Form NPORT-P Guggenheim Strategy Fund For: Mar 31

May 26, 2022 4:06 PM EDT

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    NPORT-P
    false
    
      
      
        
          0001601445
          XXXXXXXX
        
      
      
      
      
        S000045496
        C000141590
      
      
    
  
  
    
      Guggenheim Strategy Funds Trust
      811-22946
      0001601445
      5493007THUTJ3GMETL84
      702 King Farm Blvd., Suite 200
      Rockville
      
      20850
      301-296-5100
      Guggenheim Strategy Fund II
      S000045496
      549300MHRGBLZPUQ5G89
      2022-09-30
      2022-03-31
      N
    
    
      383185850.95
      1050362.37
      382135488.58
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      1238735.74000000
      
        
          CZK
          
          
        
        
          ILS
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        EQUINIX INC
        549300EVUN2BTLJ3GT74
        Equinix, Inc.
        29444UBQ8
        
          
        
        1850000.00000000
        PA
        USD
        1697164.91000000
        0.444126484118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTERPOINT ENERGY RES
        2JADVB0458J06WCD4N56
        CenterPoint Energy Resources Corp.
        15189WAN0
        
          
        
        2184000.00000000
        PA
        USD
        2177252.60000000
        0.569759330150
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-02
          Floating
          1.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust
        92538MAC3
        
          
        
        875762.21720000
        PA
        USD
        833874.60000000
        0.218214383358
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.88700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FLUTTER ENTERTAINMENT PLC
        N/A
        Stars Group (Amaya)
        N/A
        
          
        
        995000.00000000
        PA
        USD
        986084.80000000
        0.258045857940
        Long
        LON
        CORP
        NL
        
        N
        
        2
        
          2026-07-21
          Variable
          3.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Avenue Secured Funding
        N/A
        Madison Avenue Secured Funding Trust Series
        55662QAA3
        
          
        
        950000.00000000
        PA
        USD
        950000.00000000
        0.248602924457
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2023-01-17
          Floating
          1.95500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        254900T5KLBL86KP4W68
        Golub Capital Partners CLO 33M Ltd.
        38174TAE6
        
          
        
        1500000.00000000
        PA
        USD
        1499275.50000000
        0.392341340913
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-08-25
          Floating
          2.35800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avery Point CLO Ltd
        N/A
        Avery Point VI CLO Ltd.
        05363LBC6
        
          
        
        737670.64220000
        PA
        USD
        733604.23000000
        0.191974902076
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-08-05
          Floating
          1.21500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust
        89175VAA1
        
          
        
        944656.87320000
        PA
        USD
        944987.41000000
        0.247291193370
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-03-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RYDER SYSTEM INC
        ZXJ6Y2OSPZXIVGRILD15
        Ryder System, Inc.
        78355HKR9
        
          
        
        2500000.00000000
        PA
        USD
        2500327.55000000
        0.654303937928
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust
        126401AA6
        
          
        
        1123118.77910000
        PA
        USD
        1104846.87000000
        0.289124382062
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.20800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential
        N/A
        Starwood Mortgage Residential Trust
        85573AAA3
        
          
        
        179508.80340000
        PA
        USD
        178165.09000000
        0.046623539379
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          2.27500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        254900AE5FEFIJOXWL19
        Level 3 Financing, Inc.
        527298BH5
        
          
        
        750000.00000000
        PA
        USD
        757125.00000000
        0.198129988610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        N/A
        Golub Capital Partners CLO 16 Ltd.
        38178EAA3
        
          
        
        1750000.00000000
        PA
        USD
        1742048.00000000
        0.455871818258
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-07-25
          Floating
          1.86800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sapphire Aviation Finance I Li
        N/A
        Sapphire Aviation Finance II Ltd.
        80307AAA7
        
          
        
        800804.87110000
        PA
        USD
        722199.95000000
        0.188990546961
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-03-15
          Fixed
          3.22800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST-CITIZENS BANK/TRST
        L9VVX1KT5TFTKS0MLF66
        First-Citizens Bank & Trust Co.
        125581HA9
        
          
        
        1650000.00000000
        PA
        USD
        1666672.11000000
        0.436146905955
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-19
          Variable
          3.92900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust
        12597XAC5
        
          
        
        1309270.50060000
        PA
        USD
        1282762.88000000
        0.335682740372
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-08-25
          Variable
          3.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust
        12662GAC2
        
          
        
        659879.49760000
        PA
        USD
        628084.72000000
        0.164361787577
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-12-27
          Variable
          1.79600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARAMOUNT GLOBAL
        5KYC8KF17ROCY24M3H09
        Paramount Global
        92556HAA5
        
          
        
        810000.00000000
        PA
        USD
        841517.45000000
        0.220214420054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST KEY REVOLVING TRUST 2021-1
        N/A
        FKRT
        N/A
        
          
        
        1550000.00000000
        PA
        USD
        1492649.47000000
        0.390607393086
        Long
        ABS-MBS
        CORP
        US
        Y
        
        3
        
          2058-11-30
          Fixed
          2.21100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applebees/IHOP Funding LLC
        N/A
        Applebee's Funding LLC / IHOP Funding LLC
        03789XAD0
        
          
        
        2079000.00000000
        PA
        USD
        2063176.73000000
        0.539907125000
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-06-05
          Fixed
          4.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FACTSET RESEARCH SYSTEMS
        549300ZSJE7NBK6K9P30
        FactSet Research Systems, Inc.
        303075AA3
        
          
        
        1500000.00000000
        PA
        USD
        1457599.38000000
        0.381435230058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AB Private Credit Investors LL
        N/A
        ABPCI Direct Lending Fund CLO VII, LP
        00085KAS2
        
          
        
        7500000.00000000
        PA
        USD
        7435129.50000000
        1.945678881495
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-10-20
          Floating
          1.69800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon CLO LTD
        635400LRBGQZIPTCBI09
        Marathon CLO V Ltd.
        56576QAN8
        
          
        
        586476.61150000
        PA
        USD
        585396.09000000
        0.153190715726
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-11-21
          Floating
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank plc
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - Rec USD / Deliver ILS
        N/A
        
          
        
        -4192762.50000000
        NC
        
        -8749.12000000
        -0.00228953349
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            4192762.50000000
            ILS
            1324915.86000000
            USD
            2022-11-30
            -8749.12000000
          
        
        
          N
          N
          N
        
      
      
        DENALI CAPITAL CLO XI LTD
        254900ENG873HFQYVK56
        Denali Capital CLO XI Ltd.
        24823DAS5
        
          
        
        1683595.53160000
        PA
        USD
        1681379.08000000
        0.439995533062
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2028-10-20
          Floating
          1.38400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        F&G GLOBAL FUNDING
        6354009CCUKJIZ7KFX73
        F&G Global Funding
        30321L2B7
        
          
        
        3450000.00000000
        PA
        USD
        3252222.13000000
        0.851065192108
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-20
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust
        92536PAA2
        
          
        
        437094.21380000
        PA
        USD
        435311.87000000
        0.113915583087
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.41700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co.
        025816CR8
        
          
        
        1800000.00000000
        PA
        USD
        1815255.36000000
        0.475029253824
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-04
          Floating
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wind River CLO Ltd
        2549008107XSHXNMJI27
        Wind River CLO Ltd.
        88432GAN7
        
          
        
        0.01250000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-10-15
          Floating
          0.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BrightSpire Capital, Inc
        N/A
        BRSP Ltd.
        05591XAE1
        
          
        
