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Form NPORT-P NORTHWESTERN MUTUAL SERI For: Mar 31

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StreetInsider.com Top Tickers, 4/23/2024

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2. SPY
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4. SPOT
5. AMZN
6. SHW
7. AAPL
8. IBM
9. MINN
10. NVDA


May 24, 2022 1:40 PM EDT 

  
    NPORT-P
    false
    
      
      
        
          0000742212
          XXXXXXXX
        
      
      
      
      
        S000018233
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      NORTHWESTERN MUTUAL SERIES FUND INC
      811-03990
      0000742212
      549300T1UBX7MDSNZA55
      720 E WISCONSIN AVE
      MILWAUKEE
      
      53202
      414-271-1444
      Short-Term Bond Portfolio
      S000018233
      BEEDB5U9NNUVQYFFEL15
      2022-12-31
      2022-03-31
      N
    
    
      409482364.78
      6906153.27
      402576211.51
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      810872.69000000
      0.00000000
      0.00000000
      561408.55000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9XM0
        
          
        
        180827.76000000
        PA
        USD
        188600.93000000
        0.046848503366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668BJ0
        
          
        
        345000.00000000
        PA
        USD
        333175.51000000
        0.082760853839
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-11-22
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCN9
        
          
        
        3910000.00000000
        PA
        USD
        3811486.34000000
        0.946773860706
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-07-31
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-6
        89175JAA8
        
          
        
        349386.66000000
        PA
        USD
        346028.67000000
        0.085953580988
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-10-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R02
        20754BAA9
        
          
        
        938485.09000000
        PA
        USD
        930785.29000000
        0.231207225709
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ELECTRICITY GLOBAL
        549300NU3VI6NLNU1575
        Saudi Electricity Global Sukuk Co 2
        000000000
        
          
        
        800000.00000000
        PA
        USD
        806350.40000000
        0.200297577687
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-04-08
          Fixed
          3.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AE6K8
        
          
        
        16209.64000000
        PA
        USD
        16213.54000000
        0.004027446117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Floorplan Master Owner Trust
        5493001DTG5N7T8BG747
        Ford Credit Floorplan Master Owner Trust A
        34528QHN7
        
          
        
        440000.00000000
        PA
        USD
        429599.41000000
        0.106712567140
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          1.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371LDG1
        
          
        
        83090.15000000
        PA
        USD
        89868.28000000
        0.022323296168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co., LLC
        N/A
        Galton Funding Mortgage Trust 2019-H1
        36418XAD9
        
          
        
        260000.00000000
        PA
        USD
        251912.70000000
        0.062575157894
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-10-25
          Variable
          3.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAL3
        
          
        
        55000.00000000
        PA
        USD
        55313.21000000
        0.013739810852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASTRAZENECA FINANCE LLC
        549300C3HATU4Q460S18
        Astrazeneca Finance LLC
        04636NAA1
        
          
        
        805000.00000000
        PA
        USD
        746334.08000000
        0.185389513503
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-05-28
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MX6
        
          
        
        500000.00000000
        PA
        USD
        476638.63000000
        0.118397117458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2019-C
        80284NAG3
        
          
        
        360000.00000000
        PA
        USD
        360848.56000000
        0.089634844206
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-11-20
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NASDAQ INC
        549300L8X1Q78ERXFD06
        Nasdaq Inc
        63111XAC5
        
          
        
        415000.00000000
        PA
        USD
        410205.92000000
        0.101895220897
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-21
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GATX Corp
        549300IHYHCQP2PIR591
        GATX Corp
        361448AQ6
        
          
        
        360000.00000000
        PA
        USD
        366416.57000000
        0.091017938845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-30
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KNDR Trust 2021-KIND
        N/A
        KIND Trust 2021-KIND
        482606AL4
        
          
        
        580000.00000000
        PA
        USD
        568030.13000000
        0.141098781736
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-08-15
          Floating
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BSREP Commercial Mortgage Trust 2021-DC
        N/A
        BSREP Commercial Mortgage Trust 2021-DC
        05591UAG2
        
          
        
        200000.00000000
        PA
        USD
        193990.94000000
        0.048187382774
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-08-15
          Floating
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GM Financial Consumer Automobile Receivables Trust 2020-2
        N/A
        GM Financial Consumer Automobile Receivables Trust 2020-2
        36258VAD6
        
          
        
        108848.41000000
        PA
        USD
        108654.13000000
        0.026989704531
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-12-16
          Fixed
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851DY7
        
          
        
        815000.00000000
        PA
        USD
        811049.47000000
        0.201464827481
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-10
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYVIEW OPPORTUNITY MASTER FUND TRUST
        549300ZGMKIELA840327
        Bayview Mortgage Fund IVc Trust 2017-RT3
        07326TAA6
        
          
        
        250613.87000000
        PA
        USD
        246879.40000000
        0.061324885311
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-01-28
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAN4
        
          
        
        117000.00000000
        PA
        USD
        113901.55000000
        0.028293164559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAD9
        
          
        
        615000.00000000
        PA
        USD
        615109.94000000
        0.152793414616
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-04-26
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2021-4
        85573PAA0
        
          
        
        803684.78000000
        PA
        USD
        770515.50000000
        0.191396182379
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-08-25
          Variable
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2020-EXP1 Trust
        67448TBF1
        
          
        
        119202.28000000
        PA
        USD
        118414.22000000
        0.029414112561
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-02-25
          Floating
          1.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Mortgage Loan Trust
        N/A
        Barclays Mortgage Loan Trust 2021-NQM1
        06744UAA9
        
          
        
        703078.57000000
        PA
        USD
        676431.19000000
        0.168025623636
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-25
          Variable
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132CWG73
        
          
        
        45340.72000000
        PA
        USD
        45996.51000000
        0.011425540974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200JC6
        
          
        
        155000.00000000
        PA
        USD
        155655.89000000
        0.038664949778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-09
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2019-C
        80284NAD0
        
          
        
        56537.36000000
        PA
        USD
        56560.12000000
        0.014049543510
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-21
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRIGHTHSE FIN GLBL FUND
        549300BLFX3KJ2IFOA78
        Brighthouse Financial Global Funding
        10921U2A5
        
          
        
        495000.00000000
        PA
        USD
        474061.44000000
        0.117756943020
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-12
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAV3
        
          
        
        615000.00000000
        PA
        USD
        555614.59000000
        0.138014759470
        Long
        DBT
        
        US
        N
        
        2
        
          2026-07-15
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAN9
        
          
        
        35000.00000000
        PA
        USD
        35679.30000000
        0.008862744240
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BV1
        
          
        
        455000.00000000
        PA
        USD
        450713.12000000
        0.111957216326
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-10-14
          Fixed
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAE0
        
          
        
        530000.00000000
        PA
        USD
        546060.61000000
        0.135641549199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MBEW3
        
          
        
        28.89000000
        PA
        USD
        28.88000000
        0.000007173796
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2021-2
        31572LAC0
        
          
        
        190249.98000000
        PA
        USD
        177360.92000000
        0.044056482953
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-06-25
          Variable
          1.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CP5
        
          
        
        1050000.00000000
        PA
        USD
        1024298.36000000
        0.254435888339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-18
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Blackbird Capital Aircraft
        N/A
        Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
        09228YAA0
        
          
        
        293958.33000000
        PA
        USD
        279956.62000000
        0.069541272433
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2041-12-16
          Variable
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2019-NUGS
        61692AAL6
        
          
        
        315000.00000000
        PA
        USD
        310852.96000000
        0.077215928590
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2020-G
        63941UAA1
        
          
        
        150673.09000000
        PA
        USD
        145696.57000000
        0.036191052981
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-09-16
          Fixed
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        N/A
        CSAIL 2019-C16 Commercial Mortgage Trust
        12596WAA2
        
          
        
        156181.07000000
        PA
        USD
        154786.17000000
        0.038448911181
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-06-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DTQ5
        
          
        
        238442.11000000
        PA
        USD
        222149.27000000
        0.055181916777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDELSBANKEN AB
        NHBDILHZTYCNBV5UYZ31
        Svenska Handelsbanken AB
        86959LAG8
        
          
        
        420000.00000000
        PA
        USD
        399741.93000000
        0.099295963986
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2024-06-11
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-5
        92538CAC5
        
          
        
        111692.79000000
        PA
        USD
        108897.45000000
        0.027050145261
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CCRE19 Mortgage Trust
        12592GBF9
        
          
        
        495000.00000000
        PA
        USD
        498868.33000000
        0.123918978751
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-10
          Fixed
          4.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AES CORP/THE
        2NUNNB7D43COUIRE5295
        AES Corp/The
        00130HCB9
        
          
        
        365000.00000000
        PA
        USD
        358101.50000000
        0.088952474031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TJZ9
        
          
        
        325000.00000000
        PA
        USD
        324457.56000000
        0.080595313563
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-22
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRUST
        N/A
        WFRBS Commercial Mortgage Trust 2014-C23
        92939HAY1
        
          
        
        575000.00000000
        PA
        USD
        582674.99000000
        0.144736567472
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-10-15
          Fixed
          3.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBX8
        
          
        
        7195000.00000000
        PA
        USD
        7067963.28000000
        1.755683291242
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXJ8
        
          
        
        490000.00000000
        PA
        USD
        493654.42000000
        0.122623842613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-NET
        126438AA8
        
          
        
        200660.94000000
        PA
        USD
        190853.96000000
        0.047408156404
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
        46591JAG1
        
          
        
        790000.00000000
        PA
        USD
        776058.48000000
        0.192773059562
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-09-15
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2V4
        
          
        
        375000.00000000
        PA
        USD
        374246.88000000
        0.092962989193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-24
          Fixed
          3.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER HOLDINGS USA
        549300SMVCQN2P0O6I58
        Santander Holdings USA Inc
        80282KBC9
        
          
        
        410000.00000000
        PA
        USD
        382530.28000000
        0.095020587174
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-06
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER FIN CA
        549300P4EXZFF0LRNF59
        Schlumberger Finance Canada Ltd
        80685XAC5
        
          
        
        155000.00000000
        PA
        USD
        147049.94000000
        0.036527230322
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2025-09-17
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        549300NMFC2YLCA2NF13
        COMM 2013-300P Mortgage Trust
        12625XAA5
        
          
        
        275000.00000000
        PA
        USD
        277889.07000000
        0.069027692659
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-08-10
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARTIN MARIETTA
        5299005MZ4WZECVATV08
        Martin Marietta Materials Inc
        573284AY2
        
          
        
        475000.00000000
        PA
        USD
        463716.71000000
        0.115187310313
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELARA HGV TIMESHARE ISSUER
        N/A
        Elara HGV Timeshare Issuer 2019-A LLC
        28416TAA3
        
          
        
        112716.89000000
        PA
        USD
        109517.12000000
        0.027204071395
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-01-25
          Fixed
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2021-1
        03465CAA3
        
          
        
        416056.25000000
        PA
        USD
        402550.61000000
        0.099993640580
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-01-25
          Variable
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toorak Mortgage Corp.
        N/A
        TRK 2021-INV1 Trust
        89688WAB7
        
          
        
        160542.14000000
        PA
        USD
        149186.02000000
        0.037057832960
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-07-25
          Variable
          1.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAC7
        
          
        
        135000.00000000
        PA
        USD
        136778.83000000
        0.033975884836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C7G3
        
          
        
        35517.26000000
        PA
        USD
        37357.52000000
        0.009279614376
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KKY4
        
          
        
        325000.00000000
        PA
        USD
        309079.13000000
        0.076775308913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABR7
        
          
        
        390000.00000000
        PA
        USD
        372275.51000000
        0.092473300546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-08
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2020-3
        03465LAA3
        
          
        
        216281.01000000
        PA
        USD
        213492.13000000
        0.053031481716
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          1.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFN9
        
          
        
        155000.00000000
        PA
        USD
        156738.32000000
        0.038933825576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300IUW4WDDDVSMS20
        Palmer Square CLO 2020-3 Ltd
        69701RAL1
        
          
        
        1285000.00000000
        PA
        USD
        1275137.25000000
        0.316744311646
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-11-15
          Floating
          1.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enbridge Inc
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NAF2
        
          
        
        365000.00000000
        PA
        USD
        370671.63000000
        0.092074896479
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cold Storage Trust
        N/A
        Cold Storage Trust 2020-ICE5
        193051AJ8
        
          
        
        953500.80000000
        PA
        USD
        940156.27000000
        0.233534978749
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Floating
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World Omni Auto Receivables Trust
        N/A
        World Omni Auto Receivables Trust 2019-C
        98162RAG3
        
          
        
        380000.00000000
        PA
        USD
        379875.63000000
        0.094361171658
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABQ9
        
          
        
        385000.00000000
        PA
        USD
        382327.98000000
        0.094970335819
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-10
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRITON INTERNATIONAL LTD
        549300O4LZFLCX53XZ54
        Triton Container International Ltd
        89680YAD7
        
          
        
        780000.00000000
        PA
        USD
        756778.85000000
        0.187983996163
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2023-08-01
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335CHG2
        
          
        
        50287.47000000
        PA
        USD
        55027.57000000
        0.013668857827
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RDU5
        
          
        
        250000.00000000
        PA
        USD
        242551.93000000
        0.060249941021
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-08-20
          Fixed
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        20753XAA2
        
          
        
        580000.00000000
        PA
        USD
        580898.88000000
        0.144295381443
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31620MBQ8
        
          
        
        310000.00000000
        PA
        USD
        296780.09000000
        0.073720225267
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31413DPP6
        
          
        
        910.37000000
        PA
        USD
        912.77000000
        0.000226732224
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2020-1
        64034GAA8
        
          
        
        142380.82000000
        PA
        USD
        141345.23000000
        0.035110179379
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-03-26
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST FINANCIAL CORP
        549300DRQQI75D2JP341
        Truist Financial Corp
        89788MAF9
        
          
        
        410000.00000000
        PA
        USD
        407420.28000000
        0.101203267443
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-09
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBV0
        
          
        
        1120000.00000000
        PA
        USD
        1109472.80000000
        0.275593233847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17328PAX1
        
          
        
        478825.53000000
        PA
        USD
        455038.63000000
        0.113031673752
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HASBRO INC
        549300NUB6D2R1ITYR45
        Hasbro Inc
        418056AX5
        
          
        
        1030000.00000000
        PA
        USD
        1021724.74000000
        0.253796600690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-19
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-SOAR
        05608WAL8
        
          
        
        375000.00000000
        PA
        USD
        365355.26000000
        0.090754309259
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABR5
        
          
        
        470000.00000000
        PA
        USD
        442881.00000000
        0.110011716375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179NNA2
        
          
        
        51186.92000000
        PA
        USD
        52553.89000000
        0.013054395291
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NBN CO LTD
        2549007CRZ2NT7S96A24
        NBN Co Ltd
        62878U2A9
        
          
        
        1000000.00000000
        PA
        USD
        925357.20000000
        0.229858887222
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2026-05-05
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEERE & COMPANY
        PWFTNG3EI0Y73OXWDH08
        Deere & Co
        244199BH7
        
          
        
        195000.00000000
        PA
        USD
        193786.07000000
        0.048136493031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAK5
        
          
        
        600000.00000000
        PA
        USD
        582475.69000000
        0.144687061318
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-06-30
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2019-INV2
        92537HAB7
        
          
        
        233281.89000000
        PA
        USD
        233455.20000000
        0.057990311728
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BY5
        
          
        
        220000.00000000
        PA
        USD
        210162.31000000
        0.052204353856
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-01-12
          Fixed
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2020-D
        63941HAA0
        
          
        
        240290.07000000
        PA
        USD
        233871.66000000
        0.058093760464
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-05-15
          Fixed
          1.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RCV4
        
          
        
        435000.00000000
        PA
        USD
        435831.37000000
        0.108260587073
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-03-20
          Fixed
          3.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-2
        92538FAA2
        
          
        
        238945.05000000
        PA
        USD
        230012.14000000
        0.057135055033
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-02-25
          Variable
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities Trust
        N/A
        GS Mortgage-Backed Securities Trust 2022-GR1
        36266TAJ8
        
          
        
        1013710.59000000
        PA
        USD
        973489.09000000
        0.241814856955
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-06-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hardee's Funding
        N/A
        Hardee's Funding LLC
        411707AD4
        
          
        
        303975.00000000
        PA
        USD
        305482.11000000
        0.075881808528
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-06-20
          Fixed
          4.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2020-NQM1
        64830VAA1
        
          
        
        148786.84000000
        PA
        USD
        148006.99000000
        0.036764961706
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-26
          Variable
          2.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2021-2
        85573HAA8
        
          
        
        240004.74000000
        PA
        USD
        234524.64000000
        0.058255960808
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2020-A
        63941FAB2
        
          
        
        349885.46000000
        PA
        USD
        335996.23000000
        0.083461521171
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-11-15
          Fixed
          2.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNO GLOBAL FUNDING
        6354008GTNR4833ULD48
        CNO Global Funding
        18977W2A7
        
          
        
        490000.00000000
        PA
        USD
        451752.31000000
        0.112215351300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-07
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Bank Auto Credit-Linked Notes
        N/A
        Santander Bank NA - SBCLN
        80290CAE4
        
          
        
        215330.05000000
        PA
        USD
        211491.43000000
        0.052534507492
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-12-15
          Fixed
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEASEPLAN CORPORATION NV
        724500C60L930FVHS484
        LeasePlan Corp NV
        52206AAD2
        
          
        
        600000.00000000
        PA
        USD
        586101.47000000
        0.145587705692
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-10-24
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-VIEW
        05606GAA9
        
          
        
        255000.00000000
        PA
        USD
        251899.53000000
        0.062571886464
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-06-15
          Floating
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co LLC
        N/A
        Sierra Timeshare 2019-2 Receivables Funding LLC
        82652MAA8
        
          
        
        215966.17000000
        PA
        USD
        212707.28000000
        0.052836524841
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-05-20
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CZ9
        
          
        
        91000.00000000
        PA
        USD
        92116.87000000
        0.022881846310
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-20
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STELLANTIS FIN US INC
        549300QZ0AI8Q7LNON33
        Stellantis Finance US Inc
        85855CAA8
        
          
        
        260000.00000000
        PA
        USD
        236976.28000000
        0.058864948604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORTINET INC
        549300O0QJWDBAS0QX03
        Fortinet Inc
        34959EAA7
        
          
        
        380000.00000000
        PA
        USD
        345794.78000000
        0.085895482672
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER HLDGS CORP
        529900IKZG65COT1D505
        Schlumberger Holdings Corp
        806851AJ0
        
          
        
        865000.00000000
        PA
        USD
        880861.11000000
        0.218806050833
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview MSR Opportunity Master Fund Trust 2021-INV2
        N/A
        Bayview MSR Opportunity Master Fund Trust 2021-INV2
        07336LAE3
        
          
        
        529497.67000000
        PA
        USD
        505780.36000000
        0.125635928189
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2051-06-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAKER HUGHES LLC/CO-OBL
        N/A
        Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc
        05724BAB5
        
          
        
        210000.00000000
        PA
        USD
        204974.84000000
        0.050915785418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELX Capital Inc
        2R15C3RTKJN1RCBOV146
        RELX Capital Inc
        74949LAB8
        
          
        
        270000.00000000
        PA
        USD
        272313.29000000
        0.067642667950
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-16
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Planet Fitness Master Issuer LLC
        549300NX9W3U2DO53T22
        Planet Fitness Master Issuer LLC
        72703PAB9
        
          
        
        820250.00000000
        PA
        USD
        815704.99000000
        0.202621259448
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-09-05
          Fixed
          4.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Wholesale Mortgage LLC
        N/A
        UWM Mortgage Trust 2021-INV5
        90355DAE3
        
          
        
        201326.41000000
        PA
        USD
        193217.89000000
        0.047995357022
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KNK1
        
          
        
        500000.00000000
        PA
        USD
        487425.70000000
        0.121076627496
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AG0
        
          
        
        385000.00000000
        PA
        USD
        374158.03000000
        0.092940918837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BP6
        
          
        
        320000.00000000
        PA
        USD
        312188.43000000
        0.077547659567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-03
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE Funding LLC
        23371DAJ3
        
          
        
        265000.00000000
        PA
        USD
        250293.55000000
        0.062172960757
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-01
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2018-DSNY
        054967AA2
        
          
        
        460000.00000000
        PA
        USD
        454212.79000000
        0.112826534955
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-15
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSK2
        
          
        
        182845.05000000
        PA
        USD
        195223.54000000
        0.048493560826
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        8.00000000
        NC
        USD
        -36941.08000000
        -0.00917617060
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            1120691.08000000
            USD
            -36941.08000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDD0
        
          
        
        14830000.00000000
        PA
        USD
        14414064.77000000
        3.580456161563
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-10-31
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYVIEW OPPORTUNITY MASTER FUND TRUST
        N/A
        Bayview Opportunity Master Fund IVb Trust 2017-SPL4
        07331YAA8
        
          
        
        76801.72000000
        PA
        USD
        76304.29000000
        0.018953998725
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-01-28
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERYP9
        
          
        
        69200.98000000
        PA
        USD
        71368.92000000
        0.017728051971
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDSTROM INC
        549300S3IZB5P35KNV16
        Nordstrom Inc
        655664AX8
        
          
        
        85000.00000000
        PA
        USD
        83803.20000000
        0.020816729256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-08
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Drive Auto Receivables Trust
        N/A
        Drive Auto Receivables Trust 2021-2
        262104AF9
        
          
        
        445000.00000000
        PA
        USD
        422829.30000000
        0.105030870655
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2022-1
        92538WAC1
        
          
        
        997762.92000000
        PA
        USD
        968179.35000000
        0.240495916628
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-01-25
          Variable
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        N/A
        SMB Private Education Loan Trust 2020-PTB
        78449DAB2
        
          
        
        1162802.79000000
        PA
        USD
        1100055.39000000
        0.273253947587
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2054-09-15
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BIG Commercial Mortgage Trust 2022-BIG
        N/A
        BIG Commercial Mortgage Trust 2022-BIG
        05551UAC9
        
          
        
        225000.00000000
        PA
        USD
        223377.75000000
        0.055487071419
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-02-15
          Floating
          2.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AZ8
        
          
        
        410000.00000000
        PA
        USD
        406986.62000000
        0.101095546225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-17
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335APZ5
        
          
        
        39240.72000000
        PA
        USD
        40004.38000000
        0.009937094854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        549300INMCHM7L5O6M41
        SMB Private Education Loan Trust 2018-B
        78449LAC2
        
          
        
        394388.64000000
        PA
        USD
        392259.18000000
        0.097437247603
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-15
          Floating
          1.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-UBS5 Mortgage Trust
        12592KBC7
        
          
        
        630000.00000000
        PA
        USD
        633652.87000000
        0.157399481609
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-10
          Fixed
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANALOG DEVICES INC
        GYVOE5EZ4GDAVTU4CQ61
        Analog Devices Inc
        032654AS4
        
          
        
        140000.00000000
        PA
        USD
        140263.27000000
        0.034841420329
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402QVG3
        
          
        
        1535.31000000
        PA
        USD
        1703.22000000
        0.000423080140
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        902674YK0
        
          
        
        280000.00000000
        PA
        USD
        265480.18000000
        0.065945322254
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-08-09
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World OMNI Select Auto Trust
        N/A
        World Omni Select Auto Trust 2020-A
        98163DAF5
        
          
        
        310000.00000000
        PA
        USD
        303689.73000000
        0.075436581029
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2021-3 Mortgage Loan Trust
        19688FAC9
        
          
        
        238401.06000000
        PA
        USD
        220742.91000000
        0.054832576711
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-09-27
          Variable
          1.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SG Capital Partners
        N/A
        SG Residential Mortgage Trust 2022-1
        78433QAA3
        
          
        
        625000.00000000
        PA
        USD
        613099.13000000
        0.152293929067
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-03-27
          Variable
          3.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co., LLC
        N/A
        Galton Funding Mortgage Trust 2019-1
        36418WAG4
        
          
        
        68669.52000000
        PA
        USD
        68933.88000000
        0.017123187617
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-02-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPR Trust
        N/A
        BPR Trust 2021-TY
        05592AAG5
        
          
        
        450000.00000000
        PA
        USD
        439857.59000000
        0.109260700812
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-09-15
          Floating
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-LC23 Mortgage Trust
        12636FBF9
        
          
        
        345468.58000000
        PA
        USD
        343496.82000000
        0.085324669013
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-10
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONE Park Mortgage Trust
        N/A
        ONE 2021-PARK Mortgage Trust
        682413AE9
        
          
        
        405000.00000000
        PA
        USD
        389497.45000000
        0.096751233397
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-15
          Floating
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2019-MEAD
        61771LAJ1
        
          
        
        480000.00000000
        PA
        USD
        449024.21000000
        0.111537690792
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-10
          Variable
          3.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAV0
        
          
        
        1830000.00000000
        PA
        USD
        1858424.48000000
        0.461632959639
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2023-06-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFRA TRUST
        N/A
        MFA 2021-NQM2 Trust
        55283WAB7
        
          
        
        166254.14000000
        PA
        USD
        157232.11000000
        0.039056483096
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-11-25
          Variable
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAP4
        
          
        
        85000.00000000
        PA
        USD
        85614.76000000
        0.021266721070
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-06
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN UNION CO/THE
        28ID94QU1140NC23S047
        Western Union Co/The
        959802AY5
        
          
        
        570000.00000000
        PA
        USD
        563433.58000000
        0.139956997927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-10
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2017-1
        31574XAA6
        
          
        
        95163.99000000
        PA
        USD
        91408.58000000
        0.022705906952
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-02-25
          Variable
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418UEL4
        
          
        
        45032.93000000
        PA
        USD
        48617.06000000
        0.012076486044
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2019-INV3
        92537MAE0
        
          
        
        209821.90000000
        PA
        USD
        209540.26000000
        0.052049836530
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-4
        89173UAA5
        
          
        
        95732.36000000
        PA
        USD
        95039.23000000
        0.023607761035
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-06-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        549300ZAGI6FKGY8O078
        CSAIL 2015-C3 Commercial Mortgage Trust
        12635FAT1
        
          
        
        305000.00000000
        PA
        USD
        306620.07000000
        0.076164477987
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-15
          Fixed
          3.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2020-1
        85573AAB1
        
          
        
        208100.21000000
        PA
        USD
        203510.54000000
        0.050552053047
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cardinal Health Inc
        CCU46N3GJMF4OK4N7U60
        Cardinal Health Inc
        14149YBH0
        
          
        
        310000.00000000
        PA
        USD
        310139.84000000
        0.077038789459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMBC AVIATION CAPITAL FI
        549300OD7VKRVNWB2J98
        SMBC Aviation Capital Finance DAC
        78448TAE2
        
          
        
        200000.00000000
        PA
        USD
        199045.01000000
        0.049442814629
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-04-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW 2021-1W LLC
        55389TAC5
        
          
        
        144393.02000000
        PA
        USD
        136783.46000000
        0.033977034928
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-01-22
          Fixed
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF
        39152TAJ9
        
          
        
        270000.00000000
        PA
        USD
        264810.60000000
        0.065778998467
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          2.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2021-E
        63942EAA6
        
          
        
        245610.22000000
        PA
        USD
        231193.64000000
        0.057428539836
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-12-16
          Fixed
          0.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        InTown Hotel Portfolio Trust
        N/A
        InTown Hotel Portfolio Trust 2018-STAY
        46117MAA2
        
          
        
        115000.00000000
        PA
        USD
        114524.54000000
        0.028447915382
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-01-15
          Floating
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEMPRA ENERGY
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BN8
        
          
        
        385000.00000000
        PA
        USD
        385609.65000000
        0.095785503210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2017-1
        31574XAC2
        
          
        
        78916.51000000
        PA
        USD
        75709.70000000
        0.018806302467
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-02-25
          Variable
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2016-1
        89172EBJ2
        
          
        
        13023.94000000
        PA
        USD
        13041.71000000
        0.003239563001
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-02-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AZ7
        
          
        
        640000.00000000
        PA
        USD
        637856.46000000
        0.158443654086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2021-B
        80286DAG3
        
          
        
        440000.00000000
        PA
        USD
        414359.13000000
        0.102926878974
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-11-20
          Fixed
          1.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2019-D
        63941CAB9
        
          
        
        249382.14000000
        PA
        USD
        246234.89000000
        0.061164788916
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-12-15
          Fixed
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW 2020-1 LLC
        N/A
        MVW 2020-1 LLC
        55400EAB5
        
          
        
        223917.92000000
        PA
        USD
        218773.16000000
        0.054343290473
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-20
          Fixed
          2.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2020-4
        80286WAF3
        
          
        
        400000.00000000
        PA
        USD
        395460.36000000
        0.098232421264
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Opportunity Master Fund
        N/A
        Bayview MSR Opportunity Master Fund Trust 2021-INV5
        07336JAH1
        
          
        
        389765.12000000
        PA
        USD
        373383.99000000
        0.092748647169
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31620MBP0
        
          
        
        650000.00000000
        PA
        USD
        638324.45000000
        0.158559902882
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617G1SL3
        
          
        
        83316.23000000
        PA
        USD
        85360.31000000
        0.021203515647
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QCXQ4
        
          
        
        24574.68000000
        PA
        USD
        25538.50000000
        0.006343767781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CUA0
        
          
        
        352367.94000000
        PA
        USD
        356488.42000000
        0.088551784682
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AC1
        
