
Long
DBT
USGA
US
N
2
2053-08-20
Floating
6.47507160
N
N
N
N
N
N
BARINGS CLO LTD
N/A
BARINGS CLO LTD 2018-III BABSN 2018-3A A1
06760PAC5
237341.98000000
PA
USD
237133.12000000
0.010545440506
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.62743080
N
N
N
N
N
N
GREAT WOLF TRUST
N/A
GREAT WOLF TRUST 2019-WOLF GWT 2019-WOLF C
39152TAJ9
2690000.00000000
PA
USD
2657575.55000000
0.118183849025
Long
ABS-MBS
US
N
2
2036-12-15
Floating
7.07047920
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.319000% 06/19/2026
06051GJD2
2215000.00000000
PA
USD
2062258.76000000
0.091709783356
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
N
N
N
N
N
N
FREMONT HOME LOAN OWNER TRUST
N/A
FREMONT HOME LOAN TRUST 2005-E FHLT 2005-E 2A4
35729PNC0
2165709.95000000
PA
USD
2015604.38000000
0.089635037371
Long
ABS-MBS
US
N
2
2036-01-25
Floating
6.11736840
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4 SDART 2022-4 C
80286FAE3
3185000.00000000
PA
USD
3115516.36000000
0.138548729170
Long
ABS-MBS
US
N
2
2029-11-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF40 A
3137FCP81
42830.77000000
PA
USD
42432.85000000
0.001887012219
Long
DBT
USGA
US
N
2
2027-11-25
Floating
5.77446120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-111 NF
3136A9EW4
425343.66000000
PA
USD
411550.57000000
0.018301880611
Long
DBT
USGA
US
N
2
2042-05-25
Floating
5.79256920
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (DECEMBER)
21H0526C7
5225000.00000000
PA
USD
5186545.67000000
0.230648543717
Long
DBT
USGA
US
N
2
2053-12-15
Fixed
5.50000000
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2
55818YBN0
1914744.27000000
PA
USD
1910704.16000000
0.084970066787
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-21
Floating
6.67353960
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST
N/A
SAXON ASSET SECURITIES TRUST 2006-3 SAST 2006-3 A3
80556AAC1
1166852.37000000
PA
USD
1120046.30000000
0.049809076103
Long
ABS-MBS
US
N
2
2046-10-25
Floating
5.79737160
N
N
N
N
N
N
ALLIANT ENERGY FINANCE, LLC
54930033ER6EOI5DL570
ALLIANT ENERGY FINANCE LLC 144A 1.400000% 03/15/2026
01882YAC0
2030000.00000000
PA
USD
1824585.48000000
0.081140321637
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ29 A1
3137FTQW0
253136.14000000
PA
USD
249138.69000000
0.011079334819
Long
DBT
USGA
US
N
2
2026-01-25
Fixed
0.73500000
N
N
N
N
N
N
GLP Capital, L.P.
2549005PXW31DRW8EC44
GLP CAPITAL LP / GLP FINANCING II INC 4.000000% 01/15/2031
361841AQ2
1370000.00000000
PA
USD
1171875.26000000
0.052113938512
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2008-24 PF
31397LAH2
63307.69000000
PA
USD
63286.60000000
0.002814389972
Long
DBT
USGA
US
N
2
2038-02-25
Floating
6.09257160
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 6.787000% 10/26/2027
91159HJP6
325000.00000000
PA
USD
334975.20000000
0.014896531714
Long
DBT
CORP
US
N
2
2027-10-26
Fixed
6.78700000
N
N
N
N
N
N
VICI PROPERTIES L.P.
254900X4QE7SGKQLLN38
VICI PROPERTIES LP / VICI NOTE CO INC 144A 3.875000% 02/15/2029
92564RAL9
110000.00000000
PA
USD
97955.00000000
0.004356112822
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.87500000
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC 1.089000% 03/15/2025
80281LAN5
3480000.00000000
PA
USD
3421748.14000000
0.152167025159
Long
DBT
NUSS
GB
N
2
2025-03-15
Fixed
1.08900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)
01F0506C5
33975000.00000000
PA
USD
32692864.70000000
1.453869706886
Long
DBT
USGA
US
N
2
2053-12-15
Fixed
5.00000000
N
N
N
N
N
N
GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C.
N/A
GREATAMERICA LEASING RECEIVABLES GALC 2023-1 A3
39154TCC0
3235000.00000000
PA
USD
3191709.55000000
0.141937082311
Long
ABS-MBS
US
Y
2
2027-07-15
Fixed
5.15000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST
N/A
HYUNDAI AUTO RECEIVABLES TRUST 2023-B HART 2023-B A4
44933XAE7
194000.00000000
PA
USD
194563.90000000
0.008652363837
Long
ABS-MBS
US
N
2
2029-08-15
Fixed
5.31000000
N
N
N
N
N
N
TRICON AMERICAN HOMES TRUST
N/A
TRICON AMERICAN HOMES 2017-SFR2 TRUST TAH 2017-SFR2 B
89613FAB4
1545000.00000000
PA
USD
1536506.83000000
0.068329305341
Long
ABS-MBS
US
N
2
2036-01-17
Fixed
3.27500000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 1.040000% 02/04/2027
46647PBW5
4420000.00000000
PA
USD
4008857.70000000
0.178276110788
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERS INCOME TAX REV
N/A
NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY
64990FD43
9775000.00000000
PA
USD
9274852.35000000
0.412457794422
Long
DBT
MUN
US
N
2
2025-03-15
Fixed
0.88700000
N
N
N
N
N
N
BANK
N/A
BANK 2017-BNK7 BANK 2017-BNK7 ASB
06541XAD2
2935182.20000000
PA
USD
2827157.22000000
0.125725239329
Long
ABS-MBS
US
N
2
2060-09-15
Fixed
3.26500000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-179.00000000
NC
USD
-20319296.88000000
-0.90361032812
N/A
DIR
US
N
1
JP MORGAN
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2024
2024-03-22
-20207809.35000000
USD
-111487.53000000
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST 144A 3.850000% 04/11/2025
36143L2J3
4101000.00000000
PA
USD
3993994.21000000
0.177615123198
Long
DBT
CORP
US
N
2
2025-04-11
Fixed
3.85000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1
89173UAA5
93074.24970000
PA
USD
88278.79000000
0.003925806432
Long
ABS-MBS
US
N
2
2057-06-25
Floating
2.75000040
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 1.305000% 02/02/2027
225401AT5
1710000.00000000
PA
USD
1543112.21000000
0.068623050229
Long
DBT
NUSS
CH
N
2
2027-02-02
Fixed
1.30500000
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD.
N/A
PALMER SQUARE LOAN FUNDING 2021-2 LTD PSTAT 2021-2A A1
69702DAA5
865529.71000000
PA
USD
862812.81000000
0.038369761068
Long
ABS-CBDO
CORP
KY
Y
2
2029-05-20
Floating
6.42871080
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIES, L.P.
5493007NTUGLGZ8T3526
HUDSON PACIFIC PROPERTIES LP 4.650000% 04/01/2029
44409MAB2
655000.00000000
PA
USD
485734.36000000
0.021600874627
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.65000000
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
860629.47000000
PA
USD
826707.16000000
0.036764122918
Long
ABS-MBS
US
N
2
2050-11-15
Fixed
3.39000000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2013-2 SLMA 2013-2 A
78446CAA9
843935.46000000
PA
USD
828888.51000000
0.036861128754
Long
ABS-MBS
US
N
2
2043-06-25
Floating
5.89257000
N
N
N
N
N
N
HCA INC.
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.000000% 03/15/2024
404119BN8
610000.00000000
PA
USD
608289.71000000
0.027050978569
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 15YR TBA (DECEMBER)
01F0604C6
8300000.00000000
PA
USD
8390816.61000000
0.373144237963
Long
DBT
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 1.627000% 05/11/2027
53944YAP8
3810000.00000000
PA
USD
3439216.02000000
0.152943831407
Long
DBT
NUSS
GB
N
2
2027-05-11
Fixed
1.62700000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 02/28/2026
91282CBQ3
114680000.00000000
PA
USD
104721654.40000000
4.657029672509
Long
SN
UST
US
N
2
2026-02-28
Fixed
0.50000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 WFCM 2016-BNK1 ASB
95000GAZ7
440040.35000000
PA
USD
424840.78000000
0.018892903572
Long
ABS-MBS
US
N
2
2049-08-15
Fixed
2.51400000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-2 CARMX 2023-2 A3
142921AD7
10103000.00000000
PA
USD
10028876.31000000
0.445989655388
Long
ABS-MBS
US
N
2
2028-01-18
Fixed
5.05000000
N
N
N
N
N
N
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP JPMCC 2017-JP7 ASB
465968AF2
4092590.38000000
PA
USD
3913556.74000000
0.174038024586
Long
ABS-MBS
US
N
2
2050-09-15
Fixed
3.24120000
N
N
N
N
N
N
APIDOS CLO
N/A
APIDOS CLO XXII APID 2015-22A A1R
03765XAG1
2438623.86000000
PA
USD
2436587.61000000
0.108356393569
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.73742880
N
N
N
N
N
N
VOYA CLO
N/A
VOYA CLO 2017-2 VOYA 2017-2A A1R
92915UAG9
1371879.58000000
PA
USD
1370181.19000000
0.060932712485
Long
ABS-CBDO
CORP
KY
Y
2
2030-06-07
Floating
6.63548040
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 4.653000% 02/01/2029
91159HJK7
2215000.00000000
PA
USD
2124962.07000000
0.094498234101
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.65300000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-B NAVSL 2021-BA A
63942LAA0
1972706.73000000
PA
USD
1690242.74000000
0.075166025966
Long
ABS-MBS
US
Y
2
2069-07-15
Fixed
0.94000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K057 A2
3137BRQJ7
1000000.00000000
PA
USD
943190.20000000
0.041944187889
Long
DBT
USGA
US
N
2
2026-07-25
Fixed
2.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF34 A
3137FARP5
154879.39000000
PA
USD
154683.25000000
0.006878849357
Long
DBT
USGA
US
N
2
2024-08-25
Floating
5.79445920
N
N
N
N
N
N
BANK
N/A
BANK 2018-BNK14 BANK 2018-BN14 A2
06035RAP1
336775.54000000
PA
USD
335803.07000000
0.014933347549
Long
ABS-MBS
US
N
2
2060-09-15
Fixed
4.12800000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-1 MCMLT 2019-1 A1
59981AAC0
962913.20000000
PA
USD
909816.24000000
0.040460029499
Long
ABS-MBS
US
N
2
2069-10-25
Floating
3.25000080
N
N
N
N
N
N
AMMC CLO LIMITED
N/A
AMMC CLO XIII LTD AMMC 2013-13A A1R2
00176DAQ2
201130.29000000
PA
USD
201035.56000000
0.008940162123
Long
ABS-CBDO
CORP
KY
Y
2
2029-07-24
Floating
6.71007960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K076 A1
3137FEZT0
185821.28000000
PA
USD
180303.35000000
0.008018189321
Long
DBT
USGA
US
N
2
2027-12-25
Fixed
3.72500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ31 A1
3137F62S5
93242.71000000
PA
USD
92214.88000000
0.004100846523
Long
DBT
USGA
US
N
2
2026-05-25
Fixed
0.56900000
N
N
N
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLOBAL FUNDING I 144A 3.450000% 12/18/2026
59217GBY4
2500000.00000000
PA
USD
2368069.05000000
0.105309335452
Long
DBT
CORP
US
N
2
2026-12-18
Fixed
3.45000000
N
N
N
N
N
N
FREMF MORTGAGE TRUST
N/A
FREMF 2014-K37 MORTGAGE TRUST FREMF 2014-K37 B
35563BAJ9
1000000.00000000
PA
USD
994747.20000000
0.044236956086
Long
ABS-MBS
US
N
2
2047-01-25
Floating
4.60683720
N
N
N
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE 3.300000% 04/07/2025
13607HR46
15105000.00000000
PA
USD
14623466.19000000
0.650313598958
Long
DBT
NUSS
CA
N
2
2025-04-07
Fixed
3.30000000
N
N
N
N
N
N
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES
N/A
CREDIT-BASED ASSET SERVICING AND SECURITIZATION LL CBASS 2005-CB3 M3
12489WLG7
142029.71000000
PA
USD
140706.31000000
0.006257287134
Long
ABS-MBS
US
N
2
2035-06-25
Floating
6.43236840
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORPORATION TRUST
N/A
GS MORTGAGE SECURITIES CORP II GSMS 2023-SHIP A
36270GAA9
6600000.00000000
PA
USD
6325003.08000000
0.281276372026
Long
ABS-MBS
US
Y
2
2038-09-10
Floating
4.46640840
N
N
N
N
N
N
CSAIL COMMERCIAL MORTGAGE TRUST
N/A
CSAIL 2016-C5 COMMERCIAL MORTGAGE TRUST CSAIL 2016-C5 ASB
12636LAZ3
20464.88000000
PA
USD
19965.59000000
0.000887880788
Long
ABS-MBS
US
N
2
2048-11-15
Fixed
3.53250000
N
N
N
N
N
N
NETFLIX, INC.
549300Y7VHGU0I7CE873
NETFLIX INC 5.875000% 02/15/2025
64110LAL0
915000.00000000
PA
USD
918431.25000000
0.040843143740
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.87500000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-1 WLAKE 2023-1A B
96042XAE5
2940000.00000000
PA
USD
2911478.77000000
0.129475065118
Long
ABS-MBS
US
Y
2
2028-01-18
Fixed
5.41000000
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I, INC.
N/A
MORGAN STANLEY ABS CAPITAL I INC TRUST 2006-NC3 MSAC 2006-NC3 A2D
61744CZD1
508589.78000000
PA
USD
480941.42000000
0.021387729944
Long
ABS-MBS
US
N
2
2036-03-25
Floating
5.99736960
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C21 ASB
46642EAZ9
113314.67000000
PA
USD
112665.95000000
0.005010316875
Long
ABS-MBS
US
N
2
2047-08-15
Fixed
3.42820000
N
N
N
N
N
N
BHMS MORTGAGE TRUST
N/A
BHMS 2018-ATLS BHMS 2018-ATLS C
05549GAJ0
3690000.00000000
PA
USD
3571407.46000000
0.158822457581
Long
ABS-MBS
US
N
2
2035-07-15
Floating
7.51991040
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.750000% 04/15/2027
87264ABD6
640000.00000000
PA
USD
610181.58000000
0.027135111070
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-G NAVSL 2020-GA A
63941UAA1
1868390.43000000
PA
USD
1650266.68000000
0.073388268551
Long
ABS-MBS
US
N
2
2069-09-16
Fixed
1.17000000
N
N
N
N
N
N
STARWOOD PROPERTY MORTGAGE LLC
N/A
STWD 2019-FL1 LTD STWD 2019-FL1 A
78485WAA7
573618.93000000
PA
USD
560964.90000000
0.024946418193
Long
ABS-CBDO
CORP
KY
N
2
2038-07-15
Floating
5.75623080
N
N
N
N
N
N
ROCKFORD TOWER CLO
N/A
ROCKFORD TOWER CLO 2018-2 LTD ROCKT 2018-2A A
77342KAA8
2623000.00000000
PA
USD
2620377.00000000
0.116529609010
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
6.83742960
N
N
N
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB BANK ASA 144A 0.856000% 09/30/2025
25601B2A2
1235000.00000000
PA
USD
1183708.40000000
0.052640164768
Long
DBT
NUSS
NO
N
2
2025-09-30
Fixed
0.85600000
N
N
N
N
N
N
CD COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
N/A
CD 2018-CD7 MORTGAGE TRUST CD 2018-CD7 ASB
12512JAT1
375941.71000000
PA
USD
363906.01000000
0.016183100775
Long
ABS-MBS
US
N
2
2051-08-15
Fixed
4.21300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.419000% 12/20/2028
06051GHD4
5429000.00000000
PA
USD
4987112.46000000
0.221779638981
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C28 WFCM 2015-C28 A3
94989JAY2
2007601.27000000
PA
USD
1930577.64000000
0.085853851393
Long
ABS-MBS
US
N
2
2048-05-15
Fixed
3.29000000
N
N
N
N
N
N
BOCA COMMERCIAL MORTGAGE TRUST
N/A
BOCA COMMERCIAL MORTGAGE TRUST 2022-BOCA BOCA 2022-BOCA A
05592LAA4
500000.00000000
PA
USD
495830.75000000
0.022049866653
Long
ABS-MBS
US
Y
2
2039-05-15
Floating
7.09251120
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST
N/A
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR 2022-3 A4
36265WAE3
1000000.00000000
PA
USD
964441.10000000
0.042889227121
Long
ABS-MBS
US
N
2
2027-12-16
Fixed
3.71000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.384000% 04/02/2026
06051GKM0
16390000.00000000
PA
USD
15832435.64000000
0.704077136538
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
PLAINS ALL AMERICAN PIPELINE, L.P.