        1500000.00000000
        PA
        USD
        1479290.85000000
        0.387111612035
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2038-08-19
          Floating
          2.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STAR INTERMEDIATE III INC
        RI37BMPWE56BCJ747E14
        Dun & Bradstreet
        N/A
        
          
        
        873685.55780000
        PA
        USD
        864476.91000000
        0.226222618896
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-02-06
          Variable
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        CURRENCY CONTRACT - Rec USD / Deliver ILS
        N/A
        
          
        
        -2419875.00000000
        NC
        
        -4819.97000000
        -0.00126132488
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2419875.00000000
            ILS
            764911.81000000
            USD
            2022-11-30
            -4819.97000000
          
        
        
          N
          N
          N
        
      
      
        FS KKR CAPITAL C
        549300TYRSI1T21B1360
        FS KKR Capital Corp.
        30313RAA7
        
          
        
        900000.00000000
        PA
        USD
        885389.04000000
        0.231695057501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        254900NUVOJAHAT10W61
        Golub Capital Partners CLO 49M Ltd.
        38178GAA8
        
          
        
        2250000.00000000
        PA
        USD
        2232251.33000000
        0.584151798697
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-08-26
          Floating
          1.78400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        N/A
        Golub Capital Partners CLO 36M Ltd.
        38175BAA2
        
          
        
        3000000.00000000
        PA
        USD
        2955901.80000000
        0.773521928304
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-02-05
          Floating
          1.61500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILLUMINA INC
        SQ95QG8SR5Q56LSNF682
        Illumina, Inc.
        452327AL3
        
          
        
        3550000.00000000
        PA
        USD
        3482232.24000000
        0.911255914215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-23
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust
        92539LAC4
        
          
        
        317710.42460000
        PA
        USD
        300429.61000000
        0.078618610146
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-06-25
          Variable
          1.43700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank plc
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - Rec USD / Deliver CZK
        N/A
        
          
        
        -78678600.00000000
        NC
        
        -4458.32000000
        -0.00116668567
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            78678600.00000000
            CZK
            3559832.54000000
            USD
            2022-04-19
            -4458.32000000
          
        
        
          N
          N
          N
        
      
      
        Ocwen Master Advance Receivabl
        549300THGK42AVJMPW70
        Ocwen Master Advance Receivables Trust
        67575NBW2
        
          
        
        2623157.89470000
        PA
        USD
        2623233.97000000
        0.686466985766
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-08-15
          Fixed
          1.27800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        CURRENCY CONTRACT - Rec USD / Deliver ILS
        N/A
        
          
        
        -2096887.50000000
        NC
        
        -1589.56000000
        -0.00041596764
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2096887.50000000
            ILS
            665403.96000000
            USD
            2022-11-30
            -1589.56000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co.
        097023DE2
        
          
        
        1850000.00000000
        PA
        USD
        1789336.48000000
        0.468246612385
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-04
          Fixed
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AASET 2018-2 Trust
        N/A
        AASET US Ltd.
        04546KAA6
        
          
        
        1536167.18180000
        PA
        USD
        1324721.30000000
        0.346662725548
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-11-18
          Fixed
          4.45400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCC Middle Market CLO
        N/A
        BCC Middle Market CLO LLC
        05550GAL1
        
          
        
        7750000.00000000
        PA
        USD
        7653434.23000000
        2.002806454443
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-10-15
          Floating
          1.74100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding Trust
        05990TAG2
        
          
        
        943082.26270000
        PA
        USD
        923529.53000000
        0.241675938927
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-29
          Floating
          0.71700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        Structured Asset Securities Corporation Mortgage Loan Trust
        86365DAA7
        
          
        
        1689486.42130000
        PA
        USD
        1669933.66000000
        0.437000412132
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-25
          Floating
          1.08700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust
        05610HAE3
        
          
        
        1100000.00000000
        PA
        USD
        1076627.20000000
        0.281739653126
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-02-15
          Floating
          1.66100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust
        92538CAA9
        
          
        
        1641170.78220000
        PA
        USD
        1599693.64000000
        0.418619491726
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.21800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        54930000UKAI7FBHXD27
        Cerberus Loan Funding XXXIII, LP
        15674PAA5
        
          
        
        1000000.00000000
        PA
        USD
        994341.50000000
        0.260206531378
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-07-23
          Floating
          1.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICON LUXEMBOURG SARL
        N/A
        Icon Luxembourg SARL
        N/A
        
          
        
        162786.90600000
        PA
        USD
        161872.04000000
        0.042359855296
        Long
        LON
        CORP
        LU
        N
        
        2
        
          2028-07-03
          Variable
          3.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities I Trust
        07389MAD9
        
          
        
        718317.26740000
        PA
        USD
        704186.60000000
        0.184276682235
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential AP Advance Rec
        N/A
        New Residential Advance Receivables Trust Advance Receivables Backed Notes
        64831JAA7
        
          
        
        1000000.00000000
        PA
        USD
        985708.20000000
        0.257947306507
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-12-16
          Fixed
          1.03500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        N/A
        Wellfleet CLO Ltd.
        94951MAJ2
        
          
        
        1194258.02570000
        PA
        USD
        1189603.88000000
        0.311304214225
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2029-10-20
          Floating
          1.31400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Home Equity Loa
        N/A
        Morgan Stanley Home Equity Loan Trust
        61744CYP5
        
          
        
        470895.73280000
        PA
        USD
        467381.01000000
        0.122307669391
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          1.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge, Inc.
        29250NBM6
        
          
        
        1950000.00000000
        PA
        USD
        1949517.82000000
        0.510164032983
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-02-16
          Floating
          0.84017200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust
        46654EAG6
        
          
        
        3900000.00000000
        PA
        USD
        3797303.64000000
        0.993706094691
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.93700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Station Place Securitization T
        N/A
        Station Place Securitization Trust
        857723AA8
        
          
        
        6400000.00000000
        PA
        USD
        6400000.00000000
        1.674798648977
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2022-06-20
          Floating
          1.05500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LSTAR Securities Investment Lt
        N/A
        LSTAR Securities Investment Ltd.
        54912PAA6
        
          
        
        468496.81550000
        PA
        USD
        465138.86000000
        0.121720927236
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2026-03-02
          Floating
          1.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LoanCore 2018-CRE1 Issuer, Ltd
        N/A
        LoanCore Issuer Ltd.
        53946MAC1
        
          
        
        1000000.00000000
        PA
        USD
        999108.10000000
        0.261453890009
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2028-05-15
          Floating
          1.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EBAY INC
        OML71K8X303XQONU6T67
        eBay, Inc.
        278642AX1
        
          
        
        1850000.00000000
        PA
        USD
        1722249.58000000
        0.450690823403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-10
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust
        92537KAA2
        
          
        
        326296.00690000
        PA
        USD
        325949.84000000
        0.085296929947
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          2.64200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TD SYNNEX CORP
        5493004HI6PFLF46NS53
        TD SYNNEX Corp.
        87162WAC4
        
          
        
        900000.00000000
        PA
        USD
        855056.57000000
        0.223757435661
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-09
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust
        89169EAA7
        
          
        
        700847.32860000
        PA
        USD
        698229.17000000
        0.182717698530
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-02-25
          Floating
          1.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust
        52475WAA4
        
          
        
        1348898.50440000
        PA
        USD
        1272798.10000000
        0.333075084109
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-11-25
          Variable
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLOCK INC
        549300OHIIUWSTIZME52
        Block, Inc.
        852234AL7
        
          
        