          
        
        395000.00000000
        PA
        USD
        395582.80000000
        0.098262835381
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBK1
        
          
        
        890000.00000000
        PA
        USD
        858854.97000000
        0.213339721882
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Fixed
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCD1
        
          
        
        2250000.00000000
        PA
        USD
        2204033.20000000
        0.547482224976
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-05-31
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RDE1
        
          
        
        195000.00000000
        PA
        USD
        197511.60000000
        0.049061915322
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABC0
        
          
        
        228000.00000000
        PA
        USD
        228703.60000000
        0.056810013473
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAC9
        
          
        
        425000.00000000
        PA
        USD
        448558.88000000
        0.111422102741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-31
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-2
        89173HAA4
        
          
        
        45571.44000000
        PA
        USD
        45597.06000000
        0.011326317526
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-04-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AD8
        
          
        
        1370000.00000000
        PA
        USD
        1401712.29000000
        0.348185573296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEA5
        
          
        
        6085000.00000000
        PA
        USD
        5996339.66000000
        1.489491800200
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-02-29
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAM6
        
          
        
        145000.00000000
        PA
        USD
        148219.76000000
        0.036817813810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-04
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cardinal Health Inc
        CCU46N3GJMF4OK4N7U60
        Cardinal Health Inc
        14149YAY4
        
          
        
        395000.00000000
        PA
        USD
        397735.39000000
        0.098797539106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extended Stay America Trust
        N/A
        Extended Stay America Trust 2021-ESH
        30227FAG5
        
          
        
        477063.91000000
        PA
        USD
        470175.11000000
        0.116791577981
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AJ5
        
          
        
        100000.00000000
        PA
        USD
        104663.80000000
        0.025998505874
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XHT4
        
          
        
        13414.74000000
        PA
        USD
        13305.81000000
        0.003305165486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-09-25
          Floating
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2019-E
        63941MAB7
        
          
        
        407709.83000000
        PA
        USD
        401589.45000000
        0.099754888271
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-05-15
          Fixed
          2.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4GD2
        
          
        
        379716.16000000
        PA
        USD
        428993.09000000
        0.106561957148
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-7
        92538QAA8
        
          
        
        964392.30000000
        PA
        USD
        911033.92000000
        0.226300982013
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDR9
        
          
        
        4125000.00000000
        PA
        USD
        4018007.81000000
        0.998073829282
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-12-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X6M85
        
          
        
        212986.75000000
        PA
        USD
        215194.44000000
        0.053454335812
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PANASONIC CORP
        254900GE1G59KGWPHX32
        Panasonic Corp
        69832AAA4
        
          
        
        335000.00000000
        PA
        USD
        335451.26000000
        0.083326150529
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2022-07-19
          Fixed
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0BK4
        
          
        
        71972.25000000
        PA
        USD
        73052.29000000
        0.018146201367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-25
          Floating
          4.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2019-2 B PTT
        N/A
        United Airlines 2019-2 Class B Pass Through Trust
        90932KAA7
        
          
        
        150405.55000000
        PA
        USD
        135882.31000000
        0.033753189114
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GATX Corp
        549300IHYHCQP2PIR591
        GATX Corp
        361448BD4
        
          
        
        547000.00000000
        PA
        USD
        558881.86000000
        0.138826349898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        54930001DQI1CFLYVB48
        Symphony CLO XXIII Ltd
        87167NDC6
        
          
        
        1045000.00000000
        PA
        USD
        1035242.58000000
        0.257154434465
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-15
          Floating
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AX2
        
          
        
        560000.00000000
        PA
        USD
        530191.55000000
        0.131699671972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300L8K4CLYS7FCQ06
        Freddie Mac STACR Trust 2018-DNA2
        35563TAK7
        
          
        
        454438.55000000
        PA
        USD
        452644.70000000
        0.112437021130
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-12-25
          Floating
          1.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017BB9
        
          
        
        685000.00000000
        PA
        USD
        656504.25000000
        0.163075768321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Stacr Trust 2018-HQA2
        35563XAA0
        
          
        
        30676.51000000
        PA
        USD
        30650.08000000
        0.007613485129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-25
          Floating
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW Owner Trust 2017-1
        553896AA9
        
          
        
        166493.94000000
        PA
        USD
        165784.73000000
        0.041180955371
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-12-20
          Fixed
          2.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNO GLOBAL FUNDING
        6354008GTNR4833ULD48
        CNO Global Funding
        18977W2B5
        
          
        
        525000.00000000
        PA
        USD
        499901.62000000
        0.124175648164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-06
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST BANK
        JJKC32MCHWDI71265Z06
        Truist Bank
        86787EBE6
        
          
        
        480000.00000000
        PA
        USD
        480532.51000000
        0.119364357918
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-17
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA HYDRO & NUCLEAR PO
        9884008CRY5MLCN8OQ43
        Korea Hydro & Nuclear Power Co Ltd
        50064YAP8
        
          
        
        795000.00000000
        PA
        USD
        740760.58000000
        0.184005055147
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2026-04-27
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Booking Holdings Inc
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        741503BB1
        
          
        
        150000.00000000
        PA
        USD
        150852.80000000
        0.037471861398
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAM0
        
          
        
        645000.00000000
        PA
        USD
        592042.33000000
        0.147063416335
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-07-12
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FirstEnergy Corp
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AG2
        
          
        
        320000.00000000
        PA
        USD
        319600.00000000
        0.079388694826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust I LLC 2019-4
        03463UAC1
        
          
        
        62860.68000000
        PA
        USD
        62778.29000000
        0.015594138005
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-26
          Variable
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAM5
        
          
        
        200000.00000000
        PA
        USD
        199501.21000000
        0.049556134787
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-06-15
          Fixed
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAH0
        
          
        
        485000.00000000
        PA
        USD
        472152.78000000
        0.117282831548
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-05
          Fixed
          2.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XXXVII Ltd
        55817EAN6
        
          
        
        450000.00000000
        PA
        USD
        445813.55000000
        0.110740162298
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-07-15
          Floating
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust I LLC 2019-2
        03463WAD5
        
          
        
        270000.00000000
        PA
        USD
        266200.67000000
        0.066124292094
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-03-25
          Variable
          4.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arbor Realty Collateralized Loan Obligation Ltd
        N/A
        Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
        03880KAA2
        
          
        
        640000.00000000
        PA
        USD
        632310.91000000
        0.157066138515
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-08-15
          Floating
          1.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROGERS COMMUNICATIONS IN
        54930030NVF3Y2OL0A78
        Rogers Communications Inc
        775109CB5
        
          
        
        690000.00000000
        PA
        USD
        679174.58000000
        0.168707082182
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-03-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
        
        355000.00000000
        PA
        USD
        359795.79000000
        0.089373335958
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-R2
        92538DAA7
        
          
        
        249814.01000000
        PA
        USD
        244628.42000000
        0.060765741493
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-02-25
          Variable
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        CarMax Auto Owner Trust 2020-4
        14316HAG7
        
          
        
        300000.00000000
        PA
        USD
        284996.55000000
        0.070793191910
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARK AEROSPACE HOLDINGS
        635400CPI3EOIFF6OC33
        Park Aerospace Holdings Ltd
        70014LAC4
        
          
        
        525000.00000000
        PA
        USD
        528732.09000000
        0.131337141858
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-03-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137A0UA1
        
          
        
        100983.79000000
        PA
        USD
        100187.57000000
        0.024886609574
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3622AABW3
        
          
        
        154582.13000000
        PA
        USD
        173506.90000000
        0.043099143724
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2R3
        
          
        
        410000.00000000
        PA
        USD
        405079.54000000
        0.100621827226
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-02
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avnet Inc
        XJI53DCPL7QABOWK4Z75
        Avnet Inc
        053807AR4
        
          
        
        180000.00000000
        PA
        USD
        183435.72000000
        0.045565464315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2020-6
        03465AAA7
        
          
        
        159546.35000000
        PA
        USD
        156304.66000000
        0.038826104357
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FVG8
        
          
        
        213101.09000000
        PA
        USD
        226891.44000000
        0.056359872618
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-07-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89114QCQ9
        
          
        
        1015000.00000000
        PA
        USD
        976740.70000000
        0.242622557437
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-03-04
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2020-A
        80286KAG7
        
          
        
        320000.00000000
        PA
        USD
        318508.83000000
        0.079117648011
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-20
          Fixed
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSMC Trust
        N/A
        PSMC 2021-1 Trust
        693650AL7
        
          
        
        790454.98000000
        PA
        USD
        755738.20000000
        0.187725498524
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Auto Owner Trust/Ford Credit
        N/A
        Ford Credit Auto Owner Trust 2020-REV2
        34532JAC8
        
          
        
        310000.00000000
        PA
        USD
        287949.33000000
        0.071526662968
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-04-15
          Fixed
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMJ8
        
          
        
        1060000.00000000
        PA
        USD
        1026102.43000000
        0.254884019637
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-25
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AFW3
        
          
        
        1109.14000000
        PA
        USD
        1118.05000000
        0.000277723811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        7-Eleven Inc
        817826AB6
        
          
        
        325000.00000000
        PA
        USD
        312206.99000000
        0.077552269874
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-10
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JDE PEET'S NV
        724500EHG519SE5ZRT89
        JDE Peet's NV
        47216QAA1
        
          
        
        295000.00000000
        PA
        USD
        276800.89000000
        0.068757388560
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-09-24
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBZ1
        
          
        
        1935000.00000000
        PA
        USD
        1921615.62000000
        0.477329649656
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANALOG DEVICES INC
        GYVOE5EZ4GDAVTU4CQ61
        Analog Devices Inc
        032654AT2
        
          
        
        170000.00000000
        PA
        USD
        169390.81000000
        0.042076706262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Floating
          0.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAG8
        
          
        
        425000.00000000
        PA
        USD
        412620.01000000
        0.102494881267
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-09-02
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GYJX8
        
          
        
        63300.40000000
        PA
        USD
        63983.91000000
        0.015893614220
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        N/A
        Symphony CLO XXVI Ltd
        87190GAC5
        
          
        
        285000.00000000
        PA
        USD
        282862.50000000
        0.070263093524
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-20
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co LLC
        N/A
        Sierra Timeshare 2020-2 Receivables Funding LLC
        826525AC1
        
          
        
        123373.10000000
        PA
        USD
        121127.19000000
        0.030088014775
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-20
          Fixed
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R01
        20754LAA7
        
          
        
        412489.27000000
        PA
        USD
        408314.01000000
        0.101425270129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NBL8
        
          
        
        330000.00000000
        PA
        USD
        322577.27000000
        0.080128249205
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-02-14
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Consumer Auto Receivables Trust
        N/A
        Santander Consumer Auto Receivables Trust 2020-B
        802830AR0
        
          
        
        650000.00000000
        PA
        USD
        633201.14000000
        0.157287271800
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          1.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2020-CBM Mortgage Trust
        20049AAG3
        
          
        
        235000.00000000
        PA
        USD
        223755.53000000
        0.055580912036
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-10
          Variable
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XQA5
        
          
        
        173938.36000000
        PA
        USD
        173759.59000000
        0.043161911964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-01-25
          Floating
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJ3A6
        
          
        
        351959.92000000
        PA
        USD
        356746.33000000
        0.088615849570
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
        
        435000.00000000
        PA
        USD
        417677.63000000
        0.103751194943
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31368HNV1
        
          
        
        51822.22000000
        PA
        USD
        55095.49000000
        0.013685729167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enterprise Fleet Financing LLC
        N/A
        Enterprise Fleet Financing 2019-1 LLC
        29374AAB0
        
          
        
        9809.68000000
        PA
        USD
        9819.14000000
        0.002439076060
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-20
          Fixed
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CCRE19 Mortgage Trust
        12592GAG8
        
          
        
        185000.00000000
        PA
        USD
        173793.57000000
        0.043170352601
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-10
          Variable
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668BG6
        
          
        
        360000.00000000
        PA
        USD
        356885.97000000
        0.088650536170
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-11-23
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        Carmax Auto Owner Trust 2019-4
        14315WAE0
        
          
        
        345000.00000000
        PA
        USD
        342635.58000000
        0.085110736850
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        11156801.37000000
        NS
        USD
        11156801.37000000
        2.771351374228
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAG5
        
          
        
        250000.00000000
        PA
        USD
        255503.06000000
        0.063467003934
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-02-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERISOURCEBERGEN CORP
        AI8GXW8LG5WK7E9UD086
        AmerisourceBergen Corp
        03073EAS4
        
          
        
        1050000.00000000
        PA
        USD
        1034534.71000000
        0.256978599435
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERRIGO CO PLC
        549300IFOQS6R1QLY196
        Perrigo Co PLC
        714294AD7
        
          
        
        200000.00000000
        PA
        USD
        205213.30000000
        0.050975018923
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2023-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MHC Commercial Mortgage Trust
        N/A
        MHC Trust 2021-MHC2
        55293AAG2
        
          
        
        380000.00000000
        PA
        USD
        369387.32000000
        0.091755873655
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-15
          Floating
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Golden State Tobacco Securitization Corp
        N/A
        GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT
        38122NC34
        
          
        
        435000.00000000
        PA
        USD
        423103.92000000
        0.105099086310
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-06-01
          Fixed
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2T0
        
          
        
        615000.00000000
        PA
        USD
        578779.40000000
        0.143768902248
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-01-20
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2018-5
        89176VAK8
        
          
        
        296600.35000000
        PA
        USD
        297723.66000000
        0.073954608217
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-07-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FV3
        
          
        
        395000.00000000
        PA
        USD
        378345.31000000
        0.093981039908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-13
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World Omni Auto Receivables Trust
        N/A
        World Omni Auto Receivables Trust
        98163MAG3
        
          
        
        225000.00000000
        PA
        USD
        220577.72000000
        0.054791543487
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-08-17
          Fixed
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUITABLE FINANCIAL LIFE
        635400B4JJBON4TCHF02
        Equitable Financial Life Global Funding
        29449WAK3
        
          
        
        530000.00000000
        PA
        USD
        502331.08000000
        0.124779126445
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-12
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAP0
        
          
        
        600000.00000000
        PA
        USD
        600390.02000000
        0.149136983963
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-03-24
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617N3MD5
        
          
        
        52694.95000000
        PA
        USD
        53994.18000000
        0.013412163574
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYVIEW OPPORTUNITY MASTER FUND TRUST
        N/A
        Bayview Opportunity Master Fund IVa Trust 2017-SPL5
        07331UAA6
        
          
        
        221289.91000000
        PA
        USD
        220212.18000000
        0.054700743288
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-06-28
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61772BAA1
        
          
        
        560000.00000000
        PA
        USD
        548456.94000000
        0.136236797982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-05
          Fixed
          0.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SES SA
        5493008JPA4HYMH1HX51
        SES SA
        78413HAA7
        
          
        
        555000.00000000
        PA
        USD
        558090.18000000
        0.138629696450
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2023-04-04
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAU9
        
          
        
        770000.00000000
        PA
        USD
        727195.02000000
        0.180635367716
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-10-29
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONSPIRIT HEALTH
        4SXHN5XW08IBO0UG2V58
        CommonSpirit Health
        20268JAE3
        
          
        
        365000.00000000
        PA
        USD
        342225.08000000
        0.085008768579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABE6
        
          
        
        865000.00000000
        PA
        USD
        862178.05000000
        0.214165175524
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAL7
        
          
        
        780000.00000000
        PA
        USD
        788495.62000000
        0.195862447272
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Austin Fairmont Hotel Trust
        N/A
        Austin Fairmont Hotel Trust 2019-FAIR
        05223HAA0
        
          
        
        545000.00000000
        PA
        USD
        539215.42000000
        0.133941202829
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-15
          Floating
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2020-3
        80285WAE7
        
          
        
        480345.88000000
        PA
        USD
        479582.37000000
        0.119128342979
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-17
          Fixed
          0.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kubota Credit Owner Trust
        N/A
        Kubota Credit Owner Trust 2020-1
        50117WAC8
        
          
        
        148687.07000000
        PA
        USD
        148521.85000000
        0.036892853018
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          1.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        549300O8WGQU5B6HEB94
        CIFC Funding 2014-II-R Ltd
        12548RAB0
        
          
        
        915000.00000000
        PA
        USD
        910836.75000000
        0.226252004951
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-24
          Floating
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BC6
        
          
        
        200000.00000000
        PA
        USD
        200064.78000000
        0.049696125672
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-03
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RCU6
        
          
        
        425000.00000000
        PA
        USD
        426567.53000000
        0.105959447628
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-03-20
          Fixed
          2.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XMZ4
        
          
        
        537368.35000000
        PA
        USD
        531730.60000000
        0.132081972257
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-11-25
          Floating
          1.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA1
        35564KBK4
        
          
        
        264511.57000000
        PA
        USD
        263105.21000000
        0.065355379299
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-25
          Floating
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-5
        92538KAC7
        
          
        
        271628.66000000
        PA
        USD
        250065.55000000
        0.062116325518
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-09-25
          Variable
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6C66
        
          
        
        66678.77000000
        PA
        USD
        71723.84000000
        0.017816214160
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2021-2
        03066RAF2
        
          
        
        575000.00000000
        PA
        USD
        536221.37000000
        0.133197480295
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-06-18
          Fixed
          1.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2021-3
        31573JAA8
        
          
        
        259911.31000000
        PA
        USD
        237471.84000000
        0.058988045793
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-09-25
          Variable
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2020-RR1 Trust
        949796AS5
        
          
        
        46657.91000000
        PA
        USD
        45447.42000000
        0.011289146924
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2015-NXS2
        94989MAB5
        
          
        
        123873.07000000
        PA
        USD
        123534.70000000
        0.030686040672
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-07-15
          Fixed
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        N/A
        Eagle RE 2021-2 Ltd
        26982AAA2
        
          
        
        255000.00000000
        PA
        USD
        253568.35000000
        0.062986421638
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2034-04-25
          Floating
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST MARKETS PLC
        RR3QWICWWIPCS8A4S074
        NatWest Markets PLC
        63906YAA6
        
          
        
        640000.00000000
        PA
        USD
        636476.58000000
        0.158100891657
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-21
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRAY OAK PIPELINE LLC
        N/A
        Gray Oak Pipeline LLC
        38937LAC5
        
          
        
        205000.00000000
        PA
        USD
        196678.61000000
        0.048855000463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GM Financial Securitized Term Auto Receivables Tr
        N/A
        GM Financial Consumer Automobile Receivables Trust 2020-4
        36260KAF1
        
          
        
        225000.00000000
        PA
        USD
        216456.62000000
        0.053767861540
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-05-18
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAL3
        
          
        
        775000.00000000
        PA
        USD
        779986.75000000
        0.193748842504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-06
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2019-C
        80284NAH1
        
          
        
        425000.00000000
        PA
        USD
        426525.28000000
        0.105948952721
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-06-20
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        1550000.00000000
        PA
        USD
        1607367.25000000
        0.399270300639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2020-5
        03464WAB8
        
          
        
        118227.17000000
        PA
        USD
        116093.13000000
        0.028837553407
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2020-1NV
        33851YAL0
        
          
        
        125085.26000000
        PA
        USD
        124456.89000000
        0.030915112826
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Floating
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities Trust
        N/A
        GS Mortgage-Backed Securities Trust 2021-HP1
        36262RAF4
        
          
        
        317738.47000000
        PA
        USD
        304941.39000000
        0.075747493587
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900M77QLN2EBJHE11
        OCP CLO 2017-13 Ltd
        67097LAM8
        
          
        
        760000.00000000
        PA
        USD
        752618.53000000
        0.186950571961
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-15
          Floating
          1.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        05530QAN0
        
          
        
        475000.00000000
        PA
        USD
        435863.79000000
        0.108268640207
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-25
          Fixed
          1.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APTIV PLC / APTIV CORP
        N/A
        Aptiv PLC / Aptiv Corp
        00217GAA1
        
          
        
        130000.00000000
        PA
        USD
        126635.52000000
        0.031456284891
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2025-02-18
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2021-1 Mortgage Loan Trust
        19688EAB4
        
          
        
        330939.29000000
        PA
        USD
        303719.53000000
        0.075443983354
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-06-25
          Variable
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AQ1
        
          
        
        470000.00000000
        PA
        USD
        477292.57000000
        0.118559556266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2021-RR1 Trust
        95003JAC9
        
          
        
        675248.57000000
        PA
        USD
        644308.68000000
        0.160046386641
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CM8
        
          
        
        268000.00000000
        PA
        USD
        269987.97000000
        0.067065058063
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-26
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        549300XC4C7GRVLU6076
        SMB Private Education Loan Trust 2014-A
        784456AD7
        
          
        
        488474.94000000
        PA
        USD
        491391.58000000
        0.122061752768
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-04-15
          Floating
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385JJC3
        
          
        
        13548.10000000
        PA
        USD
        14785.57000000
        0.003672738124
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTOZONE INC
        GA3JGKJ41LJKXDN23E90
        AutoZone Inc
        053332AY8
        
          
        
        235000.00000000
        PA
        USD
        237494.77000000
        0.058993741609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
        
        150000.00000000
        PA
        USD
        149505.21000000
        0.037137119811
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QORVO INC
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74739DAA2
        
          
        
        275000.00000000
        PA
        USD
        262314.25000000
        0.065158904699
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        06675FAV9
        
          
        
        505000.00000000
        PA
        USD
        483362.92000000
        0.120067432247
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-02-27
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KCU1
        
          
        
        193899.32000000
        PA
        USD
        192527.31000000
        0.047823816831
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-25
          Floating
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW 2019-2 LLC
        55400DAB7
        
          
        
        97612.86000000
        PA
        USD
        94489.61000000
        0.023471235333
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-10-20
          Fixed
          2.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NBD6
        
          
        
        205000.00000000
        PA
        USD
        204784.37000000
        0.050868472638
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-02-17
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GM Financial Automobile Leasing Trust
        N/A
        GM Financial Automobile Leasing Trust 2020-2
        36259PAG1
        
          
        
        265000.00000000
        PA
        USD
        266208.85000000
        0.066126324007
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-22
          Fixed
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AF7
        
          
        
        179000.00000000
        PA
        USD
        181613.20000000
        0.045112750035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300WFCL37N4TDUR08
        Magnetite XXV Ltd
        55955GAA1
        
          
        
        655000.00000000
        PA
        USD
        652180.16000000
        0.162001663623
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-25
          Floating
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QNB Finance Ltd
        549300MY0DXTHQEX5O57
        QNB Finance Ltd
        000000000
        
          
        
        880000.00000000
        PA
        USD
        883080.00000000
        0.219357223490
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-03-28
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207BA2
        
          
        
        415000.00000000
        PA
        USD
        404931.87000000
        0.100585145973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-17
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Humana Inc
        529900YLDW34GJAO4J06
        Humana Inc
        444859BA9
        
          
        
        150000.00000000
        PA
        USD
        150974.49000000
        0.037502089215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNC Bank NA
        AD6GFRVSDT01YPT1CS68
        PNC Bank NA
        69349LAK4
        
          
        
        335000.00000000
        PA
        USD
        337710.16000000
        0.083887261677
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-30
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXL3
        
          
        
        115000.00000000
        PA
        USD
        113538.04000000
        0.028202868613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-17
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202ENN5
        
          
        
        49641.31000000
        PA
        USD
        55081.60000000
        0.013682278889
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-06-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Financial CLO Ltd
        5493000WWM0GGYYSIJ83
        KKR CLO 29 Ltd
        48254GAA4
        
          
        
        1000000.00000000
        PA
        USD
        995734.83000000
        0.247340702587
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          1.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Simon Property Group LP
        MR92GTD0MJTTTTQDVG45
        Simon Property Group LP
        828807CS4
        
          
        
        450000.00000000
        PA
        USD
        455203.91000000
        0.113072729333
        Long
        DBT
        
        US
        N
        
        2
        
          2024-10-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402CVW9
        
          
        
        41925.73000000
        PA
        USD
        46346.88000000
        0.011512572942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2021-3
        80287EAF2
        
          
        
        560000.00000000
        PA
        USD
        536214.56000000
        0.133195788690
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2021-NQM1 Trust
        67114BAA5
        
          
        
        445314.63000000
        PA
        USD
        431175.94000000
        0.107104177463
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-02-25
          Variable
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB Group PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        00135TAA2
        
          
        
        600000.00000000
        PA
        USD
        610349.12000000
        0.151610826111
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-12
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton Grand Vacations Trust
        N/A
        Hilton Grand Vacations Trust 2017-A
        43283AAA3
        
          
        
        470122.97000000
        PA
        USD
        469704.75000000
        0.116674740476
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-26
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A3J8
        
          
        
        1165000.00000000
        PA
        USD
        1146897.81000000
        0.284889612751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-08
          Fixed
          2.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NBK0
        
          
        
        275000.00000000
        PA
        USD
        271443.43000000
        0.067426594577
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-02-16
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Galton Funding Mortgage Trust 2020-H1
        N/A
        Galton Funding Mortgage Trust 2020-H1
        36418HAD4
        
          
        
        285000.00000000
        PA
        USD
        272586.48000000
        0.067710528393
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Mortgage Capital Acceptance Trust
        N/A
        Mello Mortgage Capital Acceptance 2021-INV3
        585491AF0
        
          
        
        444612.21000000
        PA
        USD
        424476.26000000
        0.105439975801
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARVELL TECHNOLOGY INC
        N/A
        Marvell Technology Inc
        573874AL8
        
          
        
        590000.00000000
        PA
        USD
        599481.91000000
        0.148911409283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-22
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDELSBANKEN AB
        NHBDILHZTYCNBV5UYZ31
        Svenska Handelsbanken AB
        86959LAH6
        
          
        
        400000.00000000
        PA
        USD
        368603.16000000
        0.091561088176
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2027-06-11
          Fixed
          1.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJ4B1
        
          
        
        88628.35000000
        PA
        USD
        97951.34000000
        0.024331129659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JLY73
        
          
        
        15701.68000000
        PA
        USD
        16043.45000000
        0.003985195732
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        7-Eleven Inc
        817826AA8
        
          
        
        200000.00000000
        PA
        USD
        196884.71000000
        0.048906195739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates 2019-ICE4
        12653VAE6
        
          
        
        515000.00000000
        PA
        USD
        509692.67000000
        0.126607746664
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBH4
        
          
        
        725000.00000000
        PA
        USD
        728241.68000000
        0.180895358239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-19
          Fixed
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-1
        92536PAE4
        
          
        
        266874.97000000
        PA
        USD
        265369.72000000
        0.065917883971
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO Residential Funding Trust
        N/A
        BRAVO Residential Funding Trust 2021-NQM3
        105690AA9
        
          
        
        446115.13000000
        PA
        USD
        435419.12000000
        0.108158184103
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-04-25
          Variable
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World Omni Auto Receivables Trust
        N/A
        World Omni Auto Receivables Trust 2022-A
        98164GAF7
        
          
        
        325000.00000000
        PA
        USD
        317111.54000000
        0.078770560935
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXZ2
        
          
        
        335000.00000000
        PA
        USD
        327883.79000000
        0.081446389683
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-08
          Fixed
          0.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EU4G1
        
          
        
        233095.69000000
        PA
        USD
        236555.14000000
        0.058760337356
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER PARTNERS
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RAS8
        
          
        
        175000.00000000
        PA
        USD
        176008.38000000
        0.043720511785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BD2
        
          
        
        520000.00000000
        PA
        USD
        525324.74000000
        0.130490755534
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAJ3
        
          
        
        95000.00000000
        PA
        USD
        95158.21000000
        0.023637315688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NMLT Trust
        N/A
        NLT 2021-INV2 Trust
        62917JAA8
        
          
        
        1016770.11000000
        PA
        USD
        952459.20000000
        0.236591028671
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-08-25
          Variable
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2019-NQM5
        64830PAA4
        
          
        
        183186.40000000
        PA
        USD
        182262.77000000
        0.045274103334
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523BV1
        
          
        
        320000.00000000
        PA
        USD
        321811.41000000
        0.079938009449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2020-1
        03067DAG0
        
          
        
        315000.00000000
        PA
        USD
        307316.77000000
        0.076337538387
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-12-18
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAA5
        
          
        
        79080.81000000
        PA
        USD
        79111.31000000
        0.019651262975
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254AJ9
        
          
        
        1000000.00000000
        PA
        USD
        1005013.19000000
        0.249645448803
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-01-11
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saudi Arabian Oil Co
        5586006WD91QHB7J4X50
        Saudi Arabian Oil Co
        80414L2A2
        
          
        
        805000.00000000
        PA
        USD
        805135.24000000
        0.199995731734
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2022-04-16
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINOR ASA
        OW6OFBNCKXC4US5C7523
        Equinor ASA
        29446MAD4
        
          
        
        880000.00000000
        PA
        USD
        880082.84000000
        0.218612728431
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2025-04-06
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAA6
        
          
        
        245000.00000000
        PA
        USD
        245787.24000000
        0.061053592580
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-06-18
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER HLDGS CORP
        529900IKZG65COT1D505
        Schlumberger Holdings Corp
        806851AG6
        
          
        
        170000.00000000
        PA
        USD
        172767.14000000
        0.042915387213
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-21
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468T9
        
          
        
        640000.00000000
        PA
        USD
        632559.26000000
        0.157127828697
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-10
          Fixed
          0.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust 2019-IMC1
        17328BAA2
        
          
        