5521FA2ITF25TVH63740
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 4.500000% 12/15/2026
72650RBL5
1500000.00000000
PA
USD
1457801.51000000
0.064829236394
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 03/31/2025
912828ZF0
94005000.00000000
PA
USD
88570335.94000000
3.938771641261
Long
SN
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC 144A 4.250000% 12/15/2025
07274NAJ2
580000.00000000
PA
USD
558962.68000000
0.024857378366
Long
DBT
CORP
DE
N
2
2025-12-15
Fixed
4.25000000
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
948932.00000000
PA
USD
917398.99000000
0.040797238569
Long
ABS-MBS
US
N
2
2050-02-15
Fixed
3.36600000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-159 D
38376GYM6
346563.11000000
PA
USD
337736.08000000
0.015019309569
Long
DBT
USGA
US
N
2
2044-09-16
Floating
4.55799960
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2023-R08 CAS 2023-R08 1M1
20755CAA6
2818379.25000000
PA
USD
2823677.80000000
0.125570507604
Long
ABS-MBS
US
Y
2
2043-10-25
Floating
6.82809120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)
01F0526C1
19350000.00000000
PA
USD
19065609.76000000
0.847858171125
Long
DBT
USGA
US
N
2
2053-12-15
Fixed
5.50000000
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
2006442.53000000
PA
USD
1848205.44000000
0.082190714272
Long
ABS-MBS
US
Y
2
2060-11-25
Floating
1.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF38 A
3137FBUC8
197994.98000000
PA
USD
197492.63000000
0.008782606073
Long
DBT
USGA
US
N
2
2024-09-25
Floating
5.76446040
N
N
N
N
N
N
FIRSTKEY HOMES TRUST
N/A
FIRSTKEY HOMES 2020-SFR1 TRUST FKH 2020-SFR1 A
33767MAA3
3930214.03000000
PA
USD
3629878.47000000
0.161422695613
Long
ABS-MBS
US
N
2
2037-08-17
Fixed
1.33900000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.250000% 02/15/2026
87264ABR5
12960000.00000000
PA
USD
12114821.38000000
0.538752782001
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
GREENWOOD PARK CLO, LTD
N/A
GREENWOOD PARK CLO LTD GRNPK 2018-1A A2
39729RAB4
2217503.72000000
PA
USD
2212323.63000000
0.098383250810
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.66547920
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS 2020-BID MORTGAGE TRUST BBCMS 2020-BID A
05493BAA6
1000000.00000000
PA
USD
969798.30000000
0.043127464757
Long
ABS-MBS
US
Y
2
2037-10-15
Floating
7.57748160
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 5.800000% 09/12/2025
928668BU5
13325000.00000000
PA
USD
13348385.91000000
0.593610076341
Long
DBT
CORP
DE
N
2
2025-09-12
Fixed
5.80000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.182000% 06/01/2028
46647PBR6
2000000.00000000
PA
USD
1795059.68000000
0.079827293042
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.250000% 02/15/2026
87264ABR5
2705000.00000000
PA
USD
2528595.05000000
0.112448015122
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
VICI PROPERTIES L.P.
254900X4QE7SGKQLLN38
VICI PROPERTIES LP / VICI NOTE CO INC 144A 4.125000% 08/15/2030
92564RAE5
310000.00000000
PA
USD
270124.70000000
0.012012594246
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.12500000
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-C26 ASB
61690VAW8
277246.88000000
PA
USD
271812.59000000
0.012087655645
Long
ABS-MBS
US
N
2
2048-10-15
Fixed
3.32300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.125000% 05/15/2025
912828XB1
53530000.00000000
PA
USD
51420165.37000000
2.286683086372
Long
SN
UST
US
N
2
2025-05-15
Fixed
2.12500000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2021-1 FCAT 2021-1 C
33843WAE1
3030000.00000000
PA
USD
2929807.90000000
0.130290171629
Long
ABS-MBS
US
Y
2
2027-03-15
Fixed
0.91000000
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
366833.99000000
PA
USD
350277.30000000
0.015577024532
Long
ABS-MBS
US
N
2
2066-04-25
Floating
3.47253480
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST STATE OF ILLINOIS
452153GR4
5215000.00000000
PA
USD
5178943.49000000
0.230310470583
Long
DBT
MUN
US
N
2
2026-05-01
Fixed
5.21300000
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 2014-C18 ASB
61763XAC0
56123.89000000
PA
USD
55863.04000000
0.002484260169
Long
ABS-MBS
US
N
2
2047-10-15
Fixed
3.62100000
N
N
N
N
N
N
SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY
N/A
SYNCHRONY CARD FUNDING LLC SYNIT 2023-A1 A
87166PAK7
6270000.00000000
PA
USD
6300986.97000000
0.280208362382
Long
ABS-MBS
US
N
2
2029-07-15
Fixed
5.54000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3102 FB
31396H5M7
157679.12000000
PA
USD
156934.72000000
0.006978973468
Long
DBT
USGA
US
N
2
2036-01-15
Floating
5.73851880
N
N
N
N
N
N
ARI FLEET LEASE TRUST
N/A
ARI FLEET LEASE TRUST 2023-B ARIFL 2023-B A2
04033GAB3
7330000.00000000
PA
USD
7359301.68000000
0.327272200664
Long
ABS-MBS
US
Y
2
2032-07-15
Fixed
6.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 1Q0268
3128S4JM0
4297.34000000
PA
USD
4267.86000000
0.000189794085
Long
DBT
USGA
US
N
2
2037-03-01
Floating
4.35499920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3136 KF
31396NGS9
186587.70000000
PA
USD
184504.54000000
0.008205018555
Long
DBT
USGA
US
N
2
2036-04-15
Floating
5.73851880
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2023-2 DEFT 2023-2 B
24703GAD6
2195000.00000000
PA
USD
2184711.38000000
0.097155318838
Long
ABS-MBS
US
Y
2
2029-01-22
Fixed
5.77000000
N
N
N
N
N
N
OPG TRUST
N/A
OPG TRUST 2021-PORT OPG 2021-PORT A
67118AAA3
1323289.83000000
PA
USD
1288404.87000000
0.057296074476
Long
ABS-MBS
US
Y
2
2036-10-15
Floating
5.92148160
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GSAA HOME EQUITY TRUST 2007-8 GSAA 2007-8 A3
38144RAC1
356674.42000000
PA
USD
337412.54000000
0.015004921567
Long
ABS-MBS
US
N
2
2037-08-25
Floating
6.35736960
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH A
30227FAA8
2079352.39000000
PA
USD
2055194.89000000
0.091395649164
Long
ABS-MBS
US
Y
2
2038-07-15
Floating
6.51747960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3774 EW
3137A3WT2
88790.34000000
PA
USD
86833.61000000
0.003861538481
Long
DBT
USGA
US
N
2
2025-12-15
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.875000% 11/30/2025
91282CJL6
89430000.00000000
PA
USD
89709468.75000000
3.989429504981
Long
SN
UST
US
N
2
2025-11-30
Fixed
4.87500000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2020- ACAR 2020-3 D
025297AD4
1939238.63000000
PA
USD
1926616.32000000
0.085677689310
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
2.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4309
31418DYF3
755080.35000000
PA
USD
689544.28000000
0.030664414068
Long
DBT
USGA
US
N
2
2031-04-01
Fixed
2.00000000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRU SASC 2005-WF2 M1
86359DDB0
51425.55000000
PA
USD
51255.76000000
0.002279371888
Long
ABS-MBS
US
N
2
2035-05-25
Floating
6.02526960
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
1819895.00000000
PA
USD
1765419.17000000
0.078509163230
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV
N/A
NEW YORK CITY NY TRANSITIONAL NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY FUTUR
64971XMF2
820000.00000000
PA
USD
757941.74000000
0.033706086801
Long
DBT
MUN
US
N
2
2026-11-01
Fixed
2.31000000
N
N
N
N
N
N
LHOME MORTGAGE TRUST
N/A
LHOME MORTGAGE TRUST 2021-RTL3 LHOME 2021-RTL3 A1
50203RAA8
2133853.12000000
PA
USD
2065261.05000000
0.091843296846
Long
ABS-MBS
US
Y
2
2026-09-25
Fixed
2.36300000
N
N
N
N
N
N
CARDS II TRUST
N/A
CARDS II TRUST CARD2 2023-2A B
14161GCG3
11190000.00000000
PA
USD
11197608.08000000
0.497963801168
Long
ABS-MBS
CA
Y
2
2028-07-15
Fixed
6.37900000
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
59333P6A1
370000.00000000
PA
USD
344413.46000000
0.015316256337
Long
DBT
MUN
US
N
2
2025-10-01
Fixed
1.22900000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2019-4 FCAT 2019-4 D
33845FAG1
2450000.00000000
PA
USD
2407372.21000000
0.107057168634
Long
ABS-MBS
US
N
2
2026-01-15
Fixed
3.12000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC
N/A
CITIGROUP MORTGAGE LOAN TRUST 2006-AMC1 CMLTI 2006-AMC1 A1
17309PAS5
1569758.24000000
PA
USD
1479502.01000000
0.065794269586
Long
ABS-MBS
US
N
2
2036-09-25
Floating
5.74737120
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 0.985000% 12/10/2026
6174468V4
3775000.00000000
PA
USD
3421196.13000000
0.152142476970
Long
DBT
CORP
US
N
2
2026-12-10
Fixed
0.98500000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2020-1 EART 2020-1A E
30167HAJ7
2750000.00000000
PA
USD
2668321.70000000
0.118661736236
Long
ABS-MBS
US
N
2
2027-01-15
Fixed
3.74000000
N
N
N
N
N
N
JBS USA Lux S.A.
P77IMDGVZE8EFBTF2M92
JBS USA LUX SA / JBS USA FOOD CO / JBS USA FINANCE 5.125000% 02/01/2028
46590XAZ9
1270000.00000000
PA
USD
1232994.99000000
0.054831966582
Long
DBT
NUSS
US
N
2
2028-02-01
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-111 FN
38384CLD9
4192580.95000000
PA
USD
4174385.99000000
0.185637245050
Long
DBT
USGA
US
N
2
2053-08-20
Floating
6.52506840
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C7 UBSCM 2017-C7 ASB
90276WAQ0
3038328.97000000
PA
USD
2923972.04000000
0.130030647719
Long
ABS-MBS
US
N
2
2050-12-15
Fixed
3.58600000
N
N
N
N
N
N
GLP Capital, L.P.
2549005PXW31DRW8EC44
GLP CAPITAL LP / GLP FINANCING II INC 5.300000% 01/15/2029
361841AL3
1000000.00000000
PA
USD
956726.80000000
0.042546167949
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K048 A2
3137BLAC2
500000.00000000
PA
USD
485531.55000000
0.021591855555
Long
DBT
USGA
US
N
2
2025-06-25
Floating
3.28399920
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 1.547000% 10/01/2025
20268JAE3
11740000.00000000
PA
USD
10851607.20000000
0.482576951389
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
1.54700000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 SDART 2021-4 B
80285VAD1
131118.77000000
PA
USD
130856.09000000
0.005819242423
Long
ABS-MBS
US
N
2
2026-06-15
Fixed
0.88000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2022-B A
69335PEH4
2400000.00000000
PA
USD
2399406.00000000
0.106702906886
Long
ABS-MBS
US
Y
2
2026-02-15
Floating
5.92404120
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024
04685A2X8
920000.00000000
PA
USD
918096.51000000
0.040828257668
Long
DBT
CORP
US
N
2
2024-05-24
Floating
6.04629000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER COMPANY, INC.
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER CO INC 2.031000% 03/15/2024
025537AK7
1325000.00000000
PA
USD
1309374.88000000
0.058228622375
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
2.03100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2005-83 FP
31394FUN3
485416.81000000
PA
USD
476224.52000000
0.021177966802
Long
DBT
USGA
US
N
2
2035-10-25
Floating
5.77257120
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-54.00000000
NC
USD
-6642000.00000000
-0.29537339972
N/A
DIR
US
N
1
JP MORGAN
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Mar 2024
2024-03-22
-6551883.40000000
USD
-90116.60000000
N
N
N
BON SECOURS MERCY HEALTH, INC.
5493006NA7JSVYYYF398
BON SECOURS MERCY HEALTH INC 3.382000% 11/01/2025
58942HAA9
927000.00000000
PA
USD
890237.10000000
0.039589334355
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
3.38200000
N
N
N
N
N
N
STACK INFRASTRUCTURE ISSUER, LLC
N/A
STACK INFRASTRUCTURE ISSUER LLC SIDC 2020-1A A2
85236KAD4
1000000.00000000
PA
USD
920048.60000000
0.040915068186
Long
ABS-MBS
US
N
2
2045-08-25
Fixed
1.89300000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2018-GS9 GSMS 2018-GS9 A2
36255NAR6
26804.80000000
PA
USD
26595.79000000
0.001182729435
Long
ABS-MBS
US
N
2
2051-03-10
Fixed
3.83900000
N
N
N
N
N
N
BOF VII AL FUNDING TRUST I
N/A
BOF VII AL FUNDING TRUST I BVABS 2023-CAR3 A2
097093AB4
7193698.06780000
PA
USD
7188474.00000000
0.319675399609
Long
ABS-MBS
US
Y
2
2032-07-26
Fixed
6.29100000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT CGCMT 2019-SMRT A
29429MAA1
1115000.00000000
PA
USD
1112985.31000000
0.049495069987
Long
ABS-MBS
US
N
2
2036-01-10
Fixed
4.14900000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 0.976000% 05/24/2025
404280CS6
4490000.00000000
PA
USD
4374489.54000000
0.194535960175
Long
DBT
NUSS
GB
N
2
2025-05-24
Fixed
0.97600000
N
N
N
N
N
N
CARBONE CLO
N/A
CARBONE CLO LTD CRBN 2017-1A A1
141312AA6
1738329.47000000
PA
USD
1737422.06000000
0.077264116322
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.81743160
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A
5493001DTG5N7T8BG747
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2023-1 B
34528QHX5
2450000.00000000
PA
USD
2420209.72000000
0.107628059777
Long
ABS-MBS
US
Y
2
2028-05-15
Fixed
5.31000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
-494.00000000
NC
USD
-52784671.88000000
-2.34736344271
N/A
DIR
US
N
1
BMO CAPITAL
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Mar 2024
2024-03-31
-52548474.42000000
USD
-236197.46000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF86 AL
3137FXLS5
338473.31000000
PA
USD
334522.41000000
0.014876395893
Long
DBT
USGA
US
N
2
2027-08-25
Floating
5.72446080
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1
89180FCD1
741247.93000000
PA
USD
691010.44000000
0.030729615011
Long
ABS-MBS
US
Y
2
2068-07-25
Floating
2.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 1.593000% 05/04/2027
61772BAB9
1770000.00000000
PA
USD
1604801.37000000
0.071366401165
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59300000
N
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2005-AR15 A1A1
92922F5T1
884821.58000000
PA
USD
784262.85000000
0.034876601066
Long
ABS-MBS
US
N
2
2045-11-25
Floating
5.97737160
N
N
N
N
N
N
FIRST FRANKLIN MORTGAGE LOAN TRUST
N/A
FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES 2006-FF1 FFML 2006-FF18 A1
32029AAA5
1738140.66000000
PA
USD
1610957.78000000
0.071640180109
Long
ABS-MBS
US
N
2
2037-12-25
Floating
5.67736920
N
N
N
N
N
N
HSI ASSET SECURITIZATION CORPORATION TRUST
N/A
HSI ASSET SECURITIZATION CORP TRUST 2006-OPT1 HASC 2006-OPT1 M1
40430HDE5
219465.83000000
PA
USD
217657.12000000
0.009679332054
Long
ABS-MBS
US
N
2
2035-12-25
Floating
5.99736960
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 2.200000% 02/28/2025
3130AR2C4
7815000.00000000
PA
USD
7532170.07000000
0.334959753217
Long
DBT
USGA
US
N
2
2025-02-28
Fixed
2.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.250000% 06/30/2027
91282CEW7
6290000.00000000
PA
USD
6051913.69000000
0.269131936381
Long
SN
UST
US
N
2
2027-06-30
Fixed
3.25000000
N
N
N
N
N
N
SPRINT SPECTRUM CO LLC
N/A
SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC 5.152000% 03/20/2028
85208NAE0
900000.00000000
PA
USD
887251.97000000
0.039456583979
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
5.15200000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) MAR24 FINANCIAL COMMODITY FUTURE.