        150000.00000000
        PA
        USD
        141783.00000000
        0.037102808882
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgag
        N/A
        PRPM LLC
        69360MAA8
        
          
        
        758563.31520000
        PA
        USD
        718843.57000000
        0.188112224978
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-09-25
          Variable
          1.74300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dreyfus Treasury Securities Ca
        549300U78VESCW509025
        Dreyfus Treasury Securities Cash Management Fund - Institutional Shares
        N/A
        
          
        
        31663157.63000000
        NS
        USD
        31663157.63000000
        8.285845878292
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Novastar Home Equity Loan
        N/A
        NovaStar Mortgage Funding Trust Series
        66989EAA3
        
          
        
        1613697.98430000
        PA
        USD
        1574194.66000000
        0.411946732780
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Floating
          0.65700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trus
        N/A
        BRAVO Residential Funding Trust
        10569CAC9
        
          
        
        284152.94970000
        PA
        USD
        283028.36000000
        0.074064924210
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2069-11-25
          Floating
          0.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VONTIER CORP
        549300VVSQLG4P5K4639
        Vontier Corp.
        928881AB7
        
          
        
        850000.00000000
        PA
        USD
        768578.50000000
        0.201127223973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Owl Rock CLO Ltd
        N/A
        Owl Rock CLO IV Ltd.
        691200AC3
        
          
        
        2150000.00000000
        PA
        USD
        2151907.27000000
        0.563126779456
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-08-20
          Floating
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA, Inc.
        87264ABR5
        
          
        
        250000.00000000
        PA
        USD
        235575.00000000
        0.061646983083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Tru
        N/A
        Soundview Home Loan Trust
        83611MKY3
        
          
        
        109480.46150000
        PA
        USD
        109386.44000000
        0.028625040926
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          1.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COGENT COMMUNICATIONS GR
        549300KFWFYF8Q1U0Y26
        Cogent Communications Group, Inc.
        19240CAC7
        
          
        
        850000.00000000
        PA
        USD
        807500.00000000
        0.211312485788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        N/A
        Cerberus Loan Funding XXXII, LP
        15674LAA4
        
          
        
        1000000.00000000
        PA
        USD
        996922.50000000
        0.260881946271
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2033-04-22
          Floating
          1.86100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global, Inc.
        08576PAG6
        
          
        
        800000.00000000
        PA
        USD
        765875.90000000
        0.200419987906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mortgage Trust
        N/A
        NYMT Loan Trust
        62955RAA3
        
          
        
        2524885.24390000
        PA
        USD
        2403042.87000000
        0.628845773767
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-25
          Variable
          1.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        N/A
        Cerberus Loan Funding XXXV, LP
        15674RAC7
        
          
        
        1750000.00000000
        PA
        USD
        1729925.23000000
        0.452699443443
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-09-22
          Floating
          1.74100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series
        12648ELS9
        
          
        
        432836.47150000
        PA
        USD
        427980.13000000
        0.111996959923
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-27
          Floating
          0.38700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RS IVY HOLDCO INC
        N/A
        ITT Holdings LLC
        N/A
        
          
        
        195020.00000000
        PA
        USD
        192094.70000000
        0.050268741255
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-07-10
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GPMT Ltd.
        N/A
        GPMT Ltd.
        36259BAA5
        
          
        
        1074103.83330000
        PA
        USD
        1070637.06000000
        0.280172109630
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2036-02-22
          Floating
          1.47100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ladder Capital Commercial Mort
        N/A
        LCCM Trust
        50202KAE6
        
          
        
        1000000.00000000
        PA
        USD
        989725.00000000
        0.258998452009
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-12-13
          Floating
          2.29700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Motel 6 Trust
        N/A
        Motel Trust
        61977KAE6
        
          
        
        420500.89290000
        PA
        USD
        413336.31000000
        0.108164858368
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-09-15
          Floating
          1.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICON LUXEMBOURG SARL
        N/A
        Icon Luxembourg SARL
        N/A
        
          
        
        653367.44610000
        PA
        USD
        649695.52000000
        0.170017059241
        Long
        LON
        CORP
        LU
        N
        
        2
        
          2028-07-03
          Variable
          3.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fortress Credit Opportunities
        254900FRBH7KBHJT7O18
        Fortress Credit Opportunities XI CLO Ltd.
        34961WAC9
        
          
        
        2500000.00000000
        PA
        USD
        2460850.00000000
        0.643973164896
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.54100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCKETMTGE C0-ISSUER INC
        N/A
        Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
        77313LAA1
        
          
        
        900000.00000000
        PA
        USD
        826330.50000000
        0.216240188282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USI INC
        N/A
        USI, Inc.
        N/A
        
          
        
        586512.15000000
        PA
        USD
        581133.83000000
        0.152075336462
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-12-02
          Variable
          4.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Lo
        N/A
        Structured Asset Investment Loan Trust
        86358ERB4
        
          
        
        189580.17590000
        PA
        USD
        188171.81000000
        0.049242170806
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          1.19200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNH INDUSTRIAL CAP LLC
        549300PNSJ5B81UMVO28
        CNH Industrial Capital LLC
        12592BAK0
        
          
        
        1620000.00000000
        PA
        USD
        1603259.34000000
        0.419552590092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-02
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        U.S. Secured Overnight Financing Rate
        N/A
        
          
        
        -3700000.00000000
        OU
        Notional Amount
        USD
        55287.40000000
        0.014468009816
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                U.S. Secured Overnight Financing Rate
                N/A
              
            
            Y
            
              
                
              
            
            
            2024-03-04
            297.00000000
            USD
            0.00000000
            USD
            -3700000.00000000
            USD
            54990.40000000
          
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        N/A
        SkyMiles IP Ltd.
        N/A
        
          
        
        1750000.00000000
        PA
        USD
        1804407.50000000
        0.472190506750
        Long
        LON
        CORP
        KY
        
        N
        
        2
        
          2027-10-20
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Street Investment Grade Ne
        N/A
        Oak Street Investment Grade Net Lease Fund Series
        67181DAA9
        
          
        
        3418617.88490000
        PA
        USD
        3212544.62000000
        0.840682092086
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-11-20
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        U.S. Secured Overnight Financing Rate
        N/A
        
          
        
        -1410000.00000000
        OU
        Notional Amount
        USD
        27477.98000000
        0.007190638090
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            
              
                U.S. Secured Overnight Financing Rate
                N/A
              
            
            Y
            
              
                
              
            
            
            2027-02-17
            298.97000000
            USD
            0.00000000
            USD
            -1410000.00000000
            USD
            27179.01000000
          
        
        
          N
          N
          N
        
      
      
        THL Credit Lake Shore MM CLO I
        N/A
        Lake Shore MM CLO III LLC
        510760AA9
        
          
        
        7650000.00000000
        PA
        USD
        7589691.99000000
        1.986125920469
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-10-17
          Floating
          1.72100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABPCI Direct Lending Fund CLO
        N/A
        ABPCI Direct Lending Fund CLO II LLC
        000823AJ3
        
          
        
        1250000.00000000
        PA
        USD
        1250125.38000000
        0.327141921480
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2032-04-20
          Floating
          1.85400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL (STATE OF)
        N/A
        State of Israel
        N/A
        
          
        
        16830000.00000000
        PA
        
        5290062.25000000
        1.384342048328
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2022-07-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        Countrywide Asset-Backed Certificates
        126670ZH4
        
          
        
        846309.79160000
        PA
        USD
        843094.58000000
        0.220627134928
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Floating
          0.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIVE NATION ENTERTAINMEN
        5493007B9BM9ZXJINO78
        Live Nation Entertainment, Inc.
        538034AV1
        