        75697.04000000
        PA
        USD
        74926.51000000
        0.018611757937
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C4X9
        
          
        
        211502.23000000
        PA
        USD
        219947.25000000
        0.054634934631
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBJ3
        
          
        
        565000.00000000
        PA
        USD
        569671.94000000
        0.141506607621
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTT FINANCE CORP
        3538007PR116187GD960
        NTT Finance Corp
        62954WAA3
        
          
        
        660000.00000000
        PA
        USD
        650086.23000000
        0.161481531052
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-03-03
          Fixed
          0.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBL8
        
          
        
        745000.00000000
        PA
        USD
        742230.21000000
        0.184370111491
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LAQ8
        
          
        
        210000.00000000
        PA
        USD
        210142.52000000
        0.052199438017
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-09
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FIN GRP CAYMAN 2
        5493005X5HKEZQSVVC05
        Mizuho Financial Group Cayman 2 Ltd
        000000000
        
          
        
        930000.00000000
        PA
        USD
        934752.30000000
        0.232192631674
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-07-18
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17328PAQ6
        
          
        
        344754.38000000
        PA
        USD
        329553.06000000
        0.081861036637
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RAY5
        
          
        
        425000.00000000
        PA
        USD
        436294.83000000
        0.108375710617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DEL ESTADO -CHILE
        5493004R4EJC0W0XVQ72
        Banco del Estado de Chile
        05965MAG8
        
          
        
        260000.00000000
        PA
        USD
        257659.93000000
        0.064002770812
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2025-01-09
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONSLOW BAY FINANCIAL LLC
        N/A
        OBX 2021-NQM3 Trust
        67114JAA8
        
          
        
        246811.52000000
        PA
        USD
        231519.05000000
        0.057509371736
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-07-25
          Variable
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XXIII Ltd
        55820TAJ7
        
          
        
        715000.00000000
        PA
        USD
        708659.57000000
        0.176031158756
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-27
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCL AMERICA INC
        549300CBM0L7W7N2EB94
        HCL America Inc
        40480HAA5
        
          
        
        1000000.00000000
        PA
        USD
        915548.54000000
        0.227422414396
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-03-10
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RBD5
        
          
        
        725000.00000000
        PA
        USD
        695127.76000000
        0.172669854831
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-12-02
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Slide 2018-Fun
        N/A
        SLIDE 2018-FUN
        831350AL7
        
          
        
        354771.26000000
        PA
        USD
        347593.10000000
        0.086342185668
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-06-15
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C23
        46643ABE2
        
          
        
        540000.00000000
        PA
        USD
        547042.90000000
        0.135885550203
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-15
          Fixed
          3.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Consumer Auto Receivables Trust
        N/A
        Santander Consumer Auto Receivables Trust 2021-A
        80282YAG1
        
          
        
        450000.00000000
        PA
        USD
        423220.05000000
        0.105127933022
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2020-EXP2 Trust
        67448VAF7
        
          
        
        243525.12000000
        PA
        USD
        239973.01000000
        0.059609336850
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-05-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Synchrony Financial
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAD5
        
          
        
        1130000.00000000
        PA
        USD
        1145765.20000000
        0.284608272233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2021-3
        31573JAC4
        
          
        
        194933.48000000
        PA
        USD
        177853.00000000
        0.044178715710
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-09-25
          Variable
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2019-2
        31573TAC2
        
          
        
        75355.65000000
        PA
        USD
        74065.96000000
        0.018397997169
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2021-3
        03465EAA9
        
          
        
        280824.06000000
        PA
        USD
        265109.82000000
        0.065853324766
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-05-25
          Variable
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335CHF4
        
          
        
        52527.17000000
        PA
        USD
        57261.49000000
        0.014223763939
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFL3
        
          
        
        270000.00000000
        PA
        USD
        258080.28000000
        0.064107185825
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-01
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        25490017VKY7XEFZL303
        Dryden 86 CLO Ltd
        26245XAL1
        
          
        
        610000.00000000
        PA
        USD
        600895.22000000
        0.149262475730
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-17
          Floating
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUBLIC STORAGE
        549300LMZF40TKJ6DM64
        Public Storage
        74460WAB3
        
          
        
        280000.00000000
        PA
        USD
        279936.13000000
        0.069536182714
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-23
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCP Trust
        N/A
        BCP Trust 2021-330N
        05553BAA3
        
          
        
        290000.00000000
        PA
        USD
        283842.49000000
        0.070506523208
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELARA HGV TIMESHARE ISSUER
        N/A
        Elara HGV Timeshare Issuer 2017-A LLC
        28416DAA8
        
          
        
        47479.96000000
        PA
        USD
        47438.64000000
        0.011783766313
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VBA1
        
          
        
        1120000.00000000
        PA
        USD
        1089717.07000000
        0.270685907126
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AT2Z4
        
          
        
        311533.89000000
        PA
        USD
        305948.46000000
        0.075997649948
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBA Tower Trust
        N/A
        SBA Tower Trust
        78403DAN0
        
          
        
        440000.00000000
        PA
        USD
        432833.24000000
        0.107515851067
        Long
        DBT
        
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2022-3 Mortgage Loan Trust
        12659YAA2
        
          
        
        980000.00000000
        PA
        USD
        978258.83000000
        0.242999661189
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-02-25
          Variable
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2021-2
        30165XAE5
        
          
        
        265000.00000000
        PA
        USD
        258356.50000000
        0.064175798920
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MHSU1
        
          
        
        21046.95000000
        PA
        USD
        21590.73000000
        0.005363141035
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAL2
        
          
        
        795000.00000000
        PA
        USD
        783069.51000000
        0.194514600617
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-09-10
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navistar Financial Dealer Note Master Trust
        N/A
        Navistar Financial Dealer Note Master Trust
        63938PBM0
        
          
        
        395000.00000000
        PA
        USD
        395184.78000000
        0.098163967144
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-25
          Floating
          1.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL SERVICES
        549300MALMDAGL2ZJJ27
        Hyundai Capital Services Inc
        44920UAS7
        
          
        
        200000.00000000
        PA
        USD
        191714.82000000
        0.047621994176
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2025-04-24
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2020-EXP1 Trust
        67448TAP0
        
          
        
        184761.20000000
        PA
        USD
        180511.86000000
        0.044839176990
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-02-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS Commercial Mortgage Trust
        549300QGM7D5K3CV2643
        WFRBS Commercial Mortgage Trust 2014-LC14
        96221TAE7
        
          
        
        325000.00000000
        PA
        USD
        328781.41000000
        0.081669358645
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage Trust
        N/A
        Deephaven Residential Mortgage Trust 2021-2
        24381WAA6
        
          
        
        151025.52000000
        PA
        USD
        142050.75000000
        0.035285430668
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-04-25
          Variable
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2019-B
        80281GAG1
        
          
        
        305000.00000000
        PA
        USD
        305443.35000000
        0.075872180538
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-08-21
          Fixed
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MF1 Multifamily Housing Mortgage Loan Trust
        N/A
        MF1 2021-FL7 Ltd
        55284AAA6
        
          
        
        465000.00000000
        PA
        USD
        457787.57000000
        0.113714510920
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-10-16
          Floating
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300Z3WHVYABE20I45
        Magnetite XVI Ltd
        55953RAL5
        
          
        
        899648.45000000
        PA
        USD
        893350.91000000
        0.221908519296
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-18
          Floating
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUITABLE FINANCIAL LIFE
        635400B4JJBON4TCHF02
        Equitable Financial Life Global Funding
        29449WAG2
        
          
        
        1145000.00000000
        PA
        USD
        1124607.88000000
        0.279352790315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-06
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4T22
        
          
        
        27487.57000000
        PA
        USD
        29002.80000000
        0.007204300495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BL9
        
          
        
        70000.00000000
        PA
        USD
        70256.77000000
        0.017451793720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Galton Funding Mortgage Trust 2020-H1
        N/A
        Galton Funding Mortgage Trust 2020-H1
        36418HAA0
        
          
        
        12819.81000000
        PA
        USD
        12731.90000000
        0.003162606144
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M
        46652RAG9
        
          
        
        540000.00000000
        PA
        USD
        525068.08000000
        0.130427001146
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-15
          Floating
          2.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        05530QAP5
        
          
        
        1010000.00000000
        PA
        USD
        1012148.05000000
        0.251417749251
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-16
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boral Finance Pty Ltd
        549300X2TYFVNPM0UT91
        Boral Finance Pty Ltd
        09952AAA4
        
          
        
        345000.00000000
        PA
        USD
        345110.51000000
        0.085725509886
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2022-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-375P
        17320QAG4
        
          
        
        435000.00000000
        PA
        USD
        432903.21000000
        0.107533231627
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-10
          Variable
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2018-1
        89176EAA8
        
          
        
        77602.13000000
        PA
        USD
        77319.18000000
        0.019206097575
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-01-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AU1
        
          
        
        350000.00000000
        PA
        USD
        342211.21000000
        0.085005323269
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities Trust
        N/A
        GS Mortgage-Backed Securities Corp Trust 2021-PJ5
        36261HAJ9
        
          
        
        768275.00000000
        PA
        USD
        736464.96000000
        0.182938022402
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARI Fleet Lease Trust
        N/A
        ARI Fleet Lease Trust 2020-A
        00217TAD7
        
          
        
        345000.00000000
        PA
        USD
        341088.94000000
        0.084726551208
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          2.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Homeward Opportunities Fund I Trust
        N/A
        Homeward Opportunities Fund I Trust 2020-2
        43789XAA2
        
          
        
        67533.50000000
        PA
        USD
        67086.47000000
        0.016664290656
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CK6
        
          
        
        270000.00000000
        PA
        USD
        268941.30000000
        0.066805065056
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AFC24
        
          
        
        88186.87000000
        PA
        USD
        93594.92000000
        0.023248994183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBA Tower Trust
        N/A
        SBA Tower Trust
        78403DAM2
        
          
        
        775000.00000000
        PA
        USD
        775108.81000000
        0.192537161371
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668AZ5
        
          
        
        290000.00000000
        PA
        USD
        291175.36000000
        0.072328009374
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-26
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Roper Technologies Inc
        54930003T4SXCIWVXY35
        Roper Technologies Inc
        776743AE6
        
          
        
        125000.00000000
        PA
        USD
        126737.32000000
        0.031481572029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032641
        
          
        
        160000.00000000
        PA
        USD
        160275.00000000
        0.039812337494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402DGM6
        
          
        
        114366.75000000
        PA
        USD
        125664.53000000
        0.031215090809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AB4
        
          
        
        620000.00000000
        PA
        USD
        603106.37000000
        0.149811725769
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-07-30
          Fixed
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        130000.00000000
        PA
        USD
        129579.35000000
        0.032187532769
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BINOM Securitization Trust
        N/A
        BINOM Securitization Trust 2021-INV1
        05552UAC8
        
          
        
        233337.82000000
        PA
        USD
        222448.36000000
        0.055256210784
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-06-25
          Variable
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBB7
        
          
        
        725000.00000000
        PA
        USD
        724190.02000000
        0.179888925200
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-31
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN PLC
        2138008L3B3MCG1DFS50
        Imperial Brands Finance PLC
        453140AB1
        
          
        
        1210000.00000000
        PA
        USD
        1215822.39000000
        0.302010490247
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-11
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202D4N8
        
          
        
        235238.77000000
        PA
        USD
        254994.03000000
        0.063340560795
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CH8
        
          
        
        443000.00000000
        PA
        USD
        443725.69000000
        0.110221537516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2020-INV1
        46591VBH1
        
          
        
        98365.99000000
        PA
        USD
        97784.43000000
        0.024289669186
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDV0
        
          
        
        2050000.00000000
        PA
        USD
        1997789.06000000
        0.496251145219
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-01-31
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AB0
        
          
        
        800000.00000000
        PA
        USD
        800000.00000000
        0.198720137237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2018-GW
        12433UAA3
        
          
        
        1095000.00000000
        PA
        USD
        1081289.83000000
        0.268592579264
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTH CARE SERVICE CORP
        549300TMJ1FKCKECR148
        Health Care Service Corp A Mutual Legal Reserve Co
        42218SAD0
        
          
        
        780000.00000000
        PA
        USD
        742033.86000000
        0.184321338118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FWD Securitization Trust
        N/A
        FWD Securitization Trust 2020-INV1
        302985AA4
        
          
        
        281101.46000000
        PA
        USD
        277590.47000000
        0.068953520367
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-01-25
          Variable
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust 2019-XL
        N/A
        BX Commercial Mortgage Trust 2019-XL
        056054AA7
        
          
        
        283640.74000000
        PA
        USD
        282405.57000000
        0.070149592033
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2021-INV1
        64829WAF1
        
          
        
        334381.32000000
        PA
        USD
        319739.03000000
        0.079423229902
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-06-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2019-C
        80284NAF5
        
          
        
        215000.00000000
        PA
        USD
        215459.58000000
        0.053520196633
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-11-20
          Fixed
          2.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QVC Inc
        549300WBLU5NKPX5X472
        QVC Inc
        747262AK9
        
          
        
        2065000.00000000
        PA
        USD
        2075325.00000000
        0.515511086016
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFS8
        
          
        
        500000.00000000
        PA
        USD
        462588.25000000
        0.114907000655
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-20
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AA9
        
          
        
        775000.00000000
        PA
        USD
        773268.59000000
        0.192080050408
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-09-15
          Fixed
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XL28
        
          
        
        660000.00000000
        PA
        USD
        655303.57000000
        0.162777519203
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-10-25
          Floating
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2021-1
        03465CAC9
        
          
        
        121718.59000000
        PA
        USD
        117713.46000000
        0.029240043657
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-01-25
          Variable
          1.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CCRE15 Mortgage Trust
        12591RBD1
        
          
        
        435000.00000000
        PA
        USD
        442211.47000000
        0.109845405008
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-02-10
          Variable
          4.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668BD3
        
          
        
        200000.00000000
        PA
        USD
        201358.53000000
        0.050017493394
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-12
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAM5
        
          
        
        1054000.00000000
        PA
        USD
        1098067.90000000
        0.272760254730
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAP8
        
          
        
        115000.00000000
        PA
        USD
        112487.41000000
        0.027941891940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KMA4
        
          
        
        255000.00000000
        PA
        USD
        250090.13000000
        0.062122431194
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2022-1
        80286EAE6
        
          
        
        885000.00000000
        PA
        USD
        865396.81000000
        0.214964716060
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-04-17
          Fixed
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCT4
        
          
        
        80000.00000000
        PA
        USD
        80289.66000000
        0.019943965317
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN PLC
        2138008L3B3MCG1DFS50
        Imperial Brands Finance PLC
        45262BAA1
        
          
        
        855000.00000000
        PA
        USD
        847040.76000000
        0.210405070091
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-07-26
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MLYN1
        
          
        
        72636.51000000
        PA
        USD
        74635.01000000
        0.018539349287
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2021-B
        63942LAA0
        
          
        
        424418.28000000
        PA
        USD
        400681.88000000
        0.099529447727
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-07-15
          Fixed
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arbor Realty Collateralized Loan Obligation Ltd
        N/A
        Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
        03880RAA7
        
          
        
        465000.00000000
        PA
        USD
        460780.26000000
        0.114457895629
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-11-15
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAM3
        
          
        
        610000.00000000
        PA
        USD
        556949.62000000
        0.138346381151
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-02-21
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2021-2
        03465DAB9
        
          
        
        115630.64000000
        PA
        USD
        109959.45000000
        0.027313946243
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-04-25
          Variable
          1.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCH7
        
          
        
        560000.00000000
        PA
        USD
        533999.86000000
        0.132645656830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          0.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CK HUTCH INTL 17 II LTD
        254900F7C0PB6TKONV55
        CK Hutchison International 17 II Ltd
        000000000
        
          
        
        650000.00000000
        PA
        USD
        651909.69000000
        0.161934478829
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-03-29
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYDNEY AIRPORT FINANCE
        549300MJAANHLHOVTO40
        Sydney Airport Finance Co Pty Ltd
        87124VAD1
        
          
        
        643000.00000000
        PA
        USD
        650825.85000000
        0.161665252787
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2023-03-22
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TQS7
        
          
        
        39252.95000000
        PA
        USD
        41743.40000000
        0.010369067720
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MVS6
        
          
        
        3786.66000000
        PA
        USD
        3887.87000000
        0.000965747574
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFRA Trust
        N/A
        MFA 2021-INV1 Trust
        552747AA5
        
          
        
        209760.81000000
        PA
        USD
        202939.49000000
        0.050410204129
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-01-25
          Variable
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        549300FECQ7XLTBL1027
        Sequoia Mortgage Trust 2018-CH3
        81746WAU2
        
          
        
        10422.69000000
        PA
        USD
        10478.48000000
        0.002602856229
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAP0
        
          
        
        485000.00000000
        PA
        USD
        488646.39000000
        0.121379847102
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MRJ39
        
          
        
        22334.67000000
        PA
        USD
        22957.13000000
        0.005702555030
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        271.00000000
        NC
        USD
        -809298.57000000
        -0.20102990362
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            58240126.97000000
            USD
            -809298.57000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300BL200YC56BUV20
        STACR Trust 2018-DNA3
        35563WAQ7
        
          
        
        286354.81000000
        PA
        USD
        285746.59000000
        0.070979501975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-25
          Floating
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2021-NQM1R
        64828BAA9
        
          
        
        332427.97000000
        PA
        USD
        322476.54000000
        0.080103227856
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-07-25
          Variable
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JACKSON NATL LIFE GLOBAL
        635400PQXLYXWJI5QD78
        Jackson National Life Global Funding
        46849LUV1
        
          
        
        620000.00000000
        PA
        USD
        593719.64000000
        0.147480060427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-12
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CD9
        
          
        
        580000.00000000
        PA
        USD
        566713.75000000
        0.140771792718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VV31
        
          
        
        196638.62000000
        PA
        USD
        201591.45000000
        0.050075350762
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-NET
        126438AJ9
        
          
        
        445000.00000000
        PA
        USD
        423784.31000000
        0.105268095303
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-15
          Variable
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JE8
        
          
        
        3535000.00000000
        PA
        USD
        3530985.62000000
        0.877097433739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-16
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDM0
        
          
        
        2070000.00000000
        PA
        USD
        2012023.83000000
        0.499787064529
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-30
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BQ27
        
          
        
        48100.57000000
        PA
        USD
        52667.31000000
        0.013082568838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CJ7
        
          
        
        345000.00000000
        PA
        USD
        343977.49000000
        0.085444067524
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-30
          Fixed
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co LLC
        N/A
        Sierra Timeshare 2019-1 Receivables Funding LLC
        82653EAA5
        
          
        
        65591.48000000
        PA
        USD
        65377.46000000
        0.016239772279
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-01-20
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2021-ROSS
        36264YAE0
        
          
        
        390000.00000000
        PA
        USD
        385109.01000000
        0.095661144148
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-05-15
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        06675FAS6
        
          
        
        630000.00000000
        PA
        USD
        630736.39000000
        0.156675027477
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-11-21
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AA7
        
          
        
        1010000.00000000
        PA
        USD
        1010227.11000000
        0.250940587425
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2022-04-12
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BW3
        
          
        
        985000.00000000
        PA
        USD
        933645.98000000
        0.231917821596
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-07-19
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        N/A
        SMB Private Education Loan Trust 2021-B
        78449YAA8
        
          
        
        803089.71000000
        PA
        USD
        763417.16000000
        0.189632953506
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-07-17
          Fixed
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCM5
        
          
        
        585000.00000000
        PA
        USD
        572422.96000000
        0.142189961461
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-03
          Fixed
          2.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Opportunity Master Fund
        N/A
        Oceanview Mortgage Trust 2022-INV1
        67648BAE2
        
          
        
        486180.07000000
        PA
        USD
        467205.68000000
        0.116053971059
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-12-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BM3
        
          
        
        565000.00000000
        PA
        USD
        585031.05000000
        0.145321813180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2020-H
        63935BAA1
        
          
        
        85548.48000000
        PA
        USD
        82837.93000000
        0.020576956022
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-01-15
          Fixed
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERRIGO FINANCE UNLIMITD
        549300E86RB6YCTMRM83
        Perrigo Finance Unlimited Co
        714295AC6
        
          
        
        1570000.00000000
        PA
        USD
        1576767.61000000
        0.391669344814
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2024-12-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Revolving Single Family Home Notes Series 2021-1
        N/A
        ZH Trust 2021-1
        98879EAA9
        
          
        
        350000.00000000
        PA
        USD
        344557.64000000
        0.085588176883
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-02-18
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CG2
        
          
        
        320000.00000000
        PA
        USD
        304311.55000000
        0.075591041223
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-06-04
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKM0
        
          
        
        580000.00000000
        PA
        USD
        579219.16000000
        0.143878138707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-02
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CELULOSA ARAUCO CONSTITU
        549300QEKV8G0AMNQD28
        Celulosa Arauco y Constitucion SA
        151191AZ6
        
          
        
        365000.00000000
        PA
        USD
        375041.15000000
        0.093160285997
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2024-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Humana Inc
        529900YLDW34GJAO4J06
        Humana Inc
        444859BJ0
        
          
        
        140000.00000000
        PA
        USD
        140973.86000000
        0.035017931007
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hundred Acre Wood Trust
        N/A
        Hundred Acre Wood Trust 2021-INV1
        44590HAJ5
        
          
        
        515330.92000000
        PA
        USD
        492769.78000000
        0.122404097885
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROPER TECHNOLOGIES INC
        54930003T4SXCIWVXY35
        Roper Technologies Inc
        776743AH9
        
          
        
        165000.00000000
        PA
        USD
        162378.06000000
        0.040334737959
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        718172CQ0
        
          
        
        220000.00000000
        PA
        USD
        217399.32000000
        0.054002028382
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyundai Auto Receivables Trust
        N/A
        Hyundai Auto Receivables Trust 2020-A
        44891LAC7
        
          
        
        301852.52000000
        PA
        USD
        300658.90000000
        0.074683722337
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          1.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Industrial Portfolio Trust
        N/A
        KKR Industrial Portfolio Trust 2021-KDIP
        48254CAL9
        
          
        
        157500.00000000
        PA
        USD
        153938.88000000
        0.038238444199
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Floating
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lincoln National Corp
        EFQMQROEDSNBRIP7LE47
        Lincoln National Corp
        534187BD0
        
          
        
        130000.00000000
        PA
        USD
        131624.69000000
        0.032695595575
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KANSAS CITY SOUTHERN
        5493008C12PZMWP3WY03
        Kansas City Southern/Old
        485170AV6
        
          
        
        565000.00000000
        PA
        USD
        566535.87000000
        0.140727607295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage Trust
        N/A
        Deephaven Residential Mortgage Trust 2021-1
        24380VAC5
        
          
        
        108579.15000000
        PA
        USD
        105260.18000000
        0.026146646769
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CALIF GAS CO
        XY0N0J73VHV5F4CUJV89
        Southern California Gas Co
        842434CW0
        
          
        
        410000.00000000
        PA
        USD
        404366.18000000
        0.100444628479
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST MARKETS PLC
        RR3QWICWWIPCS8A4S074
        NatWest Markets PLC
        63906YAG3
        
          
        
        610000.00000000
        PA
        USD
        607751.61000000
        0.150965604182
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AD0
        
          
        
        500000.00000000
        PA
        USD
        499947.15000000
        0.124186957824
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBA TOWER TRUST
        N/A
        SBA Tower Trust
        78403DAP5
        
          
        
        160000.00000000
        PA
        USD
        150953.55000000
        0.037496887715
        Long
        DBT
        
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2020-3
        03465LAC9
        
          
        
        80701.90000000
        PA
        USD
        79669.13000000
        0.019789825559
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          2.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2N2
        
          
        
        400000.00000000
        PA
        USD
        385857.25000000
        0.095847007092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-30
          Fixed
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA3
        35564KEL9
        
          
        
        395000.00000000
        PA
        USD
        385931.00000000
        0.095865326605
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-25
          Floating
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300P0MOXZPIM3AS61
        Neuberger Berman Loan Advisers CLO 26 Ltd
        64131QAL4
        
          
        
        500000.00000000
        PA
        USD
        493750.00000000
        0.122647584701
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-18
          Floating
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAF4
        
          
        
        315000.00000000
        PA
        USD
        316640.63000000
        0.078653586810
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-04-24
          Floating
          1.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXDC1
        
          
        
        8110.12000000
        PA
        USD
        9020.64000000
        0.002240728523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QCNB8
        
          
        
        104019.46000000
        PA
        USD
        105569.15000000
        0.026223394970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-1
        89173FAA8
        
          
        
        70797.31000000
        PA
        USD
        70796.30000000
        0.017585813064
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-10-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO BILBAO VIZCAYA ARG
        K8MS7FD7N5Z2WQ51AZ71
        Banco Bilbao Vizcaya Argentaria SA
        05946KAH4
        
          
        
        1000000.00000000
        PA
        USD
        971545.27000000
        0.241332011734
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-09-18
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MBB8
        
          
        
        290000.00000000
        PA
        USD
        307152.85000000
        0.076296820631
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-01
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-D
        64034YAB7
        
          
        
        306014.93000000
        PA
        USD
        291428.30000000
        0.072390839713
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNCHRONY FINANCIAL
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAQ6
        
          
        
        2066000.00000000
        PA
        USD
        2071671.48000000
        0.514603551021
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-25
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Residential Mortgage Loan Trust
        N/A
        Morgan Stanley Residential Mortgage Loan Trust 2021-2
        61772LAQ4
        
          
        
        164675.87000000
        PA
        USD
        157120.95000000
        0.039028870933
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-05-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-HQA1
        35564KTA7
        
          
        
        635000.00000000
        PA
        USD
        635772.48000000
        0.157925993097
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SG Capital Partners
        N/A
        SG Residential Mortgage Trust 2020-2
        81882JAA9
        
          
        
        141185.74000000
        PA
        USD
        138530.43000000
        0.034410982576
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAH1
        
          
        
        485000.00000000
        PA
        USD
        485824.66000000
        0.120678928885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-19
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297EJ72
        
          
        
        1232.10000000
        PA
        USD
        1344.21000000
        0.000333901994
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-09-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2020-EXP1 Trust
        67448TBE4
        
          
        
        200308.99000000
        PA
        USD
        199016.44000000
        0.049435717836
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-02-25
          Floating
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M
        46652RAJ3
        
          
        
        440000.00000000
        PA
        USD
        422320.67000000
        0.104904526876
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-15
          Floating
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET LIFE GLOB FUNDING I
        635400MMSOCXNNNZDZ82
        Metropolitan Life Global Funding I
        59217GGV5
        
          
        
        430000.00000000
        PA
        USD
        413080.75000000
        0.102609329162
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-07
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RDL5
        
          
        
        340000.00000000
        PA
        USD
        341091.71000000
        0.084727239277
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-22
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRINCIPAL LFE GLB FND II
        635400WSLKBQWSOIIT41
        Principal Life Global Funding II
        74256LEL9
        
          
        
        530000.00000000
        PA
        USD
        506560.74000000
        0.125829774715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-12
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABY2
        
          
        
        255000.00000000
        PA
        USD
        239840.16000000
        0.059576336887
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-17
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        1205000.00000000
        PA
        USD
        1178640.63000000
        0.292774534684
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCA1
        
          
        
        240000.00000000
        PA
        USD
        243748.60000000
        0.060547194054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-29
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust I LLC 2019-2
        03463WAA1
        
          
        
        38069.04000000
        PA
        USD
        38036.83000000
        0.009448355097
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-03-25
          Variable
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER TRUCKS FINAN NA
        5493003HSDTSCZRXBA58
        Daimler Trucks Finance North America LLC
        233853AD2
        
          
        
        580000.00000000
        PA
        USD
        553743.74000000
        0.137550040009
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-12-13
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust
        30167JAF1
        
          
        
        730000.00000000
        PA
        USD
        710215.98000000
        0.176417771267
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283H6N0
        
          
        
        25829.22000000
        PA
        USD
        28228.79000000
        0.007012036278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage Trust
        N/A
        Deephaven Residential Mortgage Trust 2021-2
        24381WAC2
        
          
        
        169443.26000000
        PA
        USD
        159197.89000000
        0.039544783185
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-04-25
          Variable
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SNV5
        
          
        
        670.32000000
        PA
        USD
        682.65000000
        0.000169570377
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-CCRE22 Mortgage Trust
        12592XBJ4
        
          
        
        440000.00000000
        PA
        USD
        433102.74000000
        0.107582794913
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-10
          Variable
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903AV5
        
          
        
        170000.00000000
        PA
        USD
        170977.54000000
        0.042470850266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERKINELMER INC
        549300IKL1SDPFI7N655
        PerkinElmer Inc
        714046AL3
        
          
        
        745000.00000000
        PA
        USD
        706748.20000000
        0.175556374120
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3622A2RW4
        
          
        
        101069.86000000
        PA
        USD
        101833.21000000
        0.025295386833
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCU3
        
          
        
        4195000.00000000
        PA
        USD
        4081276.15000000
        1.013789695792
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-08-31
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAF2
        
          
        
        960000.00000000
        PA
        USD
        965713.74000000
        0.239883458681
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-07-03
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        Carmax Auto Owner Trust 2019-2
        14316LAE3
        
          
        
        455000.00000000
        PA
        USD
        457591.95000000
        0.113665918878
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-12-16
          Fixed
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAY5
        
          
        