N/A
329.00000000
NC
USD
67267648.44000000
2.991429390414
N/A
DIR
US
N
1
BMO CAPITAL
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Mar 2024
2024-03-31
67108084.18000000
USD
159564.26000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G18619
3128MMVM2
1714510.76000000
PA
USD
1596047.70000000
0.070977120636
Long
DBT
USGA
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Amcor Flexibles North America, Inc
PTVU09TE3QPJPL7K4E13
AMCOR FLEXIBLES NORTH AMERICA INC 4.000000% 05/17/2025
02343JAA8
1165000.00000000
PA
USD
1136223.06000000
0.050528465533
Long
DBT
CORP
US
N
2
2025-05-17
Fixed
4.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 144A 2.750000% 02/21/2028
05401AAP6
580000.00000000
PA
USD
503595.84000000
0.022395184484
Long
DBT
NUSS
IE
N
2
2028-02-21
Fixed
2.75000000
N
N
N
N
N
N
WELLS FARGO BANK, NATIONAL ASSOCIATION
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK NA 5.550000% 08/01/2025
94988J6B8
11665000.00000000
PA
USD
11700137.43000000
0.520311558255
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
5.55000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 5276
36202F2H8
487420.01000000
PA
USD
472896.59000000
0.021029971922
Long
DBT
USGA
US
N
2
2027-01-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2016-M3 A2
3136ARTE8
2577267.49000000
PA
USD
2454223.07000000
0.109140652193
Long
DBT
USGA
US
N
2
2026-02-25
Fixed
2.70200000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026
00774MAV7
255000.00000000
PA
USD
232302.97000000
0.010330641074
Long
DBT
NUSS
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 1.600000% 01/21/2025
78016EYM3
15205000.00000000
PA
USD
14578923.79000000
0.648332773887
Long
DBT
NUSS
CA
N
2
2025-01-21
Fixed
1.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 15YR TBA (DECEMBER)
01F0504C7
23350000.00000000
PA
USD
23096759.44000000
1.027125618547
Long
DBT
USGA
US
N
2
2038-12-15
Fixed
5.00000000
N
N
N
N
N
N
MF1 LTD
N/A
MF1 2020-FL4 LTD MF1 2020-FL4 A
58003UAA6
455178.58000000
PA
USD
453860.84000000
0.020183441630
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Floating
7.14400920
N
N
N
N
N
N
CHASE AUTO OWNER TRUST
N/A
CHASE AUTO OWNER TRUST 2022-A CHAOT 2022-AA A3
16144JAC5
3400000.00000000
PA
USD
3341526.80000000
0.148599537968
Long
ABS-MBS
US
Y
2
2027-06-25
Fixed
3.98000000
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 144A 4.250000% 07/21/2025
453140AF2
1035000.00000000
PA
USD
1009914.47000000
0.044911452940
Long
DBT
NUSS
GB
N
2
2025-07-21
Fixed
4.25000000
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
903701.36000000
PA
USD
882007.11000000
0.039223342165
Long
ABS-MBS
US
N
2
2059-01-15
Fixed
3.32400000
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES INC
N/A
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-2 BSABS 2006-2 M5
07388FAH6
375658.88000000
PA
USD
375067.18000000
0.016679444155
Long
ABS-MBS
US
N
2
2036-07-25
Floating
7.48236960
N
N
N
N
N
N
STACK INFRASTRUCTURE ISSUER, LLC
N/A
STACK INFRASTRUCTURE ISSUER LLC SIDC 2019-2A A2
85236KAC6
740000.00000000
PA
USD
714690.59000000
0.031782684329
Long
ABS-MBS
US
N
2
2044-10-25
Fixed
3.08000000
N
N
N
N
N
N
SPRINT SPECTRUM CO LLC
N/A
SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC 4.738000% 03/20/2025
85208NAD2
309375.00000000
PA
USD
306803.53000000
0.013643722026
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/18/2024
912796CX5
8250000.00000000
PA
USD
8084820.23000000
0.359536410341
Long
DBT
UST
US
N
2
2024-04-18
None
0.00000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA 144A 5.800000% 06/26/2025
44891ACF2
12060000.00000000
PA
USD
12056487.53000000
0.536158643550
Long
DBT
CORP
US
N
2
2025-06-26
Fixed
5.80000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2021-1 TPMT 2021-1 A1
89179YAR4
1559517.74000000
PA
USD
1398410.82000000
0.062188099685
Long
ABS-MBS
US
Y
2
2061-11-25
Floating
2.25000000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 2.250000% 03/04/2025
025816CQ0
2485000.00000000
PA
USD
2385745.17000000
0.106095402248
Long
DBT
CORP
US
N
2
2025-03-04
Fixed
2.25000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-2 AMCAR 2022-2 C
03065WAF2
3000000.00000000
PA
USD
2953941.30000000
0.131363397224
Long
ABS-MBS
US
N
2
2028-04-18
Fixed
5.32000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C12 UBSCM 2018-C12 A2
90353DAV7
167166.91000000
PA
USD
161623.07000000
0.007187466976
Long
ABS-MBS
US
N
2
2051-08-15
Fixed
4.15190000
N
N
N
N
N
N
NEW YORK ST URBAN DEV CORP ST SALES TAX REV
N/A
NEW YORK ST URBAN DEV CORP SAL NEW YORK STATE URBAN DEVELOPMENT CORP
64985TDG3
1800000.00000000
PA
USD
1501036.20000000
0.066751906880
Long
DBT
MUN
US
N
2
2030-03-15
Fixed
2.01000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.250000% 04/01/2024
86765BAN9
250000.00000000
PA
USD
248563.12000000
0.011053738903
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
EXTRA SPACE STORAGE LP 4.000000% 06/15/2029
30225VAN7
1230000.00000000
PA
USD
1129912.14000000
0.050247815444
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2020-VKNG BX 2020-VKNG A
12433YAA5
983957.32000000
PA
USD
974359.31000000
0.043330295384
Long
ABS-MBS
US
Y
2
2037-10-15
Floating
6.36738840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM4154
3140J8TL7
1204561.05000000
PA
USD
1133926.66000000
0.050426343360
Long
DBT
USGA
US
N
2
2033-03-01
Fixed
3.00000000
N
N
N
N
N
N
AMMC CLO LIMITED
N/A
AMMC CLO 15 LTD AMMC 2014-15A AR3
00175MBN9
1300000.00000000
PA
USD
1297188.10000000
0.057686669554
Long
ABS-CBDO
CORP
KY
Y
2
2032-01-15
Floating
6.77548080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KW01 A2
3137BPCQ0
1505000.00000000
PA
USD
1440820.93000000
0.064074100645
Long
DBT
USGA
US
N
2
2026-01-25
Fixed
2.85300000
N
N
N
N
N
N
TAKE-TWO INTERACTIVE SOFTWARE, INC.
BOMSTHHJK882EWYX3334
TAKE-TWO INTERACTIVE SOFTWARE INC 3.300000% 03/28/2024
874054AE9
45000.00000000
PA
USD
44641.49000000
0.001985231657
Long
DBT
CORP
US
N
2
2024-03-28
Fixed
3.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 5.000000% 10/31/2025
91282CJE2
7745000.00000000
PA
USD
7780094.53000000
0.345985090559
Long
SN
UST
US
N
2
2025-10-31
Fixed
5.00000000
N
N
N
N
N
N
HOUSTON GALLERIA MALL TRUST
N/A
HOUSTON GALLERIA MALL TRUST 2015-HGLR HGMT 2015-HGLR A1A1
44217NAA4
1200000.00000000
PA
USD
1138155.72000000
0.050614411989
Long
ABS-MBS
US
N
2
2037-03-05
Fixed
3.08656300
N
N
N
N
N
N
REESE PARK CLO LIMITED
N/A
REESE PARK CLO LTD RESPK 2020-1A XR
758465AY4
733333.04000000
PA
USD
733115.97000000
0.032602071130
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-15
Floating
6.55548120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 15YR TBA (DECEMBER)
01F0524C3
22050000.00000000
PA
USD
22093160.23000000
0.982495008698
Long
DBT
USGA
US
N
2
2038-12-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-157 C
38378XUK5
1099558.16000000
PA
USD
1036599.11000000
0.046098133584
Long
DBT
USGA
US
N
2
2054-10-16
Floating
3.15000000
N
N
N
N
N
N
CIT MORTGAGE LOAN TRUST
N/A
CIT MORTGAGE LOAN TRUST 2007-1 CITM 2007-1 1A
12559QAA0
5358.83000000
PA
USD
5354.97000000
0.000238138466
Long
ABS-MBS
US
N
2
2037-10-25
Floating
6.80736960
N
N
N
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC 3.300000% 03/15/2025
25746UDE6
1570000.00000000
PA
USD
1524293.78000000
0.067786184278
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.30000000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2021-SDMF BX 2021-SDMF A
12434CAA2
1921000.00000000
PA
USD
1872762.73000000
0.083282790490
Long
ABS-MBS
US
Y
2
2034-09-15
Floating
6.02647920
N
N
N
N
N
N
BANC OF AMERICA FUNDING TRUST
N/A
BANC OF AMERICA FUNDING 2014-R6 TRUST BAFC 2014-R6 2A13
05969KBB8
1992191.35000000
PA
USD
1952945.38000000
0.086848557116
Long
ABS-MBS
US
N
2
2036-07-26
Floating
5.69891880
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2020-4 TPMT 2020-4 A1
89179JAA4
1110820.62000000
PA
USD
964496.55000000
0.042891693013
Long
ABS-MBS
US
Y
2
2060-10-25
Fixed
1.75000000
N
N
N
N
N
N
HOUSTON TEX ARPT SYS REV
N/A
HOUSTON TX ARPT SYS REVENUE CITY OF HOUSTON TX AIRPORT SYSTEM REVENUE
442349EL6
1600000.00000000
PA
USD
1561658.24000000
0.069447802402
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
1.27200000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLE TRUST
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C WOART 2023-C A3
98164FAD4
10425000.00000000
PA
USD
10402386.09000000
0.462599841108
Long
ABS-MBS
US
N
2
2028-11-15
Fixed
5.15000000
N
N
N
N
N
N
ITC HOLDINGS CORP.
549300HTO5U9D3SLE207
ITC HOLDINGS CORP 144A 4.950000% 09/22/2027
465685AR6
2100000.00000000
PA
USD
2072063.60000000
0.092145809993
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
4.95000000
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
4376152.20000000
PA
USD
4029938.17000000
0.179213570904
Long
ABS-MBS
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
BARCLAYS DRYROCK ISSUANCE TRUST
213800R4G3N2G68CHU37
BARCLAYS DRYROCK ISSUANCE TRUST DROCK 2023-1 A
06742LAX1
1950000.00000000
PA
USD
1923721.80000000
0.085548968411
Long
ABS-MBS
US
N
2
2029-02-15
Fixed
4.72000000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2020-B19 MORTGAGE TRUST BMARK 2020-B19 A1
08162WAY2
268201.89000000
PA
USD
257622.56000000
0.011456617192
Long
ABS-MBS
US
N
2
2053-09-15
Fixed
0.62800000
N
N
N
N
N
N
REVVITY, INC.
549300IKL1SDPFI7N655
REVVITY INC 0.850000% 09/15/2024
714046AL3
1170000.00000000
PA
USD
1125234.70000000
0.050039807110
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.85000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H NAVSL 2020-HA A
63935BAA1
1861488.67000000
PA
USD
1687677.56000000
0.075051950998
Long
ABS-MBS
US
Y
2
2069-01-15
Fixed
1.31000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING 144A 2.514000% 03/08/2024
04685A3J8
575000.00000000
PA
USD
569259.38000000
0.025315278288
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
2.51400000
N
N
N
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.557000% 08/15/2027
05526DBB0
1736000.00000000
PA
USD
1625047.01000000
0.072266735931
Long
DBT
CORP
GB
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA4088
3140QBRJ9
3384543.38000000
PA
USD
3248060.08000000
0.144443021429
Long
DBT
USGA
US
N
2
2034-09-01
Fixed
3.50000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE ACQUISITION CORPORATION
N/A
JP MORGAN MORTGAGE ACQUISITION TRUST 2007-CH4 JPMAC 2007-CH4 M1
46630CAF1
3000000.00000000
PA
USD
2834104.50000000
0.126034188698
Long
ABS-MBS
US
N
2
2037-05-25
Floating
5.68737000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY 4.200000% 06/27/2024
30040WAS7
11020000.00000000
PA
USD
10914858.84000000
0.485389786671
Long
DBT
CORP
US
N
2
2024-06-27
Fixed
4.20000000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C18 WFRBS 2013-C18 A4
96221QAD5
570339.74000000
PA
USD
568999.33000000
0.025303713722
Long
ABS-MBS
US
N
2
2046-12-15
Fixed
3.89600000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 3.869000% 01/12/2029
225401AF5
770000.00000000
PA
USD
708969.18000000
0.031528250074
Long
DBT
NUSS
CH
N
2
2029-01-12
Fixed
3.86900000
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2023-2 LADAR 2023-2A C
505713AE7
2180000.00000000
PA
USD
2154205.59000000
0.095798709548
Long
ABS-MBS
US
Y
2
2028-09-15
Fixed
5.58000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 12/31/2026
91282CDQ1
46580000.00000000
PA
USD
42380521.88000000
1.884685159553
Long
SN
UST
US
N
2
2026-12-31
Fixed
1.25000000
N
N
N
N
N
N
FONTAINEBLEAU MIAMI BEACH TRUST
N/A
FONTAINEBLEAU MIAMI BEACH TRUST 2019-FBLU FMBT 2019-FBLU B
34461LAG9
3400000.00000000
PA
USD
3267338.12000000
0.145300326490
Long
ABS-MBS
US
N
2
2036-12-10
Fixed
3.44700000
N
N
N
N
N
N
NELNET PRIVATE EDUCATION LOAN TRUST
N/A
NELNET STUDENT LOAN TRUST 2021-A NSLT 2021-A APT1
64035DAB2
5167675.21000000
PA
USD
4586787.17000000
0.203976952756
Long
ABS-MBS
US
Y
2
2062-04-20
Fixed
1.36000000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.800000% 04/01/2027
68389XBU8
1000000.00000000
PA
USD
928568.78000000
0.041293965285
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
2.80000000
N
N
N
N
N
N
CSMC MORTGAGE BACKED TRUST
N/A
CSMC SERIES 2014-6R CSMC 2014-6R 15A2
12648PEN3
963895.50000000
PA
USD
919316.68000000
0.040882519300
Long
ABS-MBS
US
N
2
2036-11-27
Floating
2.23098840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3935
3140X7LR8
1663592.72000000
PA
USD
1565593.23000000
0.069622793575
Long
DBT
USGA
US
N
2
2034-11-01
Fixed
2.50000000
N
N
N
N
N
N
Pfizer Investment Enterprises Pte. Ltd.