          
        
        100000.00000000
        PA
        USD
        106502.00000000
        0.027870219642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLI Funding LLC
        N/A
        CLI Funding VIII LLC
        12565KAA5
        
          
        
        1337821.43620000
        PA
        USD
        1214494.63000000
        0.317817807111
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-02-18
          Fixed
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Revolving Single Family Home N
        N/A
        ZH Trust
        98879EAA9
        
          
        
        500000.00000000
        PA
        USD
        490919.10000000
        0.128467288349
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-02-18
          Fixed
          2.25300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTEGRIS INC
        N/A
        Entegris, Inc.
        N/A
        
          
        
        500000.00000000
        PA
        USD
        498335.00000000
        0.130407935115
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-03-02
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp.
        126650CC2
        
          
        
        650000.00000000
        PA
        USD
        662246.27000000
        0.173301430982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-05
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services, Inc.
        31620MBQ8
        
          
        
        3550000.00000000
        PA
        USD
        3398610.68000000
        0.889373214884
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wind River CLO Ltd
        2549008107XSHXNMJI27
        Wind River CLO Ltd.
        88432GAL1
        
          
        
        0.01750000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-10-15
          Floating
          0.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPECTRUM BRANDS INC
        549300VU3EH2E73C1Q04
        Spectrum Brands, Inc.
        84762LAU9
        
          
        
        350000.00000000
        PA
        USD
        356562.50000000
        0.093307873949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology, Inc.
        595017AZ7
        
          
        
        1940000.00000000
        PA
        USD
        1933502.40000000
        0.505973001142
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgag
        N/A
        PRPM 2022-1 LLC
        693582AA6
        
          
        
        1550000.00000000
        PA
        USD
        1522552.76000000
        0.398432703975
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-02-25
          Variable
          3.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABPCI Direct Lending Fund CLO
        N/A
        ABPCI Direct Lending Fund CLO V Ltd.
        000807AN7
        
          
        
        3500000.00000000
        PA
        USD
        3478360.20000000
        0.910242650564
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.75400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BXMT Ltd
        N/A
        BXMT Ltd.
        12434LAC8
        
          
        
        2500000.00000000
        PA
        USD
        2460963.50000000
        0.644002866403
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2038-02-15
          Floating
          1.31500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co.
        097023CZ6
        
          
        
        3300000.00000000
        PA
        USD
        3226400.50000000
        0.844307999759
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE GMS FINANCE MM CLO LLC
        N/A
        Carlyle GMS Finance MM CLO 2015-1 LLC
        14310QAA6
        
          
        
        1400000.00000000
        PA
        USD
        1399625.36000000
        0.366264165937
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-10-15
          Floating
          1.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERA Commercial Mortgage Ltd
        N/A
        HERA Commercial Mortgage Ltd.
        42704RAA9
        
          
        
        1750000.00000000
        PA
        USD
        1728362.13000000
        0.452290400041
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2038-02-18
          Floating
          1.51800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACOM TECHNOLOGY SOLUTIONS HOLDINGS INC
        N/A
        MACOM Technology Solutions Holdings, Inc.
        N/A
        
          
        
        135979.55550000
        PA
        USD
        134109.84000000
        0.035094840444
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-05-17
          Variable
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust
        64830TAD0
        
          
        
        1235289.81820000
        PA
        USD
        1227287.12000000
        0.321165439137
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OGE ENERGY CORP
        CE5OG6JPOZMDSA0LAQ19
        OGE Energy Corp.
        670837AC7
        
          
        
        650000.00000000
        PA
        USD
        636792.82000000
        0.166640586658
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-26
          Fixed
          0.70300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL GROUP INC
        549300AP2Q7ERHX6RI89
        Berry Global, Inc.
        N/A
        
          
        
        1563806.82000000
        PA
        USD
        1539614.73000000
        0.402897604648
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-07-01
          Variable
          2.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Textainer Marine Containers Li
        549300X48KLHDDGPK024
        Textainer Marine Containers VII Ltd.
        88315LAL2
        
          
        
        776333.33330000
        PA
        USD
        702457.84000000
        0.183824287718
        Long
        ABS-O
        CORP
        BM
        
        N
        
        2
        
          2046-02-20
          Fixed
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        N/A
        Cerberus Loan Funding XXXVI, LP
        15674UAA4
        
          
        
        6100295.97370000
        PA
        USD
        6067949.15000000
        1.587905162262
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2033-11-22
          Floating
          1.64100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACRE COMMERCIAL MORTGAGE TRUST
        N/A
        ACRE Commercial Mortgage Ltd.
        00489TAC0
        
          
        
        350000.00000000
        PA
        USD
        339623.62000000
        0.088875184365
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2037-12-18
          Floating
          1.23700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Loan Trust
        N/A
        Home Equity Loan Trust
        43710XAA6
        
          
        
        2210182.28270000
        PA
        USD
        2113437.74000000
        0.553059792445
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktree CLO Ltd
        635400SBDDFQR1OHEJ54
        Oaktree CLO Ltd.
        67389XAM9
        
          
        
        1250000.00000000
        PA
        USD
        1244349.38000000
        0.325630415699
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-10-20
          Floating
          1.60400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Mortgage Loan Trus
        N/A
        Residential Mortgage Loan Trust
        76119CAA9
        
          
        
        755175.93000000
        PA
        USD
        734599.05000000
        0.192235233824
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-26
          Variable
          2.37600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust
        12598JAC5
        
          
        
        927672.59110000
        PA
        USD
        878526.45000000
        0.229899204929
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-07-27
          Variable
          1.92600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Woodmont Trust
        N/A
        Woodmont Trust
        97988WAA9
        
          
        
        3050000.00000000
        PA
        USD
        3062695.63000000
        0.801468516148
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-01-15
          Floating
          2.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRIGHTHSE FIN GLBL FUND
        549300BLFX3KJ2IFOA78
        Brighthouse Financial Global Funding
        10921U2B3
        
          
        
        350000.00000000
        PA
        USD
        350766.85000000
        0.091791226013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-12
          Floating
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LSTAR Securities Investment Lt
        N/A
        LSTAR Securities Investment Ltd.
        54912MAA3
        
          
        
        510442.96080000
        PA
        USD
        506248.65000000
        0.132478836729
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2026-02-01
          Floating
          2.03100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        N/A
        Cerberus Loan Funding XXX, LP
        15674JAA9
        
          
        
        1500000.00000000
        PA
        USD
        1506721.95000000
        0.394289982225
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          2.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        549300HU3WTU5KNK1B36
        Cascade Funding Mortgage Trust
        147271AA8
        
          
        
        272023.31240000
        PA
        USD
        267275.99000000
        0.069942729211
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2069-06-25
          Variable
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp.
        91913YBA7
        
          
        
        1650000.00000000
        PA
        USD
        1592234.09000000
        0.416667422310
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THL Credit Lake Shore MM CLO I
        N/A
        THL Credit Lake Shore MM CLO I Ltd.
        510800AC9
        
          
        
        1000000.00000000
        PA
        USD
        1002309.90000000
        0.262291760371
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.94100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHCP 2021-FL1 Ltd.
        N/A
        CHCP Ltd.
        12546JAA2
        
          
        
        2750000.00000000
        PA
        USD
        2733935.60000000
        0.715436195198
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2038-02-15
          Floating
          1.21500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Incorporated Trust
        61744CYB6
        
          
        
        1424310.05450000
        PA
        USD
        1417792.98000000
        0.371018401161
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          1.02700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust
        92537KAB0
        