        100000.00000000
        PA
        USD
        100268.80000000
        0.024906787120
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-14
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        571748BF8
        
          
        
        345000.00000000
        PA
        USD
        352226.91000000
        0.087493224867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        -1.00000000
        NC
        USD
        3733.16000000
        0.000927317584
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            -126608.16000000
            USD
            3733.16000000
          
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        5493003R0K8V08JVGR27
        Americredit Automobile Receivables Trust 2018-1
        03066HAG2
        
          
        
        790000.00000000
        PA
        USD
        797456.57000000
        0.198088348789
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-03-18
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        5493007YBEOXQIHH3C54
        Neuberger Berman Loan Advisers CLO 32 Ltd
        64132DAJ7
        
          
        
        955000.00000000
        PA
        USD
        945054.95000000
        0.234751811701
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2020-INV1
        12560AAB0
        
          
        
        326375.58000000
        PA
        USD
        318175.65000000
        0.079034886042
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-04-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C4G6
        
          
        
        42139.04000000
        PA
        USD
        43767.01000000
        0.010871732792
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TUE3
        
          
        
        29643.15000000
        PA
        USD
        32045.29000000
        0.007960055533
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-03-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDW LLC/CDW FINANCE
        N/A
        CDW LLC / CDW Finance Corp
        12513GBA6
        
          
        
        180000.00000000
        PA
        USD
        186202.80000000
        0.046252807462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSMC Trust
        N/A
        PSMC 2021-2 Trust
        69376CAC8
        
          
        
        628883.35000000
        PA
        USD
        602426.23000000
        0.149642778876
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-05-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2018-CH2
        81747EAC1
        
          
        
        64056.83000000
        PA
        USD
        64151.38000000
        0.015935213797
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-06-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X5ZM8
        
          
        
        43387.13000000
        PA
        USD
        43924.82000000
        0.010910932823
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YDU6
        
          
        
        160000.00000000
        PA
        USD
        162868.67000000
        0.040456605567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-22
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTLAKE CORP
        GOXNEVUM0LL78B1OS344
        Westlake Corp
        960413AX0
        
          
        
        100000.00000000
        PA
        USD
        95892.91000000
        0.023819815294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities Trust
        N/A
        GS Mortgage-Backed Securities Trust 2021-GR2
        36262JAF2
        
          
        
        380552.42000000
        PA
        USD
        365225.48000000
        0.090722071885
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-02-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KNLC5
        
          
        
        626259.22000000
        PA
        USD
        598821.36000000
        0.148747328550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Baxalta Inc
        5493000JW8DCO3T45R55
        Baxalta Inc
        07177MAL7
        
          
        
        125000.00000000
        PA
        USD
        125123.91000000
        0.031080800708
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-23
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBU8
        
          
        
        345000.00000000
        PA
        USD
        347931.70000000
        0.086426293966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-30
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KMH9
        
          
        
        375000.00000000
        PA
        USD
        356661.53000000
        0.088594785236
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Danske Bank A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAT8
        
          
        
        455000.00000000
        PA
        USD
        469122.87000000
        0.116530201384
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2024-01-12
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAZ1
        
          
        
        400000.00000000
        PA
        USD
        411013.61000000
        0.102095851232
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2024-03-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cedar Funding Ltd
        N/A
        Cedar Funding XIV CLO Ltd
        15034AAA3
        
          
        
        695000.00000000
        PA
        USD
        689787.50000000
        0.171343333331
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-07-15
          Floating
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities Trust
        N/A
        GS Mortgage-Backed Securities Trust
        36250BAE6
        
          
        
        4326.25000000
        PA
        USD
        4357.14000000
        0.001082314323
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-07-25
          Variable
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2014-150E
        61764BAA1
        
          
        
        610000.00000000
        PA
        USD
        605300.01000000
        0.150356626321
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-09
          Fixed
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fontainebleau Miami Beach Trust
        N/A
        Fontainebleau Miami Beach Trust 2019-FBLU
        34461LAG9
        
          
        
        605000.00000000
        PA
        USD
        590370.13000000
        0.146648041568
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-10
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUMANA INC
        529900YLDW34GJAO4J06
        Humana Inc
        444859BQ4
        
          
        
        75000.00000000
        PA
        USD
        67931.70000000
        0.016874245933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-03
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAJ0
        
          
        
        430000.00000000
        PA
        USD
        432905.05000000
        0.107533688683
        Long
        DBT
        
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A3F6
        
          
        
        930000.00000000
        PA
        USD
        886269.53000000
        0.220149503289
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-07
          Fixed
          1.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LSTAR Commercial Mortgage Trust
        N/A
        LSTAR Commercial Mortgage Trust 2017-5
        54910TAL6
        
          
        
        340000.00000000
        PA
        USD
        340553.59000000
        0.084593570177
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-10
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CA63
        
          
        
        13499.50000000
        PA
        USD
        14683.98000000
        0.003647503150
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
        46591JAJ5
        
          
        
        250000.00000000
        PA
        USD
        244959.00000000
        0.060847857622
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-09-15
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBY5
        
          
        
        685000.00000000
        PA
        USD
        642416.47000000
        0.159576361352
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCR0
        
          
        
        460000.00000000
        PA
        USD
        469585.23000000
        0.116645051688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        -116.00000000
        NC
        USD
        311665.81000000
        0.077417840669
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -13615415.81000000
            USD
            311665.81000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAW0
        
          
        
        500000.00000000
        PA
        USD
        517339.24000000
        0.128507155964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBA TOWER TRUST
        N/A
        SBA Tower Trust
        78403DAT7
        
          
        
        280000.00000000
        PA
        USD
        263128.49000000
        0.065361162055
        Long
        DBT
        
        US
        N
        
        2
        
          2026-11-15
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barings CLO Ltd
        54930079SUKCXYW8DR07
        Barings CLO Ltd 2013-I
        06760EAA4
        
          
        
        557575.41000000
        PA
        USD
        554229.96000000
        0.137670817140
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-20
          Floating
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEN0
        
          
        
        230000.00000000
        PA
        USD
        232892.39000000
        0.057850509628
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040644
        
          
        
        340000.00000000
        PA
        USD
        347012.50000000
        0.086197964529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBB0
        
          
        
        370000.00000000
        PA
        USD
        375656.42000000
        0.093313119170
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-16
          Fixed
          4.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2E0
        
          
        
        485000.00000000
        PA
        USD
        464033.30000000
        0.115265951323
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-02-02
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBD6
        
          
        
        245000.00000000
        PA
        USD
        247820.23000000
        0.061558587644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        Carmax Auto Owner Trust 2020-1
        14315XAE8
        
          
        
        430000.00000000
        PA
        USD
        425307.67000000
        0.105646498188
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Industrial Portfolio Trust
        N/A
        KKR Industrial Portfolio Trust 2021-KDIP
        48254CAN5
        
          
        
        116250.00000000
        PA
        USD
        113329.52000000
        0.028151072209
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-15
          Floating
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABA4
        
          
        
        470000.00000000
        PA
        USD
        471027.54000000
        0.117003321739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2019-EXP2 Trust
        67113KAL2
        
          
        
        131162.06000000
        PA
        USD
        130487.35000000
        0.032413080124
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-06-25
          Floating
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SG Capital Partners
        N/A
        SG Residential Mortgage Trust 2019-3
        78432BAB5
        
          
        
        194844.54000000
        PA
        USD
        194576.02000000
        0.048332716747
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-09-25
          Variable
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2021-INV2
        64831GAG0
        
          
        
        941709.25000000
        PA
        USD
        903781.44000000
        0.224499464737
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vista Point Securitization Trust
        N/A
        Vista Point Securitization Trust 2020-2
        92838TAC5
        
          
        
        81583.06000000
        PA
        USD
        79361.08000000
        0.019713305886
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starbucks Corp
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244AG4
        
          
        
        205000.00000000
        PA
        USD
        205246.97000000
        0.050983382557
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2019-3
        03066NAE4
        
          
        
        240000.00000000
        PA
        USD
        240348.84000000
        0.059702693087
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-18
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BDO Unibank Inc
        3FGIIBS1PEI1FYQBGN97
        BDO Unibank Inc
        000000000
        
          
        
        800000.00000000
        PA
        USD
        796000.00000000
        0.197726536551
        Long
        DBT
        CORP
        PH
        N
        
        2
        
          2023-03-06
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AH1
        
          
        
        215000.00000000
        PA
        USD
        195153.85000000
        0.048476249818
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-08-10
          Fixed
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony Static CLO Ltd
        N/A
        Symphony Static CLO I Ltd
        87190TAC7
        
          
        
        815000.00000000
        PA
        USD
        804877.41000000
        0.199931686718
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-25
          Floating
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB INT FINANCE III
        N/A
        LYB International Finance III LLC
        50249AAF0
        
          
        
        373000.00000000
        PA
        USD
        345244.92000000
        0.085758897353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EOG Resources Inc
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAK7
        
          
        
        140000.00000000
        PA
        USD
        140289.65000000
        0.034847973126
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Daimler Trucks Retail Trust
        N/A
        Daimler Trucks Retail Trust 2020-1
        233854AD0
        
          
        
        855000.00000000
        PA
        USD
        846690.43000000
        0.210318048059
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06739GCR8
        
          
        
        285000.00000000
        PA
        USD
        285143.83000000
        0.070829776287
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-05-12
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        549300INMCHM7L5O6M41
        SMB Private Education Loan Trust 2018-B
        78449LAB4
        
          
        
        164819.13000000
        PA
        USD
        163642.87000000
        0.040648916980
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MLYC5
        
          
        
        15486.48000000
        PA
        USD
        15910.47000000
        0.003952163477
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2018-CH2
        81747EAW7
        
          
        
        27770.30000000
        PA
        USD
        27811.29000000
        0.006908329206
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-06-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROPER TECHNOLOGIES INC
        54930003T4SXCIWVXY35
        Roper Technologies Inc
        776743AK2
        
          
        
        100000.00000000
        PA
        USD
        99566.05000000
        0.024732223900
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132A4LW6
        
          
        
        143114.63000000
        PA
        USD
        150966.77000000
        0.037500171565
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C2A1
        
          
        
        28432.40000000
        PA
        USD
        29550.60000000
        0.007340374109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Orleans Hotel Trust
        N/A
        New Orleans Hotel Trust 2019-HNLA
        647622AC3
        
          
        
        790000.00000000
        PA
        USD
        774176.77000000
        0.192305642476
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-04-15
          Floating
          1.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enterprise Fleet Financing LLC
        N/A
        Enterprise Fleet Financing 2019-3 LLC
        29374WAB2
        
          
        
        112904.09000000
        PA
        USD
        112972.24000000
        0.028062323796
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-05-20
          Fixed
          2.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-CCRE22 Mortgage Trust
        12592XBG0
        
          
        
        235000.00000000
        PA
        USD
        233616.58000000
        0.058030398548
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-10
          Variable
          3.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-1
        92537QAE1
        
          
        
        177793.66000000
        PA
        USD
        171714.93000000
        0.042654018069
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-01-25
          Variable
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2021-A
        80286TAF0
        
          
        
        1030000.00000000
        PA
        USD
        988638.08000000
        0.245577868670
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-20
          Fixed
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Drive Auto Receivables Trust
        N/A
        Drive Auto Receivables Trust 2020-1
        26208QAF4
        
          
        
        326644.73000000
        PA
        USD
        327090.86000000
        0.081249425735
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-16
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2022-A
        63942MAA8
        
          
        
        965000.00000000
        PA
        USD
        932799.98000000
        0.231707675051
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2070-07-15
          Fixed
          2.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90352JAB9
        
          
        
        415000.00000000
        PA
        USD
        415481.17000000
        0.103205593902
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-05-23
          Floating
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAZ3
        
          
        
        360000.00000000
        PA
        USD
        350337.50000000
        0.087023895099
        Long
        DBT
        
        US
        N
        
        2
        
          2025-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Fund LLC
        N/A
        Imperial Fund Mortgage Trust 2021-NQM2
        452761AC3
        
          
        
        324103.93000000
        PA
        USD
        299416.38000000
        0.074375080156
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-09-25
          Variable
          1.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Retail Auto Lease Trust
        N/A
        Santander Retail Auto Lease Trust 2021-C
        80286CAF7
        
          
        
        365000.00000000
        PA
        USD
        346269.66000000
        0.086013442945
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-20
          Fixed
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROPER TECHNOLOGIES INC
        54930003T4SXCIWVXY35
        Roper Technologies Inc
        776743AM8
        
          
        
        115000.00000000
        PA
        USD
        106696.02000000
        0.026503309671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BV0
        
          
        
        460000.00000000
        PA
        USD
        463829.97000000
        0.115215444116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JACKSON FINANCIAL INC
        213800WXW2KG1N4CO374
        Jackson Financial Inc
        46817MAH0
        
          
        
        620000.00000000
        PA
        USD
        601335.32000000
        0.149371796645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-22
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRE Grand Islander Timeshare Issuer
        N/A
        BRE Grand Islander Timeshare Issuer 2019-A LLC
        05588UAA0
        
          
        
        139725.49000000
        PA
        USD
        137855.07000000
        0.034243223036
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-09-26
          Fixed
          3.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBT1
        
          
        
        1250000.00000000
        PA
        USD
        1220884.50000000
        0.303267919239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atrium Hotel Portfolio Trust
        N/A
        Atrium Hotel Portfolio Trust 2017-ATRM
        04965JAA1
        
          
        
        520000.00000000
        PA
        USD
        512141.34000000
        0.127215996712
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW Owner Trust 2017-1
        553896AC5
        
          
        
        19278.25000000
        PA
        USD
        19035.23000000
        0.004728354397
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-12-20
          Fixed
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2021-JACX
        05493LAJ5
        
          
        
        435000.00000000
        PA
        USD
        428983.17000000
        0.106559493018
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-09-15
          Floating
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        InTown Hotel Portfolio Trust
        N/A
        InTown Hotel Portfolio Trust 2018-STAY
        46117MAL8
        
          
        
        100000.00000000
        PA
        USD
        99521.73000000
        0.024721214804
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-01-15
          Floating
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCT Commercial Mortgage Trust
        N/A
        GCT Commercial Mortgage Trust 2021-GCT
        36167RAA1
        
          
        
        335000.00000000
        PA
        USD
        329296.59000000
        0.081797329445
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-02-15
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAD4
        
          
        
        360000.00000000
        PA
        USD
        360130.67000000
        0.089456520207
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEACEHEALTH OBLIGATED GR
        N/A
        PeaceHealth Obligated Group
        70462GAB4
        
          
        
        105000.00000000
        PA
        USD
        98929.82000000
        0.024574184259
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIEMENS FINANCIERINGSMAT
        TAFO772JB70PDRN5VS48
        Siemens Financieringsmaatschappij NV
        82620KAX1
        
          
        
        390000.00000000
        PA
        USD
        375727.52000000
        0.093330780423
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-03-11
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2019-EXP3 Trust
        67113ABB5
        
          
        
        130182.21000000
        PA
        USD
        132300.60000000
        0.032863491735
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-10-25
          Floating
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TG33
        
          
        
        599659.14000000
        PA
        USD
        597156.34000000
        0.148333737296
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617N3ME3
        
          
        
        49169.81000000
        PA
        USD
        50392.10000000
        0.012517406284
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        06675FAX5
        
          
        
        665000.00000000
        PA
        USD
        623031.11000000
        0.154761034603
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-02-04
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAGEO CAPITAL PLC
        213800L23DJLALFC4O95
        Diageo Capital PLC
        25243YBC2
        
          
        
        300000.00000000
        PA
        USD
        284097.64000000
        0.070569902512
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-09-29
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJR1
        
          
        
        605000.00000000
        PA
        USD
        579857.20000000
        0.144036627953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-22
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NMLT Trust
        N/A
        NLT 2021-INV2 Trust
        62917JAC4
        
          
        
        263271.47000000
        PA
        USD
        246735.20000000
        0.061289066006
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-08-25
          Variable
          1.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-1
        92536PAA2
        
          
        
        114372.99000000
        PA
        USD
        113906.61000000
        0.028294421464
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300YG8OJES76WL398
        STACR Trust 2018-HRP2
        35564AAK7
        
          
        
        115344.66000000
        PA
        USD
        114993.12000000
        0.028564310734
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-25
          Floating
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRUNSWICK CORP
        YM4O38W15AX4YLLQKU27
        Brunswick Corp/DE
        117043AS8
        
          
        
        685000.00000000
        PA
        USD
        647539.68000000
        0.160848967595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-18
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vista Point Securitization Trust
        N/A
        Vista Point Securitization Trust 2020-1
        92838WAA2
        
          
        
        37499.65000000
        PA
        USD
        37408.45000000
        0.009292265397
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-03-25
          Variable
          1.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KRE1
        
          
        
        335068.13000000
        PA
        USD
        333047.03000000
        0.082728939385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2020-INV1 Trust
        67113CAE6
        
          
        
        55579.73000000
        PA
        USD
        55238.41000000
        0.013721230520
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        Comm 2014-UBS2 Mortgage Trust
        12591UAJ2
        
          
        
        480000.00000000
        PA
        USD
        484570.75000000
        0.120367457426
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-10
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BB0
        
          
        
        525000.00000000
        PA
        USD
        542857.53000000
        0.134845903577
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2020-NQM
        64830UAA3
        
          
        
        130757.15000000
        PA
        USD
        128334.60000000
        0.031878336655
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-05-24
          Variable
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co., LLC
        N/A
        Galton Funding Mortgage Trust 2019-1
        36418WAQ2
        
          
        
        29875.70000000
        PA
        USD
        29915.63000000
        0.007431047623
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-02-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Partners of America Trust
        N/A
        Home Partners of America 2022-1 Trust
        43730NAA4
        
          
        
        410000.00000000
        PA
        USD
        405872.69000000
        0.100818845822
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2039-04-17
          Fixed
          3.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KJY1
        
          
        
        1770.88000000
        PA
        USD
        1978.16000000
        0.000491375283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA EUROPACIFIC
        549300LTH67W4GWMRF57
        Coca-Cola Europacific Partners PLC
        19123MAE3
        
          
        
        1135000.00000000
        PA
        USD
        1084154.24000000
        0.269304099199
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-03
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST MARKETS PLC
        RR3QWICWWIPCS8A4S074
        NatWest Markets PLC
        63906YAB4
        
          
        
        390000.00000000
        PA
        USD
        367132.69000000
        0.091195823176
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-08-12
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CJ6
        
          
        
        910000.00000000
        PA
        USD
        856274.16000000
        0.212698648235
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-18
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XXXIII Ltd
        55819JAN3
        
          
        
        1025000.00000000
        PA
        USD
        1021782.39000000
        0.253810920960
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-10-15
          Floating
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KHDK9
        
          
        
        106468.41000000
        PA
        USD
        109913.41000000
        0.027302509899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE
        7D6DIU2QXTUJRFNNJA49
        Nissan Motor Acceptance Co LLC
        654740BD0
        
          
        
        1010000.00000000
        PA
        USD
        1009875.22000000
        0.250853177889
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-28
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Essex Portfolio LP
        5493003GN3O58H286O74
        Essex Portfolio LP
        29717PAN7
        
          
        
        600000.00000000
        PA
        USD
        606790.10000000
        0.150726764933
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAG6
        
          
        
        265000.00000000
        PA
        USD
        264931.06000000
        0.065808920752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AYQK2
        
          
        
        228071.75000000
        PA
        USD
        224985.44000000
        0.055886421891
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HMPA6
        
          
        
        66369.19000000
        PA
        USD
        69980.88000000
        0.017383262597
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2021-3
        30166AAF1
        
          
        
        335000.00000000
        PA
        USD
        317535.51000000
        0.078875875156
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKYWORKS SOLUTIONS INC
        549300WZ3ORQ2BVKBD96
        Skyworks Solutions Inc
        83088MAJ1
        
          
        
        175000.00000000
        PA
        USD
        171093.53000000
        0.042499662202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CGDB Commercial Mortgage Trust
        N/A
        CGDB Commercial Mortgage Trust 2019-MOB
        125284AG4
        
          
        
        660000.00000000
        PA
        USD
        649245.10000000
        0.161272594216
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-3
        89169DAA9
        
          
        
        132593.32000000
        PA
        USD
        132705.75000000
        0.032964131065
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-07-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCT6
        
          
        
        625000.00000000
        PA
        USD
        595214.84000000
        0.147851468363
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-08-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HM2
        
          
        
        555000.00000000
        PA
        USD
        541533.21000000
        0.134516942262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        POSCO HOLDINGS INC
        988400E5HRVX81AYLM04
        POSCO Holdings Inc
        693483AF6
        
          
        
        810000.00000000
        PA
        USD
        809011.80000000
        0.200958669903
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2022-11-12
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2021-J1 Trust
        67113XAD2
        
          
        
        571498.65000000
        PA
        USD
        548481.26000000
        0.136242839074
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-05-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF
        39152TAA8
        
          
        
        255000.00000000
        PA
        USD
        251637.62000000
        0.062506827975
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABB0
        
          
        
        515000.00000000
        PA
        USD
        518408.05000000
        0.128772648551
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        N/A
        SMB Private Education Loan Trust
        78449XAA0
        
          
        
        157750.02000000
        PA
        USD
        150083.92000000
        0.037280871474
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-07-15
          Fixed
          1.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERKINELMER INC
        549300IKL1SDPFI7N655
        PerkinElmer Inc
        714046AK5
        
          
        
        390000.00000000
        PA
        USD
        378699.37000000
        0.094068988472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust 2019-XL
        N/A
        BX Commercial Mortgage Trust 2019-XL
        056054AE9
        
          
        
        318750.00000000
        PA
        USD
        315943.98000000
        0.078480538831
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          1.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2019-INV1
        85572JAC1
        
          
        
        181792.97000000
        PA
        USD
        178389.13000000
        0.044311890494
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-27
          Variable
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE
        7D6DIU2QXTUJRFNNJA49
        Nissan Motor Acceptance Co LLC
        654740AZ2
        
          
        
        215000.00000000
        PA
        USD
        215368.54000000
        0.053497582281
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-13
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDD3
        
          
        
        845000.00000000
        PA
        USD
        826117.18000000
        0.205207649230
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        48128U2P3
        
          
        
        302330.95000000
        PA
        USD
        296507.21000000
        0.073652441829
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-26
          Fixed
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DF4
        
          
        
        220000.00000000
        PA
        USD
        218198.57000000
        0.054200562219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        969457BU3
        
          
        
        979000.00000000
        PA
        USD
        985236.79000000
        0.244732987650
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAD2
        
          
        
        225000.00000000
        PA
        USD
        232725.96000000
        0.057809168387
        Long
        DBT
        
        US
        N
        
        2
        
          2024-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEG6
        
          
        
        445000.00000000
        PA
        USD
        422722.86000000
        0.105004430941
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-21
          Fixed
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENUINE PARTS CO
        549300D46DQVEU651W04
        Genuine Parts Co
        372460AB1
        
          
        
        220000.00000000
        PA
        USD
        210067.10000000
        0.052180703676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LSEGA FINANCING PLC
        2138009YFYTGEHZNNZ09
        LSEGA Financing PLC
        50220PAA1
        
          
        
        765000.00000000
        PA
        USD
        729919.13000000
        0.181312037107
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-04-06
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co LLC
        N/A
        Sierra Timeshare 2019-3 Receivables Funding LLC
        82652NAA6
        
          
        
        536758.99000000
        PA
        USD
        524858.51000000
        0.130374943922
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-08-20
          Fixed
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CN8
        
          
        
        190000.00000000
        PA
        USD
        182208.10000000
        0.045260523297
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QCCH7
        
          
        
        42081.47000000
        PA
        USD
        42979.04000000
        0.010676000908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CU2
        
          
        
        265000.00000000
        PA
        USD
        262335.14000000
        0.065164093778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        06279JAA7
        
          
        
        1540000.00000000
        PA
        USD
        1569531.43000000
        0.389871876461
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-11-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMP4
        
          
        
        215933.55000000
        PA
        USD
        230000.64000000
        0.057132198432
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRIGHTHSE FIN GL
        549300BLFX3KJ2IFOA78
        Brighthouse Financial Global Funding
        10921U2D9
        
          
        
        1315000.00000000
        PA
        USD
        1283254.83000000
        0.318760719911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-28
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CQ0
        
          
        
        975000.00000000
        PA
        USD
        957455.35000000
        0.237832073189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-04
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        549300ZUZB9UCBWEBN39
        Navient Private Education Refi Loan Trust 2019-A
        63941BAB1
        
          
        
        271662.28000000
        PA
        USD
        272257.76000000
        0.067628874289
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668BC5
        
          
        
        200000.00000000
        PA
        USD
        200253.98000000
        0.049743122985
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-13
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton Grand Vacations Trust
        N/A
        Hilton Grand Vacations Trust 2020-A
        43285HAA6
        
          
        
        345278.80000000
        PA
        USD
        336847.37000000
        0.083672944493
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-02-25
          Fixed
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2020-INV1
        46591VBC2
        
          
        
        60424.82000000
        PA
        USD
        60335.40000000
        0.014987323710
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-25
          Floating
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-R1
        92538BAB9
        
          
        
        99359.98000000
        PA
        USD
        96096.10000000
        0.023870287725
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2063-10-25
          Variable
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AU4
        
          
        
        375000.00000000
        PA
        USD
        371014.64000000
        0.092160100222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9NZ2
        
          
        
        28813.73000000
        PA
        USD
        29995.10000000
        0.007450787985
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGG3
        
          
        
        650000.00000000
        PA
        USD
        611092.33000000
        0.151795439603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-20
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        4521527Q8
        
          
        
        885000.00000000
        PA
        USD
        886439.54000000
        0.220191733802
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-10-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FLORIDA GAS TRANSMISSION
        549300Q0UQF87NXNOC32
        Florida Gas Transmission Co LLC
        340711AV2
        
          
        
        250000.00000000
        PA
        USD
        250463.59000000
        0.062215198722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2019-BNK24
        06540VAY1
        
          
        
        151570.53000000
        PA
        USD
        148992.89000000
        0.037009859435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-11-15
          Fixed
          2.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONE Park Mortgage Trust
        N/A
        ONE 2021-PARK Mortgage Trust
        682413AC3
        
          
        
        755000.00000000
        PA
        USD
        727541.03000000
        0.180721316659
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-15
          Floating
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AON CORP
        LTS3U8DGK38SETRUWX71
        Aon Corp
        037389BD4
        
          
        
        180000.00000000
        PA
        USD
        180329.73000000
        0.044793935867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOODY'S CORPORATION
        549300GCEDD8YCF5WU84
        Moody's Corp
        615369AS4
        
          
        
        505000.00000000
        PA
        USD
        513403.69000000
        0.127529564669
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2020-EXP2 Trust
        67448VAG5
        
          
        
        60881.28000000
        PA
        USD
        59780.45000000
        0.014849474035
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-05-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174824M3
        
          
        
        375000.00000000
        PA
        USD
        381369.27000000
        0.094732192090
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Financial CLO Ltd
        635400ZS4BDP68TETX94
        KKR CLO 13 Ltd
        48250VAU1
        
          
        
        271140.54000000
        PA
        USD
        270867.91000000
        0.067283635310
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-16
          Floating
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GZH0
        
          
        
        565000.00000000
        PA
        USD
        550819.81000000
        0.136823735295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-24
          Fixed
          1.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co., LLC
        N/A
        Galton Funding Mortgage Trust 2017-1
        36417JAS8
        
          
        
        41270.56000000
        PA
        USD
        41118.02000000
        0.010213723221
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-11-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468W2
        
          
        
        450000.00000000
        PA
        USD
        442678.71000000
        0.109961467504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          0.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBU4
        
          
        
        100000.00000000
        PA
        USD
        98441.41000000
        0.024452863131
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-03-31
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        26874RAG3
        
          
        
        955000.00000000
        PA
        USD
        968009.64000000
        0.240453760635
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDER FUNDING TRUST
        N/A
        Alexander Funding Trust
        014621AA4
        
          
        
        530000.00000000
        PA
        USD
        513718.74000000
        0.127607823143
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          1.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2021-2
        03465DAA1
        
          
        
        366633.75000000
        PA
        USD
        349731.60000000
        0.086873389435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-04-25
          Variable
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HONEYWELL INTERNATIONAL
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        438516CB0
        
          
        
        435000.00000000
        PA
        USD
        419008.04000000
        0.104081669015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
        
        260000.00000000
        PA
        USD
        274897.60000000
        0.068284610997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2021-4
        80285VAF6
        
          
        
        450000.00000000
        PA
        USD
        425489.45000000
        0.105691652371
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW 2020-1 LLC
        N/A
        MVW 2020-1 LLC
        55400EAA7
        
          
        
        164032.90000000
        PA
        USD
        158353.67000000
        0.039335078793
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-20
          Fixed
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARK AEROSPACE HOLDINGS
        635400CPI3EOIFF6OC33
        Park Aerospace Holdings Ltd
        70014LAA8
        
          
        
        375000.00000000
        PA
        USD
        377414.69000000
        0.093749873740
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-08-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402QTS0
        
          
        
        4185.60000000
        PA
        USD
        4570.99000000
        0.001135434700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cardinal Health Inc
        CCU46N3GJMF4OK4N7U60
        Cardinal Health Inc
        14149YBA5
        
          
        
        525000.00000000
        PA
        USD
        529776.56000000
        0.131596588385
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Whole Loan Securities Trust
        N/A
        Freddie Mac Whole Loan Securities Trust 2017-SC02
        3137G1BY2
        