5493000FQO8XF9C0RT95
PFIZER INVESTMENT ENTERPRISES PTE LTD 4.650000% 05/19/2025
716973AA0
18430000.00000000
PA
USD
18301691.63000000
0.813886310967
Long
DBT
NUSS
US
N
2
2025-05-19
Fixed
4.65000000
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
59333P4K1
3145000.00000000
PA
USD
3020415.54000000
0.134319543304
Long
DBT
MUN
US
N
2
2025-10-01
Fixed
2.94900000
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES INC
N/A
BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006- BSABS 2006-HE9 1A2
07389MAB3
2237234.25000000
PA
USD
2143325.45000000
0.095314863727
Long
ABS-MBS
US
N
2
2036-11-25
Floating
5.75736840
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.700000% 02/16/2032
71643VAB1
1089000.00000000
PA
USD
849949.91000000
0.037797740817
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8199
3132DWDC4
0.01000000
PA
USD
0.01000000
0.000000000444
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
FIRST NATIONAL MASTER NOTE TRUST
N/A
FIRST NATIONAL MASTER NOTE TRUST FNMNT 2023-1 A
32113CBV1
5935000.00000000
PA
USD
5881485.29000000
0.261552891528
Long
ABS-MBS
US
N
2
2029-04-15
Fixed
5.13000000
N
N
N
N
N
N
SLC STUDENT LOAN TRUST
N/A
SLC STUDENT LOAN TRUST 2007-1 SLCLT 2007-1 A4
784424AD5
334137.27000000
PA
USD
332742.92000000
0.014797260992
Long
ABS-MBS
US
N
2
2029-05-15
Floating
5.66463960
N
N
N
N
N
N
FEDERATION DES CAISSES DESJARDINS DU QUEBEC
549300B2Q47IR0CR5B54
FEDERATION DES CAISSES DESJARDINS DU QUEBEC 144A 4.850000% 10/14/2025
31430WSP0
15400000.00000000
PA
USD
15318132.21000000
0.681205779627
Long
DBT
NUSS
CA
N
2
2025-10-14
Fixed
4.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4482 CA
3137BJSY0
883171.96000000
PA
USD
850832.15000000
0.037836974516
Long
DBT
USGA
US
N
2
2034-04-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-116 CB
3136AG4N9
116428.22000000
PA
USD
113098.77000000
0.005029564619
Long
DBT
USGA
US
N
2
2033-04-25
Fixed
2.50000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC 144A 4.375000% 12/15/2028
07274NAL7
245000.00000000
PA
USD
226951.11000000
0.010092640911
Long
DBT
CORP
DE
N
2
2028-12-15
Fixed
4.37500000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21 WFRBS 2014-C21 A5
92939FAU3
1183000.00000000
PA
USD
1158434.65000000
0.051516227179
Long
ABS-MBS
US
N
2
2047-08-15
Fixed
3.67800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4102 LF
3137AUMR7
51768.41000000
PA
USD
51588.00000000
0.002294146784
Long
DBT
USGA
US
N
2
2040-01-15
Floating
5.68851840
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2022-2 CARMX 2022-2 A4
14317HAD3
3632000.00000000
PA
USD
3494101.31000000
0.155384610495
Long
ABS-MBS
US
N
2
2027-09-15
Fixed
3.62000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2016-GS3 GSMS 2016-GS3 AAB
36251PAE4
1455897.27000000
PA
USD
1402828.94000000
0.062384575916
Long
ABS-MBS
US
N
2
2049-10-10
Fixed
2.77700000
N
N
N
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 3.442000% 02/07/2028
06406RAB3
1165000.00000000
PA
USD
1097975.57000000
0.048827578579
Long
DBT
CORP
US
N
2
2028-02-07
Fixed
3.44200000
N
N
N
N
N
N
LMREC INC
N/A
LMREC 2019-CRE3 INC LMREC 2019-CRE3 A
50209TAA8
79556.77000000
PA
USD
79034.96000000
0.003514728219
Long
ABS-CBDO
CORP
US
N
2
2035-12-22
Floating
6.85737000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31 WFCM 2015-C31 A3
94989WAR8
3923062.31000000
PA
USD
3798554.51000000
0.168923812052
Long
ABS-MBS
US
N
2
2048-11-15
Fixed
3.42700000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 82737
36225FBF5
65205.54000000
PA
USD
65473.07000000
0.002911623498
Long
DBT
USGA
US
N
2
2041-02-20
Floating
2.00000160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2006-31 FP
31395DAM1
87888.68000000
PA
USD
86151.38000000
0.003831199337
Long
DBT
USGA
US
N
2
2036-05-25
Floating
5.74256880
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC 144A 3.875000% 12/15/2023
07274NAE3
745000.00000000
PA
USD
744436.44000000
0.033105498669
Long
DBT
CORP
DE
N
2
2023-12-15
Fixed
3.87500000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST
N/A
TOYOTA AUTO RECEIVABLES 2022-C OWNER TRUST TAOT 2022-C A3
89231CAD9
6374000.00000000
PA
USD
6227920.03000000
0.276959035300
Long
ABS-MBS
US
N
2
2027-04-15
Fixed
3.76000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K159 A1
3137FKKM7
5888044.10000000
PA
USD
5720764.77000000
0.254405561447
Long
DBT
USGA
US
N
2
2029-12-25
Fixed
3.95000000
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND
N/A
DRYDEN 41 SENIOR LOAN FUND DRSLF 2015-41A BR
26244KAQ9
1340000.00000000
PA
USD
1319110.74000000
0.058661581434
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.95548080
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-1 D
02528BAG9
3386000.00000000
PA
USD
3308458.57000000
0.147128975559
Long
ABS-MBS
US
Y
2
2027-03-15
Fixed
1.14000000
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES CORPORATION
N/A
RASC SERIES 2005-EMX2 TRUST RASC 2005-EMX2 M5
76110W2L9
91794.55000000
PA
USD
91707.30000000
0.004078274161
Long
ABS-MBS
US
N
2
2035-07-25
Floating
6.50737080
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST
N/A
NISSAN AUTO LEASE TRUST 2023-A NALT 2023-A A4
65480VAE3
6000000.00000000
PA
USD
5922186.60000000
0.263362901210
Long
ABS-MBS
US
N
2
2027-07-15
Fixed
4.80000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2019-SFR3 TRUST PROG 2019-SFR3 E
74332WAJ2
2610000.00000000
PA
USD
2532135.35000000
0.112605454214
Long
ABS-MBS
US
N
2
2036-09-17
Fixed
3.36900000
N
N
N
N
N
N
Morgan Stanley Bank, National Association
G1MLHIS0N32I3QPILB75
MORGAN STANLEY BANK NA 4.754000% 04/21/2026
61690U4T4
9570000.00000000
PA
USD
9451212.76000000
0.420300639029
Long
DBT
CORP
US
N
2
2026-04-21
Fixed
4.75400000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERS INCOME TAX REV
N/A
NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY
649902S95
950000.00000000
PA
USD
948629.15000000
0.042186060992
Long
DBT
MUN
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
ASHFORD HOSPITALITY TRUST
N/A
ASHFORD HOSPITALITY TRUST 2018-KEYS AHT1 2018-KEYS A
04410CAA7
357095.77000000
PA
USD
351015.54000000
0.015609854472
Long
ABS-MBS
US
N
2
2035-06-15
Floating
6.49500120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 09/30/2025
91282CAM3
134830000.00000000
PA
USD
124270072.60000000
5.526358600987
Long
SN
UST
US
N
2
2025-09-30
Fixed
0.25000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY 2.900000% 03/01/2027
30040WAQ1
2505000.00000000
PA
USD
2317126.40000000
0.103043887738
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
CITIBANK NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK NA 5.864000% 09/29/2025
17325FBA5
19680000.00000000
PA
USD
19854735.57000000
0.882951030702
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
5.86400000
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST VZMT 2023-4 A1A
92348KBS1
5230000.00000000
PA
USD
5222249.66000000
0.232236319825
Long
ABS-MBS
US
N
2
2029-06-20
Fixed
5.16000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/11/2024
912797HF7
15930000.00000000
PA
USD
15625722.82000000
0.694884503535
Long
DBT
UST
US
N
2
2024-04-11
None
0.00000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21 CGCMT 2014-GC21 AS
17322MAY2
1375000.00000000
PA
USD
1345417.98000000
0.059831478892
Long
ABS-MBS
US
N
2
2047-05-10
Fixed
4.02600000
N
N
N
N
N
N
HCA INC.
L3CJ6J7LJ2DX62FTXD46
HCA INC 3.125000% 03/15/2027
404119CH0
1000000.00000000
PA
USD
926919.31000000
0.041220612445
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2020-B17 MORTGAGE TRUST BMARK 2020-B17 A2
08162MAV0
9585000.00000000
PA
USD
9033812.66000000
0.401738626595
Long
ABS-MBS
US
N
2
2053-03-15
Fixed
2.21080000
N
N
N
N
N
N
VMWARE LLC
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
9700000.00000000
PA
USD
9382758.69000000
0.417256448818
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
SAN ANTONIO TEX
N/A
SAN ANTONIO TX CITY OF SAN ANTONIO TX
79623PQQ1
10105000.00000000
PA
USD
10147797.71000000
0.451278155572
Long
DBT
MUN
US
N
2
2026-02-01
Fixed
5.63500000
N
N
N
N
N
N
M&T EQUIPTMENT LLC
N/A
M&T EQUIPMENT 2023-LEAF1 NOTES MTLRF 2023-1A A3
551925AB6
6775000.00000000
PA
USD
6756459.54000000
0.300463478534
Long
ABS-MBS
US
Y
2
2030-07-15
Fixed
5.74000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM5111
3140J9VD0
941951.70000000
PA
USD
887880.50000000
0.039484535054
Long
DBT
USGA
US
N
2
2033-11-01
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 CGCMT 2016-GC37 AAB
17290XAU4
924624.92000000
PA
USD
894969.89000000
0.039799804134
Long
ABS-MBS
US
N
2
2049-04-10
Fixed
3.09800000
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2021-2 B
48128U2M0
893275.42000000
PA
USD
871305.22000000
0.038747423220
Long
ABS-MBS
US
Y
2
2028-12-26
Fixed
0.88900000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2016-SB15 MORTGAGE TRUST FRESB 2016-SB15 A10F
30288WAM1
1618841.18770000
PA
USD
1534736.40000000
0.068250573343
Long
ABS-MBS
US
N
2
2026-03-25
Floating
2.35000080
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-23 D
38378BCZ0
348126.60000000
PA
USD
326105.64000000
0.014502097494
Long
DBT
USGA
US
N
2
2049-07-16
Floating
3.48800040
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A
5493001DTG5N7T8BG747
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2020-2 A
34528QHQ0
2740000.00000000
PA
USD
2534729.34000000
0.112720810378
Long
ABS-MBS
US
N
2
2027-09-15
Fixed
1.06000000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2019-CALM BX 2019-CALM B
05608FAG6
605500.00000000
PA
USD
600127.64000000
0.026688006819
Long
ABS-MBS
US
N
2
2032-11-15
Floating
6.53748120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0379
3132CWM43
3586550.14000000
PA
USD
3455149.02000000
0.153652380696
Long
DBT
USGA
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2016-SB14 MORTGAGE TRUST FRESB 2016-SB14 A10F
30288KAN5
1047220.60520000
PA
USD
992071.45000000
0.044117964010
Long
ABS-MBS
US
N
2
2026-03-25
Floating
2.58999840
N
N
N
N
N
N
PRESTIGE AUTO RECEIVABLES TRUST
N/A
PRESTIGE AUTO RECEIVABLES TRUST 2022-1 PART 2022-1A B
74113RAG4
1000000.00000000
PA
USD
999988.10000000
0.044470021797
Long
ABS-MBS
US
Y
2
2028-07-17
Fixed
6.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF39 A
3137FCKQ6
162335.63000000
PA
USD
161958.09000000
0.007202365500
Long
DBT
USGA
US
N
2
2024-11-25
Floating
5.75445960
N
N
N
N
N
N
CSMC MORTGAGE BACKED TRUST
N/A
CSMC SERIES 2015-6R CSMC 2015-6R 2A1
12650EAJ6
1395976.55000000
PA
USD
1365531.42000000
0.060725934651
Long
ABS-MBS
US
N
2
2046-11-27
Floating
5.98673880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4379 CD
3137BCZH4
114722.51000000
PA
USD
111407.09000000
0.004954334677
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
2.50000000
N
N
N
N
N
N
CSAIL COMMERCIAL MORTGAGE TRUST
N/A
CSAIL 2019-C15 COMMERCIAL MORTGAGE TRUST CSAIL 2019-C15 ASB
22945DAJ2
850000.00000000
PA
USD
817043.04000000
0.036334354177
Long
ABS-MBS
US
N
2
2052-03-15
Fixed
3.90260000
N
N
N
N
N
N
CAMB COMMERCIAL MORTGAGE TRUST
N/A
CAMB COMMERCIAL MORTGAGE TRUST 2019-LIFE CAMB 2019-LIFE A
12482HAA2
815000.00000000
PA
USD
810396.15000000
0.036038763316
Long
ABS-MBS
US
N
2
2037-12-15
Floating
6.44000040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-113 PB
3136A8V64
430774.21000000
PA
USD
404080.34000000
0.017969675366
Long
DBT
USGA
US
N
2
2040-10-25
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 CGCMT 2015-GC31 AAB
17323YAE9
546785.98000000
PA
USD
536812.49000000
0.023872347212
Long
ABS-MBS
US
N
2
2048-06-10
Fixed
3.43100000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C34 WFCM 2016-C34 ASB
95000DBE0
1323730.06000000
PA
USD
1284025.97000000
0.057101342380
Long
ABS-MBS
US
N
2
2049-06-15
Fixed
2.91100000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-98 QF
38377JSS3
74283.37000000
PA
USD
74202.13000000
0.003299809606
Long
DBT
USGA
US
N
2
2040-01-20
Floating
5.84555040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6017
3140X9VK8
1289759.53000000
PA
USD
1226597.61000000
0.054547471568
Long
DBT
USGA
US
N
2
2035-02-01
Fixed
3.00000000
N
N
N
N
N
N
VICI PROPERTIES L.P.
254900X4QE7SGKQLLN38
VICI PROPERTIES LP 4.950000% 02/15/2030
925650AC7
115000.00000000
PA
USD
106935.76000000
0.004755492168
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
BAE SYSTEMS HOLDINGS INC.
MF62XBVMNYTYMC18DL76
BAE SYSTEMS HOLDINGS INC 144A 3.850000% 12/15/2025
05523UAP5
625000.00000000
PA
USD
605186.01000000
0.026912955320
Long
DBT
CORP
GB
N
2
2025-12-15
Fixed
3.85000000
N
N
N
N
N
N
HOUSTON GALLERIA MALL TRUST
N/A
HOUSTON GALLERIA MALL TRUST 2015-HGLR HGMT 2015-HGLR D
44217NAN6
1400000.00000000
PA
USD
1289081.64000000
0.057326170811
Long
ABS-MBS
US
N
2
2037-03-05
Fixed
3.98231400
N
N
N
N
N
N
GUARDIAN LIFE GLOBAL FUNDING
635400NHILJ5JEKILC36
GUARDIAN LIFE GLOBAL FUNDING 144A 5.737000% 10/02/2028
40139LBH5
2925000.00000000
PA
USD
3007507.23000000
0.133745503646
Long
DBT
CORP
US
N
2
2028-10-02
Fixed
5.73700000
N
N
N
N
N
N
WELLS FARGO HOME EQUITY TRUST
N/A
WELLS FARGO HOME EQUITY ASSET-BACKED SECURITIES 20 WFHET 2006-1 M3
9497EUAK3
552221.40000000
PA
USD
549197.82000000
0.024423129661
Long
ABS-MBS
US
N
2
2036-05-25
Floating
5.95236960
N
N
N
N
N
N
FIRST FRANKLIN MORTGAGE LOAN TRUST
N/A
FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF15 FFML 2006-FF15 A5
32028GAE5
1055581.95000000
PA
USD
1029800.63000000
0.045795801433
Long
ABS-MBS
US
N
2
2036-11-25
Floating
5.61737160
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 5.582000% 06/12/2029
693475BR5
2055000.00000000
PA
USD
2040386.81000000
0.090737125688
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
5.58200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF68 A
3137FPHF5
581125.71000000
PA
USD
579724.73000000
0.025780678169
Long
DBT
USGA
US
N
2
2026-07-25
Floating
5.92445880
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.300000% 06/01/2027
00206RJX1
2000000.00000000
PA
USD
1820174.44000000
0.080944160257
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ34 A1
3137H1LS3
367807.83000000
PA
USD
345502.68000000
0.015364694550
Long
DBT
USGA
US
N
2
2026-06-25
Fixed
0.68100000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.376000% 02/15/2025
92343VEN0
9695000.00000000
PA
USD
9460380.22000000
0.420708321026
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5644
3140XMHW9
888736.00000000
PA
USD
851805.01000000
0.037880238136
Long
DBT
USGA
US
N
2
2034-11-01
Fixed
3.00000000
N
N
N
N
N
N
JERSEY CENTRAL POWER & LIGHT COMPANY
549300W9UGH9ZPLNPF79
JERSEY CENTRAL POWER & LIGHT CO 144A 4.700000% 04/01/2024
476556DB8
1545000.00000000
PA
USD
1538942.63000000
0.068437626709
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.70000000
N
N
N
N
N
N
GREAT WOLF TRUST
N/A
GREAT WOLF TRUST 2019-WOLF GWT 2019-WOLF B
39152TAG5
3500000.00000000
PA
USD
3462241.65000000
0.153967793861
Long
ABS-MBS
US
N
2
2036-12-15
Floating
6.77148120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G18568
3128MMT29
580832.17000000
PA
USD
543089.82000000
0.024151503536
Long
DBT
USGA
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2017-GS5 GSMS 2017-GS5 AAB
36252HAE1
757901.35000000
PA
USD
730838.51000000
0.032500791229
Long
ABS-MBS
US
N
2
2050-03-10
Fixed
3.46700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4094 BF
3137ASV27
344173.56000000
PA
USD
343968.12000000
0.015296451821
Long
DBT
USGA
US
N
2
2032-08-15
Floating
5.83851960
N
N
N
N
N
N
AMERICAN ELECTRIC POWER COMPANY, INC.
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER CO INC 5.750000% 11/01/2027
025537AV3
550000.00000000
PA
USD
558647.66000000
0.024843369253
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.75000000
N
N
N
N
N
N
GOLDEN CREDIT CARD TRUST
N/A
GOLDEN CREDIT CARD TRUST GCCT 2022-4A A
380881FP2
15985000.00000000
PA
USD
15662572.96000000
0.696523249565
Long
ABS-MBS
CA
Y
2
2027-09-15
Fixed
4.31000000
N
N
N
N
N
N
SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY
N/A
SYNCHRONY CARD FUNDING LLC SYNIT 2022-A1 A
87166PAG6
10611000.00000000
PA
USD
10291292.69000000
0.457659456398
Long
ABS-MBS
US
N
2
2028-04-15
Fixed
3.37000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE ACQUISITION CORPORATION
N/A
JP MORGAN MORTGAGE ACQUISITION TRUST 2007-CH4 JPMAC 2007-CH4 A5
46630CAE4
1026184.15000000
PA
USD
1013205.59000000
0.045057810860
Long
ABS-MBS
US
N
2
2037-05-25
Floating
5.69737080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2010-43 VF
31398RDQ5
295276.39000000
PA
USD
290080.80000000
0.012900053009
Long
DBT
USGA
US
N
2
2040-05-25
Floating
5.99257080
N
N
N
N
N
N
HCA INC.