          
        
        541879.24620000
        PA
        USD
        541243.78000000
        0.141636617423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          2.84600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trus
        N/A
        BRAVO Residential Funding Trust
        10568PAA5
        
          
        
        1242140.36680000
        PA
        USD
        1174614.76000000
        0.307381752049
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2070-01-29
          Variable
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCL AMERICA INC
        549300CBM0L7W7N2EB94
        HCL America, Inc.
        40480HAA5
        
          
        
        2800000.00000000
        PA
        USD
        2563535.91000000
        0.670844762292
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-03-10
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        N/A
        Golub Capital Partners CLO 17 Ltd.
        38175JAA5
        
          
        
        300000.00000000
        PA
        USD
        300041.34000000
        0.078517004823
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2030-10-25
          Floating
          1.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG NY
        22550UAB7
        
          
        
        2200000.00000000
        PA
        USD
        2182675.73000000
        0.571178494337
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-02-02
          Floating
          0.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INFOR INC
        549300Q3IIYBYI4RHD64
        Infor, Inc.
        45674CAB9
        
          
        
        780000.00000000
        PA
        USD
        764168.88000000
        0.199973282470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCB HOLDINGS I CORP
        N/A
        TricorBraun Holdings, Inc.
        N/A
        
          
        
        986239.76000000
        PA
        USD
        960074.82000000
        0.251239376789
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-03-03
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Tru
        N/A
        Soundview Home Loan Trust
        83612CAA7
        
          
        
        1980014.06870000
        PA
        USD
        1937302.79000000
        0.506967514898
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        N/A
        Cerberus Loan Funding XXXI, LP
        15674EAA0
        
          
        
        1000000.00000000
        PA
        USD
        996137.50000000
        0.260676521749
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2032-04-15
          Floating
          1.74100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONE GAS INC
        549300HXDWI0LATTX840
        ONE Gas, Inc.
        68235PAL2
        
          
        
        1800000.00000000
        PA
        USD
        1736272.40000000
        0.454360417152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-11
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities
        N/A
        Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series
        03072SS71
        
          
        
        245068.37160000
        PA
        USD
        244866.73000000
        0.064078510716
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          1.10200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup Commercial Mortgage Trust
        17327GAU8
        
          
        
        48515088.78380000
        PA
        USD
        2082835.24000000
        0.545051507186
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-10
          Variable
          0.77400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SILGAN HOLDINGS INC
        KAF673KJXD92C8KSLU49
        Silgan Holdings, Inc.
        827048AX7
        
          
        
        950000.00000000
        PA
        USD
        866400.74000000
        0.226726060753
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NewStar Clarendon Fund CLO LLC
        549300HC3VVP80NTKX35
        First Eagle Clarendon Fund CLO LLC
        32010AAA6
        
          
        
        0.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-25
          Floating
          1.47600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cerberus
        549300U8RSYT04O8Z019
        Cerberus Loan Funding XXVI, LP
        15673YAN9
        
          
        
        750000.00000000
        PA
        USD
        746190.98000000
        0.195268694559
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.74100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        5493002O60L75PP6F022
        Venture XIV CLO Ltd.
        92328GBA3
        
          
        
        1946787.43710000
        PA
        USD
        1936070.37000000
        0.506645006250
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2029-08-28
          Floating
          1.53800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank plc
        G5GSEF7VJP5I7OUK5573
        CURRENCY CONTRACT - Rec USD / Deliver ILS
        N/A
        
          
        
        -4192762.50000000
        NC
        
        144.21000000
        0.000037737923
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            4192762.50000000
            ILS
            1333809.19000000
            USD
            2022-11-30
            144.21000000
          
        
        
          N
          N
          N
        
      
      
        LoanCore 2018-CRE1 Issuer, Ltd
        N/A
        LoanCore Issuer Ltd.
        53946MAA5
        
          
        
        193014.23770000
        PA
        USD
        192932.96000000
        0.050488103242
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2028-05-15
          Floating
          1.52700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FS Rialto Issuer Ltd
        N/A
        FS Rialto
        30323CAE0
        
          
        
        2000000.00000000
        PA
        USD
        1965345.00000000
        0.514305804808
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2036-11-16
          Floating
          2.23100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        U.S. Secured Overnight Financing Rate
        N/A
        
          
        
        -850000.00000000
        OU
        Notional Amount
        USD
        28772.44000000
        0.007529381818
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                U.S. Secured Overnight Financing Rate
                N/A
              
            
            Y
            
              
                
              
            
            
            2027-02-02
            294.02000000
            USD
            0.00000000
            USD
            -850000.00000000
            USD
            28478.42000000
          
        
        
          N
          N
          N
        
      
      
        Cerberus
        N/A
        Cerberus Loan Funding XXXIV, LP
        15674TAA7
        
          
        
        2861624.72410000
        PA
        USD
        2858607.71000000
        0.748061301666
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2033-08-13
          Floating
          1.74100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABRE CORP
        F2TJC7HPPHLHU1AQMP98
        Sabre GLBL, Inc.
        N/A
        
          
        
        221131.06270000
        PA
        USD
        217400.58000000
        0.056890968386
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-02-22
          Variable
          2.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Taco Bell Funding, LLC
        N/A
        Taco Bell Funding LLC
        87342RAG9
        
          
        
        1246875.00000000
        PA
        USD
        1127667.52000000
        0.295096256092
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-08-25
          Fixed
          1.94600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triton Container Finance LLC
        N/A
        Triton Container Finance VIII LLC
        89680HAE2
        
          
        
        2745000.00000000
        PA
        USD
        2483605.45000000
        0.649927976914
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-03-20
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust
        05609VAL9
        
          
        
        3750000.00000000
        PA
        USD
        3614771.25000000
        0.945939688415
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-15
          Floating
          2.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEACHTREE FUNDING TRUST
        N/A
        Peachtree Corners Funding Trust
        70466WAA7
        
          
        
        250000.00000000
        PA
        USD
        253174.84000000
        0.066252637497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd.
        55608JBA5
        
          
        
        1850000.00000000
        PA
        USD
        1748508.50000000
        0.457562448988
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2025-10-14
          Variable
          1.20100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square Loan Funding Ltd
        N/A
        Palmer Square Loan Funding Ltd.
        69689LAA4
        
          
        
        258588.66000000
        PA
        USD
        257520.95000000
        0.067389959241
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-08-20
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELIANCE STEEL & ALUM
        549300E287ZOFT3C5Z56
        Reliance Steel & Aluminum Co.
        759509AE2
        
          
        
        850000.00000000
        PA
        USD
        866918.83000000
        0.226861638321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered plc
        853254BV1
        
          
        
        900000.00000000
        PA
        USD
        891520.46000000
        0.233299572178
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-10-14
          Variable
          1.31900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        5493004MLF21SFT7F415
        MidOcean Credit CLO VII
        59801WAM8
        
          
        
        2823462.01540000
        PA
        USD
        2810171.70000000
        0.735386213524
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2029-07-15
          Floating
          1.28100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GA GLOBAL FUNDING TRUST
        54930029I8ROQ4OROZ88
        GA Global Funding Trust
        36143L2A2
        
          
        
        600000.00000000
        PA
        USD
        557912.78000000
        0.145998682842
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Station Place Securitization T
        N/A
        Station Place Securitization Trust
        85778WAA8
        
          
        