          
        
        29130.73000000
        PA
        USD
        29046.26000000
        0.007215095966
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Variable
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-C
        64035GAB5
        
          
        
        900541.24000000
        PA
        USD
        845893.79000000
        0.210120162546
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nissan Auto Receivables Owner Trust
        N/A
        Nissan Auto Receivables 2020-A Owner Trust
        65479MAC0
        
          
        
        152605.55000000
        PA
        USD
        151938.92000000
        0.037741653792
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-12-16
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTT FINANCE CORP
        3538007PR116187GD960
        NTT Finance Corp
        62954WAB1
        
          
        
        265000.00000000
        PA
        USD
        254016.33000000
        0.063097699947
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-03-01
          Fixed
          0.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CE8
        
          
        
        255000.00000000
        PA
        USD
        242257.46000000
        0.060176794622
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-11-23
          Fixed
          1.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYATT HOTELS CORP
        T27JQIMTYSH41TCD5186
        Hyatt Hotels Corp
        448579AL6
        
          
        
        325000.00000000
        PA
        USD
        316708.97000000
        0.078670562478
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AM47
        
          
        
        6024.35000000
        PA
        USD
        6045.51000000
        0.001501705721
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA3
        35564KJG5
        
          
        
        255000.00000000
        PA
        USD
        248751.28000000
        0.061789860624
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SQW0
        
          
        
        40928.34000000
        PA
        USD
        41580.56000000
        0.010328618237
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2019-INV1
        85572JAA5
        
          
        
        8341.90000000
        PA
        USD
        8352.85000000
        0.002074849372
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-27
          Variable
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-1
        92537QAF8
        
          
        
        104584.51000000
        PA
        USD
        100570.88000000
        0.024981823844
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-01-25
          Variable
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCF1
        
          
        
        350000.00000000
        PA
        USD
        343264.19000000
        0.085266883682
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-22
          Floating
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BY0
        
          
        
        1090000.00000000
        PA
        USD
        1058141.91000000
        0.262842631965
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-03
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAD7
        
          
        
        1110000.00000000
        PA
        USD
        1181080.42000000
        0.293380578939
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-30
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMBC AVIATION CAPITAL FI
        549300OD7VKRVNWB2J98
        SMBC Aviation Capital Finance DAC
        78448TAD4
        
          
        
        200000.00000000
        PA
        USD
        200592.77000000
        0.049827278479
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-07-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2019-INV2
        92537HAA9
        
          
        
        174207.80000000
        PA
        USD
        174359.06000000
        0.043310820414
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN PLC
        2138008L3B3MCG1DFS50
        Imperial Brands Finance PLC
        453140AE5
        
          
        
        2059000.00000000
        PA
        USD
        2063847.11000000
        0.512659976171
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-07-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
        
        505000.00000000
        PA
        USD
        510206.27000000
        0.126735324992
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XZZ0
        
          
        
        305388.25000000
        PA
        USD
        303579.86000000
        0.075409289302
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-25
          Floating
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyundai Auto Receivables Trust
        N/A
        Hyundai Auto Receivables Trust 2019-A
        44932NAF7
        
          
        
        325000.00000000
        PA
        USD
        327139.70000000
        0.081261557599
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-375P
        17320QAJ8
        
          
        
        255000.00000000
        PA
        USD
        252282.54000000
        0.062667026214
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-10
          Variable
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
        
        650000.00000000
        PA
        USD
        644475.29000000
        0.160087772594
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shelter Growth CRE
        N/A
        Shelter Growth CRE Issuer Ltd
        822866AA7
        
          
        
        303173.09000000
        PA
        USD
        299955.57000000
        0.074509015044
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-09-15
          Floating
          1.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH70
        
          
        
        17710.38000000
        PA
        USD
        18830.16000000
        0.004677414974
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAZ4
        
          
        
        485000.00000000
        PA
        USD
        468881.05000000
        0.116470133255
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-1
        92537QAA9
        
          
        
        128109.86000000
        PA
        USD
        124074.69000000
        0.030820174280
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-01-25
          Variable
          0.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Long Island Power Authority
        1R46U5SYJ63KQXF39168
        LONG ISLAND NY PWR AUTH ELEC SYS REVENUE
        542691DP2
        
          
        
        160000.00000000
        PA
        USD
        158317.15000000
        0.039326007218
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-03-01
          Fixed
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BSPRT Issuer, Ltd.
        N/A
        BSPRT 2022-FL8 Issuer Ltd
        055983AA8
        
          
        
        815000.00000000
        PA
        USD
        809420.56000000
        0.201060205958
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2037-02-15
          Floating
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER MEXICO
        SCRYQ25DTVRHYYMM6P89
        Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
        000000000
        
          
        
        775000.00000000
        PA
        USD
        780239.00000000
        0.193811501447
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-11-09
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDBANK AB
        M312WZV08Y7LYUC71685
        Swedbank AB
        87020PAK3
        
          
        
        505000.00000000
        PA
        USD
        497858.38000000
        0.123668106998
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2023-06-02
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EDISON INTERNATIONAL
        549300I7ROF15MAEVP56
        Edison International
        281020AP2
        
          
        
        290000.00000000
        PA
        USD
        291496.08000000
        0.072407676277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octane Receivables Trust
        N/A
        Octane Receivables Trust 2021-2
        67578AAA6
        
          
        
        357373.60000000
        PA
        USD
        348375.22000000
        0.086536464410
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-09-20
          Fixed
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEM3
        
          
        
        545000.00000000
        PA
        USD
        534612.47000000
        0.132797829259
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-18
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419DL74
        
          
        
        45736.42000000
        PA
        USD
        48502.29000000
        0.012047977156
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAA5
        
          
        
        260000.00000000
        PA
        USD
        261402.25000000
        0.064932363742
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-08
          Fixed
          3.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIMON PROPERTY GROUP LP
        MR92GTD0MJTTTTQDVG45
        Simon Property Group LP
        828807DG9
        
          
        
        225000.00000000
        PA
        USD
        220841.09000000
        0.054856964640
        Long
        DBT
        
        US
        N
        
        2
        
          2024-09-13
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        OBX 2020-EXP3 Trust
        67448WAP3
        
          
        
        206621.43000000
        PA
        USD
        203603.68000000
        0.050575189039
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAD4
        
          
        
        2305000.00000000
        PA
        USD
        2283151.55000000
        0.567135236688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2021-1
        03063FAF1
        
          
        
        270000.00000000
        PA
        USD
        255146.46000000
        0.063378424433
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-18
          Fixed
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        Stryker Corp
        863667BB6
        
          
        
        190000.00000000
        PA
        USD
        184283.77000000
        0.045776120081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-01
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYL2
        
          
        
        315000.00000000
        PA
        USD
        305330.27000000
        0.075844091446
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-21
          Fixed
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636ABD2
        
          
        
        405000.00000000
        PA
        USD
        405929.91000000
        0.100833059280
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2025-03-28
          Fixed
          3.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applebees/IHOP Funding LLC
        N/A
        Applebee's Funding LLC / IHOP Funding LLC
        03789XAD0
        
          
        
        1138500.00000000
        PA
        USD
        1129834.88000000
        0.280651178012
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-06-05
          Fixed
          4.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-INV1
        92537TAA3
        
          
        
        113453.86000000
        PA
        USD
        111784.35000000
        0.027767251716
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-03-25
          Variable
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABV8
        
          
        
        510000.00000000
        PA
        USD
        481444.19000000
        0.119590819386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-14
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-2
        92537UAA0
        
          
        
        209290.93000000
        PA
        USD
        207713.00000000
        0.051595944832
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-05-25
          Variable
          2.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAG0
        
          
        
        330000.00000000
        PA
        USD
        322972.49000000
        0.080226421921
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROSS STORES INC
        549300ENZFLPGRDFZQ60
        Ross Stores Inc
        778296AB9
        
          
        
        1100000.00000000
        PA
        USD
        1143783.39000000
        0.284115990289
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AK23
        
          
        
        17520.25000000
        PA
        USD
        17367.95000000
        0.004314201759
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QA3Y4
        
          
        
        117764.90000000
        PA
        USD
        123027.09000000
        0.030559950260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bunge Ltd Finance Corp
        549300QHC068L40NNM71
        Bunge Ltd Finance Corp
        120568AY6
        
          
        
        2000000.00000000
        PA
        USD
        2010222.14000000
        0.499339524424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAA1
        
          
        
        1480000.00000000
        PA
        USD
        1530933.42000000
        0.380284124155
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-22
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KHE2
        
          
        
        260000.00000000
        PA
        USD
        255779.89000000
        0.063535768554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 17-2B PTT
        N/A
        American Airlines 2017-2 Class B Pass Through Trust
        02377DAA0
        
          
        
        248759.39000000
        PA
        USD
        233709.22000000
        0.058053410340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QCLD6
        
          
        
        14434.15000000
        PA
        USD
        14747.80000000
        0.003663356049
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MRJ47
        
          
        
        28409.38000000
        PA
        USD
        29090.84000000
        0.007226169646
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2020-3
        03066PAE9
        
          
        
        245000.00000000
        PA
        USD
        235286.63000000
        0.058445239254
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-08-18
          Fixed
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHIRE ACQ INV IRELAND DA
        549300XK5HGW68R8K327
        Shire Acquisitions Investments Ireland DAC
        82481LAC3
        
          
        
        397000.00000000
        PA
        USD
        398100.60000000
        0.098888257333
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2023-09-23
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MHSV9
        
          
        
        25774.82000000
        PA
        USD
        26418.33000000
        0.006562317703
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aetna Inc
        549300QKBENKLBXQ8968
        Aetna Inc
        00817YAV0
        
          
        
        275000.00000000
        PA
        USD
        276019.05000000
        0.068563179370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCK5
        
          
        
        8260000.00000000
        PA
        USD
        8073827.36000000
        2.005540101268
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-06-30
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBQ7
        
          
        
        555000.00000000
        PA
        USD
        532838.75000000
        0.132357236907
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-12-10
          Fixed
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APT Pipelines Ltd
        261700SS8OEHDOCOUJ33
        APT Pipelines Ltd
        00205GAB3
        
          
        
        930000.00000000
        PA
        USD
        942885.08000000
        0.234212815621
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2025-03-23
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SUV7
        
          
        
        44061.75000000
        PA
        USD
        44783.77000000
        0.011124296150
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EH4B5
        
          
        
        225479.65000000
        PA
        USD
        231422.68000000
        0.057485433411
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CW7
        
          
        
        420000.00000000
        PA
        USD
        405535.23000000
        0.100735020700
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-11-22
          Fixed
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HPHT FINANCE 19 LTD
        254900U58MWSWY66P584
        HPHT Finance 19 Ltd
        000000000
        
          
        
        500000.00000000
        PA
        USD
        494935.00000000
        0.122941938904
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-11-05
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2021-2
        31572LAA4
        
          
        
        643923.01000000
        PA
        USD
        602193.06000000
        0.149584859408
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-06-25
          Variable
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2021-1
        03063FAE4
        
          
        
        430000.00000000
        PA
        USD
        408451.63000000
        0.101459454960
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-10-19
          Fixed
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN NATL RESOURCES
        549300T15RIMIKZC5Q38
        Canadian Natural Resources Ltd
        136385AZ4
        
          
        
        760000.00000000
        PA
        USD
        728733.52000000
        0.181017531380
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-07-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AKER BP ASA
        549300NFTY73920OYK69
        Aker BP ASA
        00973RAE3
        
          
        
        445000.00000000
        PA
        USD
        438350.84000000
        0.108886423853
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2025-01-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World OMNI Select Auto Trust
        N/A
        World Omni Select Auto Trust 2020-A
        98163DAE8
        
          
        
        270000.00000000
        PA
        USD
        266392.72000000
        0.066171997346
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          0.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Roper Technologies Inc
        54930003T4SXCIWVXY35
        Roper Technologies Inc
        776696AE6
        
          
        
        660000.00000000
        PA
        USD
        663181.20000000
        0.164734323847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHGN6
        
          
        
        181463.46000000
        PA
        USD
        198627.28000000
        0.049339050426
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAE8
        
          
        
        200000.00000000
        PA
        USD
        193850.09000000
        0.048152395610
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-05-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton Grand Vacations Trust
        N/A
        Hilton Grand Vacations Trust 2017-A
        43283AAB1
        
          
        
        102588.51000000
        PA
        USD
        102267.04000000
        0.025403150279
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-26
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A2GS6
        
          
        
        55523.17000000
        PA
        USD
        55328.04000000
        0.013743494627
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Synchrony Bank
        549300UATVPGSLE43Z27
        Synchrony Bank
        87166FAA1
        
          
        
        250000.00000000
        PA
        USD
        250425.08000000
        0.062205632831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEY BANK NA
        HUX2X73FUCYHUVH1BK78
        KeyBank NA/Cleveland OH
        49327M2Z6
        
          
        
        580000.00000000
        PA
        USD
        575277.38000000
        0.142898999879
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-10
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA6
        35566CAA3
        
          
        
        17099.09000000
        PA
        USD
        17062.55000000
        0.004238340347
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QM4V3
        
          
        
        580001.48000000
        PA
        USD
        554130.30000000
        0.137646061579
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRAY OAK PIPELINE LLC
        N/A
        Gray Oak Pipeline LLC
        38937LAA9
        
          
        
        295000.00000000
        PA
        USD
        290623.23000000
        0.072190860187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2020-C
        63941KAB1
        
          
        
        1205000.00000000
        PA
        USD
        1158622.08000000
        0.287801923430
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-11-15
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2D2
        
          
        
        860000.00000000
        PA
        USD
        846965.32000000
        0.210386330782
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-05-05
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JX6
        
          
        
        100000.00000000
        PA
        USD
        100028.50000000
        0.024847096559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-14
          Floating
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRINITY ACQUISITION PLC
        549300FJZWZN6MJNGB63
        Trinity Acquisition PLC
        89641UAA9
        
          
        
        200000.00000000
        PA
        USD
        204535.52000000
        0.050806658255
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-08-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates 2019-ICE4
        12653VAG1
        
          
        
        405000.00000000
        PA
        USD
        400432.37000000
        0.099467469401
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Highwoods Realty LP
        JUJNVZX73BIYHLR58F51
        Highwoods Realty LP
        431282AM4
        
          
        
        740000.00000000
        PA
        USD
        743467.95000000
        0.184677566320
        Long
        DBT
        
        US
        N
        
        2
        
          2023-01-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLT Funding LLC
        N/A
        COLT 2020-3 Mortgage Loan Trust
        12597QAA4
        
          
        
        50125.36000000
        PA
        USD
        49952.50000000
        0.012408209569
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-27
          Variable
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        O'Reilly Automotive Inc
        549300K2RLMQL149Q332
        O'Reilly Automotive Inc
        67103HAC1
        
          
        
        195000.00000000
        PA
        USD
        195594.52000000
        0.048585712321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2018-2
        89175VAA1
        
          
        
        482941.63000000
        PA
        USD
        483110.61000000
        0.120004758400
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2058-03-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KH3Q7
        
          
        
        71083.83000000
        PA
        USD
        73939.06000000
        0.018366475188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUCOR CORP
        549300GGJCRSI2TIEJ46
        Nucor Corp
        670346AR6
        
          
        
        155000.00000000
        PA
        USD
        150037.54000000
        0.037269350674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECOLAB INC
        82DYEISM090VG8LTLS26
        Ecolab Inc
        278865BL3
        
          
        
        215000.00000000
        PA
        USD
        201871.13000000
        0.050144823322
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors
        N/A
        GMF Floorplan Owner Revolving Trust
        361886BZ6
        
          
        
        355000.00000000
        PA
        USD
        355199.12000000
        0.088231522341
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAB8
        
          
        
        280000.00000000
        PA
        USD
        280259.65000000
        0.069616545137
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-05-22
          Floating
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BB9
        
          
        
        2107000.00000000
        PA
        USD
        2114724.77000000
        0.525297995643
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-23
          Fixed
          4.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        5493003EWUCLH0O45S72
        Sequoia Mortgage Trust 2018-CH4
        81747LAB7
        
          
        
        14410.86000000
        PA
        USD
        14451.34000000
        0.003589715335
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NAY1
        
          
        
        640000.00000000
        PA
        USD
        628818.53000000
        0.156198630724
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2016-2
        89172PAJ8
        
          
        
        3677.06000000
        PA
        USD
        3673.63000000
        0.000912530322
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-08-25
          Variable
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYE8
        
          
        
        335000.00000000
        PA
        USD
        324006.25000000
        0.080483208082
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-10
          Fixed
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2019-G
        63941JAA6
        
          
        
        554513.88000000
        PA
        USD
        551021.55000000
        0.136873847546
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2068-10-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corp
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TFX8
        
          
        
        875000.00000000
        PA
        USD
        875292.57000000
        0.217422824542
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-12
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        Carmax Auto Owner Trust 2020-1
        14315XAF5
        
          
        
        190000.00000000
        PA
        USD
        188176.93000000
        0.046743181693
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-11-17
          Fixed
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA1
        35564KAA7
        
          
        
        15281.63000000
        PA
        USD
        15249.77000000
        0.003788045484
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJH3
        
          
        
        695000.00000000
        PA
        USD
        672421.95000000
        0.167029727732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-24
          Fixed
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Wholsale Mortgage LLC
        N/A
        UWM Mortgage Trust 2021-INV2
        90354TAD1
        
          
        
        172183.02000000
        PA
        USD
        164496.31000000
        0.040860911622
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2020-1
        03067DAF2
        
          
        
        320000.00000000
        PA
        USD
        316121.18000000
        0.078524555341
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-10-20
          Fixed
          1.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BF5
        
          
        
        100000.00000000
        PA
        USD
        101619.13000000
        0.025242209324
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          3.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H032647
        
          
        
        2864000.00000000
        PA
        USD
        2879662.50000000
        0.715308658998
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RBE3
        
          
        
        315000.00000000
        PA
        USD
        296720.99000000
        0.073705544817
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-12-02
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EMZR5
        
          
        
        44748.89000000
        PA
        USD
        45108.50000000
        0.011204959138
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571900BB4
        
          
        
        1160000.00000000
        PA
        USD
        1171896.55000000
        0.291099304055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW Owner Trust 2017-1
        553896AB7
        
          
        
        17525.68000000
        PA
        USD
        17356.52000000
        0.004311362545
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-12-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661EG8
        
          
        
        175000.00000000
        PA
        USD
        176023.15000000
        0.043724180656
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFE9
        
          
        
        305000.00000000
        PA
        USD
        308780.36000000
        0.076701094394
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKG3
        
          
        
        460000.00000000
        PA
        USD
        449755.42000000
        0.111719323482
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-04
          Fixed
          1.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metlife Securitization Trust
        N/A
        METLIFE SECURITIZATION TRUST
        59166BAA9
        
          
        
        98723.24000000
        PA
        USD
        97848.68000000
        0.024305628897
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-04-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Humana Inc
        529900YLDW34GJAO4J06
        Humana Inc
        444859BD3
        
          
        
        545000.00000000
        PA
        USD
        553644.04000000
        0.137525274512
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XXIII Ltd
        55820TAL2
        
          
        
        460000.00000000
        PA
        USD
        456707.10000000
        0.113446121986
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-27
          Floating
          1.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAG8
        
          
        
        1545000.00000000
        PA
        USD
        1542187.70000000
        0.383079689238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AS7
        
          
        
        800000.00000000
        PA
        USD
        797537.05000000
        0.198108340035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Edison International
        549300I7ROF15MAEVP56
        Edison International
        281020AJ6
        
          
        
        310000.00000000
        PA
        USD
        309473.72000000
        0.076873325137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJS9
        
          
        
        450000.00000000
        PA
        USD
        417908.24000000
        0.103808478507
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          1.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAW1
        
          
        
        880000.00000000
        PA
        USD
        838529.89000000
        0.208290968523
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2024-06-22
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HPHT Finance 17 Ltd
        549300TYU0354ZWXG128
        HPHT Finance 17 Ltd
        000000000
        
          
        
        765000.00000000
        PA
        USD
        764528.35000000
        0.189908973292
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-09-11
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Trust
        54930027GONY06ZX8P67
        SMB Private Education Loan Trust 2016-C
        78449KAC4
        
          
        
        270282.24000000
        PA
        USD
        271485.13000000
        0.067436952864
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-09-15
          Floating
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        N/A
        CIFC Funding 2021-IV Ltd
        12547DAA4
        
          
        
        905000.00000000
        PA
        USD
        895790.22000000
        0.222514444318
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-07-15
          Floating
          1.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2019-4
        92537KAC8
        
          
        
        308871.17000000
        PA
        USD
        308407.62000000
        0.076608505714
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKY LTD
        2138003TS48MQKF4BZ29
        Sky Ltd
        111013AL2
        
          
        
        1450000.00000000
        PA
        USD
        1474039.00000000
        0.366151540467
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-09-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RDF3
        
          
        
        2689.27000000
        PA
        USD
        2939.53000000
        0.000730179756
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        685251.99000000
        NS
        USD
        685251.99000000
        0.170216711869
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCV6
        
          
        
        965000.00000000
        PA
        USD
        942583.58000000
        0.234137922969
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-26
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities Trust
        N/A
        GS Mortgage-Backed Securities Corp Trust 2021-NQM1
        36262EAA4
        
          
        
        200170.29000000
        PA
        USD
        192011.87000000
        0.047695781447
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-07-25
          Variable
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMPHENOL CORP
        549300D3L3G0R4U4VT04
        Amphenol Corp
        032095AK7
        
          
        
        405000.00000000
        PA
        USD
        393987.65000000
        0.097866599847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300Y2YE54ON4DJE28
        Neuberger Berman Loan Advisers Clo 40 Ltd
        64134JAA1
        
          
        
        270000.00000000
        PA
        USD
        267499.43000000
        0.066446904300
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-16
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCELORMITTAL
        2EULGUTUI56JI9SAL165
        ArcelorMittal SA
        03938LBB9
        
          
        
        225000.00000000
        PA
        USD
        225226.28000000
        0.055946246588
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2024-07-16
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DQ7
        
          
        
        650000.00000000
        PA
        USD
        635513.44000000
        0.157861647516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MHSW7
        
          
        
        9093.36000000
        PA
        USD
        9288.67000000
        0.002307307221
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage Trust
        N/A
        Ellington Financial Mortgage Trust 2020-1
        31574PAA3
        
          
        
        172243.16000000
        PA
        USD
        171232.83000000
        0.042534264346
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          2.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18
        61763XAH9
        
          
        
        185000.00000000
        PA
        USD
        185895.44000000
        0.046176459185
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-15
          Variable
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNH Equipment Trust
        N/A
        CNH Equipment Trust 2020-A
        12597PAD0
        
          
        
        260000.00000000
        PA
        USD
        254435.22000000
        0.063201752295
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDICORP LTD
        529900UYAEYQCQ2BKB17
        Credicorp Ltd
        22530EAA0
        
          
        
        200000.00000000
        PA
        USD
        192553.44000000
        0.047830307528
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-06-17
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROSS STORES INC
        549300ENZFLPGRDFZQ60
        Ross Stores Inc
        778296AF0
        
          
        
        350000.00000000
        PA
        USD
        319668.29000000
        0.079405658074
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNC Bank NA
        AD6GFRVSDT01YPT1CS68
        PNC Bank NA
        69353RFE3
        
          
        
        325000.00000000
        PA
        USD
        325961.62000000
        0.080968922325
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-28
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-26
      NORTHWESTERN MUTUAL SERIES FUND INC
      Phillip Rinzel
      Phillip Rinzel
      Controller and Chief Accounting Officer
    
  
  XXXX

Short-Term Bond Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2022 (unaudited)

 

Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

Basic Materials (0.5%)

      

ArcelorMittal
3.600%, 7/16/24

      225,000        225  

Celulosa Arauco y Constitucion SA
4.500%, 8/1/24

      365,000        375  

Ecolab, Inc.
1.650%, 2/1/27

      215,000        202  

LYB International Finance III, LLC
1.250%, 10/1/25

      373,000        345  

Nucor Corp.
2.000%, 6/1/25

      155,000        150  

POSCO
2.375%, 11/12/22 144A

      810,000        809  

Westlake Chemical Corp.
0.875%, 8/15/24

      100,000        96  
     

 

 

  

Total

         2,202  
     

 

 

  

Communications (3.6%)

      

AT&T, Inc.
0.900%, 3/25/24

      1,060,000        1,026  

Charter Communications Operating LLC / Charter Communications Operating Capital Corp.

      

4.464%, 7/23/22  b

      2,107,000        2,115  

4.908%, 7/23/25  b

      1,550,000        1,607  

Comcast Corp.
3.700%, 4/15/24

      460,000        470  

Cox Communications, Inc.
3.150%, 8/15/24 144A

      443,000        444  

Expedia, Inc.
3.600%, 12/15/23

      565,000        570  

NBN Co., Ltd.
1.450%, 5/5/26 144A

      1,000,000        925  

NTT Finance Corp.

      

0.373%, 3/3/23 144A

      660,000        650  

0.583%, 3/1/24 144A

      265,000        254  

The Priceline Group, Inc.
2.750%, 3/15/23

      150,000        151  

Rogers Communications, Inc.
3.200%, 3/15/27 144A

      690,000        679  

SES SA
3.600%, 4/4/23 144A

      555,000        558  

Sky, Ltd.
3.750%, 9/16/24 144A

      1,450,000        1,474  

T-Mobile USA, Inc.

      

2.250%, 2/15/26

      470,000        443  

3.500%, 4/15/25

      515,000        518  

Verizon Communications, Inc.

      

0.850%, 11/20/25

      500,000        463  

1.450%, 3/20/26

      650,000        611  

2.625%, 8/15/26

      845,000        826  

3.376%, 2/15/25

      230,000        233  

The Walt Disney Co.
1.750%, 1/13/26

      395,000        378  
     

 

 

  

Total

         14,395  
     

 

 

  
Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

Consumer, Cyclical (5.8%)

      

7-Eleven, Inc.

      

0.625%, 2/10/23 144A

      200,000        197  

0.800%, 2/10/24 144A

      325,000        312  

American Airlines Pass Through Trust, Series
2017-2, Class B
3.700%, 4/15/27

      248,759        234  

Aptiv PLC / Aptiv Corp.
2.396%, 2/18/25

      130,000        127  

AutoZone, Inc.
3.625%, 4/15/25

      235,000        238  

Brunswick Corp.
0.850%, 8/18/24

      685,000        648  

Daimler Finance North America LLC

      

1.625%, 12/13/24 144A

      580,000        554  

1.750%, 3/10/23 144A

      815,000        811  

General Motors Co.

      

4.875%, 10/2/23

      530,000        546  

5.400%, 10/2/23

      500,000        517  

General Motors Financial Co., Inc.
2.900%, 2/26/25

      965,000        943  

Genuine Parts Co.
1.750%, 2/1/25

      220,000        210  

Harley-Davidson Financial Services, Inc.
2.550%, 6/9/22 144A

      210,000        210  

Hasbro, Inc.
3.000%, 11/19/24

      1,030,000        1,022  

Hyatt Hotels Corp.
1.300%, 10/1/23

      325,000        317  

Hyundai Capital America

      

0.800%, 1/8/24 144A

      390,000        372  

0.875%, 6/14/24 144A

      510,000        481  

1.000%, 9/17/24 144A

      255,000        240  

1.150%, 11/10/22 144A

      385,000        382  

2.375%, 2/10/23 144A

      865,000        862  

2.850%, 11/1/22 144A

      228,000        229  

3.000%, 6/20/22 144A

      470,000        471  

Hyundai Motor Co.
2.125%, 4/24/25 144A

      200,000        192  

Lowe’s Companies, Inc.
3.350%, 4/1/27

      175,000        176  

Magallanes, Inc.
3.755%, 3/15/27 144A

      1,545,000        1,542  

Marriott International, Inc.

      

2.125%, 10/3/22

      200,000        200  

3.125%, 2/15/23

      170,000        171  

3.600%, 4/15/24

      1,160,000        1,172  

McDonald’s Corp.

      

1.450%, 9/1/25

      270,000        258  

3.300%, 7/1/25

      155,000        157  

3.350%, 4/1/23

      305,000        309  

Nissan Motor Acceptance Corp.

      

2.600%, 9/28/22 144A

      1,010,000        1,010  

2.650%, 7/13/22 144A

      215,000        215  

Nissan Motor Co., Ltd.
3.043%, 9/15/23 144A

      775,000        773  
 

Short-Term Bond Portfolio

 

Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

 

Consumer, Cyclical continued

      

Nordstrom, Inc.
2.300%, 4/8/24

      85,000        84  

O’Reilly Automotive, Inc.
3.800%, 9/1/22

      195,000        196  

Panasonic Corp.
2.536%, 7/19/22 144A

      335,000        335  

QVC, Inc.
4.375%, 3/15/23 b

      2,065,000        2,075  

Ross Stores, Inc.

      

0.875%, 4/15/26

      350,000        320  

4.600%, 4/15/25

      1,100,000        1,144  

Starbucks Corp.
2.700%, 6/15/22

      205,000        205  

Stellantis Finance US, Inc.
1.711%, 1/29/27 144A

      260,000        237  

Toyota Motor Credit Corp.