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.250000% 04/15/2025
404119BQ1
465000.00000000
PA
USD
461386.82000000
0.020518126108
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K054 A2
3137BNGT5
2675000.00000000
PA
USD
2551180.40000000
0.113452398081
Long
DBT
USGA
US
N
2
2026-01-25
Fixed
2.74500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-109 B
38379KVD7
864892.68000000
PA
USD
855878.34000000
0.038061381366
Long
DBT
USGA
US
N
2
2041-10-16
Floating
3.31279920
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.406000% 10/30/2025
95000U2H5
15700000.00000000
PA
USD
15186902.49000000
0.675369921671
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
2.40600000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2011-151 BF
38378ACT6
275917.06000000
PA
USD
268430.71000000
0.011937261578
Long
DBT
USGA
US
N
2
2041-04-20
Floating
5.79555000
N
N
N
N
N
N
GTE AUTO RECEIVABLES TRUST
N/A
GTE AUTO RECEIVABLES TRUST 2023-1 GTE 2023-1 A3
362304AC1
8475000.00000000
PA
USD
8352752.36000000
0.371451499792
Long
ABS-MBS
US
Y
2
2028-03-15
Fixed
5.18000000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP INDUSTRIAL TRUST 6.750000% 11/15/2028
529043AF8
1690000.00000000
PA
USD
1719037.56000000
0.076446547478
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.75000000
N
N
N
N
N
N
HCA INC.
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.875000% 02/15/2026
404119BS7
1500000.00000000
PA
USD
1502761.38000000
0.066828626585
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
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
2566091.71000000
PA
USD
2308016.53000000
0.102638766799
Long
ABS-MBS
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
BERRY GLOBAL, INC.
549300AP2Q7ERHX6RI89
BERRY GLOBAL INC 144A 5.500000% 04/15/2028
08576PAK7
765000.00000000
PA
USD
752640.45000000
0.033470335514
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
5.50000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FLAGSHIP CREDIT AUTO TRUST 2020-3 FCAT 2020-3 D
33844TAG2
2400000.00000000
PA
USD
2266266.00000000
0.100782097726
Long
ABS-MBS
US
N
2
2026-09-15
Fixed
2.50000000
N
N
N
N
N
N
AMGEN INC.
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.150000% 03/02/2028
031162DP2
2465000.00000000
PA
USD
2470136.69000000
0.109848339642
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2018-SB50 MORTGAGE TRUST FRESB 2018-SB50 A10F
30306RAM0
846716.25000000
PA
USD
795074.86000000
0.035357417108
Long
ABS-MBS
US
N
2
2028-04-25
Floating
3.31676280
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 5.749000% 09/01/2025
65339KBS8
17095000.00000000
PA
USD
17105482.14000000
0.760690215839
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.74900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.050000% 07/21/2025
3134GXG24
14825000.00000000
PA
USD
14567024.99000000
0.647803627695
Long
DBT
USGA
US
N
2
2025-07-21
Fixed
4.05000000
N
N
N
N
N
N
FS RIALTO ISSUER, LTD.
N/A
FS RIALTO 2019-FL1 FSRIA 2019-FL1 A
30312UAA1
727684.87000000
PA
USD
718038.68000000
0.031931575736
Long
ABS-CBDO
CORP
KY
N
2
2036-12-16
Floating
6.64898040
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-B SMB 2021-B A
78449YAA8
560459.02000000
PA
USD
495902.38000000
0.022053052079
Long
ABS-MBS
US
Y
2
2051-07-17
Fixed
1.31000000
N
N
N
N
N
N
MVW OWNER TRUST
N/A
MVW 2021-1W LLC MVWOT 2021-1WA A
55389TAA9
2013409.78000000
PA
USD
1844932.88000000
0.082045181726
Long
ABS-MBS
US
Y
2
2041-01-22
Fixed
1.14000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I 2017-HR2 MSC 2017-HR2 ASB
61691NAC9
1075234.74000000
PA
USD
1029534.90000000
0.045783984273
Long
ABS-MBS
US
N
2
2050-12-15
Fixed
3.50900000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC.
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC 1.215000% 10/18/2024
883556CS9
1375000.00000000
PA
USD
1323222.77000000
0.058844445673
Long
DBT
CORP
US
N
2
2024-10-18
Fixed
1.21500000
N
N
N
N
N
N
INDEPENDENCE PLAZA TRUST
N/A
INDEPENDENCE PLAZA TRUST 2018-INDP IPT 2018-INDP A
45378YAA2
1095000.00000000
PA
USD
1034279.18000000
0.045994965019
Long
ABS-MBS
US
N
2
2035-07-10
Fixed
3.76300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2006-56 FE
31395NXU6
405797.70000000
PA
USD
398996.04000000
0.017743573744
Long
DBT
USGA
US
N
2
2036-07-25
Floating
5.87256840
N
N
N
N
N
N
ONE NEW YORK PLAZA TRUST
N/A
ONE NEW YORK PLAZA TRUST 2020-1NYP ONYP 2020-1NYP A
68249DAA7
952000.00000000
PA
USD
899660.37000000
0.040008392364
Long
ABS-MBS
US
Y
2
2036-01-15
Floating
6.38748000
N
N
N
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 3.869000% 03/28/2026
456837BA0
1230000.00000000
PA
USD
1196128.42000000
0.053192489900
Long
DBT
NUSS
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF43 A
3137FEJN1
337935.71000000
PA
USD
332725.42000000
0.014796482758
Long
DBT
USGA
US
N
2
2028-01-25
Floating
5.67446040
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LOAN TRUST
N/A
NEW CENTURY HOME EQUITY LOAN TRUST 2006-1 NCHET 2006-1 A2B
64352VQR5
1875073.86000000
PA
USD
1826531.20000000
0.081226848877
Long
ABS-MBS
US
N
2
2036-05-25
Floating
5.81736960
N
N
N
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLOBAL FUNDING I MTN 5.050000% 01/06/2028
592179KF1
2000000.00000000
PA
USD
1979860.06000000
0.088045467765
Long
DBT
CORP
US
N
2
2028-01-06
Fixed
5.05000000
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST
N/A
CITIZENS AUTO RECEIVABLES TRUST 2023-1 CITZN 2023-1 A3
17331KAD1
9415000.00000000
PA
USD
9453382.13000000
0.420397112108
Long
ABS-MBS
US
Y
2
2028-01-18
Fixed
5.84000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.950000% 12/01/2025
86765BAS8
748000.00000000
PA
USD
749979.86000000
0.033352017611
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.95000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC36 CGCMT 2016-GC36 AAB
17324TAF6
573544.27000000
PA
USD
558545.34000000
0.024838819026
Long
ABS-MBS
US
N
2
2049-02-10
Fixed
3.36800000
N
N
N
N
N
N
NAVISTAR FINANCIAL DEALER NOTE MASTER TRUST
N/A
NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST NAVMT 2023-1 A
63938PBU2
5090000.00000000
PA
USD
5102479.15000000
0.226910059252
Long
ABS-MBS
US
Y
2
2028-08-25
Fixed
6.18000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-3 EART 2021-3A C
30166AAE4
1261889.26000000
PA
USD
1234826.28000000
0.054913405057
Long
ABS-MBS
US
N
2
2026-10-15
Fixed
0.96000000
N
N
N
N
N
N
CARRINGTON MORTGAGE LOAN TRUST
N/A
CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-OPT1 CARR 2006-OPT1 M1
144531FN5
1832251.45000000
PA
USD
1785208.94000000
0.079389225206
Long
ABS-MBS
US
N
2
2036-02-25
Floating
5.98236840
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST
N/A
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-1 AMCAR 2021-1 D
03063FAF1
1171000.00000000
PA
USD
1080759.23000000
0.048061958453
Long
ABS-MBS
US
N
2
2026-12-18
Fixed
1.21000000
N
N
N
N
N
N
BXP TRUST
N/A
BXP TRUST 2017-CC BXP 2017-CC D
05607CAL3
710000.00000000
PA
USD
513088.17000000
0.022817313630
Long
ABS-MBS
US
N
2
2037-08-13
Floating
3.66988320
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4048 GF
3137AQUJ5
9245.08000000
PA
USD
9239.72000000
0.000410895439
Long
DBT
USGA
US
N
2
2040-10-15
Floating
5.78851920
N
N
N
N
N
N
KNDL KNSQ MORTGAGE TRUST
N/A
KNDL 6.33101 05/15/2036 19KNSQ 1
482598AA7
5118000.00000000
PA
USD
5098301.84000000
0.226724291974
Long
ABS-MBS
US
N
2
2036-05-15
Floating
6.31901160
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO A
05608KAA8
1191941.39000000
PA
USD
1169478.06000000
0.052007333707
Long
ABS-MBS
US
Y
2
2038-05-15
Floating
6.08981040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3616 FG
31398LGY8
228084.82000000
PA
USD
227403.78000000
0.010112771395
Long
DBT
USGA
US
N
2
2032-03-15
Floating
6.08852160
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2019-GC38 GSMS 2019-GC38 A2
36252SAT4
2225183.97000000
PA
USD
2201758.35000000
0.097913406987
Long
ABS-MBS
US
N
2
2052-02-10
Fixed
3.87200000
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
863392.63000000
PA
USD
843091.51000000
0.037492743990
Long
ABS-MBS
US
N
2
2048-08-15
Fixed
3.53950000
N
N
N
N
N
N
PRKCM TRUST
N/A
PRKCM 2021-AFC2 TRUST PRKCM 2021-AFC2 A1
69361JAA4
5354412.73000000
PA
USD
4348658.58000000
0.193387243151
Long
ABS-MBS
US
Y
2
2056-11-25
Floating
2.07100080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3895 FM
3137ACUN7
61683.16000000
PA
USD
61547.17000000
0.002737036562
Long
DBT
USGA
US
N
2
2040-12-15
Floating
5.78851920
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 2.750000% 03/25/2027
3130ARAB7
16360000.00000000
PA
USD
15398741.21000000
0.684790506272
Long
DBT
USGA
US
N
2
2027-03-25
Fixed
2.75000000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-3 WLAKE 2020-3A D
96042QAL4
1700000.00000000
PA
USD
1662337.52000000
0.073925065457
Long
ABS-MBS
US
Y
2
2026-02-17
Fixed
1.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)
01F0406C6
10875000.00000000
PA
USD
9872248.55000000
0.439024332600
Long
DBT
USGA
US
N
2
2053-12-15
Fixed
4.00000000
N
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2023-3 CAALT 2023-3A A
224936AA2
6440000.00000000
PA
USD
6466396.92000000
0.287564233999
Long
ABS-MBS
US
Y
2
2033-08-15
Fixed
6.39000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2008-92 E
38373M4R8
320549.23000000
PA
USD
314868.71000000
0.014002385025
Long
DBT
USGA
US
N
2
2044-03-16
Floating
5.55599880
N
N
N
N
N
N
MADISON PARK FUNDING, LTD.
N/A
MADISON PARK FUNDING XIX LTD MDPK 2015-19A A1R2
55819QAY3
847428.44000000
PA
USD
845126.82000000
0.037583255347
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Floating
6.59354040
N
N
N
N
N
N
YMCA of Greater New York
N/A
YMCA OF GREATER NEW YORK 2.303000% 08/01/2026
98425BAU0
7980000.00000000
PA
USD
7271356.45000000
0.323361227828
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
2.30300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 15YR TBA (DECEMBER)
01F0424C4
14400000.00000000
PA
USD
14040979.78000000
0.624410107357
Long
DBT
USGA
US
N
2
2038-12-15
Fixed
4.50000000
N
N
N
N
N
N
PHYSICIANS REALTY L.P.
549300P6Q1UMT0X60U20
PHYSICIANS REALTY LP 4.300000% 03/15/2027
71951QAA0
1880000.00000000
PA
USD
1802134.99000000
0.080141935976
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.30000000
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-I CSMC 2019-ICE4 A
12653VAA4
1496277.45000000
PA
USD
1492903.94000000
0.066390260797
Long
ABS-MBS
US
N
2
2036-05-15
Floating
6.35001120
N
N
N
N
N
N
VICI PROPERTIES L.P.
254900X4QE7SGKQLLN38
VICI PROPERTIES LP / VICI NOTE CO INC 144A 5.750000% 02/01/2027
92564RAJ4
725000.00000000
PA
USD
713563.78000000
0.031732574468
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO MTN VARIABLE RATE 05/05/2026
36962GW75
330000.00000000
PA
USD
328875.29000000
0.014625265355
Long
DBT
CORP
US
N
2
2026-05-05
Floating
6.03430920
N
N
N
N
N
N
DBGS MORTGAGE TRUST
N/A
DBGS 2018-BIOD MORTGAGE TRUST DBGS 2018-BIOD A
23306GAA5
1772699.62000000
PA
USD
1755988.38000000
0.078089770803
Long
ABS-MBS
US
N
2
2035-05-15
Floating
6.42201840
N
N
N
N
N
N
HILTON USA TRUST
N/A
HILTON USA TRUST 2016-HHV HILT 2016-HHV D
43300LAL4
2430000.00000000
PA
USD
2235941.90000000
0.099433568290
Long
ABS-MBS
US
N
2
2038-11-05
Floating
4.33328400
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2019-SB59 MORTGAGE TRUST FRESB 2019-SB59 A10F
302970AG3
327800.48000000
PA
USD
306477.65000000
0.013629229963
Long
ABS-MBS
US
N
2
2029-01-25
Floating
3.47000040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2019-79 FA
3136B72K6
401874.51000000
PA
USD
386034.26000000
0.017167156246
Long
DBT
USGA
US
N
2
2050-01-25
Floating
5.94257040
N
N
N
N
N
N
CHASE AUTO CREDIT LINKED NOTES
N/A
JPMORGAN CHASE BANK NA - CACLN CACLN 2021-3 D
46591HCF5
823206.03000000
PA
USD
791429.70000000
0.035195314834
Long
ABS-MBS
US
Y
2
2029-02-26
Fixed
1.00900000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-B NAVSL 2021-BA A
63942LAA0
4576679.63000000
PA
USD
3921363.18000000
0.174385181274
Long
ABS-MBS
US
Y
2
2069-07-15
Fixed
0.94000000
N
N
N
N
N
N
SIERRA TIMESHARE RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE 2019-1 RECEIVABLES FUNDING LLC SRFC 2019-1A A
82653EAA5
538916.40000000
PA
USD
532336.12000000
0.023673280572
Long
ABS-MBS
US
N
2
2036-01-20
Fixed
3.20000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 2.940000% 03/21/2024
65339KCD0
745000.00000000
PA
USD
738233.97000000
0.032829671410
Long
DBT
CORP
US
N
2
2024-03-21
Fixed
2.94000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-10 FA
3136B9AC1
1088357.67000000
PA
USD
1047028.48000000
0.046561933415
Long
DBT
USGA
US
N
2
2050-03-25
Floating
5.94257040
N
N
N
N
N
N
GLOBAL PAYMENTS INC.
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 2.150000% 01/15/2027
37940XAG7
1725000.00000000
PA
USD
1555287.76000000
0.069164503646
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.15000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIES, L.P.
5493007NTUGLGZ8T3526
HUDSON PACIFIC PROPERTIES LP 3.250000% 01/15/2030
44409MAC0
210000.00000000
PA
USD
140864.10000000
0.006264304142
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-48 UF
3136ATMA9
174882.56000000
PA
USD
170316.60000000
0.007574073045
Long
DBT
USGA
US
N
2
2046-08-25
Floating
5.84256960
N
N
N
N
N
N
CWABS ASSET-BACKED CERTIFICATES TRUST
N/A
COUNTRYWIDE ASSET-BACKED CERTIFICATES CWL 2006-BC4 2A3
12667NAD0
446604.23000000
PA
USD
439550.34000000
0.019547045810
Long
ABS-MBS
US
N
2
2036-11-25
Floating
5.93736840
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-2 CARMX 2023-2 B
142921AF2
1000000.00000000
PA
USD
982566.60000000
0.043695278093
Long
ABS-MBS
US
N
2
2028-11-15
Fixed
5.18000000
N
N
N
N
N
N
NELNET STUDENT LOAN CORPORATION
N/A
NELNET STUDENT LOAN TRUST 2012-5 NSLT 2012-5A A
64033BAA0
184022.29000000
PA
USD
181085.74000000
0.008052982635
Long
ABS-MBS
US
N
2
2036-10-27
Floating
6.04257120
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC COMPANY
O1PLQWO3TX952VMBJ146
PENNSYLVANIA ELECTRIC CO 144A 5.150000% 03/30/2026
708696CA5
665000.00000000
PA
USD
658012.13000000
0.029262161983
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
5.15000000
N
N
N
N
N
N
Healthcare Realty Holdings, L.P.