        3600000.00000000
        PA
        USD
        3600000.00000000
        0.942074240049
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2022-09-26
          Floating
          1.05500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golub Capital Partners CLO Ltd
        2549007JA1TZWEDGPD41
        Golub Capital Partners CLO 54M, LP
        381743AA1
        
          
        
        1750000.00000000
        PA
        USD
        1736178.15000000
        0.454335753125
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-08-05
          Floating
          1.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        3-Month USD LIBOR
        N/A
        
          
        
        -14000000.00000000
        OU
        Notional Amount
        USD
        976999.52000000
        0.255668355648
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                ICE LIBOR USD 3 Month
                N/A
              
            
            Y
            
              
                
              
            
            
            2026-08-25
            319.29000000
            USD
            0.00000000
            USD
            -14000000.00000000
            USD
            976680.23000000
          
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp.
        808513BM6
        
          
        
        3550000.00000000
        PA
        USD
        3540183.26000000
        0.926420959528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-18
          Floating
          0.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes, Inc.
        55903VAE3
        
          
        
        2150000.00000000
        PA
        USD
        2163063.19000000
        0.566046141916
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.63800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL (STATE OF)
        N/A
        State of Israel
        N/A
        
          
        
        12743000.00000000
        PA
        
        4022074.00000000
        1.052525640825
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2022-11-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        549300QTQ6MX6ER06N64
        Alternative Loan Trust
        126680AB3
        
          
        
        819255.98410000
        PA
        USD
        744747.44000000
        0.194890938490
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-05-25
          Floating
          0.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Castlelake Aircraft Structured
        N/A
        Castlelake Aircraft Securitization Trust
        14856CAA7
        
          
        
        1456638.60190000
        PA
        USD
        1343462.15000000
        0.351566967776
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-06-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CF Hippolyta Issuer LLC
        N/A
        CF Hippolyta LLC
        12530MAG0
        
          
        
        964505.35470000
        PA
        USD
        887311.46000000
        0.232198130379
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2061-03-15
          Fixed
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diamond CLO 2019-1 LLC
        N/A
        Diamond CLO Ltd.
        25257AAL8
        
          
        
        35817.92560000
        PA
        USD
        35810.88000000
        0.009371252100
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2029-04-25
          Floating
          1.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2022-1
        03464BAC2
        
          
        
        671916.88840000
        PA
        USD
        653282.21000000
        0.170955650423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-12-25
          Variable
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRITON CONTAINER
        549300O4LZFLCX53XZ54
        Triton Container International Ltd.
        89680YAB1
        
          
        
        800000.00000000
        PA
        USD
        758978.21000000
        0.198614950111
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2024-06-07
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        BENCHMARK Mortgage Trust
        08162YAK8
        
          
        
        24772058.49570000
        PA
        USD
        992190.30000000
        0.259643589682
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-12-15
          Variable
          0.78200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDER FUNDING TRUST
        N/A
        Alexander Funding Trust
        014621AA4
        
          
        
        1750000.00000000
        PA
        USD
        1696241.14000000
        0.443884745251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          1.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust
        12660KAC5
        
          
        
        2735378.74730000
        PA
        USD
        2628516.80000000
        0.687849435227
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-09-27
          Variable
          1.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CZECH REPUBLIC
        N/A
        Czech Republic
        N/A
        
          
        
        78600000.00000000
        PA
        
        3551409.99000000
        0.929358852064
        Long
        DBT
        NUSS
        CZ
        N
        
        2
        
          2022-04-17
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRITON INTERNATIONAL LTD
        549300O4LZFLCX53XZ54
        Triton Container International Ltd.
        89680YAD7
        
          
        
        1050000.00000000
        PA
        USD
        1018740.77000000
        0.266591510195
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2023-08-01
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust
        52476DAA5
        
          
        
        648282.17680000
        PA
        USD
        618065.16000000
        0.161739796085
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-04-25
          Variable
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CERBERUS 2112 LEVERED LLC
        N/A
        Cerberus 2112 Levered LLC
        N/A
        
          
        
        1850000.00000000
        PA
        USD
        1816177.34000000
        0.475270524271
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-02-15
          Variable
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shackleton CLO LTD
        549300VJPG28RMYCYW83
        Shackleton VIII CLO Ltd.
        81882EAN2
        
          
        
        2591168.87620000
        PA
        USD
        2579388.65000000
        0.674993222844
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-10-20
          Floating
          1.17400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        CFMT LLC
        12526PAA2
        
          
        
        1049314.59160000
        PA
        USD
        1037866.04000000
        0.271596350251
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-02-25
          Variable
          0.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERISOURCEBERGEN CORP
        AI8GXW8LG5WK7E9UD086
        AmerisourceBergen Corp.
        03073EAS4
        
          
        
        3550000.00000000
        PA
        USD
        3497712.58000000
        0.915306922420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          0.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Life Financial Services Trust
        N/A
        Life Mortgage Trust
        53218CAE0
        
          
        
        933821.64180000
        PA
        USD
        902264.07000000
        0.236111038352
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-03-15
          Floating
          1.49700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PANTHER BF AGGREGATOR 1 LP
        N/A
        Power Solutions (Panther)
        N/A
        
          
        
        786468.50120000
        PA
        USD
        775654.56000000
        0.202978938931
        Long
        LON
        CORP
        CA
        
        N
        
        2
        
          2026-04-30
          Variable
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BXHPP Trust
        N/A
        BXHPP Trust
        05609JAL6
        
          
        
        500000.00000000
        PA
        USD
        479968.50000000
        0.125601655523
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-15
          Floating
          1.49700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JEFFERIES FIN GROUP INC
        549300HOF34RGOJ5YL07
        Jefferies Financial Group, Inc.
        527288BE3
        
          
        
        350000.00000000
        PA
        USD
        357908.67000000
        0.093660149527
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-18
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        549300U1MV4J7YQZG974
        New Residential Mortgage Loan Trust
        64828CAG4
        
          
        
        1275222.57270000
        PA
        USD
        1267743.52000000
        0.331752364772
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-02-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELEMENT FLEET MANAGEMENT
        5493000PGBS1C22ELQ16
        Element Fleet Management Corp.
        286181AF9
        
          
        
        1800000.00000000
        PA
        USD
        1735922.59000000
        0.454268876322
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-04-06
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trus
        N/A
        BRAVO Residential Funding Trust
        105692AA5
        
          
        
        1883257.95000000
        PA
        USD
        1774731.07000000
        0.464424562239
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-03-01
          Variable
          1.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A3J8
        
          
        
        3700000.00000000
        PA
        USD
        3642508.07000000
        0.953198061644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-08
          Fixed
          2.51400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nationstar Home Equity Loan Tr
        N/A
        Nationstar Home Equity Loan Trust
        63860LAA8
        
          
        
        366169.73810000
        PA
        USD
        363613.87000000
        0.095153127847
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.67700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square Loan Funding Ltd
        N/A
        Palmer Square Loan Funding Ltd.
        69701CAC4
        
          
        
        3750000.00000000
        PA
        USD
        3750000.00000000
        0.981327333385
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2030-04-15
          Floating
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FBR Securitization Trust
        N/A
        FBR Securitization Trust
        30246QAH6
        
          
        
        199604.48590000
        PA
        USD
        199284.04000000
        0.052150100149
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          1.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYATT HOTELS CORP
        T27JQIMTYSH41TCD5186
        Hyatt Hotels Corp.
        448579AN2
        
          
        
        1200000.00000000
        PA
        USD
        1154568.77000000
        0.302135971272
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRITON CONTAINER
        549300O4LZFLCX53XZ54
        Triton Container International Ltd.
        89680YAA3
        