      

2.650%, 4/12/22

      875,000        875  

3.050%, 3/22/27

      325,000        324  

United Airlines Pass Through Trust,
Series 2019-2, Class B
3.500%, 11/1/29

      150,406        136  

Volkswagen Group of America Finance LLC

      

0.750%, 11/23/22 144A

      360,000        357  

0.875%, 11/22/23 144A

      345,000        333  

2.700%, 9/26/22 144A

      290,000        291  

2.900%, 5/13/22 144A

      200,000        200  

3.125%, 5/12/23 144A

      200,000        201  
     

 

 

  

Total

         23,411  
     

 

 

  

Consumer, Non-cyclical (8.0%)

      

AbbVie, Inc.

      

2.600%, 11/21/24  b

      1,935,000        1,922  

2.900%, 11/6/22

      775,000        780  

2.950%, 11/21/26

      1,120,000        1,109  

3.200%, 11/6/22

      85,000        86  

3.200%, 5/14/26

      100,000        100  

3.250%, 10/1/22

      80,000        80  

Aetna, Inc.
2.800%, 6/15/23

      275,000        276  

AmerisourceBergen Corp.
0.737%, 3/15/23

      1,050,000        1,035  

Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.
3.650%, 2/1/26

      250,000        255  

AstraZeneca Finance LLC
1.200%, 5/28/26

      805,000        746  

BAT International Finance PLC

      

1.668%, 3/25/26

      475,000        436  

4.448%, 3/16/28

      1,010,000        1,012  

Baxalta, Inc.
3.600%, 6/23/22

      125,000        125  

Bayer US Finance II LLC
3.875%, 12/15/23 144A

      505,000        510  

Becton Dickinson and Co.

      

3.363%, 6/6/24

      460,000        464  

3.734%, 12/15/24

      100,000        102  

Bristol-Myers Squibb Co.

      

2.900%, 7/26/24

      268,000        270  

3.250%, 2/20/23

      91,000        92  

Bunge, Ltd. Finance Corp.
3.000%, 9/25/22 b

      2,000,000     

 

2,010

 

Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

 

Consumer, Non-cyclical continued

      

Cardinal Health, Inc.

      

3.079%, 6/15/24

      310,000        310  

3.200%, 3/15/23

      395,000        398  

3.500%, 11/15/24

      525,000        530  

Cigna Corp.

      

0.613%, 3/15/24

      190,000        182  

3.000%, 7/15/23

      320,000        322  

3.750%, 7/15/23

      179,000        182  

Coca-Cola European Partners PLC
0.800%, 5/3/24 144A

      1,135,000        1,084  

CommonSpirit Health
1.547%, 10/1/25

      365,000        342  

CVS Health Corp.

      

2.625%, 8/15/24

      150,000        150  

2.875%, 6/1/26

      265,000        262  

3.000%, 8/15/26

      220,000        218  

Diageo Capital PLC
1.375%, 9/29/25

      300,000        284  

HCA, Inc.
3.125%, 3/15/27 144A

      580,000        567  

Health Care Service Corp., a Mutual Legacy Reserve Co.
1.500%, 6/1/25 144A

      780,000        742  

HPHT Finance 19, Ltd.
2.875%, 11/5/24 §

      500,000        495  

Humana, Inc.

      

0.650%, 8/3/23

      320,000        312  

1.350%, 2/3/27

      75,000        68  

2.900%, 12/15/22

      140,000        141  

3.150%, 12/1/22

      150,000        151  

3.850%, 10/1/24

      545,000        554  

4.500%, 4/1/25

      565,000        585  

Imperial Brands Finance PLC

      

3.125%, 7/26/24 144A

      855,000        847  

3.500%, 2/11/23 144A

      1,210,000        1,216  

3.750%, 7/21/22 144A

      2,059,000        2,064  

JDE Peet’s NV
0.800%, 9/24/24 144A

      295,000        277  

Mondelez International, Inc.

      

2.125%, 3/17/24

      410,000        407  

2.625%, 3/17/27

      415,000        405  

Moody’s Corp.
3.750%, 3/24/25

      505,000        513  

PeaceHealth Obligated Group
1.375%, 11/15/25

      105,000        99  

PerkinElmer, Inc.

      

0.550%, 9/15/23

      390,000        379  

0.850%, 9/15/24

      745,000        707  

Perrigo Company PLC
4.000%, 11/15/23

      200,000        205  

Perrigo Finance Unlimited Co.
3.900%, 12/15/24

      1,570,000        1,577  

Philip Morris International, Inc.
1.125%, 5/1/23

      220,000        217  

RELX Capital, Inc.
3.500%, 3/16/23

      270,000        272  

Royalty Pharma PLC
0.750%, 9/2/23

      425,000        413  

S&P Global, Inc.
2.450%, 3/1/27 144A

      1,120,000        1,090  
 

Short-Term Bond Portfolio

 

Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

 

Consumer, Non-cyclical continued

      

Shire Acquisitions Investments Ireland DAC
2.875%, 9/23/23

      397,000        398  

Stryker Corp.
0.600%, 12/1/23

      190,000        184  

Thermo Fisher Scientific, Inc.
0.797%, 10/18/23

      1,050,000        1,024  

Triton Container International, Ltd.
0.800%, 8/1/23 144A

      780,000        757  
     

 

 

  

Total

         32,340  
     

 

 

  

Diversified (0.2%)

      

CK Hutchison International 17 II, Ltd.
2.750%, 3/29/23 §

      650,000        652  
     

 

 

  

Total

         652  
     

 

 

  

Energy (4.7%)

      

Aker BP ASA
3.000%, 1/15/25 144A

      445,000        438  

Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc.
1.231%, 12/15/23

      210,000        205  

Canadian Natural Resources, Ltd.
2.050%, 7/15/25

      760,000        729  

Cheniere Corpus Christi Holdings LLC

      

5.875%, 3/31/25

      425,000        449  

7.000%, 6/30/24

      1,110,000        1,181  

Devon Energy Corp.
8.250%, 8/1/23

      290,000        307  

Enbridge, Inc.

      

0.458%, (US SOFR plus 0.400%), 2/17/23

      205,000        205  

2.150%, 2/16/24

      275,000        271  

2.500%, 1/15/25

      640,000        629  

2.500%, 2/14/25

      330,000        323  

4.000%, 10/1/23

      365,000        371  

Energy Transfer LP

      

2.900%, 5/15/25

      115,000        112  

3.450%, 1/15/23

      55,000        55  

3.600%, 2/1/23

      175,000        176  

4.200%, 9/15/23

      135,000        137  

4.250%, 3/15/23

      780,000        789  

4.250%, 4/1/24

      35,000        36  

5.875%, 1/15/24

      1,054,000        1,098  

Energy Transfer Operating LP
4.900%, 2/1/24

      425,000        436  

Eni SpA
4.000%, 9/12/23 144A

      955,000        968  

EOG Resources, Inc.
2.625%, 3/15/23

      140,000        140  

Equinor ASA
2.875%, 4/6/25

      880,000        880  

Exxon Mobil Corp.
2.992%, 3/19/25

      725,000        728  

Florida Gas Transmission LLC
3.875%, 7/15/22 144A

      250,000        250  

Gray Oak Pipeline LLC

      

2.000%, 9/15/23 144A

      295,000        291  

2.600%, 10/15/25 144A

      205,000        197  

Kinder Morgan Energy Partners LP
3.950%, 9/1/22

      70,000        70  

Pioneer Natural Resources Co.
0.550%, 5/15/23

      350,000        342  
Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

 

Energy continued

      

Plains All American Pipeline LP / PAA Finance Corp.
2.850%, 1/31/23

      725,000        724  

Sabine Pass Liquefaction LLC

      

5.625%, 4/15/23

      1,370,000        1,402  

5.625%, 3/1/25

      260,000        275  

5.750%, 5/15/24

      100,000        105  

Saudi Arabian Oil Co.
2.750%, 4/16/22 144A

      805,000        805  

Schlumberger Finance Canada, Ltd.
1.400%, 9/17/25

      155,000        147  

Schlumberger Holdings Corp.

      

3.750%, 5/1/24 144A

      865,000        881  

4.000%, 12/21/25 144A

      170,000        173  

Suncor Energy, Inc.
2.800%, 5/15/23

      395,000        396  

Western Midstream Operating LP
4.000%, 7/1/22

      800,000        800  

The Williams Cos., Inc.
3.700%, 1/15/23

      979,000        985  

Williams Partners LP

      

3.350%, 8/15/22

      95,000        95  

4.300%, 3/4/24

      145,000        148  
     

 

 

  

Total

         18,749  
     

 

 

  

Financial (18.6%)

      

AerCap Ireland Capital DAC / AerCap Global Aviation Trust

      

1.650%, 10/29/24

      770,000        727  

4.125%, 7/3/23

      960,000        966  

4.500%, 9/15/23

      485,000        489  

4.875%, 1/16/24

      355,000        360  

AIB Group PLC
4.750%, 10/12/23 144A

      600,000        610  

Air Lease Corp.
2.250%, 1/15/23

      360,000        360  

American Express Co.
2.250%, 3/4/25

      975,000        957  

American International Group, Inc.
2.500%, 6/30/25

      650,000        635  

American Tower Corp.

      

2.400%, 3/15/25

      360,000        350  

5.000%, 2/15/24

      225,000        233  

Aon Corp.
2.200%, 11/15/22

      180,000        180  

Athene Global Funding

      

1.716%, 1/7/25 144A

      930,000        886  

2.514%, 3/8/24 144A

      1,165,000        1,147  

Avolon Holdings Funding, Ltd.

      

2.125%, 2/21/26 144A

      610,000        557  

2.875%, 2/15/25 144A

      435,000        418  

3.950%, 7/1/24 144A

      130,000        130  

Banco Bilbao Vizcaya Argentaria SA
0.875%, 9/18/23

      1,000,000        972  

Banco del Estado de Chile
2.704%, 1/9/25 144A

      260,000        258  

Banco Santander Mexico SA Institucion De Banca Multiple Grupo Financiero Santander Mexico
4.125%, 11/9/22 §

      775,000        780  
 

Short-Term Bond Portfolio

 

Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

 

Financial continued

      

Banco Santander SA

      

0.701%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24

      600,000        582  

3.496%, 3/24/25

      600,000        600  

Bank of America Corp.

      

0.810%, (US SOFR plus 0.740%), 10/24/24

      695,000        672  

0.976%, (US SOFR plus 0.690%), 4/22/25

      605,000        580  

1.734%, (US SOFR plus 0.960%), 7/22/27

      450,000        418  

1.843%, (US SOFR plus 0.670%), 2/5/25

      460,000        450  

3.384%, (US SOFR plus 1.330%), 4/2/26

      580,000        579  

Bank of Ireland Group PLC
4.500%, 11/25/23 144A

      1,540,000        1,570  

Banque Federative du Credit Mutuel SA

      

0.650%, 2/27/24 144A

      505,000        483  

0.998%, 2/4/25 144A

      665,000        623  

2.125%, 11/21/22 144A

      630,000        631  

Barclays Bank PLC
1.700%, 5/12/22

      285,000        285  

Barclays PLC
1.007%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.800%), 12/10/24

      555,000        533  

4.338%, (ICE LIBOR USD 3 Month plus 1.356%), 5/16/24

      370,000        376  

BDO Unibank, Inc.
2.950%, 3/6/23 §

      800,000        796  

BNP Paribas SA
2.591%, (US SOFR plus 1.228%), 1/20/28 144A

      615,000        579  

BPCE SA

      

1.700%, (ICE LIBOR USD 3 Month plus 1.220%), 5/22/22 144A

      280,000        280  

5.700%, 10/22/23 144A

      1,480,000        1,531  

Brighthouse Financial Global Funding

      

0.600%, 6/28/23 144A

      1,315,000        1,283  

1.000%, 4/12/24 144A

      495,000        474  

Capital One Financial Corp.

      

2.636%, (US SOFR plus 1.290%), 3/3/26

      585,000        572  

3.200%, 1/30/23

      345,000        348  

3.500%, 6/15/23

      245,000        248  

3.900%, 1/29/24

      240,000        244  

The Charles Schwab Corp.

      

2.450%, 3/3/27

      1,090,000        1,058  

4.200%, 3/24/25

      525,000        543  

Citigroup, Inc.

      

0.981%, (US SOFR plus 0.669%), 5/1/25

      500,000        477  

3.106%, (US SOFR plus 2.842%), 4/8/26

      650,000        644  

CNO Global Funding

      

1.650%, 1/6/25 144A

      525,000        500  

1.750%, 10/7/26 144A

      490,000        452  

Corebridge Financial, Inc.
3.500%, 4/4/25 144A

      455,000        455  

Credit Agricole SA

      

1.279%, (ICE LIBOR USD 3 Month plus
1.020%), 4/24/23 144A

      315,000        317  

Credit Suisse AG

      

0.495%, 2/2/24

      485,000        464  

1.000%, 5/5/23

      860,000        847  
Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

 

Financial continued

      

Credit Suisse Group AG

      

2.997%, (3 Month LIBOR plus
1.200%), 12/14/23 144A

      500,000        500  

Creditcorp, Ltd.
2.750%, 6/17/25 144A

      200,000        193  

Crown Castle International Corp.

      

1.050%, 7/15/26

      615,000        556  

2.900%, 3/15/27

      485,000        469  

3.150%, 7/15/23

      430,000        433  

Danske Bank A/S

      

1.226%, 6/22/24 144A

      880,000        838  

3.773%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus
1.450%), 3/28/25 144A

      405,000        406  

5.375%, 1/12/24 144A

      455,000        469  

Equitable Financial Life Global Funding

      

0.500%, 4/6/23 144A

      1,145,000        1,125  

1.100%, 11/12/24 144A

      530,000        502  

Essex Portfolio LP
3.875%, 5/1/24

      600,000        607  

The Goldman Sachs Group, Inc.

      

0.627%, (US SOFR plus 0.538%), 11/17/23

      115,000        114  

0.657%, (US SOFR plus 0.505%), 9/10/24

      335,000        324  

0.673%, (US SOFR plus 0.572%), 3/8/24

      335,000        328  

0.925%, (US SOFR plus 0.486%), 10/21/24

      315,000        305  

1.757%, (US SOFR plus 0.730%), 1/24/25

      565,000        551  

3.500%, 4/1/25

      490,000        494  

Highwoods Realty LP
3.625%, 1/15/23

      740,000        743  

HPHT Finance 17, Ltd.
2.750%, 9/11/22 §

      765,000        764  

HSBC Holdings PLC

      

1.162%, (US SOFR plus 0.580%), 11/22/24

      420,000        406  

1.645%, (US SOFR plus 1.538%), 4/18/26

      910,000        856  

2.099%, (US SOFR plus 1.929%), 6/4/26

      320,000        304  

Jackson Financial, Inc.
1.125%, 11/22/23 144A

      620,000        601  

Jackson National Life Global Funding
1.750%, 1/12/25 144A

      620,000        594  

JPMorgan Chase & Co.

      

0.824%, (US SOFR plus 0.540%), 6/1/25

      560,000        534  

0.939%, (US SOFR plus 0.885%), 4/22/27

      350,000        343  

2.083%, (US SOFR plus 1.850%), 4/22/26

      890,000        859  

KeyBank NA
1.250%, 3/10/23

      580,000        575  

LeasePlan Corp. NV
2.875%, 10/24/24 144A

      600,000        586  

Lincoln National Corp.
4.000%, 9/1/23

      130,000        132  

Lloyds Banking Group PLC

      

1.326%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.100%), 6/15/23

      200,000        199  

LSEGA Financing PLC
0.650%, 4/6/24 144A

      765,000        730  

Marsh & McLennan Cos., Inc.
3.875%, 3/15/24

      345,000        352  

Metropolitan Life Global Funding I
0.400%, 1/7/24 144A

      430,000        413  
 

Short-Term Bond Portfolio

 

Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

 

Financial continued

      

Mitsubishi UFJ Financial Group, Inc.

      

0.953%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.550%), 7/19/25

      985,000        934  

Mizuho Financial Group Cayman 2, Ltd.
4.200%, 7/18/22 §

      930,000        935  

Morgan Stanley

      

0.529%, (US SOFR plus 0.455%), 1/25/24

      450,000        443  

0.560%, (US SOFR plus 0.466%), 11/10/23

      640,000        633  

0.731%, (US SOFR plus 0.616%), 4/5/24

      560,000        548  

1.164%, (US SOFR plus 0.560%), 10/21/25

      445,000        423  

2.630%, (US SOFR plus 0.940%), 2/18/26

      545,000        535  

2.750%, 5/19/22

      485,000        486  

4.100%, 5/22/23

      160,000        163  

4.875%, 11/1/22

      375,000        381  

Nasdaq, Inc.
0.445%, 12/21/22

      415,000        410  

Nationwide Building Society

      

3.622%, (ICE LIBOR USD 3 Month plus 1.181%), 4/26/23 144A

      615,000        615  

3.766%, (ICE LIBOR USD 3 Month plus 1.064%), 3/8/24 144A

      260,000        261  

NatWest Group PLC
3.875%, 9/12/23

      520,000        525  

NatWest Markets PLC

      

0.800%, 8/12/24 144A

      390,000        367  

2.375%, 5/21/23 144A

      640,000        636  

3.479%, 3/22/25 144A

      610,000        608  

Park Aerospace Holdings, Ltd.

      

4.500%, 3/15/23 144A

      525,000        529  

5.250%, 8/15/22 144A

      375,000        377  

PNC Bank NA

      

2.450%, 7/28/22

      325,000        326  

2.950%, 1/30/23

      335,000        338  

Principal Life Global Funding II
0.750%, 4/12/24 144A

      530,000        507  

Public Storage
0.524%, (US SOFR plus 0.470%), 4/23/24

      280,000        280  

QNB Finance, Ltd.
3.500%, 3/28/24 §

      880,000        883  

Santander Holdings USA, Inc.
2.490%, (US SOFR plus 1.249%), 1/6/28

      410,000        382  

SBA Tower Trust

      

1.631%, 5/15/51 144A

      280,000        263  

1.884%, 1/15/26 144A

      160,000        151  

2.836%, 1/15/50 144A

      440,000        433  

Simon Property Group LP

      

2.000%, 9/13/24

      225,000        221  

3.375%, 10/1/24

      450,000        455  

Standard Chartered PLC

      

0.991%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.780%), 1/12/25 144A

      220,000        210  

1.319%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.170%), 10/14/23 144A

      455,000        451  

1.822%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.950%), 11/23/25 144A

      255,000        242  

3.950%, 1/11/23 144A

      1,000,000        1,005  
Corporate Bonds (50.1%)    Shares/ Par +      Value
$ (000’s)		  

 

Financial continued

      

3.971%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.650%), 3/30/26 144A

      345,000        344  

SunTrust Bank
2.800%, 5/17/22

      480,000        481  

Svenska Handelsbanken AB

      

0.550%, 6/11/24 144A

      420,000        400  

1.418%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.630%), 6/11/27 144A

      400,000        369  

Swedbank AB
1.300%, 6/2/23 144A

      505,000        498  

Synchrony Bank
3.000%, 6/15/22

      250,000        250  

Synchrony Financial

      

2.850%, 7/25/22  b

      2,066,000        2,072  

4.250%, 8/15/24

      1,130,000        1,146  

The Toronto-Dominion Bank
0.550%, 3/4/24

      1,015,000        977  

Trininty Acquisition PLC
4.625%, 8/15/23

      200,000        205  

Truist Financial Corp.
0.473%, (US SOFR plus 0.400%), 6/9/25

      410,000        407  

UBS AG
0.700%, 8/9/24 144A

      280,000        265  

UBS Group AG

      

1.008%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.830%), 7/30/24 144A

      620,000        603  

1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.850%), 8/10/27 144A

      215,000        195  

1.700%, (ICE LIBOR USD 3 Month plus 1.220%), 5/23/23 144A

      415,000        415  

Wells Fargo & Co.

      

1.654%, (US SOFR plus 1.600%), 6/2/24

      410,000        405  

2.188%, (US SOFR plus 2.000%), 4/30/26

      400,000        386  

3.526%, (US SOFR plus 1.510%), 3/24/28

      375,000        374  

The Western Union Co.
2.850%, 1/10/25

      570,000        563  
     

 

 

  

Total

         75,025  
     

 

 

  

Industrial (2.1%)

      

Amphenol Corp.
2.050%, 3/1/25

      405,000        394  

Avnet, Inc.
4.875%, 12/1/22

      180,000        183  

Boral Finance, Ltd.
3.000%, 11/1/22 144A

      345,000        345  

Canadian Pacific Railway Co.

      

1.350%, 12/2/24

      725,000        695  

1.750%, 12/2/26

      315,000        297  

Carrier Global Corp.
2.242%, 2/15/25

      117,000        114  

DAE Funding LLC
1.550%, 8/1/24 144A

      265,000        250  

Deere & Co.
2.750%, 4/15/25

      195,000        194  

GATX Corp.

      

3.900%, 3/30/23

      360,000        366  

4.350%, 2/15/24

      547,000        559  
 

Short-Term Bond Portfolio

 

Corporate Bonds (50.1%)    Shares/ Par +     

Value

$ (000’s)

  

Industrial continued

      

Honeywell International, Inc.
1.350%, 6/1/25

      435,000        419  

Kansas City Southern
3.000%, 5/15/23

      565,000        566  

Martin Marietta Materials, Inc.
0.650%, 7/15/23

      475,000        464  

Otis Worldwide Corp.
2.056%, 4/5/25

      485,000        472  

Republic Services, Inc.
2.500%, 8/15/24

      375,000        371  

Roper Technologies, Inc.

      

0.450%, 8/15/22

      100,000        100  

1.000%, 9/15/25

      115,000        107  

2.350%, 9/15/24

      165,000        162  

3.125%, 11/15/22

      660,000        663  

3.650%, 9/15/23

      125,000        127  

Siemens Financieringsmaatschappij NV
0.650%, 3/11/24 144A

      390,000        376  

SMBC Aviation Capital Finance DAC

      

3.550%, 4/15/24 144A

      200,000        199  

4.125%, 7/15/23 144A

      200,000        201  

Sydney Airport Finance Co. Pty, Ltd.
3.900%, 3/22/23 144A

      643,000        651  
     

 

 

  

Total

         8,275  
     

 

 

  

Real Estate (0.2%)

      

SBA Tower Trust
3.448%, 3/15/23 144A

      775,000        775  
     

 

 

  

Total

         775  
     

 

 

  

Technology (3.0%)

      

Analog Devices, Inc.
0.303%, (US SOFR plus 0.250%), 10/1/24

      170,000        169  

2.950%, 4/1/25

      140,000        140  

CDW LLC / CDW Finance Corp.
5.500%, 12/1/24

      180,000        186  

Fidelity National Information Services, Inc.

      

0.375%, 3/1/23

      650,000        638  

0.600%, 3/1/24

      310,000        297  

Fiserv, Inc.

      

2.750%, 7/1/24

      800,000        798  

3.800%, 10/1/23

      470,000        477  

Fortinet, Inc.
1.000%, 3/15/26

      380,000        346  

HCL America, Inc.
1.375%, 3/10/26 144A

      1,000,000        916  

International Business Machines Corp.
2.875%, 11/9/22

      155,000        156  

Marvell Technology, Inc.
4.200%, 6/22/23

      590,000        599  

Microchip Technology, Inc.

      

0.972%, 2/15/24

      685,000        657  

0.983%, 9/1/24 144A

      560,000        530  

2.670%, 9/1/23

      640,000        638  

NXP BV / NXP Funding LLC

      

4.625%, 6/1/23 144A

      1,830,000        1,858  

4.875%, 3/1/24 144A

      400,000        411  

NXP BV / NXP Funding LLC / NXP USA, Inc.

      

2.700%, 5/1/25 144A

      200,000        194  

3.875%, 6/18/26 144A

      245,000        246  
Corporate Bonds (50.1%)    Shares/ Par +     

Value

$ (000’s)

  

Technology continued

      

Oracle Corp.

      

2.400%, 9/15/23

      745,000        742  

2.500%, 4/1/25

      1,250,000        1,221  

Qorvo, Inc.
1.750%, 12/15/24 144A

      275,000        262  

Skyworks Solutions, Inc.
0.900%, 6/1/23

      175,000        171  

VMware, Inc.
0.600%, 8/15/23

      385,000        374  

Workday, Inc.
3.500%, 4/1/27

      265,000        265  
     

 

 

  

Total

         12,291  
     

 

 

  

Utilities (3.4%)

      

The AES Corp.
3.300%, 7/15/25 144A

      365,000        358  

Alexander Funding Trust
1.841%, 11/15/23 144A

      530,000        514  

APT Pipelines, Ltd.
4.200%, 3/23/25 144A

      930,000        943  

Edison International

      

2.950%, 3/15/23

      310,000        309  

3.125%, 11/15/22

      290,000        292  

Enel Finance International NV

      

1.375%, 7/12/26 144A

      645,000        592  

2.650%, 9/10/24 144A

      795,000        783  

FirstEnergy Corp.
3.350%, 7/15/22

      320,000        320  

Korea Hydro & Nuclear Power Co., Ltd.
1.250%, 4/27/26 144A

      795,000        741  

NextEra Energy Capital Holdings, Inc.
1.875%, 1/15/27

      685,000        642  

NRG Energy, Inc.
3.750%, 6/15/24 144A

      270,000        269  

Pacific Gas & Electric Co.