549300IYGAS4GE6VDL07
HEALTHCARE REALTY HOLDINGS LP 3.500000% 08/01/2026
42225UAD6
1625000.00000000
PA
USD
1528233.83000000
0.067961400472
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-113 FD
38384CUA5
3105369.01000000
PA
USD
3068200.54000000
0.136444568583
Long
DBT
USGA
US
N
2
2053-08-20
Floating
6.50000160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2015-M15 A2
3136AQSZ4
975500.56000000
PA
USD
938080.94000000
0.041716976281
Long
DBT
USGA
US
N
2
2025-10-25
Floating
2.92299840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN1793
3138LD7F4
1434683.48000000
PA
USD
1352863.07000000
0.060162566146
Long
DBT
USGA
US
N
2
2026-06-01
Fixed
2.69000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (DECEMBER)
21H0426C8
10375000.00000000
PA
USD
9811205.69000000
0.436309722981
Long
DBT
USGA
US
N
2
2053-12-15
Fixed
4.50000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2022-RPL3 TRUST CSMC 2022-RPL3 A1
12659QAC5
2585386.26000000
PA
USD
2525560.42000000
0.112313063454
Long
ABS-MBS
US
Y
2
2061-03-25
Floating
3.60749160
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2018-SB53 MORTGAGE TRUST FRESB 2018-SB53 A10F
30297DAJ9
4301028.09000000
PA
USD
4065268.10000000
0.180784712358
Long
ABS-MBS
US
N
2
2028-06-25
Floating
3.66000120
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2015-PC1 MORTGAGE TRUST COMM 2015-PC1 A4
12593GAE2
1033472.04000000
PA
USD
1012024.60000000
0.045005291584
Long
ABS-MBS
US
N
2
2050-07-10
Fixed
3.62000000
N
N
N
N
N
N
METROPOLITAN EDISON COMPANY
N/A
METROPOLITAN EDISON CO 144A 4.000000% 04/15/2025
591894CB4
315000.00000000
PA
USD
303920.01000000
0.013515490303
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2007-98 FD
31396XJ88
240415.21000000
PA
USD
234226.30000000
0.010416172619
Long
DBT
USGA
US
N
2
2037-06-25
Floating
5.89257000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-4 TPMT 2019-4 A1
89178BAA2
2631590.43000000
PA
USD
2428565.07000000
0.107999626795
Long
ABS-MBS
US
N
2
2059-10-25
Floating
2.90000160
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.164000% 02/11/2026
95000U2K8
4145000.00000000
PA
USD
3957966.24000000
0.176012939521
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16400000
N
N
N
N
N
N
The Huntington National Bank
2WHM8VNJH63UN14OL754
HUNTINGTON NATIONAL BANK/THE 4.008000% 05/16/2025
44644MAD3
10062000.00000000
PA
USD
9842246.02000000
0.437690103559
Long
DBT
CORP
US
N
2
2025-05-16
Fixed
4.00800000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-77 FM
38375GAN1
350724.84000000
PA
USD
350431.49000000
0.015583881447
Long
DBT
USGA
US
N
2
2039-11-16
Floating
6.11400960
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
10125000.00000000
PA
USD
9849773.14000000
0.438024838733
Long
ABS-MBS
US
N
2
2027-05-15
Fixed
3.49000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3762 FP
3137A3PD5
33437.28000000
PA
USD
33259.33000000
0.001479060730
Long
DBT
USGA
US
N
2
2040-03-15
Floating
5.88852000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C52 WFCM 2019-C52 ASB
95002MAV1
1400000.00000000
PA
USD
1297597.42000000
0.057704872239
Long
ABS-MBS
US
N
2
2052-08-15
Fixed
2.83300000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 144A 3.250000% 02/15/2027
05401AAJ0
990000.00000000
PA
USD
895581.66000000
0.039827009883
Long
DBT
NUSS
IE
N
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
F&G GLOBAL FUNDING
6354009CCUKJIZ7KFX73
F&G GLOBAL FUNDING 144A 0.900000% 09/20/2024
30321L2B7
11374000.00000000
PA
USD
10868767.72000000
0.483340089169
Long
DBT
CORP
US
N
2
2024-09-20
Fixed
0.90000000
N
N
N
N
N
N
DIGITAL REALTY TRUST, L.P.
CD4SPTZ3YBTHY0C1AH38
DIGITAL REALTY TRUST LP 3.600000% 07/01/2029
25389JAU0
615000.00000000
PA
USD
555254.10000000
0.024692455770
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.60000000
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
2541162.39000000
PA
USD
2397225.87000000
0.106605955303
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
6.62808960
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.194000% 04/01/2031
225401AP3
2940000.00000000
PA
USD
2639213.30000000
0.117367269650
Long
DBT
NUSS
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 1.045000% 11/19/2026
46647PBT2
857000.00000000
PA
USD
783066.44000000
0.034823396054
Long
DBT
CORP
US
N
2
2026-11-19
Fixed
1.04500000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GSAA HOME EQUITY TRUST 2005-6 GSAA 2005-6 M1
36242D3X9
648159.29000000
PA
USD
632970.33000000
0.028148539339
Long
ABS-MBS
US
N
2
2035-06-25
Floating
6.10237080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K089 A1
3137FL6N9
811611.07000000
PA
USD
776070.86000000
0.034512298757
Long
DBT
USGA
US
N
2
2028-10-25
Fixed
3.34400000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57 WFCM 2020-C57 A1
95002XBA2
1181276.98000000
PA
USD
1122793.26000000
0.049931234928
Long
ABS-MBS
US
N
2
2053-08-15
Fixed
0.90300000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE MTN 3.450000% 04/11/2025
06417XAH4
14580000.00000000
PA
USD
14164716.84000000
0.629912762594
Long
DBT
NUSS
CA
N
2
2025-04-11
Fixed
3.45000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4 EART 2021-4A C
30165JAE6
2550000.00000000
PA
USD
2487239.66000000
0.110608918142
Long
ABS-MBS
US
N
2
2027-10-15
Fixed
1.46000000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2018-SB52 MORTGAGE TRUST FRESB 2018-SB52 A10F
30297CAJ1
5430525.65000000
PA
USD
5125673.86000000
0.227941540786
Long
ABS-MBS
US
N
2
2028-06-25
Floating
3.46346280
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 GSMBS 2018-RPL1 A1A
36256BAC4
623248.31000000
PA
USD
590733.01000000
0.026270222446
Long
ABS-MBS
US
N
2
2057-10-25
Fixed
3.75000000
N
N
N
N
N
N
BERRY GLOBAL, INC.
549300AP2Q7ERHX6RI89
BERRY GLOBAL INC 144A 4.875000% 07/15/2026
085770AA3
1000000.00000000
PA
USD
968099.70000000
0.043051927079
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.87500000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2021-B TRUST SOFI 2021-B AFX
83405NAA4
974192.78000000
PA
USD
802557.35000000
0.035690167561
Long
ABS-MBS
US
Y
2
2047-02-15
Fixed
1.14000000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 2.760000% 10/01/2024
20268JAA1
460000.00000000
PA
USD
446734.38000000
0.019866524028
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.76000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 4.000000% 12/30/2024
3134GXA61
6275000.00000000
PA
USD
6195109.21000000
0.275499920056
Long
DBT
USGA
US
N
2
2024-12-30
Fixed
4.00000000
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
650000.00000000
PA
USD
623681.97000000
0.027735480852
Long
DBT
NUSS
IE
N
2
2024-10-29
Fixed
1.65000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURANCE COMPANY
Z7LVXXWM8HZPKF5T2355
NATIONWIDE MUTUAL INSURANCE CO 144A VARIABLE RATE 12/15/2024
638671AJ6
1000000.00000000
PA
USD
998510.31000000
0.044404303662
Long
DBT
CORP
US
N
2
2024-12-15
Floating
7.96104000
N
N
N
N
N
N
HILLSBOROUGH CNTY FLA AVIATION AUTH REV
N/A
HILLSBOROUGH CNTY FL AVIATION HILLSBOROUGH COUNTY AVIATION AUTHORITY
432308S88
2575000.00000000
PA
USD
2504882.49000000
0.111393504513
Long
DBT
MUN
US
N
2
2024-10-01
Fixed
2.03600000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE AUTO RECEIVABLES TRUST 2021-2 DRIVE 2021-2 D
262104AF9
2470000.00000000
PA
USD
2324904.30000000
0.103389775236
Long
ABS-MBS
US
N
2
2029-03-15
Fixed
1.39000000
N
N
N
N
N
N
FIRST FRANKLIN MORTGAGE LOAN TRUST
N/A
FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF9 FFML 2006-FF9 1A
320276AB4
927998.23000000
PA
USD
911452.02000000
0.040532773536
Long
ABS-MBS
US
N
2
2036-06-25
Floating
5.70737160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/04/2024
912797GZ4
2500000.00000000
PA
USD
2454600.70000000
0.109157445607
Long
DBT
UST
US
N
2
2024-04-04
None
0.00000000
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
59333P3M8
2250000.00000000
PA
USD
2182354.20000000
0.097050493745
Long
DBT
MUN
US
N
2
2025-10-01
Fixed
3.50500000
N
N
N
N
N
N
BMO MORTGAGE TRUST
N/A
BMO 2022-C3 MORTGAGE TRUST BMO 2022-C3 A1
05602QAU7
1492121.21000000
PA
USD
1469993.35000000
0.065371414236
Long
ABS-MBS
US
N
2
2054-09-15
Floating
5.25216960
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 2.593000% 09/11/2025
225401AM0
2210000.00000000
PA
USD
2147552.38000000
0.095502837634
Long
DBT
NUSS
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16 WFCM 2014-LC16 A4
94988XAT3
846321.99000000
PA
USD
840727.63000000
0.037387620944
Long
ABS-MBS
US
N
2
2050-08-15
Fixed
3.54800000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 1.494000% 08/10/2027
902613AH1
1575000.00000000
PA
USD
1399159.69000000
0.062221402347
Long
DBT
NUSS
CH
N
2
2027-08-10
Fixed
1.49400000
N
N
N
N
N
N
CD COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
N/A
CD 2016-CD1 MORTGAGE TRUST CD 2016-CD1 ASB
12514MBA2
3948963.82000000
PA
USD
3783065.48000000
0.168235006354
Long
ABS-MBS
US
N
2
2049-08-10
Fixed
2.62200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6719
3138WGPD0
1277627.35000000
PA
USD
1188469.49000000
0.052851893063
Long
DBT
USGA
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K052 A2
3137BMTX4
4450000.00000000
PA
USD
4290434.13000000
0.190797969778
Long
DBT
USGA
US
N
2
2025-11-25
Fixed
3.15100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0380
3132CWM50
2673532.35000000
PA
USD
2572405.19000000
0.114396276187
Long
DBT
USGA
US
N
2
2034-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KIR1 A2
3137BP4K2
2565000.00000000
PA
USD
2440627.77000000
0.108536061711
Long
DBT
USGA
US
N
2
2026-03-25
Fixed
2.84900000
N
N
N
N
N
N
SANTANDER CONSUMER AUTO RECEIVABLES TRUST
N/A
SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B SCART 2020-BA F
802830BA6
1250000.00000000
PA
USD
1243730.38000000
0.055309375290
Long
ABS-MBS
US
N
2
2028-08-15
Fixed
7.03000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.188000% 04/28/2026
6174468Q5
15214000.00000000
PA
USD
14465530.69000000
0.643290120251
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AZ4793
3138YWKF3
556798.75000000
PA
USD
530572.10000000
0.023594833630
Long
DBT
USGA
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST
N/A
DELL EQUIPMENT FINANCE TRUST 2023-2 DEFT 2023-2 A3
24703GAC8
3915000.00000000
PA
USD
3919517.13000000
0.174303086414
Long
ABS-MBS
US
Y
2
2029-01-22
Fixed
5.65000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2015-DC1 MORTGAGE TRUST COMM 2015-DC1 AM
12629NAH8
930000.00000000
PA
USD
865095.02000000
0.038471252204
Long
ABS-MBS
US
N
2
2048-02-10
Fixed
3.72400000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2018-B5 MORTGAGE TRUST BMARK 2018-B5 A2
08160BAB0
1287461.56000000
PA
USD
1232896.11000000
0.054827569334
Long
ABS-MBS
US
N
2
2051-07-15
Fixed
4.07650000
N
N
N
N
N
N
NEUBERGER BERMAN LOAN ADVISERS LLC
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 24 LTD NEUB 2017-24A BR
64130HAN1
750000.00000000
PA
USD
740557.50000000
0.032933000070
Long
ABS-CBDO
CORP
KY
N
2
2030-04-19
Floating
7.15842000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE ACQUISITION CORPORATION
N/A
JP MORGAN MORTGAGE ACQUISITION TRUST 2007-CH5 JPMAC 2007-CH5 A1
46631KAA3
1429891.17000000
PA
USD
1410706.89000000
0.062734912693
Long
ABS-MBS
US
N
2
2037-06-25
Floating
5.61737160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.700000% 07/30/2025
3135G05M1
6920000.00000000
PA
USD
6454028.79000000
0.287014216443
Long
DBT
USGA
US
N
2
2025-07-30
Fixed
0.70000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C21 ASB
46642EAZ9
60340.07000000
PA
USD
59994.63000000
0.002667994252
Long
ABS-MBS
US
N
2
2047-08-15
Fixed
3.42820000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2012-2 SLMA 2012-2 A
78446YAA1
687987.88000000
PA
USD
653851.78000000
0.029077148927
Long
ABS-MBS
US
N
2
2029-01-25
Floating
6.14256840
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 3.600000% 01/15/2028
03027XAR1
175000.00000000
PA
USD
162719.92000000
0.007236244500
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.60000000
N
N
N
N
N
N
SREIT COMMERCIAL MORTGAGE TRUST
N/A
SREIT TRUST 2021-MFP SREIT 2021-MFP B
78472UAC2
1500000.00000000
PA
USD
1468248.75000000
0.065293830913
Long
ABS-MBS
US
Y
2
2038-11-15
Floating
6.51719160
N
N
N
N
N
N
RBS COMMERCIAL FUNDING INC TRUST
N/A
RBS COMMERCIAL FUNDING INC 2013-GSP TRUST RBSCF 2013-GSP A
74932QAA8
2010000.00000000
PA
USD
1995206.00000000
0.088727910172
Long
ABS-MBS
US
N
2
2032-01-15
Floating
3.96138600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS Q004 AFL
3137FARM2
385458.79000000
PA
USD
385133.27000000
0.017127088724
Long
DBT
USGA
US
N
2
2044-05-25
Floating
5.66870040
N
N
N
N
N
N
ALLIANT ENERGY FINANCE, LLC
54930033ER6EOI5DL570
ALLIANT ENERGY FINANCE LLC 144A 5.950000% 03/30/2029
01882YAE6
1565000.00000000
PA
USD
1588979.65000000
0.070662800558
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.95000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.551000% 02/04/2028
06051GKJ7
2500000.00000000
PA
USD
2277567.70000000
0.101284690552
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0063
3132D9B86
966300.04000000
PA
USD
914971.88000000
0.040689303650
Long
DBT
USGA
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9574
3138ERT83
2120601.95000000
PA
USD
2043298.12000000
0.090866593248
Long
DBT
USGA
US
N
2
2026-01-01
Floating
2.99000160
N
N
N
N
N
N
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2016-JP3 ASB
46590RAF6
2553971.68000000
PA
USD
2444265.57000000
0.108697836681
Long
ABS-MBS
US
N
2
2049-08-15
Fixed
2.77650000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL 144A 3.750000% 07/25/2025
06368D6Y5
14719000.00000000
PA
USD
14358004.75000000
0.638508382453
Long
DBT
NUSS
CA
N
2
2025-07-25
Fixed
3.75000000
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-I CSMC 2019-ICE4 B
12653VAC0
1097270.13000000
PA
USD
1093383.05000000
0.048623346684
Long
ABS-MBS
US
N
2
2036-05-15
Floating
6.60000960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 2922 FE
31395MT90
402212.70000000
PA
USD
394998.81000000
0.017565814723
Long
DBT
USGA
US
N
2
2035-02-15
Floating
5.68851840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.000000% 12/15/2025
91282CGA3
126610000.00000000
PA
USD
124923515.55000000
5.555417569019
Long
SN
UST
US
N
2
2025-12-15
Fixed
4.00000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
EXTRA SPACE STORAGE LP 3.875000% 12/15/2027
30225VAM9
1625000.00000000
PA
USD
1521090.14000000
0.067643716642
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.87500000
N
N
N
N
N
N
BX TRUST
N/A
BX 2021-MFM1 BX 2021-MFM1 A
05608VAA4
367805.68000000
PA
USD
362024.22000000
0.016099416537
Long
ABS-MBS
US
Y
2
2034-01-15
Floating
6.13748160
N
N
N
N
N
N
CROWN CASTLE INC.