          
        
        900000.00000000
        PA
        USD
        839268.23000000
        0.219625827770
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2026-04-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Parliament CLO Ltd
        5493009BTB3REE8RVW84
        Parliament CLO II Ltd.
        701631AA1
        
          
        
        1750000.00000000
        PA
        USD
        1724139.03000000
        0.451185268451
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2032-08-20
          Floating
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Secu
        N/A
        JPMDB Commercial Mortgage Securities Trust
        46591ABC8
        
          
        
        46612498.14110000
        PA
        USD
        1101933.44000000
        0.288361974464
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-06-15
          Variable
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA, Inc.
        87264ABU8
        
          
        
        650000.00000000
        PA
        USD
        620893.00000000
        0.162479805868
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOCKEY PARENT HOLDINGS LP
        549300JQT6ATTUNS5E06
        HUB International Ltd.
        N/A
        
          
        
        296163.68980000
        PA
        USD
        292491.26000000
        0.076541244857
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-04-25
          Variable
          3.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - Rec USD / Deliver ILS
        N/A
        
          
        
        -10337160.33000000
        NC
        
        -56497.50000000
        -0.01478467760
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            10337160.33000000
            ILS
            3204625.45000000
            USD
            2022-08-01
            -56497.50000000
          
        
        
          N
          N
          N
        
      
      
        ZH Trust
        N/A
        ZH Trust
        98879FAA6
        
          
        
        500000.00000000
        PA
        USD
        491069.05000000
        0.128506528358
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-10-17
          Fixed
          2.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABPCI Direct Lending Fund CLO
        N/A
        ABPCI Direct Lending Fund IX LLC
        000806AJ8
        
          
        
        1900000.00000000
        PA
        USD
        1866829.61000000
        0.488525579484
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-11-18
          Floating
          1.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDW LLC/CDW FINANCE
        N/A
        CDW LLC / CDW Finance Corp.
        12513GBG3
        
          
        
        1450000.00000000
        PA
        USD
        1366661.25000000
        0.357637877360
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        5493001QI7ZD0IPL4A34
        SOUND POINT CLO XIX Ltd.
        83610JAA4
        
          
        
        4135000.00000000
        PA
        USD
        4100419.00000000
        1.073027531475
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.24100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Textainer Marine Containers Li
        549300X48KLHDDGPK024
        Textainer Marine Containers VII Ltd.
        88315LAE8
        
          
        
        418551.71320000
        PA
        USD
        405457.78000000
        0.106103147212
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-08-21
          Fixed
          2.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgag
        N/A
        PRPM LLC
        69358DAA2
        
          
        
        1596080.37640000
        PA
        USD
        1512696.03000000
        0.395853323024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-06-25
          Variable
          1.79300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dreyfus Treasury Obligations C
        549300MKKM9KT7BF6329
        Dreyfus Treasury Obligations Cash Management Fund - Institutional Shares
        N/A
        
          
        
        171302.36000000
        NS
        USD
        171302.36000000
        0.044827650171
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TOWD POINT REVOLVING TRUST TPRT_22-A
        N/A
        Towd Point Revolving Trust
        N/A
        
          
        
        1250000.00000000
        PA
        USD
        1251036.30000000
        0.327380297665
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2064-09-25
          Fixed
          4.82900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co.
        46647PBZ8
        
          
        
        3550000.00000000
        PA
        USD
        3482564.45000000
        0.911342849349
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-16
          Variable
          0.69700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Advance Receiv
        549300RNWDDBV4LFKJ17
        NRZ Advance Receivables Trust
        62942QCW1
        
          
        
        2550000.00000000
        PA
        USD
        2478900.39000000
        0.648696722518
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          1.47500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ladder Capital Commercial Mort
        N/A
        LCCM Trust
        50190FAA9
        
          
        
        1400000.00000000
        PA
        USD
        1385076.70000000
        0.362456966545
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          1.84700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        CURRENCY CONTRACT - Rec USD / Deliver CZK
        N/A
        
          
        
        -11790.00000000
        NC
        
        -30.03000000
        -0.00000785846
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            11790.00000000
            CZK
            503.57000000
            USD
            2022-04-28
            -30.03000000
          
        
        
          N
          N
          N
        
      
      
        AZALEA TOPCO INC
        N/A
        Emerald TopCo, Inc. (Press Ganey)
        N/A
        
          
        
        942766.49500000
        PA
        USD
        929068.10000000
        0.243125312294
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-07-24
          Variable
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABPCI Direct Lending Fund CLO
        N/A
        ABPCI Direct Lending Fund CLO I LLC
        00086AAQ7
        
          
        
        750000.00000000
        PA
        USD
        753094.58000000
        0.197075278927
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2033-07-20
          Floating
          1.95400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRAPHIC PACKAGING INTERN
        SO75N4VY5NXGQSK8YQ65
        Graphic Packaging International LLC
        38869PAN4
        
          
        
        2550000.00000000
        PA
        USD
        2423294.76000000
        0.634145435956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          0.82100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        3G SPECIAL SITUATIONS FUND V LP
        N/A
        Hunter Douglas, Inc.
        N/A
        
          
        
        1000000.00000000
        PA
        USD
        978750.00000000
        0.256126434013
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2029-02-26
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust
        17312BAE2
        
          
        
        164654.25140000
        PA
        USD
        164439.29000000
        0.043031671989
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          1.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOCUS FINANCIAL PARTNERS INC
        N/A
        Focus Financial Partners LLC
        N/A
        
          
        
        345512.80840000
        PA
        USD
        340402.67000000
        0.089079051847
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-07-03
          Variable
          2.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JABIL INC
        5493000CGCQY2OQU7669
        Jabil, Inc.
        466313AL7
        
          
        
        250000.00000000
        PA
        USD
        231431.52000000
        0.060562687035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings, Inc.
        65339KBV1
        
          
        
        3550000.00000000
        PA
        USD
        3546336.58000000
        0.928031205156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Floating
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        G HOLDINGS INC
        N/A
        Standard Industries, Inc.
        N/A
        
          
        
        286987.50000000
        PA
        USD
        286126.54000000
        0.074875678535
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-09-22
          Variable
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA, Inc.
        46266TAA6
        
          
        
        1000000.00000000
        PA
        USD
        1011045.00000000
        0.264577625008
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERIPRISE FINANCIAL INC
        6ZLKQF7QB6JAEKQS5388
        Ameriprise Financial, Inc.
        03076CAK2
        
          
        
        2450000.00000000
        PA
        USD
        2440603.86000000
        0.638675007408
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-02
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup, Inc.
        17327CAP8
        
          
        
        950000.00000000
        PA
        USD
        934600.50000000
        0.244573071052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-25
          Floating
          0.83824600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        Stryker Corp.
        863667AF8
        
          
        
        650000.00000000
        PA
        USD
        657523.85000000
        0.172065633695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROGERS COMMUNICATIONS IN
        54930030NVF3Y2OL0A78
        Rogers Communications, Inc.
        775109CA7
        
          
        
        900000.00000000
        PA
        USD
        893502.05000000
        0.233818129093
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OSW Structured Asset Trust
        N/A
        OSAT Trust
        67114HAA2
        
          
        
        1548141.23980000
        PA
        USD
        1481294.67000000
        0.387635986258
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          2.11600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MH SUB I LLC
        N/A
        Internet Brands, Inc.
        N/A
        
          
        
        841191.71250000
        PA
        USD
        829860.86000000
        0.217164038619
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-09-13
          Variable
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Newfleet CLO, Ltd.
        5493003RFBB86V8THH68
        Newfleet CLO Ltd.
        65130PAN0
        