      

1.207%, (US SOFR Index plus 1.150%), 11/14/42

      100,000        100  

1.750%, 6/16/22  b

      3,535,000        3,531  

3.500%, 6/15/25

      555,000        542  

Saudi Electricity Global Sukuk Co.
2 3.473%, 4/8/23 §

      800,000        806  

Sempra Energy
3.300%, 4/1/25

      385,000        386  

Southern California Gas Co.
2.950%, 4/15/27

      410,000        404  

Vistra Operations Co. LLC
3.550%, 7/15/24 144A

      2,305,000        2,283  
     

 

 

  

Total

         13,815  
     

 

 

  

Total Corporate Bonds (Cost: $206,648)

         201,930  
     

 

 

  

Governments (15.1%)

                  

Governments (15.1%)

      

US Treasury

      

0.125%, 4/30/23  b

      6,045,000        5,938  

0.125%, 5/31/23  b

      2,250,000        2,204  

0.125%, 6/30/23  b

      8,260,000        8,074  

0.125%, 7/31/23  b

      3,910,000        3,812  

0.125%, 8/31/23  b

      4,195,000        4,081  

0.375%, 10/31/23  b

      14,830,000        14,414  
 

Short-Term Bond Portfolio

 

Governments (15.1%)    Shares/ Par +     

Value

$ (000’s)

  

Governments continued

      

0.375%, 8/15/24

      625,000        595  

0.500%, 11/30/23  b

      2,070,000        2,012  

0.750%, 12/31/23  b

      4,125,000        4,018  

0.875%, 1/31/24  b

      2,050,000        1,998  

1.500%, 2/29/24  b

      6,085,000        5,996  

1.750%, 3/15/25  b

      5,725,000        5,604  

2.250%, 3/31/24  b

      2,065,000        2,062  
     

 

 

  

Total

         60,808  
     

 

 

  

Total Governments (Cost: $62,019)

         60,808  
     

 

 

  

Municipal Bonds (0.4%)

                  

Municipal Bonds (0.4%)

      

Golden State Tobacco Securitization Corp.
1.711%, 6/1/24 RB

      435,000        423  

Long Island Power Authority
0.764%, 3/1/23 RB

      160,000        158  

State of Illinois
2.250%, 10/1/22 GO

      885,000        887  
     

 

 

  

Total Municipal Bonds (Cost: $1,480)

         1,468  
     

 

 

  

Structured Products (34.0%)

                  

Asset Backed Securities (14.3%)

      

AmeriCredit Automobile Receivables Trust,
Series 2018-1, Class D
3.820%, 3/18/24

      790,000        797  

AmeriCredit Automobile Receivables Trust,
Series 2019-3, Class B
2.130%, 7/18/25

      240,000        240  

AmeriCredit Automobile Receivables Trust,
Series 2020-1, Class C
1.590%, 10/20/25

      320,000        316  

AmeriCredit Automobile Receivables Trust,
Series 2020-1, Class D
1.800%, 12/18/25

      315,000        307  

AmeriCredit Automobile Receivables Trust,
Series 2020-3, Class C
1.060%, 8/18/26

      245,000        235  

AmeriCredit Automobile Receivables Trust,
Series 2021-1, Class C
0.890%, 10/19/26

      430,000        408  

AmeriCredit Automobile Receivables Trust,
Series 2021-1, Class D
1.210%, 12/18/26

      270,000        255  

AmeriCredit Automobile Receivables Trust,
Series 2021-2, Class D
1.290%, 6/18/27

      575,000        536  

Applebee’s Funding LLC / IHOP Funding LLC,
Series 2019-1A, Class A2I
4.194%, 6/7/49 144A

      1,138,500        1,130  

Arbor Realty Collateralized Loan Obligation, Ltd.,
Series 2021-FL4, Class A

      

1.747%, (ICE LIBOR USD 1 Month plus
1.350%), 11/15/36 144A

      465,000        461  

Arbor Realty Commercial Real Estate Notes,
Series 2021-FL3, Class A

      

1.467%, (ICE LIBOR USD 1 Month plus
1.070%), 8/15/34 144A

      640,000        632  

ARI Fleet Lease Trust, Series 2020-A,
Class B
2.060%, 11/15/28 144A

      345,000        341  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Asset Backed Securities continued

      

Avis Budget Rental Car Funding AESOP LLC,
Series 2017-2A, Class A
2.970%, 3/20/24 144A

      425,000        427  

Avis Budget Rental Car Funding AESOP LLC,
Series 2017-2A, Class B
3.330%, 3/20/24 144A

      435,000        436  

Avis Budget Rental Car Funding AESOP LLC,
Series 2018-2A, Class C
4.950%, 3/20/25 144A

      195,000        198  

Avis Budget Rental Car Funding AESOP LLC,
Series 2019-2A, Class A
3.350%, 9/22/25 144A

      340,000        341  

Avis Budget Rental Car Funding AESOP LLC,
Series 2020-1A, Class A
2.330%, 8/20/26 144A

      250,000        243  

Babson CLO, Ltd., Series 2017-IA, Class AR

      

1.054%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A

      557,575        554  

Bayview Mortgage Fund IVc Trust,
Series 2017-RT3, Class A
3.500%, (AFC), 1/28/58 144A

      250,614        247  

Bayview Opportunity Master Fund IVa Trust,
Series 2017-SPL5, Class A
3.500%, (AFC), 6/28/57 144A

      221,290        220  

Bayview Opportunity Master Fund IVb Trust,
Series 2017-SPL4, Class A
3.500%, (AFC), 1/28/55 144A

      76,802        76  

Blackbird Capital Aircraft,
Series 2016-1A, Class A4
2.487%, 12/16/41 144A Σ

      293,958        280  

BRE Grand Islander Timeshare Issuer LLC,
Series 2019-A, Class A
3.280%, 9/26/33 144A

      139,725        138  

BSPRT Issuer, Ltd., Series 2022-FL8, Class A

      

1.550%, (US 30 Day Average SOFR plus 1.500%), 2/15/37 144A

      815,000        809  

CarMax Auto Owner Trust, Series 2019-2,
Class B
3.010%, 12/16/24

      455,000        458  

CarMax Auto Owner Trust, Series 2019-4,
Class A4
2.130%, 7/15/25

      345,000        343  

CarMax Auto Owner Trust, Series 2020-1,
Class B
2.210%, 9/15/25

      430,000        425  

CarMax Auto Owner Trust, Series 2020-1,
Class C
2.340%, 11/17/25

      190,000        188  

CarMax Auto Owner Trust, Series 2020-4,
Class D
1.750%, 4/15/27

      300,000        285  

Cedar Funding, Ltd., Series 2021-14A, Class A

      

1.341%, (ICE LIBOR USD 3 Month plus 1.100%), 7/15/33 144A

      695,000        690  

CIFC Funding, Ltd., Series 2014-2RA, Class A1

      

1.309%, (ICE LIBOR USD 3 Month plus 1.050%), 4/24/30 144A

      915,000        911  

CIFC Funding, Ltd., Series 2021-4A, Class A

      

1.291%, (ICE LIBOR USD 3 Month plus 1.050%), 7/15/33 144A

      905,000        896  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Asset Backed Securities continued

      

CNH Equipment Trust, Series 2020-A, Class A4
1.510%, 4/15/27

      260,000        254  

Daimler Trucks Retail Trust, Series 2020-1,
Class A4
1.370%, 6/15/27

      855,000        847  

Drive Auto Receivables Trust, Series 2020-1, Class C
2.360%, 3/16/26

      326,645        327  

Drive Auto Receivables Trust, Series 2021-2, Class D
1.390%, 3/15/29

      445,000        423  

Dryden Senior Loan Fund, Series 2020-86A, Class AR1

      

1.341%, (ICE LIBOR USD 3 Month plus 1.100%), 7/17/34 144A

      610,000        601  

Elara HGV Timeshare Issuer, Series 2017-A, Class A
2.690%, 3/25/30 144A

      47,480        47  

Elara HGV Timeshare Issuer, Series 2019-A, Class A
2.610%, 1/25/34 144A

      112,717        110  

Enterprise Fleet Financing LLC, Series 2019- 1, Class A2
2.980%, 10/22/24 144A

      9,810        10  

Enterprise Fleet Financing LLC, Series 2019- 3, Class A2
2.060%, 5/20/25 144A

      112,904        113  

Exeter Automobile Receivables Trust, Series 2021-2A, Class C
0.980%, 6/15/26

      265,000        258  

Exeter Automobile Receivables Trust, Series 2021-3A, Class D
1.550%, 6/15/27

      335,000        318  

Exeter Automobile Receivables Trust, Series 2022-1A, Class D
3.020%, 6/15/28

      730,000        710  

Ford Credit Auto Owner Trust, Series 2020-2, Class C
1.740%, 4/15/33 144A

      310,000        288  

Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class C
1.420%, 9/15/25

      440,000        430  

GM Financial Automobile Leasing Trust,
Series 2020-2, Class C
2.560%, 7/22/24

      265,000        266  

GM Financial Consumer Automobile Receivables Trust, Series 2020-4, Class C
1.050%, 5/18/26

      225,000        216  

GMF Floorplan Owner Revolving Trust,
Series 2019-1, Class A
2.700%, 4/15/24 144A

      355,000        355  

GS Mortgage Securities Trust, Series 2020-2, Class A3
1.490%, 12/16/24

      108,848        109  

Hardee’s Funding LLC, Series 2018-1A,
Class A21I
4.959%, 6/20/48 144A

      303,975        305  

Hilton Grand Vacations Trust, Series 2017-AA, Class A
2.660%, 12/26/28 144A

      470,123        470  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Asset Backed Securities continued

      

Hilton Grand Vacations Trust, Series 2017-AA, Class B
2.960%, (EXE), 12/26/28 144A

      102,589        102  

Hilton Grand Vacations Trust, Series 2020-AA, Class A
2.740%, 2/25/39 144A

      345,279        337  

Home Partners of America Trust, Series 2022- 1, Class A
3.930%, 4/17/39 144A Æ

      410,000        406  

Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A3
1.410%, 11/15/24

      301,853        301  

Hyundai Auto Receivables Trust, Series 2019- A, Class B
2.940%, 5/15/25

      325,000        327  

JPMorgan Chase Bank NA, Series 2021-2, Class D
1.138%, 12/26/28 144A

      302,331        297  

KKR Financial CLO, Ltd., Series 2013, Class A1R

      

1.041%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A

      271,141        271  

KKR Financial CLO, Ltd., Series 2029, Class A

      

1.441%, (ICE LIBOR USD 3 Month plus 1.200%), 1/15/32 144A

      1,000,000        996  

Kubota Credit Owner Trust, Series 2020-1A,
Class A3
1.960%, 3/15/24 144A

      148,687        149  

Madison Park Funding, Ltd., Series 2017-23A, Class AR

      

1.238%, (ICE LIBOR USD 3 Month plus 0.970%), 7/27/31 144A

      715,000        709  

Madison Park Funding, Ltd., Series 2017-23A, Class BR

      

1.818%, (ICE LIBOR USD 3 Month plus 1.550%), 7/27/31 144A

      460,000        457  

Madison Park Funding, Ltd., Series 2019-37A, Class AR

      

1.311%, (ICE LIBOR USD 3 Month plus 1.070%), 7/15/33 144A

      450,000        446  

Madison Park Funding, Ltd., Series 2022-33A, Class AR

      

1.449%, (US SOFR 3 Month plus 1.290%), 10/15/32 144A

      1,025,000        1,022  

Magnetite CLO, Ltd., Series 2020-25A, Class A

      

1.458%, (ICE LIBOR USD 3 Month plus 1.200%), 1/25/32 144A

      655,000        652  

Magnetite XVI, Ltd., Series 2015-16A, Class AR

      

1.041%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A

      899,648        893  

MetLife Securitization Trust, Series 2017-1A, Class A
3.000%, (AFC), 4/25/55 144A

      98,723        98  

MF1, Series 2021-FL7, Class A

      

1.511%, (ICE LIBOR USD 1 Month plus 1.080%), 10/18/36 144A

      465,000        458  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Asset Backed Securities continued

 

Mill City Mortgage Loan Trust, Series 2017-2, Class A1
2.750%, (AFC), 7/25/59 144A

      79,081        79  

MVW Owner Trust, Series 2017-1A, Class A
2.420%, 12/20/34 144A

      166,494        166  

MVW Owner Trust, Series 2017-1A, Class B
2.750%, 12/20/34 144A

      17,526        17  

MVW Owner Trust, Series 2017-1A, Class C
2.990%, 12/20/34 144A

      19,278        19  

MVW Owner Trust, Series 2019-2A, Class A
2.440%, 10/20/38 144A

      97,613        94  

MVW Owner Trust, Series 2020-1A, Class A
1.740%, 10/20/37 144A

      164,033        158  

MVW Owner Trust, Series 2020-1A, Class B
2.730%, 10/20/37 144A

      223,918        219  

MVW Owner Trust, Series 2021-1WA, Class C
1.940%, 1/22/41 144A

      144,393        137  

Navient Private Education Refi Loan Trust,
Series 2019-A, Class A2A
3.420%, 1/15/43 144A

      271,662        272  

Navient Private Education Refi Loan Trust,
Series 2019-D, Class A2A
3.010%, 12/15/59 144A

      249,382        246  

Navient Private Education Refi Loan Trust,
Series 2019-EA, Class A2A
2.640%, 5/15/68 144A

      407,710        402  

Navient Private Education Refi Loan Trust,
Series 2020-A, Class A2A
2.460%, 11/15/68 144A

      349,885        336  

Navient Private Education Refi Loan Trust,
Series 2020-CA, Class A2A
2.150%, 11/15/68 144A

      1,205,000        1,159  

Navient Private Education Refi Loan Trust, Series 2020-DA, Class A 1.690%, 5/15/69 144A

      240,290        234  

Navient Private Education Refi Loan Trust,
Series 2020-GA, Class A
1.170%, 9/16/69 144A

      150,673        146  

Navient Private Education Refi Loan Trust,
Series 2022-A, Class A
2.230%, 7/15/70 144A

      965,000        933  

Navient Student Loan Trust, Series 2019-GA, Class A
2.400%, 10/15/68 144A

      554,514        551  

Navient Student Loan Trust, Series 2020-HA, Class A
1.310%, 1/15/69 144A

      85,548        83  

Navient Student Loan Trust, Series 2021-BA, Class A
0.940%, 7/15/69 144A

      424,418        401  

Navient Student Loan Trust, Series 2021-EA, Class A
0.970%, 12/16/69 144A

      245,610        231  

Navistar Financial Dealer Note Master Trust, Series 2020-1, Class A

      

1.137%, (ICE LIBOR USD 1 Month plus 0.950%), 7/25/25 144A

      395,000        395  

Nelnet Student Loan Trust, Series 2020-1A, Class A

      

0.927%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A

      142,381        141  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Asset Backed Securities continued

      

Nelnet Student Loan Trust, Series 2021-CA, Class AFX
1.320%, 4/20/62 144A

      900,541        846  

Nelnet Student Loan Trust, Series 2021-DA, Class AFX
1.630%, 4/20/62 144A

      306,015        291  

Neuberger Berman CLO, Ltd., Series 2017- 26A, Class BR

      

1.641%, (ICE LIBOR USD 3 Month plus 1.400%), 10/18/30 144A

      500,000        494  

Neuberger Berman CLO, Ltd., Series 2019- 32A, Class AR

      

1.238%, (ICE LIBOR USD 3 Month plus 0.990%), 1/20/32 144A

      955,000        945  

Neuberger Berman CLO, Ltd., Series 2021- 40A, Class A

      

1.301%, (ICE LIBOR USD 3 Month plus 1.060%), 4/16/33 144A

      270,000        268  

Nissan Auto Lease Trust, Series 2020-A, Class A3
1.380%, 12/16/24

      152,606        152  

OCP CLO, Ltd., Series 2017-13A, Class A2R

      

1.791%, (ICE LIBOR USD 3 Month plus 1.550%), 7/15/30 144A

      760,000        753  

Octane Receivables Trust, Series 2021-2A, Class A
1.210%, 9/20/28 144A

      357,374        348  

Palmer Square CLO, Ltd., Series 2020-3A, Class A1AR

      

1.586%, (ICE LIBOR USD 3 Month plus 1.080%), 11/15/31 144A

      1,285,000        1,275  

Planet Fitness Master Issuer LLC, Series 2018-A1, Class A2II
4.666%, 9/5/48 144A

      820,250        816  

Santander Bank NA, Series 2021-1A, Class B
1.833%, 12/15/31 144A

      215,330        211  

Santander Consumer Auto Receivables Trust,
Series 2021-AA, Class D
1.570%, 1/15/27 144A

      450,000        423  

Santander Drive Auto Receivables Trust,
Series 2019-C, Class A3
1.860%, 2/21/23 144A

      56,537        57  

Santander Drive Auto Receivables Trust,
Series 2019-C, Class B
2.170%, 11/20/23 144A

      215,000        215  

Santander Drive Auto Receivables Trust,
Series 2019-C, Class C
2.390%, 11/20/23 144A

      360,000        361  

Santander Drive Auto Receivables Trust,
Series 2019-C, Class D
2.880%, 6/20/24 144A

      425,000        427  

Santander Drive Auto Receivables Trust,
Series 2020-3, Class B
0.690%, 3/17/25

      480,346        480  

Santander Drive Auto Receivables Trust,
Series 2020-4, Class C
1.010%, 1/15/26

      400,000        395  

Santander Drive Auto Receivables Trust,
Series 2020-BA, Class C
1.290%, 4/15/26 144A

      650,000        633  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Asset Backed Securities continued

      

Santander Drive Auto Receivables Trust,
Series 2021-3, Class D
1.330%, 9/15/27

      560,000        536  

Santander Drive Auto Receivables Trust,
Series 2021-4, Class D
1.670%, 10/15/27

      450,000        425  

Santander Drive Auto Receivables Trust,
Series 2022-1, Class C
2.560%, 4/17/28

      885,000        865  

Santander Retail Auto Lease Trust, Series 2019-B, Class C
2.770%, 8/21/23 144A

      305,000        305  

Santander Retail Auto Lease Trust, Series 2020-A, Class D
2.520%, 11/20/24 144A

      320,000        319  

Santander Retail Auto Lease Trust, Series 2021-A, Class C
1.140%, 3/20/26 144A

      1,030,000        989  

Santander Retail Auto Lease Trust, Series 2021-B, Class D
1.410%, 11/20/25 144A

      440,000        414  

Santander Retail Auto Lease Trust, Series 2021-C, Class C
1.110%, 3/20/26 144A

      365,000        346  

Sierra Receivables Funding Co. LLC, Series 2019-1A, Class A
3.200%, 1/20/36 144A

      65,591        65  

Sierra Receivables Funding Co. LLC, Series 2019-2, Class A
2.590%, 5/20/36 144A

      215,966        213  

Sierra Receivables Funding Co. LLC, Series 2019-3, Class A
2.340%, 7/15/38 144A

      536,759        525  

Sierra Receivables Funding Co. LLC, Series 2020-2A, Class C
3.510%, 7/20/37 144A

      123,373        121  

SMB Private Education Loan Trust, Series 2014-A, Class A3

      

1.897%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A

      488,475        491  

SMB Private Education Loan Trust, Series 2016-C, Class A2B

      

1.497%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A

      270,282        271  

SMB Private Education Loan Trust, Series 2018-B, Class A2A
3.600%, 1/15/37 144A

      164,819        164  

SMB Private Education Loan Trust, Series 2018-B, Class A2B

      

1.117%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A

      394,389        392  

SMB Private Education Loan Trust, Series 2020-BA, Class A1A
1.290%, 7/15/53 144A

      157,750        150  

SMB Private Education Loan Trust, Series 2021-BA, Class 144A
1.310%, 7/17/51 144A

      803,090        763  

SMB Private Education Loan Trust, Series 2020-PTB, Class A2A
1.600%, 9/15/54 144A

      1,162,803        1,100  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Asset Backed Securities continued

      

Symphony CLO I, Ltd., Series 2021-1A, Class B

      

1.579%, (ICE LIBOR USD 3 Month plus 1.450%), 10/25/29 144A

      815,000        805  

Symphony CLO XXIII, Ltd., Series 2021-23A, Class AR

      

1.261%, (ICE LIBOR USD 3 Month plus 1.020%), 1/15/34 144A

      1,045,000        1,035  

Symphony CLO XXVI, Ltd., Series 2021-26A, Class AR

      

1.334%, (ICE LIBOR USD 3 Month plus 1.080%), 4/20/33 144A

      285,000        283  

Towd Point Mortgage Trust, Series 2015-1, Class A1
3.000%, (AFC), 1/28/58 144A

      77,602        77  

Towd Point Mortgage Trust, Series 2016-1, Class A3B
3.000%, (AFC), 2/25/55 144A

      13,024        13  

Towd Point Mortgage Trust, Series 2016-2, Class A1A
2.750%, (AFC), 8/25/55 144A

      3,677        4  

Towd Point Mortgage Trust, Series 2017-1, Class A1
2.750%, (AFC), 10/25/56 144A

      70,797        71  

Towd Point Mortgage Trust, Series 2017-2, Class A1
2.750%, (AFC), 4/25/57 144A

      45,571        46  

Towd Point Mortgage Trust, Series 2017-3, Class A1
2.750%, (AFC), 7/25/57 144A

      132,593        133  

Towd Point Mortgage Trust, Series 2017-4, Class A1
2.750%, (AFC), 6/25/57 144A

      95,732        95  

Towd Point Mortgage Trust, Series 2017-6, Class A1
2.750%, (AFC), 10/25/57 144A

      349,387        346  

Towd Point Mortgage Trust, Series 2018-2, Class A1
3.250%, (AFC), 3/25/58 144A

      482,942        483  

Towd Point Mortgage Trust, Series 2018-5, Class A1A
3.250%, (AFC), 8/25/58 144A

      296,600        298  

World Omni Auto Receivables Trust, Series 2019-C, Class C
2.400%, 6/15/26

      380,000        380  

World Omni Auto Receivables Trust, Series 2020-A, Class C
1.640%, 8/17/26

      225,000        221  

World Omni Auto Receivables Trust, Series 2022-A, Class C
2.550%, 9/15/28

      325,000        317  

World Omni Select Auto Trust, Series 2020-A, Class B
0.840%, 6/15/26

      270,000        266  

World Omni Select Auto Trust, Series 2020-A, Class C
1.250%, 10/15/26

      310,000        304  
     

 

 

  

Total

         57,641  
     

 

 

  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities (19.7%)

 

Angel Oak Mortgage Trust LLC, Series 2019-4, Class A
3.301%, (AFC), 7/26/49 144A

      62,861        63  

Angel Oak Mortgage Trust LLC, Series 2019-2, Class M1
4.065%, (AFC), 3/25/49 144A

      270,000        266  

Angel Oak Mortgage Trust LLC, Series 2020-3, Class A1
1.691%, (AFC), 4/25/65 144A

      216,281        213  

Angel Oak Mortgage Trust LLC, Series 2020-3, Class A3
2.872%, (AFC), 4/25/65 144A

      80,702        80  

Angel Oak Mortgage Trust LLC, Series 2020-5, Class A2
1.579%, (AFC), 5/25/65 144A

      118,227        116  

Angel Oak Mortgage Trust LLC, Series 2020-6, Class A1
1.261%, (AFC), 5/25/65 144A

      159,546        156  

Angel Oak Mortgage Trust LLC, Series 2021-1, Class A1
0.909%, (AFC), 1/25/66 144A

      416,056        403  

Angel Oak Mortgage Trust LLC, Series 2021-1, Class A2
1.115%, (AFC), 1/25/66 144A

      121,719        118  

Angel Oak Mortgage Trust LLC, Series 2021-2, Class A1
0.985%, (AFC), 4/25/66 144A

      366,634        350  

Angel Oak Mortgage Trust LLC, Series 2021-2, Class A2
1.190%, (AFC), 4/25/66 144A

      115,631        110  

Angel Oak Mortgage Trust LLC, Series 2021-3, Class A1
1.068%, (AFC), 5/25/66 144A

      280,824        265  

Angel Oak Mortgage Trust, Series 2019-2, Class A1
3.628%, (AFC), 3/25/49 144A

      38,069        38  

Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class A

      

1.327%, (ICE LIBOR USD 1 Month plus 0.930%), 12/15/36 144A

      520,000        512  

Austin Fairmont Hotel Trust , Series 2019-FAIR, Class A

      

1.241%, (ICE LIBOR USD 1 Month plus 1.050%), 9/15/32 144A

      545,000        539  

BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A

      

1.247%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A

      460,000        454  

BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C

      

2.397%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/38 144A

      435,000        429  

BANK, Series 2019-BNK24, Class A1
2.056%, 11/15/62

      151,571        149  

Barclays Mortgage Loan Trust, Series 2021-NQM1, Class A1
1.747%, (AFC), 9/25/51 144A

      703,079        676  

Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A5
2.500%, (AFC), 11/25/51 144A

      389,765        373  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

Bayview MSR Opportunity Master Fund Trust, Series 2021-INV2, Class A5
2.500%, (AFC), 6/25/51 144A

      529,498        506  

Bayview MSR Opportunity Master Fund Trust, Series 2022-1, Class A5
2.500%, (AFC), 12/25/51 144A

      486,180        467  

BCP Trust, Series 2021-330N, Class A

      

1.196%, (ICE LIBOR USD 1 Month plus 0.799%), 6/15/38 144A

      290,000        284  

BIG Commercial Mortgage Trust, Series 2022-BIG, Class C

      

2.642%, (US SOFR 1 Month plus 2.340%), 2/15/39 144A

      225,000        223  

BINOM Securitization Trust, Series 2021-INV1, Class A3
2.625%, (AFC), 6/25/56 144A

      233,338        222  

BPR Trust, Series 2021-TY, Class B

      

1.547%, (ICE LIBOR USD 1 Month plus 1.150%), 9/25/38 144A

      450,000        440  

BRAVO Residential Funding Trust, Series 2021-NQM3, Class A1
1.699%, (AFC), 4/26/60 144A

      446,115        435  

BSREP Commercial Mortgage Trust, Series 2021-DC, Class D

      

2.297%, (ICE LIBOR USD 1 Month plus 1.900%), 8/15/38 144A

      200,000        194  

BX Commercial Mortgage Trust, Series 2019-XL, Class A

      

1.317%, (ICE LIBOR USD 1 Month plus 0.920%), 10/15/36 144A

      283,641        282  

BX Commercial Mortgage Trust, Series 2019-XL, Class B

      

1.477%, (ICE LIBOR USD 1 Month plus 1.080%), 10/15/36 144A

      318,750        316  

BX Commercial Mortgage Trust, Series 2021-SOAR, Class D

      

1.797%, (ICE LIBOR USD 1 Month plus 1.400%), 6/15/38 144A

      375,000        365  

BX Trust, Series 2018-GW, Class A

      

1.197%, (ICE LIBOR USD 1 Month plus 0.800%), 5/15/35 144A

      1,095,000        1,081  

BX Trust, Series 2021-ARIA, Class C

      

2.043%, (ICE LIBOR USD 1 Month plus 1.646%), 10/15/36 144A

      330,000        323  

BX Trust, Series 2021-VIEW, Class A

      

1.677%, (ICE LIBOR USD 1 Month plus 1.280%), 6/15/23 144A

      255,000        252  

CGDB Commercial Mortgage Trust, Series 2019-MOB, Class D

      

2.047%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A

      660,000        649  

CIM Trust, Series 2020-INV1, Class A2
2.500%, (AFC), 4/25/50 144A

      326,376        318  

Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B
3.518%, (CSTR), 5/10/35 144A

      435,000        433  

Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C
3.518%, (CSTR), 5/10/35 144A

      255,000        252  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A1
2.720%, (AFC), 7/25/49 144A

      75,697        75  

Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A3
2.500%, 8/25/50 144A

      344,754        330  

Citigroup Mortgage Loan Trust, Series 2020-EXP2, Class A4
2.500%, (AFC), 8/25/50 144A

      478,826        455  

Cold Storage Trust, Series 2020-ICE5, Class B

      

1.697%, (ICE LIBOR USD 1 Month plus 1.300%), 11/15/37 144A

      953,501        940  

COLT Funding LLC, Series 2020-3, Class A1
1.506%, (AFC), 4/27/65 144A

      50,125        50  

COLT Funding LLC, Series 2021-3, Class A3
1.419%, (AFC), 9/27/66 144A

      238,401        221  

COLT Mortgage Loan Trust, Series 2021-1, Class A2
1.167%, (AFC), 6/25/66 144A

      330,939        304  

COLT Mortgage Loan Trust, Series 2022-3, Class A1
3.901%, (AFC), 2/25/67 144A

      980,000        978  

COMM Mortgage Trust, Series 2013-300P, Class A1
4.353%, 8/10/30 144A

      275,000        278  

COMM Mortgage Trust, Series 2020-CBM, Class D
3.633%, (CSTR), 11/13/39 144A

      235,000        224  

Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class B
4.640%, (CSTR), 2/10/47

      435,000        442  

Commercial Mortgage Pass Through Certificates, Series 2014-CR19, Class AM
4.080%, 8/10/47

      495,000        499  

Commercial Mortgage Pass Through Certificates, Series 2014-CR19, Class D
4.705%, (CSTR), 8/10/47 144A

      185,000        174  

Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class B
4.701%, 3/10/47

      480,000        485  

Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class A4
3.838%, 9/10/47

      630,000        634  

Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class B
3.926%, (AFC), 3/10/48

      235,000        234  

Commercial Mortgage Pass Through Certificates, Series 2015-CR22, Class C
4.106%, (CSTR), 3/10/48

      440,000        433  

Commercial Mortgage Pass Through Certificates, Series 2015-LC23, Class A2
3.221%, 10/10/48

      345,469        343  

Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1

      

1.049%, (US 30 Day Average SOFR plus 1.000%), 12/25/41 144A

      412,489        408  

Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1

      

1.249%, (US 30 Day Average SOFR plus 1.200%), 12/25/41 144A

      938,485        931  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1

      

2.199%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A

      580,000        581  

Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class C

      

1.827%, (ICE LIBOR USD 1 Month plus 1.430%), 5/15/36 144A

      515,000        510  

Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D

      

1.997%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A

      405,000        400  

Credit Suisse Mortgage Capital Certificates, Series 2020-NET, Class A
2.256%, 8/15/37 144A

      200,661        191  

Credit Suisse Mortgage Capital Certificates, Series 2020-NET, Class D
3.706%, (CSTR), 8/15/37 144A

      445,000        424  

CSAIL Commercial Mortgage Trust, Series 2015-C3, Class A4
3.718%, 8/15/48

      305,000        307  

CSAIL Commerical Mortgage Trust, Series 2019-C16, Class A1
2.360%, 6/15/52

      156,181        155  

Deephaven Residential Mortgage Trust, Series 2021-1A, Class A3
1.128%, (AFC), 5/25/65 144A

      108,579        105  

Deephaven Residential Mortgage Trust, Series 2021-2, Class A1
0.899%, (AFC), 4/25/66 144A

      151,026        142  

Deephaven Residential Mortgage Trust, Series 2021-2, Class A3
1.260%, (AFC), 4/25/66 144A

      169,443        159  

Eagle RE, Ltd., Series 2021-2, Class M1A

      

1.599%, (US 30 Day Average SOFR plus 1.550%), 4/25/34 144A

      255,000        254  

Ellington Financial Mortgage Trust, Series 2019-2, Class A3
3.046%, (AFC), 11/25/59 144A

      75,356        74  

Ellington Financial Mortgage Trust, Series 2020-1, Class A1
2.006%, (AFC), 6/25/65 144A

      172,243        171  

Ellington Financial Mortgage Trust, Series 2021-1, Class A1
0.797%, (AFC), 2/25/66 144A

      95,164        91  

Ellington Financial Mortgage Trust, Series 2021-1, Class A3
1.106%, (AFC), 2/25/66 144A

      78,917        76  

Ellington Financial Mortgage Trust, Series 2021-2, Class A1
0.931%, (AFC), 6/25/66 144A

      643,923        602  

Ellington Financial Mortgage Trust, Series 2021-2, Class A3
1.291%, (AFC), 6/25/66 144A

      190,250        177  

Ellington Financial Mortgage Trust, Series 2021-3, Class A1
1.241%, (AFC), 9/25/66 144A

      259,911        237  

Ellington Financial Mortgage Trust, Series 2021-3, Class A3
1.550%, (AFC), 9/25/66 144A

      194,933        178  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

Extended Stay America Trust, Series 2021-ESH, Class C

      

2.097%, (ICE LIBOR USD 1 Month plus 1.700%), 7/15/38 144A

      477,064        470  

Federal Home Loan Bank

      

2.500%, 1/1/52

      626,259        599  

4.000%, 12/1/49

      106,468        110  

4.500%, 5/1/50

      71,084        74  

Federal Home Loan Mortgage Corp.

      

3.000%, 11/1/34

      45,341        46  

3.500%, 3/1/46

      39,241        40  

3.500%, 12/1/47

      351,960        357  

5.000%, 12/1/41

      143,115        151  

5.500%, 5/1/22

      29        –π  

6.000%, 9/1/34

      1,232        1  

6.000%, 2/1/35

      25,829        28  

6.000%, 9/1/35

      8,110        9  

7.000%, 3/1/39

      52,527        57  

7.500%, 6/1/38

      50,287        55  

Federal Home Loan Mortgage Corp., Series 2014-DNA3, Class M1

      

4.187%, (ICE LIBOR USD 1 Month plus 4.000%), 8/25/24

      71,972        73  

Federal Home Loan Mortgage Corp., Series 2017-SC02, Class M1
3.843%, (CSTR), 5/25/47 144A

      29,131        29  

Federal Home Loan Mortgage Corp., Series 2018-HQA2, Class M1

      

0.937%, (ICE LIBOR USD 1 Month plus 0.750%), 10/25/48 144A

      30,677        31  

Federal Home Loan Mortgage Corp., Series 3713, Class PA
2.000%, 2/15/40

      100,984        100  

Federal Home Loan Mortgage Corp., Series 4092, Class CL
1.250%, 6/15/27

      311,534        306  

Federal National Mortgage Association

      

2.000%, 10/1/50

      238,442        222  

2.500%, 10/1/22

      17,520        17  

2.500%, 12/1/22

      6,024        6  

2.500%, 1/1/52

      580,001        554  

3.000%, 6/1/22

      1,109        1  

3.000%, 4/1/24

      44,749        45  

3.000%, 9/1/28

      212,987        215  

3.000%, 12/1/34

      104,019        106  

3.000%, 3/1/35

      43,387        44  

3.500%, 5/1/27

      225,480        231  

3.500%, 4/1/46

      233,096        237  

3.500%, 2/1/48

      415,668        420  

3.500%, 1/1/52

      160,520        161  

4.000%, 1/1/47

      69,201        71  

4.000%, 2/1/49

      15,702        16  

4.000%, 11/1/49

      42,081        43  

4.000%, 12/1/49

      14,434        15  

4.000%, 4/13/52

      340,000        347  

4.500%, 5/1/40

      51,822        55  

4.500%, 9/1/40

      45,736        48  

4.500%, 5/1/41

      88,187        94  

4.500%, 8/1/48

      28,814        30  

4.500%, 9/1/48

      28,432        30  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

4.500%, 10/1/48

      180,828        189  

4.500%, 11/1/48

      42,139        44  

4.500%, 12/1/48

      211,502        220  

4.500%, 5/1/49

      117,765        123  

4.500%, 1/1/50

      24,575        26  

5.000%, 10/1/33

      83,090        90  

5.000%, 6/1/40

      45,033        49  

5.000%, 7/1/45

      66,679        72  

5.000%, 9/1/48

      66,369        70  

5.000%, 2/1/49

      35,517        37  

5.000%, 8/1/49

      27,488        29  

5.500%, 8/1/37

      48,101        53  

5.500%, 2/1/38

      181,463        199  

6.000%, 8/1/22

      910        1  

6.000%, 3/1/34

      41,926        46  

6.000%, 8/1/34

      114,367        126  

6.000%, 11/1/34

      4,186        5  

6.000%, 12/1/34

      1,535        2  

6.000%, 4/1/35

      2,689        3  

6.000%, 5/1/38

      1,771        2  

6.000%, 10/1/40

      88,628        98  

6.000%, 2/1/49

      379,716        429  

6.500%, 7/1/32

      13,548        15  

6.500%, 12/1/32

      13,500        15  

Federal National Mortgage Association, Series 2011-113, Class AG
2.500%, 11/25/26

      55,523        55  

Federal National Mortgage Association, Series 2013-74, Class AD
2.000%, 7/25/23

      16,210        16  

Federal National Mortgage Association, Series 2017-90, Class KA
3.000%, 11/25/47

      228,072        225  

Federal National Mortgage Association, Series 2017-C02, Class 2ED3

      

1.537%, (ICE LIBOR USD 1 Month plus 1.350%), 9/25/29

      13,415        13  

Federal National Mortgage Association, Series 2017-C04, Class 2ED2

      

1.287%, (ICE LIBOR USD 1 Month plus 1.100%), 11/25/29

      537,368        532  

Federal National Mortgage Association, Series 2017-C05, Class 1ED3

      

1.387%, (ICE LIBOR USD 1 Month plus 1.200%), 1/25/30

      173,938        174  

Federal National Mortgage Association, Series 2018-C01, Class 1ED2

      

1.037%, (ICE LIBOR USD 1 Month plus 0.850%), 7/25/30

      305,388        304  

Federal National Mortgage Association, Series 2018-C03, Class 1EB2

      

1.037%, (ICE LIBOR USD 1 Month plus 0.850%), 10/25/30

      660,000        655  

Flagstar Mortgage Trust, Series 2020-1INV, Class A11

      

1.037%, (ICE LIBOR USD 1 Month plus 0.850%), 3/25/50 144A

      125,085        124  

Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class B
3.447%, 12/10/36 144A

      605,000        590  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

FWD Securitization Trust, Series 2020-INV1, Class A-1
2.240%, (AFC), 1/25/50 144A

      281,101        278  

Galton Funding Mortgage Trust, Series 2018-1, Class A33
3.500%, (AFC), 11/25/57 144A

      41,271        41  

Galton Funding Mortgage Trust, Series 2019-1, Class A21
4.500%, (AFC), 2/25/59 144A

      68,670        69  

Galton Funding Mortgage Trust, Series 2019-1, Class A32
4.000%, (AFC), 2/25/59 144A

      29,876        30  

Galton Funding Mortgage Trust, Series 2019-H1, Class M1
3.339%, (AFC), 10/25/59 144A

      260,000        252  

Galton Funding Mortgage Trust, Series 2020-H1, Class A1
2.310%, (AFC), 1/25/60 144A

      12,820        13  

Galton Funding Mortgage Trust, Series 2020-H1, Class M1
2.832%, (AFC), 1/25/60 144A

      285,000        273  

GCT LLC, Series 2021-GCT, Class A

      

1.197%, (ICE LIBOR USD 1 Month plus 0.800%), 2/15/38 144A

      335,000        329  

Government National Mortgage Association

      

3.000%, 9/20/47

      599,659        597  

3.500%, 12/20/42

      3,787        4  

3.500%, 9/20/43

      51,187        53  

3.500%, 8/20/44

      101,070        102  

3.500%, 10/20/46

      670        1  

3.500%, 11/20/46

      40,928        42  

3.500%, 1/20/47

      44,062        45  

3.500%, 4/21/52  b

      2,864,000        2,880  

4.000%, 3/20/48

      83,316        85  

4.000%, 4/20/50  b

      296,647        304  

4.000%, 10/20/50

      196,639        202  

4.500%, 7/20/41

      213,101        227  

5.000%, 3/20/34

      235,239        255  

5.000%, 1/20/48

      39,253        42  

5.000%, 2/20/48

      182,845        195  

5.500%, 6/20/37

      49,641        55  

5.500%, 9/15/45

      154,582        173  

5.500%, 3/20/48

      29,643        32  

5.500%, 12/20/48

      17,710        19  

5.500%, 2/20/49

      215,934        230  

Great Wolf Trust, Series 2019-WOLF, Class A

      

1.431%, (ICE LIBOR USD 1 Month plus 1.034%), 12/15/36 144A

      255,000        252  

Great Wolf Trust, Series 2019-WOLF, Class C

      

2.030%, (ICE LIBOR USD 1 Month plus 1.633%), 12/15/36 144A

      270,000        265  

GS Mortgage Backed Securities Trust, Series 2021-HP1, Class A6
2.500%, 1/25/52 144A

      317,738        305  

GS Mortgage Backed Securities Trust, Series 2021-PJ5, Class A8
2.500%, 10/25/51 144A

      768,275        736  

GS Mortgage Backed Securities Trust, Series 2022-GR1, Class A5
2.500%, (AFC), 6/25/52 144A

      1,013,711        973  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

GS Mortgage Backed Securities Trust, Series GR2, Class A6
2.500%, (AFC), 2/25/52 144A

      380,552        365  

GS Mortgage Backed Securities Trust, Series NQM1, Class A1
1.017%, (AFC), 7/25/61 144A

      200,170        192  

GS Mortgage Securities Trust, Series 2014-EB1A, Class 2A1
1.625%, (CSTR), 7/25/44 144A

      4,326        4  

GS Mortgage Securities Trust, Series 2021-ROSS, Class B

      

1.997%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/26 144A

      390,000        385  

Homeward Opportunities Fund I Trust, Series 2020-2, Class A1
1.657%, (AFC), 5/25/65 144A

      67,534        67  

Hundred Acre Wood Trust, Series 2021-INV1, Class A9
2.500%, 7/25/51 144A

      515,331        493  

Imperial Fund Mortgage Trust, Series 2021-NQM2, Class A3
1.516%, (AFC), 9/25/56 144A

      324,104        299  

InTown Hotel Portfolio Trust, Series 2018-STAY, Class A

      

1.497%, (ICE LIBOR USD 1 Month plus 1.100%), 1/15/33 144A

      115,000        115  

InTown Hotel Portfolio Trust, Series 2018-STAY, Class C

      

2.047%, (ICE LIBOR USD 1 Month plus 1.650%), 1/15/33 144A

      100,000        100  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C

      

1.997%, (ICE LIBOR USD 1 Month plus 1.600%), 9/15/29 144A

      250,000        245  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class B

      

1.747%, (ICE LIBOR USD 1 Month plus 1.350%), 9/15/29 144A

      790,000        776  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B

      

2.167%, (ICE LIBOR USD 1 Month plus 1.770%), 10/15/33 144A

      540,000        525  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class C

      

2.567%, (ICE LIBOR USD 1 Month plus 2.170%), 10/15/33 144A

      440,000        422  

JP Morgan Mortgage Trust, Series 2020-INV1, Class A11

      

0.938%, (ICE LIBOR USD 1 Month plus 0.830%), (AFC), 8/25/50 144A

      60,425        60  

JP Morgan Mortgage Trust, Series 2020-INV1, Class A15
3.500%, (AFC), 8/25/50 144A

      98,366        98  

JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A5
3.934%, 9/15/47

      540,000        547  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

KKR Industrial Portfolio Trust, Series 2021-KDIP, Class C

      

1.397%, (ICE LIBOR USD 1 Month plus 1.000%), 12/15/37 144A

      157,500        154  

KKR Industrial Portfolio Trust, Series 2021-KDIP, Class D

      

1.647%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/37 144A

      116,250        113  

KNDR Mortgage Trust, Series 2021-KIND, Class C

      

2.147%, (ICE LIBOR USD 1 Month plus 1.750%), 8/15/38 144A

      580,000        568  

LSTAR Commercial Mortgage Trust, Series 2017-5, Class AS
4.021%, 3/10/50 144A

      340,000        341  

Mello Mortgage Capital Acceptance, Series 2021-INV3, Class A4
2.500%, (AFC), 10/25/51 144A

      444,612        424  

MFRA Trust, Series 2021-INV1, Class A1
0.852%, (AFC), 1/25/56 144A

      209,761        203  

MFRA Trust, Series 2021-NQM2, Class A2
1.317%, (AFC), 11/25/64 144A

      166,254        157  

MHC Commercial Mortgage Trust, Series 2021-MHC2, Class B

      

1.497%, (ICE LIBOR USD 1 Month plus 1.100%), 5/15/23 144A

      380,000        369  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS
4.110%, (AFC), 10/15/47

      185,000        186  

Morgan Stanley Capital I Trust, Series 2014-150E, Class A
3.912%, 9/9/32 144A

      610,000        605  

Morgan Stanley Capital I Trust, Series 2019-MEAD, Class D
3.177%, (CSTR), 11/10/36 144A

      480,000        449  

Morgan Stanley Capital I Trust, Series 2019- NUGS, Class D

      

3.300%, (ICE LIBOR USD 1 Month plus 1.800%), 12/15/36 144A

      315,000        311  

Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class A4
2.500%, (AFC), 5/25/51 144A

      164,676        157  

New Orleans Hotel Trust, Series 2019-HNLA, Class B

      

1.686%, (ICE LIBOR USD 1 Month plus 1.289%), 4/15/32 144A

      790,000        774  

New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1
1.650%, (AFC), 5/24/60 144A

      130,757        128  

New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1
2.710%, (AFC), 11/25/59 144A

      183,186        182  

New Residential Mortgage Loan Trust, Series 2020-NQM1, Class A1
2.464%, (AFC), 1/26/60 144A

      148,787        148  

New Residential Mortgage Loan Trust, Series 2021-INV1, Class A6
2.500%, (AFC), 6/25/51 144A

      334,381        320  

New Residential Mortgage Loan Trust, Series 2021-INV2, Class A7
2.500%, (AFC), 9/25/51 144A

      941,709        904  
Structured Products (34.0%)    Shares/ Par +     

Value

$ (000’s)

  

Mortgage Securities continued

      

New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A1
0.943%, (AFC), 7/25/55 144A

      332,428        322  

NMLT Trust, Series 2021-INV2, Class A1
1.162%, (AFC), 8/25/56 144A

      1,016,770        952  

NMLT Trust, Series 2021-INV2, Class A3
1.520%, (AFC), 8/25/56 144A

      263,271        247  

OBX Trust, Series 2019-EXP2, Class 2A2

      

1.387%, (ICE LIBOR USD 1 Month plus 1.200%), 7/25/59 144A

      131,162        130  

OBX Trust, Series 2019-EXP3, Class 2A1

      

1.087%, (ICE LIBOR USD 1 Month plus 0.900%), (AFC), 10/25/59 144A

      130,182        132  

OBX Trust, Series 2020-INV1, Class A5
3.500%, (AFC), 12/25/49 144A

      55,580        55  

OBX Trust, Series 2021-NQM1, Class A1
1.072%, (AFC), 2/25/66 144A

      445,315        431  

ONE Park Mortgage Trust, Series 2021-PARK, Class B

      

1.347%, (ICE LIBOR USD 1 Month plus 0.950%), 3/15/36 144A

      755,000        728  

ONE Park Mortgage Trust, Series 2021-PARK, Class C

      

1.497%, (ICE LIBOR USD 1 Month plus 1.100%), 3/15/36 144A

      405,000        389  

Onslow Bay Financial LLC, Series 2020-EXP1, Class 1A8
3.500%, 2/25/60 144A

      184,761        181  

Onslow Bay Financial LLC, Series 2020-EXP1, Class 2A1

      

0.937%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/60 144A

      200,309        199  

Onslow Bay Financial LLC, Series 2020-EXP1, Class 2A2

      

1.137%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A

      119,202        118  

Onslow Bay Financial LLC, Series 2020-EXP2, Class A8
3.000%, (AFC), 5/25/60 144A

      243,525        240  

Onslow Bay Financial LLC, Series 2020-EXP2, Class A9
3.000%, (AFC), 5/25/60 144A

      60,881        60  

Onslow Bay Financial LLC, Series 2020-EXP3, Class 1A8
3.000%, (AFC), 1/25/60 144A

      206,621        204  

Onslow Bay Financial LLC, Series 2021-J1, Class A4
2.500%, (AFC), 5/25/51 144A

      571,499        548  

Onslow Bay Mortgage Loan Trust, Series 2021-NQM3, Class A1
1.054%, (AFC), 7/25/61 144A

      246,812        232  

PSMC Trust, Series 2021-1, Class A11
2.500%, (AFC), 3/25/51 144A

      790,455        756  

PSMC Trust, Series 2021-2, Class A3
2.500%, (AFC), 5/25/51 144A

      628,883        602  

Sequoia Mortgage Trust, Series 2018-CH2, Class A21
4.000%, (AFC), 6/25/48 144A

      27,770        28  

Sequoia Mortgage Trust, Series 2018-CH2, Class A3
4.000%, (AFC), 6/25/48 144A

      64,057        64  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +     

Value

  $  (000’s)  

  

Mortgage Securities continued

      

Sequoia Mortgage Trust, Series 2018-CH3, Class A19
4.500%, (AFC), 8/25/48 144A

      10,423        10  

Sequoia Mortgage Trust, Series 2018-CH4, Class A2
4.000%, (AFC), 10/25/48 144A

      14,411        14  

SG Residential Mortgage Trust, Series 2019-3, Class A2
2.877%, (AFC), 9/25/59 144A

      194,845        195  

SG Residential Mortgage Trust, Series 2020-2, Class A1
1.381%, (AFC), 5/25/65 144A

      141,186        139  

SG Residential Mortgage Trust, Series 2022-1, Class A1
3.166%, (AFC), 3/27/62 144A

      625,000        613  

Shelter Growth CRE Issuer, Ltd., Series 2021- FL3, Class A

      

1.477%, (ICE LIBOR USD 1 Month plus 1.080%), 9/15/36 144A

      303,173        300  

Slide, Series 2018-FUN, Class D

      

2.497%, (ICE LIBOR USD 1 Month plus 2.100%), 6/15/31 144A

      354,771        348  

STACR Trust, Series 2018-DNA2, Class M2

      

1.137%, (ICE LIBOR USD 1 Month plus 0.950%), 12/25/30 144A

      454,439        453  

STACR Trust, Series 2018-DNA3, Class M2

      

1.087%, (ICE LIBOR USD 1 Month plus 0.900%), 9/25/48 144A

      286,355        286  

STACR Trust, Series 2018-HRP2, Class M2

      

1.437%, (ICE LIBOR USD 1 Month plus 1.250%), 2/25/47 144A

      115,345        115  

STACR Trust, Series 2020-DNA6, Class M1

      

0.949%, (US 30 Day Average SOFR plus 0.900%), 12/25/50 144A

      17,099        17  

STACR Trust, Series 2021-DNA1, Class M1

      

0.699%, (US 30 Day Average SOFR plus 0.650%), 1/25/51 144A

      15,282        15  

STACR Trust, Series 2021-DNA2, Class M1

      

0.849%, (US 30 Day Average SOFR plus 0.800%), 8/25/33 144A

      193,899        193  

STACR Trust, Series 2021-DNA3, Class M2

      

2.149%, (US 30 Day Average SOFR plus 2.100%), 10/25/33 144A

      395,000        386  

STACR Trust, Series 2021-DNA5, Class M2

      

1.699%, (US 30 Day Average SOFR plus 1.650%), 1/25/34 144A

      260,000        256  

STACR Trust, Series 2021-DNA6, Class M2

      

1.549%, (US 30 Day Average SOFR plus 1.500%), 10/25/41 144A

      325,000        309  

STACR Trust, Series 2021-DNA7, Class M1

      

0.899%, (US 30 Day Average SOFR plus 0.850%), 11/25/41 144A

      255,000        250  

STACR Trust, Series 2021-DNA7, Class M2

      

1.849%, (US 30 Day Average SOFR plus 1.800%), 11/25/41 144A

      375,000        357  

STACR Trust, Series 2021-HQA1, Class M1

      

0.749%, (US 30 Day Average SOFR plus 0.700%), 8/25/33 144A

      264,512        263  

STACR Trust, Series 2021-HQA3, Class M1

      

0.899%, (US 30 Day Average SOFR plus 0.850%), 9/25/41 144A

      255,000        249  
Structured Products (34.0%)    Shares/ Par +     

Value

  $  (000’s)  

  

Mortgage Securities continued

      

STACR Trust, Series 2021-HQA4, Class M1

      

0.999%, (US 30 Day Average SOFR plus 0.950%), 12/25/41 144A

      500,000        487  

STACR Trust, Series 2022-DNA2, Class M1A

      

1.349%, (US 30 Day Average SOFR plus 1.300%), 2/25/42 144A

      335,068        333  

STACR Trust, Series 2022-HQA1, Class M1A

      

2.150%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A

      635,000        636  

Starvest Emerging Markets CBO I, Series 2021-2, Class A1
0.943%, (AFC), 5/25/65 144A

      240,005        235  

Starwood Mortgage Residential Trust, Series 2019-INV1, Class A1
2.610%, (AFC), 9/27/49 144A

      8,342        8  

Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3
2.916%, (AFC), 9/27/49 144A

      181,793        178  

Starwood Mortgage Residential Trust, Series 2020-1, Class A2
2.408%, (AFC), 2/25/50 144A

      208,100        204  

Starwood Mortgage Residential Trust, Series 2021-4, Class A1
1.162%, (AFC), 8/25/56 144A

      803,685        771  

Toorak Mortgage Corp., Series 2021-INV1, Class A2
1.409%, (AFC), 12/31/99 144A

      160,542        149  

Uniform Mortgage Backed Security TBA
3.000%, 4/13/52

      1,205,000        1,179  

United Wholsale Mortgage LLC, Series 2021- INV2, Class A4
2.500%, (AFC), 9/25/51 144A

      172,183        164  

United Wholsale Mortgage LLC, Series 2021- INV5, Class B
2.500%, (AFC), 1/25/52 144A

      201,326        193  

Verus Securitization Trust, Series 2019-4, Class A3
3.000%, (AFC), 11/25/59 144A

      308,871        308  

Verus Securitization Trust, Series 2019-INV2, Class A1
2.913%, (AFC), 7/25/59 144A

      174,208        174  

Verus Securitization Trust, Series 2019-INV2, Class A2
3.117%, (AFC), 7/25/59 144A

      233,282        233  

Verus Securitization Trust, Series 2019-INV3, Class A3
3.100%, (AFC), 11/25/59 144A

      209,822        210  

Verus Securitization Trust, Series 2020-1, Class A1
2.417%, (AFC), 1/25/60 144A

      114,373        114  

Verus Securitization Trust, Series 2020-1, Class A3
2.724%, (AFC), 1/25/60 144A

      266,875        265  

Verus Securitization Trust, Series 2020-2, Class A1
2.226%, (AFC), 5/25/60 144A

      209,291        208  

Verus Securitization Trust, Series 2020-5, Class A3 1.733%, (AFC), 5/25/65 144A Σ

      111,693        109  
 

Short-Term Bond Portfolio

 

Structured Products (34.0%)    Shares/ Par +      Value
  $  (000’s)  		  

Mortgage Securities continued

      

Verus Securitization Trust, Series 2020-INV1, Class A1
1.977%, (AFC), 4/25/60 144A

      113,454        112  

Verus Securitization Trust, Series 2021-1, Class A1
0.815%, (AFC), 1/25/66 144A

      128,110        124  

Verus Securitization Trust, Series 2021-1, Class A3
1.155%, (AFC), 1/25/66 144A

      104,585        101  

Verus Securitization Trust, Series 2021-2, Class A1
1.031%, (AFC), 2/25/66 144A

      238,945        230  

Verus Securitization Trust, Series 2021-2, Class A2
1.052%, (AFC), 1/25/66 144A

      177,794        172  

Verus Securitization Trust, Series 2021-5, Class A3
1.373%, (AFC), 9/25/66 144A

      271,629        250  

Verus Securitization Trust, Series 2021-7, Class A1
1.829%, (AFC), 10/25/66 144A

      964,392        911  

Verus Securitization Trust, Series 2021-R1, Class A2
1.057%, (AFC), 10/25/63 144A

      99,360        96  

Verus Securitization Trust, Series 2021-R2, Class A1
0.918%, (AFC), 2/25/64 144A

      249,814        245  

Verus Securitization Trust, Series 2022-1, Class A3
3.288%, (AFC), 1/25/67 144A

      997,763        968  

Vista Point Securitization Trust, Series 2020-1, Class A1
1.763%, (AFC), 3/25/65 144A

      37,500        37  

Vista Point Securitization Trust, Series 2020-2, Class A3
2.496%, (AFC), 4/25/65 144A

      81,583        79  
Structured Products (34.0%)    Shares/ Par +     

Value

  $  (000’s)  

  

Mortgage Securities continued

      

Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2
3.020%, 7/15/58

      123,873        124  

Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17
3.000%, (AFC), 5/25/50 144A

      46,658        45  

Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3
2.500%, (AFC), 12/25/50 144A

      675,249        644  

WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5
3.917%, 10/15/57

      575,000        583  

WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5
4.045%, 3/15/47

      325,000        329  

ZH Trust, Series 2021-1, Class A
2.253%, 2/18/27 144A

      350,000        345  
     

 

 

  

Total

         79,283  
     

 

 

  

Total Structured Products (Cost: $140,604)

 

      136,924  
     

 

 

  
Short-Term Investments (3.2%)                

Financial (0.3%)

      

UniCredit SpA
3.750%, 4/12/22 144A

      1,010,000        1,010  
     

 

 

  

Total

         1,010  
     

 

 

  

Money Market Funds (2.9%)

      

State Street Institutional U.S. Government Money Market Fund - Premier
Class 0.250%#

     11,842,053        11,842  
     

 

 

  

Total

         11,842  
     

 

 

  

Total Short-Term Investments (Cost: $12,853)

 

      12,852  
     

 

 

  

Total Investments (102.8%) (Cost: $423,604)@

 

      413,982  
     

 

 

  

Other Assets, Less Liabilities (-2.8%)

         (11,427)  
     

 

 

  

Net Assets (100.0%)

         402,555  
     

 

 

  
 

Short-Term Bond Portfolio

Exchange Traded or Centrally Cleared Derivatives

Futures

 

Issuer    Long/
Short		      Currency    Notional Par
(000’s)		   Number
of
Contracts		     

Expiration

Date

   Notional Value
(000’s)		  

Unrealized

Appreciation/
(Depreciation)
(000’s)

  

Variation Margin

(000’s)

Five-Year US Treasury Note Future

      Short      USD      11,600         116        6/22      $     13,304      $ 312       $ (16 )  

Ten-Year US Treasury Note Future

      Long      USD      400       4        6/22       491       (1 )      (4 ) 

Two-Year US Treasury Note Future

      Long      USD      54,200       271        6/22       57,431       (809 )      44  
Ultra Ten-Year US Treasury Note Future      Long      USD      800       8        6/22       1,084       (37 )      3  
                  $         (535 )    $             27  

 

    Financial Derivative Assets      Financial Derivative Liabilities                  
                                                 
    Variation Margin (000’s)      Variation Margin (000’s)     

Market Value

(000’s)

Options

  
    Swaps      Futures      Total      Swaps      Futures      Total  

Total Exchange-Traded or

Centrally Cleared Derivatives

   $                 –      $             47      $         47      $             –      $         (20)      $         (20)      $                 –    

 

+

All par is stated in U.S. Dollar unless otherwise noted.

144A

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022 the value of these securities (in thousands) was $176,250 representing 43.8% of the net assets.

b

Cash or securities with an aggregate value of $78,447 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 3/31/2022.

§

Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At March 31, 2022, the aggregate value of these securities was $6,111 (in thousands), representing 1.5% of net assets.

Σ

Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

Æ

Security valued using significant unobservable inputs.

π

Amount is less than one thousand.

#

7-Day yield as of 3/31/2022.

@

At March 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $423,604 and the net unrealized depreciation of investments based on that cost was $10,156 which is comprised of $749 aggregate gross unrealized appreciation and $10,905 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

Short-Term Bond Portfolio

The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification  defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

Level 2 - fair value is determined by other significant observable inputs

Level 3 - fair value is determined by significant unobservable inputs

The categorization of a value determined for a financial instrument within the hierarchy is  based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at March 31, 2022.

 

       Valuation Inputs                                          
Description      Level 1 - Quoted
Prices		        Level 2 - Other
Significant
Observable Inputs		       

Level 3

- Significant
Unobservable
Inputs

       (Amounts in thousands)                     

Assets:

               

Municipal Bonds

      $ —          $ 1,468          $ —  

Corporate Bonds

        —          201,930          —      

Governments

        —          60,808          —  

Structured Products

               

Asset Backed Securities

        —          57,235          406  

All Others

        —          79,283          —  

Short-Term Investments

               

Money Market Funds

        11,842          —          —  

All Others

        —          1,010          —  

Other Financial Instruments^

               

Futures

        312          —          —  
    

 

 

Total Assets:

      $             12,154        $             401,734        $             406  
    

 

 

Liabilities:

               

Other Financial Instruments^

               

Futures

        (847 )         —          —  
    

 

 

Total Liabilities:

      $ (847 )       $ —        $ —  
    

 

 

^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended March 31, 2022.

Abbreviations

Abbreviations that may be used in the preceding statements

 

ADR

    American Depositary Receipt

AFC

    Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.

CSTR

    Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.

EXE

    Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.

IO

    Interest Only Security

PO

    Principal Only Security

GDR

    Global Depositary Receipt

GO

    General Obligation

RB

    Revenue Bond

CPURNSA

    U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted

LIBOR

    London Interbank Offered Rate

SOFR

    Secured Overnight Financing Rate

ICE

    Intercontinental Exchange

SONIO

    Sterling Overnight Interbank Average Rate

DAC

    Designated Activity Company

TBA

    To Be Announced

OIS

    Overnight Index Swaps

DIFC

    Dubai International Financial Centre

EURIBOR

    Euro Interbank Offered Rate

SDR

    Swedish Depository Receipt

ETF

    Exchange Traded Fund

Currency Abbreviations

ARS

    Argentine Peso

AUD

    Australian Dollar

BRL

    Brazilian Real

CAD

    Canadian Dollar

CHF

    Swiss Franc

CNH

    Chinese Yuan Renminbi - Offshore

CNY

    Chinese Yuan Renminbi

DKK

    Danish Krone

EUR

    Euro

GBP

    British Pound

HKD

    Hong Kong Dollar

IDR

    Indonesian Rupiah

INR

    Indian Rupee

JPY

    Japanese Yen

KES

    Kenyan Shilling

KRW

    South Korean Won

MXN

    Mexican New Peso

NOK

    Norwegian Krone

NZD

    New Zealand Dollar

PHP

    Philippines Peso

PLN

    Polish Zloty

RUB

    Russian Ruble

SEK

    Swedish Krona

THB

    Thai Baht

TWD

    Taiwan Dollar

USD

    United States Dollar

ZAR

    South African Rand

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