54930012H97VSM0I2R19
CROWN CASTLE INC 3.800000% 02/15/2028
22822VAK7
2000000.00000000
PA
USD
1861637.52000000
0.082788046271
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2022-6 EART 2022-6A C
30168AAE2
2015000.00000000
PA
USD
2006891.44000000
0.089247568128
Long
ABS-MBS
US
N
2
2028-05-15
Fixed
6.32000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A
3137BJQ71
2965000.00000000
PA
USD
2857027.15000000
0.127053571574
Long
DBT
USGA
US
N
2
2025-05-25
Fixed
2.77000000
N
N
N
N
N
N
VICI PROPERTIES L.P.
254900X4QE7SGKQLLN38
VICI PROPERTIES LP / VICI NOTE CO INC 144A 4.625000% 06/15/2025
92564RAG0
625000.00000000
PA
USD
607737.50000000
0.027026421486
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.62500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.393000% 06/02/2028
95000U2S1
2000000.00000000
PA
USD
1797323.82000000
0.079927980595
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
GCAT TRUST
N/A
GCAT 2021-NQM6 TRUST GCAT 2021-NQM6 A1
36167KAA6
2623316.06000000
PA
USD
2221268.21000000
0.098781021211
Long
ABS-MBS
US
Y
2
2066-08-25
Floating
1.85500080
N
N
N
N
N
N
COREBRIDGE FINANCIAL, INC.
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 3.500000% 04/04/2025
21871XAB5
7110000.00000000
PA
USD
6889924.10000000
0.306398721056
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING LLC
N/A
WHEELS FLEET LEASE FUNDING 1 LLC WFLF 2023-1A A
96328GAS6
13920000.00000000
PA
USD
13885471.44000000
0.617494565793
Long
ABS-MBS
US
Y
2
2038-04-18
Fixed
5.80000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 5.700000% 03/13/2026
444859BW1
600000.00000000
PA
USD
599970.06000000
0.026680999150
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
5.70000000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 5.250000% 07/15/2028
03027XCC2
2500000.00000000
PA
USD
2479541.30000000
0.110266567831
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
NATIONSTAR HOME EQUITY LOAN TRUST
N/A
NATIONSTAR HOME EQUITY LOAN TRUST 2007-B NSTR 2007-B 2AV4
63860LAE0
548107.44000000
PA
USD
530256.95000000
0.023580818736
Long
ABS-MBS
US
N
2
2037-04-25
Floating
5.77737000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC
N/A
MMAF EQUIPMENT FINANCE LLC 2020-B MMAF 2020-BA A4
60700KAD4
1435000.00000000
PA
USD
1346343.55000000
0.059872639500
Long
ABS-MBS
US
N
2
2027-11-15
Fixed
0.66000000
N
N
N
N
N
N
LCM LTD.
N/A
LCM XXIV LTD LCM 24A AR
50188YAE4
795688.46000000
PA
USD
793463.72000000
0.035285768824
Long
ABS-CBDO
CORP
KY
Y
2
2030-03-20
Floating
6.65742960
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-C4 CGCMT 2017-C4 AAB
17326FAE7
1463781.44000000
PA
USD
1398616.67000000
0.062197253948
Long
ABS-MBS
US
N
2
2050-10-12
Fixed
3.29700000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2020-SFR2 TRUST PROG 2020-SFR2 A
74333LAA4
1874684.34000000
PA
USD
1766218.29000000
0.078544700537
Long
ABS-MBS
US
N
2
2037-06-17
Fixed
2.07800000
N
N
N
N
N
N
CNH EQUIPMENT TRUST
N/A
CNH EQUIPMENT TRUST 2023-A CNH 2023-A A3
12664QAC8
6160000.00000000
PA
USD
6074607.62000000
0.270141147953
Long
ABS-MBS
US
N
2
2028-08-15
Fixed
4.81000000
N
N
N
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.222000% 08/15/2024
05526DAZ8
499000.00000000
PA
USD
489574.61000000
0.021771652660
Long
DBT
CORP
GB
N
2
2024-08-15
Fixed
3.22200000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC VARIABLE RATE 10/30/2024
172967MT5
1165000.00000000
PA
USD
1164114.60000000
0.051768817685
Long
DBT
CORP
US
N
2
2024-10-30
Floating
6.04095480
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLE TRUST
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2021-B WOART 2021-B B
98163LAE0
3050000.00000000
PA
USD
2825570.33000000
0.125654669456
Long
ABS-MBS
US
N
2
2027-06-15
Fixed
1.04000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)
01F0426C2
11325000.00000000
PA
USD
10603409.28000000
0.471539453130
Long
DBT
USGA
US
N
2
2053-12-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-54 CF
3136A5ZN9
146874.68000000
PA
USD
144423.02000000
0.006422571276
Long
DBT
USGA
US
N
2
2042-05-25
Floating
6.14256840
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS TRUST 2018-BXH BBCMS 2018-BXH A
05491RAA3
61923.41000000
PA
USD
61037.00000000
0.002714349021
Long
ABS-MBS
US
N
2
2037-10-15
Floating
6.49491120
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST
N/A
FORD CREDIT AUTO LEASE TRUST 2023-A FORDL 2023-A A4
345287AE6
18000000.00000000
PA
USD
17787142.80000000
0.791004040982
Long
ABS-MBS
US
N
2
2026-05-15
Fixed
4.83000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIES, L.P.
5493007NTUGLGZ8T3526
HUDSON PACIFIC PROPERTIES LP 3.950000% 11/01/2027
44409MAA4
205000.00000000
PA
USD
159067.46000000
0.007073817591
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.95000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.705000% 04/24/2028
06051GGL7
1361000.00000000
PA
USD
1279036.85000000
0.056879473465
Long
DBT
CORP
US
N
2
2028-04-24
Fixed
3.70500000
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
710000.00000000
PA
USD
726387.29000000
0.032302843023
Long
DBT
CORP
US
N
2
2027-10-20
Fixed
6.61500000
N
N
N
N
N
N
KILROY REALTY, L.P.
5493008CT3N3JR7P1552
KILROY REALTY LP 3.450000% 12/15/2024
49427RAM4
920000.00000000
PA
USD
890820.81000000
0.039615292260
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.45000000
N
N
N
N
N
N
ALABAMA FED AID HWY FIN AUTH SPL OBLIG REV
N/A
ALABAMA FEDERAL AID HIGHWAY FI ALABAMA FEDERAL AID HIGHWAY FINANCE AUTHORITY
010268CM0
5635000.00000000
PA
USD
5252122.60000000
0.233564785926
Long
DBT
MUN
US
N
2
2025-09-01
Fixed
1.03800000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2016-SB17 MORTGAGE TRUST FRESB 2016-SB17 A10F
30294UAE5
3001434.75000000
PA
USD
2842592.82000000
0.126411668966
Long
ABS-MBS
US
N
2
2026-05-25
Floating
2.41999920
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2018-6 TPMT 2018-6 A1
89176LAL8
422353.60000000
PA
USD
396871.61000000
0.017649099171
Long
ABS-MBS
US
N
2
2058-03-25
Floating
3.75000120
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 3.850000% 10/01/2024
444859BD3
1500000.00000000
PA
USD
1476263.15000000
0.065650235697
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2007-1 F
38375JEJ0
330390.26000000
PA
USD
325157.31000000
0.014459924736
Long
DBT
USGA
US
N
2
2037-01-20
Floating
5.74554960
N
N
N
N
N
N
BANK
N/A
BANK 2017-BNK8 BANK 2017-BNK8 ASB
06650AAC1
1801595.94000000
PA
USD
1724643.29000000
0.076695837379
Long
ABS-MBS
US
N
2
2050-11-15
Fixed
3.31400000
N
N
N
N
N
N
TRICON AMERICAN HOMES TRUST
N/A
TRICON AMERICAN HOMES 2017-SFR2 TRUST TAH 2017-SFR2 A
89613FAA6
1479884.51000000
PA
USD
1471498.15000000
0.065438333521
Long
ABS-MBS
US
N
2
2036-01-17
Fixed
2.92800000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE 144A 3.815000% 07/25/2025
891160TC7
8495000.00000000
PA
USD
8291768.68000000
0.368739521941
Long
DBT
NUSS
CA
N
2
2025-07-25
Fixed
3.81500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2015-M17 A2
3136AQC99
2083105.24000000
PA
USD
2002338.46000000
0.089045094599
Long
DBT
USGA
US
N
2
2025-11-25
Floating
3.00300120
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 1.364000% 01/30/2027
902613AC2
385000.00000000
PA
USD
347975.42000000
0.015474658660
Long
DBT
NUSS
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS9129
3140LLEB3
3870000.00000000
PA
USD
3781992.72000000
0.168187300125
Long
DBT
USGA
US
N
2
2028-07-01
Fixed
4.39000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE AUTO RECEIVABLES TRUST 2021-2 DRIVE 2021-2 C
262104AE2
1200426.89000000
PA
USD
1182672.82000000
0.052594111954
Long
ABS-MBS
US
N
2
2027-10-15
Fixed
0.87000000
N
N
N
N
N
N
AMMC CLO LIMITED
N/A
AMMC CLO 22 LTD AMMC 2018-22A A
00177HAA7
671953.34000000
PA
USD
670344.68000000
0.029810597277
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.66983160
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC MLCC 2004-A A1
59020UAR6
151211.72000000
PA
USD
136836.58000000
0.006085198109
Long
ABS-MBS
US
N
2
2029-04-25
Floating
5.91737040
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FUNDING
635400DPNHEAUHB7ZI15
NEW YORK LIFE GLOBAL FUNDING MTN 3.150000% 06/06/2024
64952WET6
12615000.00000000
PA
USD
12456297.62000000
0.553938418546
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.15000000
N
N
N
N
N
N
INTERNATIONAL FLAVORS & FRAGRANCES INC.
BZLRL03D3GPGMOGFO832
INTERNATIONAL FLAVORS & FRAGRANCES INC 144A 1.832000% 10/15/2027
459506AP6
2490000.00000000
PA
USD
2137572.82000000
0.095059041102
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.83200000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.200000% 01/15/2027
00914AAR3
770000.00000000
PA
USD
690330.80000000
0.030699391046
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.20000000
N
N
N
N
N
N
DALLAS FORT WORTH TEX INTL ARPT REV
N/A
DALLAS-FORT WORTH TX INTERNATI DALLAS FORT WORTH INTERNATIONAL AIRPORT
2350364L1
2400000.00000000
PA
USD
2271045.12000000
0.100994627825
Long
DBT
MUN
US
N
2
2025-11-01
Fixed
2.15600000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2018-SB54 MORTGAGE TRUST FRESB 2018-SB54 A10F
30297JAE7
1218430.74000000
PA
USD
1143888.12000000
0.050869334975
Long
ABS-MBS
US
N
2
2028-05-25
Floating
3.52000080
N
N
N
N
N
N
INTERNATIONAL FLAVORS & FRAGRANCES INC.
BZLRL03D3GPGMOGFO832
INTERNATIONAL FLAVORS & FRAGRANCES INC 144A 2.300000% 11/01/2030
459506AQ4
440000.00000000
PA
USD
349411.36000000
0.015538515703
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
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
3450290.59000000
PA
USD
2970930.68000000
0.132118924314
Long
ABS-MBS
US
Y
2
2069-05-15
Fixed
0.84000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R08 CAS 2022-R08 1M1
20755DAA4
1492043.63000000
PA
USD
1529350.54000000
0.068011061181
Long
ABS-MBS
US
Y
2
2042-07-25
Floating
7.87808880
N
N
N
N
N
N
HSI ASSET SECURITIZATION CORPORATION TRUST
N/A
HSI ASSET SECURITIZATION CORP TRUST 2006-OPT2 HASC 2006-OPT2 M2
40430HEB0
510228.90000000
PA
USD
495892.69000000
0.022052621159
Long
ABS-MBS
US
N
2
2036-01-25
Floating
6.04236960
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.800000% 03/15/2025
00287YCX5
35000.00000000
PA
USD
34332.38000000
0.001526779855
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
EATON VANCE CLO LTD
N/A
EATON VANCE CLO 2019-1 LTD EATON 2019-1A AR
27830XAL0
1914000.00000000
PA
USD
1908996.80000000
0.084894139547
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Floating
6.75547920
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (DECEMBER)
21H0506C1
8200000.00000000
PA
USD
7964784.15000000
0.354198339724
Long
DBT
USGA
US
N
2
2053-12-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
18299063.40000000
NS
USD
18299063.40000000
0.813769432131
Long
STIV
RF
US
N
1
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375000% 07/01/2025
00914AAH5
400000.00000000
PA
USD
383825.88000000
0.017068948370
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 2.013000% 09/22/2028
404280CL1
750000.00000000
PA
USD
653858.87000000
0.029077464223
Long
DBT
NUSS
GB
N
2
2028-09-22
Fixed
2.01300000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2019-B9 MORTGAGE TRUST BMARK 2019-B9 AAB
08160JAF4
1575000.00000000
PA
USD
1512631.73000000
0.067267566488
Long
ABS-MBS
US
N
2
2052-03-15
Fixed
3.93250000
N
N
N
N
N
N
NATIONAL SECURITIES CLEARING CORPORATION
549300RYC9NELN2ICA34
NATIONAL SECURITIES CLEARING CORP 144A 5.050000% 11/21/2024
637639AG0
7700000.00000000
PA
USD
7660504.62000000
0.340666861368
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
5.05000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 1.462000% 06/09/2027
172967NA5
4485000.00000000
PA
USD
4038432.54000000
0.179591320218
Long
DBT
CORP
US
N
2
2027-06-09
Fixed
1.46200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 5.125000% 01/27/2025
3134GYFG2
9000000.00000000
PA
USD
8958021.39000000
0.398368147058
Long
DBT
USGA
US
N
2
2025-01-27
Fixed
5.12500000
N
N
N
N
N
N
NATIONSTAR HOME EQUITY LOAN TRUST
N/A
NATIONSTAR HOME EQUITY LOAN TRUST 2007-A NSTR 2007-A AV4
63860HAD1
21606.39000000
PA
USD
21571.79000000
0.000959309387
Long
ABS-MBS
US
N
2
2037-03-25
Floating
5.68737000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 1.561000% 12/10/2025
46647PCT1
11845000.00000000
PA
USD
11307874.14000000
0.502867393613
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
1.56100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K066 A1
3137F2L38
2755058.38790000
PA
USD
2648232.93000000
0.117768377566
Long
DBT
USGA
US
N
2
2026-12-25
Fixed
2.79700000
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST
N/A
HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A
43285HAA6
1511900.36720000
PA
USD
1427235.46000000
0.063469947308
Long
ABS-MBS
US
N
2
2039-02-25
Fixed
2.74000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST
N/A
CARMAX AUTO OWNER TRUST 2023-3 CARMX 2023-3 A3
14319BAC6
6650000.00000000
PA
USD
6650043.89000000
0.295731115944
Long
ABS-MBS
US
N
2
2028-05-15
Fixed
5.28000000
N
N
N
N
N
N
NEWCASTLE MORTGAGE SECURITIES TRUST
N/A
NEWCASTLE MORTGAGE SECURITIES TRUST 2007-1 NCMT 2007-1 1A1
65106FAA0
1387851.18000000
PA
USD
1293854.52000000
0.057538423414
Long
ABS-MBS
US
N
2
2037-04-25
Floating
5.64737040
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I, INC.