          
        
        422449.17480000
        PA
        USD
        421297.66000000
        0.110248242466
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2028-04-20
          Floating
          1.20400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USI INC
        N/A
        USI, Inc.
        N/A
        
          
        
        393814.42880000
        PA
        USD
        390852.94000000
        0.102281246228
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-05-16
          Variable
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust
        41162NAC1
        
          
        
        692293.84550000
        PA
        USD
        641294.77000000
        0.167818689748
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-25
          Floating
          0.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MADISON INDUSTRIES US HOLDINGS CORP
        549300ZA0D9WN5ECE978
        Filtration Group Corp.
        N/A
        
          
        
        444001.90240000
        PA
        USD
        437017.75000000
        0.114361990199
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-03-31
          Variable
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BIO-RAD LABS
        549300ZC1GPV35XYDK53
        Bio-Rad Laboratories, Inc.
        090572AR9
        
          
        
        1050000.00000000
        PA
        USD
        1033093.40000000
        0.270347411029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOXER PARENT CO INC
        5493006T045HLTF7YX04
        Boxer Parent Co., Inc.
        N/A
        
          
        
        542986.55900000
        PA
        USD
        539256.24000000
        0.141116503469
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-10-02
          Variable
          4.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES HOLDINGS INC
        N/A
        Mileage Plus Holdings LLC
        N/A
        
          
        
        850000.00000000
        PA
        USD
        880812.50000000
        0.230497435156
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-06-21
          Variable
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square Loan Funding Ltd
        N/A
        Palmer Square Loan Funding Ltd.
        69702DAE7
        
          
        
        1750000.00000000
        PA
        USD
        1709284.68000000
        0.447298073872
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2029-05-20
          Floating
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust
        52474XAA3
        
          
        
        1612424.21990000
        PA
        USD
        1534820.18000000
        0.401642931857
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-07-25
          Variable
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Halcyon Loan Advisors Funding
        549300Q8TB5ELPAK8181
        Halcyon Loan Advisors Funding Ltd.
        40538MAJ7
        
          
        
        101132.99060000
        PA
        USD
        101096.20000000
        0.026455590496
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-10-18
          Floating
          1.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Industrial Portfolio Trust
        N/A
        KKR Industrial Portfolio Trust
        48254CAL9
        
          
        
        225000.00000000
        PA
        USD
        219912.68000000
        0.057548353024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Floating
          1.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments, Inc.
        37940XAF9
        
          
        
        1900000.00000000
        PA
        USD
        1816473.64000000
        0.475348062214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trus
        N/A
        BRAVO Residential Funding Trust
        10569QAB0
        
          
        
        569301.94280000
        PA
        USD
        566835.39000000
        0.148333616463
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2070-01-25
          Floating
          0.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARPENTER TECHNOLOGY
        DX6I6ZD3X5WNNCDJKP85
        Carpenter Technology Corp.
        144285AK9
        
          
        
        700000.00000000
        PA
        USD
        712950.00000000
        0.186569952623
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        Cascade Funding Mortgage Trust
        14727QAA3
        
          
        
        858859.04380000
        PA
        USD
        860135.39000000
        0.225086498298
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2068-10-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group, Inc.
        38141GZJ6
        
          
        
        1000000.00000000
        PA
        USD
        993290.00000000
        0.259931367194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-24
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Fund LLC
        N/A
        Imperial Fund Mortgage Trust 2022-NQM2
        45276PAB2
        
          
        
        1750000.00000000
        PA
        USD
        1727867.58000000
        0.452160982593
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-03-25
          Variable
          4.02100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        CURRENCY CONTRACT - Rec USD / Deliver ILS
        N/A
        
          
        
        -6619409.69000000
        NC
        
        -35471.84000000
        -0.00928252964
        N/A
        DFE
        
        US
        
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            6619409.69000000
            ILS
            2052791.11000000
            USD
            2022-08-01
            -35471.84000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust
        17328BAA2
        
          
        
        164558.77350000
        PA
        USD
        162883.71000000
        0.042624596476
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIT Mortgage Loan Trust
        N/A
        CIT Mortgage Loan Trust
        12559QAA0
        
          
        
        450643.90870000
        PA
        USD
        450828.22000000
        0.117976014652
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-25
          Floating
          1.80700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIT Mortgage Loan Trust
        N/A
        CIT Mortgage Loan Trust
        12559QAD4
        
          
        
        81323.21130000
        PA
        USD
        81424.86000000
        0.021307850862
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-25
          Floating
          1.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BXMT Ltd
        N/A
        BXMT Ltd.
        05608XAC6
        
          
        
        1750000.00000000
        PA
        USD
        1733989.25000000
        0.453762945818
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2037-11-15
          Floating
          1.91500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        3-Month USD LIBOR
        N/A
        
          
        
        -30000000.00000000
        OU
        Notional Amount
        USD
        1234983.60000000
        0.323179510123
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            
              
                ICE LIBOR USD 3 Month
                N/A
              
            
            Y
            
              
                
              
            
            
            2024-10-26
            320.99000000
            USD
            0.00000000
            USD
            -30000000.00000000
            USD
            1234662.61000000
          
        
        
          N
          N
          N
        
      
      
        Marathon CLO LTD
        635400LRBGQZIPTCBI09
        Marathon CLO V Ltd.
        56576QAQ1
        
          
        
        1618482.00000000
        PA
        USD
        1613496.27000000
        0.422231464550
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2027-11-21
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATMOS ENERGY CORP
        QVLWEGTD2S8GJMO8D383
        Atmos Energy Corp.
        049560AU9
        
          
        
        1800000.00000000
        PA
        USD
        1773234.00000000
        0.464032798050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-09
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        U.S. Secured Overnight Financing Rate
        N/A
        
          
        
        -980000.00000000
        OU
        Notional Amount
        USD
        21573.62000000
        0.005645542129
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                U.S. Secured Overnight Financing Rate
                N/A
              
            
            Y
            
              
                
              
            
            
            2027-02-25
            298.41000000
            USD
            0.00000000
            USD
            -980000.00000000
            USD
            21275.21000000
          
        
        
          N
          N
          N
        
      
      
        NEXUS BUYER LLC
        N/A
        Nexus Buyer LLC
        N/A
        
          
        
        346455.68810000
        PA
        USD
        342731.29000000
        0.089688422102
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-11-09
          Variable
          4.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEIR GROUP PLC (THE)
        549300KDR56WHY9I3D10
        Weir Group plc
        94876QAA4
        
          
        
        200000.00000000
        PA
        USD
        186784.97000000
        0.048879252407
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-13
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Advance Receiv
        549300RNWDDBV4LFKJ17
        NRZ Advance Receivables Trust
        62942QDB6
        
          
        
        1050000.00000000
        PA
        USD
        1045550.52000000
        0.273607280989
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-10-15
          Fixed
          1.31700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EQUITY INVESTME
        549300RK5RZQ740FPL83
        American Equity Investment Life Holding Co.
        025676AM9
        
          
        
        850000.00000000
        PA
        USD
        886825.00000000
        0.232070829981
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI TR BK LT
        5493006GGLR4BTEL8O61
        Sumitomo Mitsui Trust Bank Ltd.
        86563VAU3
        
          
        
        3550000.00000000
        PA
        USD
        3401533.60000000
        0.890138105895
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-03-25
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      2022-05-02
      Guggenheim Strategy Funds Trust
      John Sullivan
      John Sullivan
      CFO
    
  





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