N/A
MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-HE7 MSAC 2007-HE7 A2B
61756YAC7
976445.12000000
PA
USD
944649.63000000
0.042009089545
Long
ABS-MBS
US
N
2
2037-07-25
Floating
6.45737040
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 5.272000% 08/03/2026
857477CD3
14155000.00000000
PA
USD
14147954.21000000
0.629167319202
Long
DBT
CORP
US
N
2
2026-08-03
Fixed
5.27200000
N
N
N
N
N
N
JACKSON NATIONAL LIFE GLOBAL FUNDING
635400PQXLYXWJI5QD78
JACKSON NATIONAL LIFE GLOBAL FUNDING 144A 1.750000% 01/12/2025
46849LUV1
6055000.00000000
PA
USD
5747552.47000000
0.255596825226
Long
DBT
CORP
US
N
2
2025-01-12
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
12445938.80000000
NS
USD
12445938.80000000
0.553477756113
Long
STIV
RF
US
N
1
N
N
N
NAVISTAR FINANCIAL DEALER NOTE MASTER TRUST
N/A
NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST NAVMT 2023-1 B
63938PBV0
1363000.00000000
PA
USD
1366624.08000000
0.060774525843
Long
ABS-MBS
US
Y
2
2028-08-25
Fixed
6.48000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ37 A1
3137H5FY8
2066619.18000000
PA
USD
1876412.51000000
0.083445098217
Long
DBT
USGA
US
N
2
2027-12-25
Fixed
1.67900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN0439
3138LCPZ2
5195000.00000000
PA
USD
4963535.06000000
0.220731139012
Long
DBT
USGA
US
N
2
2025-12-01
Fixed
2.89000000
N
N
N
N
N
N
COLD STORAGE TRUST
N/A
COLD STORAGE TRUST 2020-ICE5 COLD 2020-ICE5 A
193051AA7
1474485.78000000
PA
USD
1460575.19000000
0.064952583472
Long
ABS-MBS
US
Y
2
2037-11-15
Floating
6.33645000
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS MORTGAGE TRUST 2020-C7 BBCMS 2020-C7 A1
05492VAA3
528922.76000000
PA
USD
513278.18000000
0.022825763479
Long
ABS-MBS
US
N
2
2053-04-15
Fixed
1.07900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA3695
31418DC91
486046.12000000
PA
USD
450780.01000000
0.020046435423
Long
DBT
USGA
US
N
2
2034-07-01
Fixed
3.00000000
N
N
N
N
N
N
VMWARE LLC
549300BUDHS3LRWBE814
VMWARE INC 1.000000% 08/15/2024
928563AH8
1155000.00000000
PA
USD
1117225.39000000
0.049683628681
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 1.542000% 09/10/2027
38141GYG3
3205000.00000000
PA
USD
2854867.53000000
0.126957532083
Long
DBT
CORP
US
N
2
2027-09-10
Fixed
1.54200000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST STATE OF ILLINOIS
452153GQ6
4770000.00000000
PA
USD
4742076.90000000
0.210882772614
Long
DBT
MUN
US
N
2
2025-05-01
Fixed
5.25400000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-UBS6 MORTGAGE TRUST COMM 2014-UBS6 ASB
12592PBD4
353217.25000000
PA
USD
348967.02000000
0.015518755659
Long
ABS-MBS
US
N
2
2047-12-10
Fixed
3.38700000
N
N
N
N
N
N
THE BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE 1.433000% 02/04/2024
097023DE2
680000.00000000
PA
USD
674809.72000000
0.030009160066
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE COMPANY
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE CO 5.900000% 10/01/2024
42824CBL2
14995000.00000000
PA
USD
14992474.24000000
0.666723590264
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 1.578000% 04/22/2027
46647PCB0
2143000.00000000
PA
USD
1951172.55000000
0.086769718389
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC
N/A
ENTERPRISE FLEET FINANCING 2023-2 LLC EFF 2023-2 A2
29375NAB1
6620000.00000000
PA
USD
6593397.53000000
0.293212021102
Long
ABS-MBS
US
Y
2
2030-04-22
Fixed
5.56000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-CIP BX 2021-CIP A
12434FAA5
1250000.00000000
PA
USD
1215487.88000000
0.054053415754
Long
ABS-MBS
US
Y
2
2038-12-15
Floating
6.35847840
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2021-MHC A
466330AA5
1502385.99000000
PA
USD
1483934.44000000
0.065991382190
Long
ABS-MBS
US
Y
2
2038-04-15
Floating
6.23747880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 0.600000% 10/20/2025
3134GWZG4
9805000.00000000
PA
USD
9053491.95000000
0.402613775465
Long
DBT
USGA
US
N
2
2025-10-20
Fixed
0.60000000
N
N
N
N
N
N
MASSACHUSETTS ST SPL OBLIG REV
N/A
MASSACHUSETTS ST SPL OBLG REVE COMMONWEALTH OF MASSACHUSETTS
576004HG3
1152677.57000000
PA
USD
1123240.72000000
0.049951133720
Long
DBT
MUN
US
N
2
2031-07-15
Fixed
4.11000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8189
3132DWC27
0.02000000
PA
USD
0.02000000
0.000000000889
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY MTN 2.972000% 02/16/2028
63861VAF4
2035000.00000000
PA
USD
1849066.12000000
0.082228989186
Long
DBT
NUSS
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-I CSMC 2019-ICE4 D
12653VAG1
2892803.06000000
PA
USD
2869269.53000000
0.127597996958
Long
ABS-MBS
US
N
2
2036-05-15
Floating
6.97001040
N
N
N
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE XVIII LTD MAGNE 2016-18A AR2
55953TAS6
1396477.85000000
PA
USD
1393285.50000000
0.061960173881
Long
ABS-CBDO
CORP
KY
Y
2
2028-11-15
Floating
6.52133160
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.520000% 10/27/2028
172967LS8
1645000.00000000
PA
USD
1529773.08000000
0.068029851768
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
3.52000000
N
N
N
N
N
N
OWNIT MORTGAGE LOAN TRUST
N/A
OWNIT MORTGAGE LOAN TRUST SERIES 2006-3 OWNIT 2006-3 A2D
69121PDY6
2389065.20000000
PA
USD
2239227.57000000
0.099579683846
Long
ABS-MBS
US
N
2
2037-03-25
Floating
5.99736960
N
N
N
N
N
N
AMERIQUEST MORTGAGE SECURITIES INC
N/A
AMERIQUEST MORTGAGE SECURITIES INC ASSET-BACKED PA AMSI 2005-R9 M1
03072SQ32
964027.44000000
PA
USD
925543.37000000
0.041159423635
Long
ABS-MBS
US
N
2
2035-11-25
Floating
6.16236840
N
N
N
N
N
N
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C2 JPMDB 2016-C2 ASB
46590LAU6
438781.12000000
PA
USD
423718.55000000
0.018842997386
Long
ABS-MBS
US
N
2
2049-06-15
Fixed
2.95420000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F NAVSL 2020-FA A
63941XAA5
2892076.85000000
PA
USD
2580838.77000000
0.114771322136
Long
ABS-MBS
US
N
2
2069-07-15
Fixed
1.22000000
N
N
N
N
N
N
BARINGS CLO LTD
N/A
BARINGS CLO LTD 2018-IV BABSN 2018-4A A2
06760XAC8
2600000.00000000
PA
USD
2571384.40000000
0.114350881093
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
7.10547840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.625000% 11/15/2026
91282CJK8
77675000.00000000
PA
USD
78008760.15000000
3.469092546481
Long
SN
UST
US
N
2
2026-11-15
Fixed
4.62500000
N
N
N
N
N
N
GREAT WOLF TRUST
N/A
GREAT WOLF TRUST 2019-WOLF GWT 2019-WOLF A
39152TAA8
3400000.00000000
PA
USD
3375156.20000000
0.150095055915
Long
ABS-MBS
US
N
2
2036-12-15
Floating
6.47147880
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 3.755000% 03/15/2027
55903VBA0
3900000.00000000
PA
USD
3679931.74000000
0.163648592109
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIES, L.P.
5493007NTUGLGZ8T3526
HUDSON PACIFIC PROPERTIES LP 5.950000% 02/15/2028
44409MAD8
320000.00000000
PA
USD
264159.52000000
0.011747319405
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.95000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-PRM2 CGCMT 2021-PRM2 A
17291HAA2
1782000.00000000
PA
USD
1743975.86000000
0.077555567420
Long
ABS-MBS
US
Y
2
2038-10-15
Floating
6.38748000
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
BAYER US FINANCE LLC 144A 6.250000% 01/21/2029
07274EAJ2
1445000.00000000
PA
USD
1451079.91000000
0.064530323138
Long
DBT
CORP
DE
N
2
2029-01-21
Fixed
6.25000000
N
N
N
N
N
N
DENVER COLO CITY & CNTY ARPT REV
N/A
DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE
249182PL4
610000.00000000
PA
USD
586377.08000000
0.026076511839
Long
DBT
MUN
US
N
2
2024-11-15
Fixed
1.11500000
N
N
N
N
N
N
PALMER SQUARE CLO
N/A
PALMER SQUARE CLO 2018-1 LTD PLMRS 2018-1A A1
69703PAA7
2340647.41000000
PA
USD
2339547.31000000
0.104040957959
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
6.68665080
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2020-REV2 FORDR 2020-2 A
34532JAA2
10485000.00000000
PA
USD
9670208.55000000
0.430039502476
Long
ABS-MBS
US
Y
2
2033-04-15
Fixed
1.06000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA2 STACR 2022-DNA2 M1A
35564KRE1
806221.17000000
PA
USD
805213.39000000
0.035808283123
Long
DBT
USGA
US
Y
2
2042-02-25
Floating
6.62808960
N
N
N
N
N
N
SBNA AUTO LEASE TRUST
N/A
SBNA AUTO LEASE TRUST 2023-A SBALT 2023-A A3
78436TAC0
10900000.00000000
PA
USD
10991173.05000000
0.488783521639
Long
ABS-MBS
US
Y
2
2027-04-20
Fixed
6.51000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4203 DM
3137B2CM0
150199.08000000
PA
USD
144004.13000000
0.006403943006
Long
DBT
USGA
US
N
2
2033-04-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF51 A
3137FHX40
116220.68000000
PA
USD
115939.76000000
0.005155905009
Long
DBT
USGA
US
N
2
2025-08-25
Floating
5.83445880
N
N
N
N
N
N
JBS USA Lux S.A.
P77IMDGVZE8EFBTF2M92
JBS USA LUX SA / JBS USA FOOD CO / JBS USA FINANCE 3.000000% 02/02/2029
46590XAN6
1025000.00000000
PA
USD
876215.72000000
0.038965795860
Long
DBT
NUSS
US
N
2
2029-02-02
Fixed
3.00000000
N
N
N
N
N
N
PEOPLE'S CHOICE HOME LOAN SECURITIES CORP
N/A
PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES PCHLT 2005-4 1A3
71085PDE0
950624.48000000
PA
USD
902588.28000000
0.040138598135
Long
ABS-MBS
US
N
2
2035-12-25
Floating
6.13737000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
EXTRA SPACE STORAGE LP 5.700000% 04/01/2028
30225VAJ6
1195000.00000000
PA
USD
1197144.00000000
0.053237653303
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
5.70000000
N
N
N
N
N
N
COMMUNITY HEALTH NETWORK, INC.
549300MZTYKU2IU56D87
COMMUNITY HEALTH NETWORK INC 4.237000% 05/01/2025
20369EAA0
2815000.00000000
PA
USD
2754551.08000000
0.122496404277
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.23700000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 12/31/2024
912828YY0
33975000.00000000
PA
USD
32765967.69000000
1.457120637131
Long
SN
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 03/28/2024
912797GY7
6930000.00000000
PA
USD
6811541.28000000
0.302912993861
Long
DBT
UST
US
N
2
2024-03-28
None
0.00000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2017-C6 UBSCM 2017-C6 ASB
90276UAU5
784188.72000000
PA
USD
753769.57000000
0.033520548102
Long
ABS-MBS
US
N
2
2050-12-15
Fixed
3.50420000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8617
3132A9SE8
1044599.46000000
PA
USD
975311.46000000
0.043372638020
Long
DBT
USGA
US
N
2
2031-08-01
Fixed
2.50000000
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
1775000.00000000
PA
USD
1711351.87000000
0.076104760609
Long
ABS-MBS
US
N
2
2032-01-26
Fixed
2.51000000
N
N
N
N
N
N
WILLIS NORTH AMERICA INC.
5493004KVU1HWZCP0C66
WILLIS NORTH AMERICA INC 4.650000% 06/15/2027
970648AL5
615000.00000000
PA
USD
598591.55000000
0.026619696050
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
4.65000000
N
N
N
N
N
N
GOLDENTREE LOAN MANAGEMENT US CLO LTD
N/A
GOLDENTREE LOAN MANAGEMENT US CLO 3 LTD GLM 2018-3A AJ
38138BAE0
1700000.00000000
PA
USD
1681368.00000000
0.074771361389
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
6.97743000
N
N
N
N
N
N
SIERRA TIMESHARE RECEIVABLES FUNDING LLC
N/A
SIERRA TIMESHARE 2019-3 RECEIVABLES FUNDING LLC SRFC 2019-3A A
82652NAA6
411853.97000000
PA
USD
391991.53000000
0.017432079325
Long
ABS-MBS
US
N
2
2036-08-20
Fixed
2.34000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-128 CF
38384CPM5
3331681.24000000
PA
USD
3322559.76000000
0.147756063248
Long
DBT
USGA
US
N
2
2053-08-20
Floating
6.52506840
N
N
N
N
N
N
OPTEUM MORTGAGE ACCEPTANCE CORPORATION
N/A
OPTEUM MORTGAGE ACCEPTANCE CORP ASSET BACKED PASS- OPMAC 2005-2 M5
68383NBA0
309581.33000000
PA
USD
308872.82000000
0.013735744493
Long
ABS-MBS
US
N
2
2035-04-25
Floating
6.43236840
N
N
N
N
N
N
CIM TRUST
N/A
CIM 2022-I1 A1 02/25/2067 SERIES 22 11 CLASS A1
12568TAC9
987780.55000000
PA
USD
942032.09000000
0.041892686099
Long
ABS-MBS
US
Y
2
2067-02-25
Fixed
4.35000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4 SDART 2020-4 D
80286WAG1
1970304.78000000
PA
USD
1922792.85000000
0.085507657493
Long
ABS-MBS
US
N
2
2027-01-15
Fixed
1.48000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 5.574000% 07/25/2029
95000U3E1
3110000.00000000
PA
USD
3105009.94000000
0.138081502883
Long
DBT
CORP
US
N
2
2029-07-25
Fixed
5.57400000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 144A 2.528000% 11/18/2027
05401AAR2
133000.00000000
PA
USD
114926.64000000
0.005110851005
Long
DBT
NUSS
IE
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8629
3132A9SS7
1950534.30000000
PA
USD
1813203.83000000
0.080634173390
Long
DBT
USGA
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 2.450000% 09/12/2024
25466AAQ4
987000.00000000
PA
USD
957205.66000000
0.042567463117
Long
DBT
CORP
US
N
2
2024-09-12
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF37 A
3137FBC53
78104.20000000
PA
USD
77394.08000000
0.003441757381
Long
DBT
USGA
US
N
2
2027-09-25
Floating
5.79445920
N
N
N
N
N
N
VANTAGE DATA CENTERS ISSUER LLC
N/A
VANTAGE DATA CENTERS ISSUER LLC VDC 2020-1A A2
92212KAB2
1086000.00000000
PA
USD
993209.88000000
0.044168590619
Long
ABS-MBS
US
Y
2
2045-09-15
Fixed
1.64500000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2021-A TRUST SOFI 2021-A AFX
83405YAA0
612762.74000000
PA
USD
510912.99000000
0.022720582176
Long
ABS-MBS
US
Y
2
2043-08-17
Fixed
1.03000000
N
N
N
N
N
N
BANK
N/A
BANK 2018-BNK14 BANK 2018-BN14 ASB
06035RAQ9
487936.60000000
PA
USD
473868.90000000
0.021073211083
Long
ABS-MBS
US
N
2
2060-09-15
Fixed
4.18500000
N
N
N
N
N
N
DBJPM MORTGAGE TRUST
N/A
DBJPM 2016-C3 MORTGAGE TRUST DBJPM 2016-C3 ASB
23312VAD8
962709.85000000
PA
USD
924509.04000000
0.041113426410
Long
ABS-MBS
US
N
2
2049-08-10
Fixed
2.75600000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING LLC
N/A
WHEELS FLEET LEASE FUNDING 1 LLC WFLF 2023-1A B
96328GAT4
12695000.00000000
PA
USD
12599890.33000000
0.560324065479
Long
ABS-MBS
US
Y
2
2038-04-18
Fixed
5.80000000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 A1
89177HAA0
1307820.63000000
PA
USD
1319115.88000000
0.058661810012
Long
ABS-MBS
US
N
2
2058-05-25
Floating
6.45737040
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2004-6 IMM 2004-6 1A1
45254NJV0
589299.67000000
PA
USD
567896.90000000
0.025254688052
Long
ABS-MBS
US
N
2
2034-10-25
Floating
6.25736880
N
N
N
N
N
N
CIFC FUNDING LTD
N/A
CIFC FUNDING 2013-III-R LTD CIFC 2013-3RA A1
12552MAC2
403947.27000000
PA
USD
403377.70000000
0.017938428578
Long
ABS-CBDO
CORP
KY
N
2
2031-04-24
Floating
6.64008120
N
N
N
N
N
N
2023-11-30
SEI INSTITUTIONAL INVESTMENTS TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO