Form NPORT-P Voya Separate Portfolios For: Mar 31

  
    NPORT-P
    false
    
      
      
        
          0001392116
          XXXXXXXX
        
      
      
      
      
        S000046242
        C000191194
        C000144550
        C000159005
        C000221175
        C000159006
      
      
    
  
  
    
      Voya Separate Portfolios Trust
      811-22025
      0001392116
      549300ZK3E04XAD4QG44
      7337 East Doubletree Ranch Road
      Suite 100
      Scottsdale
      
      85258
      1-800-992-0180
      VOYA SECURITIZED CREDIT FUND
      S000046242
      549300IRVV55AI1KRN67
      2022-03-31
      2022-03-31
      N
    
    
      1410220835.60
      8809801.15
      1401411034.45
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      3669181.93000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        JP Morgan Mortgage Trust
        N/A
        
        46650MBG1
        
          
        
        927769.85000000
        PA
        USD
        918915.31000000
        0.065570720324
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-01-25
          Variable
          4.10819000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIF Funding II LLC
        N/A
        
        872480AE8
        
          
        
        2092041.72000000
        PA
        USD
        1882979.18000000
        0.134363090750
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-02-20
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        549300LRCNJYVPZRKK63
        
        20267VAD9
        
          
        
        254511.15000000
        PA
        USD
        258354.37000000
        0.018435302966
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-05-25
          Fixed
          5.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wachovia Mortgage Loan Trust,
        N/A
        
        92977YBU4
        
          
        
        125954.75000000
        PA
        USD
        125212.05000000
        0.008934712723
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-20
          Variable
          2.19407400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46643KBY6
        
          
        
        786000.00000000
        PA
        USD
        713989.20000000
        0.050947879133
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-10-25
          Variable
          2.85768500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        
        12529YCG5
        
          
        
        1470000.00000000
        PA
        USD
        1076012.95000000
        0.076780682008
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-09-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81747MAA7
        
          
        
        6722.58000000
        PA
        USD
        6718.65000000
        0.000479420372
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-03-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        
        64830BAZ0
        
          
        
        1944998.21000000
        PA
        USD
        1931163.24000000
        0.137801343968
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-08-27
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92922F6W3
        
          
          
        
        225309.37000000
        PA
        USD
        227341.80000000
        0.016222349789
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Variable
          2.67076700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hospitality Mortgage Trust
        N/A
        
        40443RAN1
        
          
        
        1579937.53000000
        PA
        USD
        1533868.13000000
        0.109451694919
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          2.74657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hundred Acre Wood Trust
        N/A
        
        44555QCF4
        
          
        
        2523316.77000000
        PA
        USD
        2297306.82000000
        0.163928124121
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          3.32826500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        
        07386HYH8
        
          
          
        
        1478951.93000000
        PA
        USD
        1081651.90000000
        0.077183058603
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Variable
          2.95304300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        
        93934FCF7
        
          
          
        
        412355.83000000
        PA
        USD
        407534.94000000
        0.029080329038
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        364614AJ6
        
          
        
        5000000.00000000
        PA
        USD
        3358026.50000000
        0.239617529579
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137F84T7
        
          
        
        5494288.42000000
        PA
        USD
        328871.62000000
        0.023467177859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-25
          Variable
          0.85257500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300JRCMNFIBT50883
        
        57109GAC8
        
          
        
        532852.04000000
        PA
        USD
        533257.11000000
        0.038051442217
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greystone Commercial Real Esta
        N/A
        
        39809PAL9
        
          
        
        2250000.00000000
        PA
        USD
        2216773.58000000
        0.158181541710
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2039-07-15
          Floating
          3.14657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        302957AS4
        
          
        
        449682.00000000
        PA
        USD
        200362.07000000
        0.014297166575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nyack Park CLO, Ltd.
        N/A
        
        67080QAA2
        
          
        
        2000000.00000000
        PA
        USD
        1945206.00000000
        0.138803388312
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-20
          Floating
          6.22375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        
        00083BAB1
        
          
        
        687744.66000000
        PA
        USD
        633811.45000000
        0.045226663300
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-02-25
          Variable
          6.33600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754JAB0
        
          
        
        249478.20000000
        PA
        USD
        249460.86000000
        0.017800691864
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-25
          Floating
          2.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        61690YAS1
        
          
        
        6893000.00000000
        PA
        USD
        3764156.32000000
        0.268597593958
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Variable
          3.89192700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        
        05493BAL2
        
          
        
        435000.00000000
        PA
        USD
        436112.38000000
        0.031119519489
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          5.02700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12648TAS8
        
          
        
        463903.92000000
        PA
        USD
        464179.29000000
        0.033122280229
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-07-25
          Variable
          4.07326100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46643UDQ9
        
          
        
        2146881.07000000
        PA
        USD
        2163700.60000000
        0.154394431527
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-12-25
          Variable
          2.10218500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominos Pizza Master Issuer LL
        N/A
        
        25755TAJ9
        
          
        
        1402875.00000000
        PA
        USD
        1415314.71000000
        0.100992119742
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-07-25
          Fixed
          4.11600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35565LAH9
        
          
        
        1512106.73000000
        PA
        USD
        1520124.52000000
        0.108470996918
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Floating
          3.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        126694XC7
        
          
          
        
        432643.50000000
        PA
        USD
        292765.66000000
        0.020890777423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61690VAJ7
        
          
        
        7861000.00000000
        PA
        USD
        6195303.62000000
        0.442076126682
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Variable
          4.37592100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        
        12529YCA8
        
          
        
        8930000.00000000
        PA
        USD
        5539013.78000000
        0.395245480721
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-08-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Fund LLC
        N/A
        
        45276JAD2
        
          
        
        1500000.00000000
        PA
        USD
        1370282.10000000
        0.097778743446
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-01-25
          Variable
          3.44600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36258FAH2
        
          
        
        747164.93000000
        PA
        USD
        742866.86000000
        0.053008492279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPR Trust
        N/A
        
        05591VAJ4
        
          
        
        5000000.00000000
        PA
        USD
        4845046.50000000
        0.345726298772
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          7.14700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        
        33849NAQ8
        
          
        
        928268.22000000
        PA
        USD
        919045.69000000
        0.065580023805
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-25
          Variable
          4.50024300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        549300XC4C7GRVLU6076
        
        784456AF2
        
          
        
        2623000.00000000
        PA
        USD
        2436647.65000000
        0.173871019287
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61761DAS1
        
          
          
        
        4050000.00000000
        PA
        USD
        3887580.83000000
        0.277404753811
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-11-15
          Variable
          4.58601100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30290WAC9
        
          
        
        160388405.00000000
        PA
        USD
        65775.28000000
        0.004693503788
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-25
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        
        94986KAA4
        
          
          
        
        448665.56000000
        PA
        USD
        442460.52000000
        0.031572501509
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-28
          Variable
          2.86775900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wind River CLO Ltd
        N/A
        
        97316LAE8
        
          
        
        5000000.00000000
        PA
        USD
        4961920.00000000
        0.354066000482
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-04-15
          Floating
          2.74129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KHE2
        
          
        
        1000000.00000000
        PA
        USD
        984347.60000000
        0.070239749495
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92922FTB4
        
          
        
        465563.64000000
        PA
        USD
        467073.37000000
        0.033328792090
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-07-25
          Variable
          2.55274300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08162TBC6
        
          
        
        50419516.71000000
        PA
        USD
        1078347.41000000
        0.076947261259
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-05-15
          Variable
          0.43389900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46646BBB3
        
          
        
        1000000.00000000
        PA
        USD
        983089.70000000
        0.070149989962
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-05-25
          Variable
          3.81781800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        
        437307AC5
        
          
        
        7200000.00000000
        PA
        USD
        7165446.48000000
        0.511302273484
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2033-07-25
          Floating
          2.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Woodward Capital Management
        N/A
        
        749357BE8
        
          
        
        1327848.16000000
        PA
        USD
        1305361.45000000
        0.093146223192
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          3.83360800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KPN3
        
          
        
        5000000.00000000
        PA
        USD
        4514781.50000000
        0.322159693980
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          3.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137H2NZ3
        
          
        
        13059865.32000000
        PA
        USD
        1325948.54000000
        0.094615249017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-25
          Variable
          0.98079200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81747MCF4
        
          
        
        664542.09000000
        PA
        USD
        663670.48000000
        0.047357303723
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-03-25
          Variable
          4.91386400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SG Commercial Mortgage Securit
        N/A
        
        78397FAJ2
        
          
        
        3320000.00000000
        PA
        USD
        3080677.14000000
        0.219826807715
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Variable
          3.72757000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        02147QAM4
        
          
        
        286273.40000000
        PA
        USD
        141581.83000000
        0.010102805423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        
        33852BAP0
        
          
        
        953016.31000000
        PA
        USD
        930002.68000000
        0.066361877931
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          4.05583400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        
        61947DAB5
        
          
        
        1131444.81000000
        PA
        USD
        1045754.27000000
        0.074621523899
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-12-20
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XEC4
        
          
        
        2010702.21000000
        PA
        USD
        2096930.37000000
        0.149629931437
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-05-25
          Floating
          4.80657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential
        N/A
        
        85573AAD7
        
          
        
        3000000.00000000
        PA
        USD
        2875479.60000000
        0.205184598188
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          2.87800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACREC 2021-FL1 Ltd.
        N/A
        
        00500RAJ4
        
          
        
        2500000.00000000
        PA
        USD
        2463217.75000000
        0.175766972675
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-10-16
          Floating
          3.11757000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459TBE5
        
          
        
        5392000.00000000
        PA
        USD
        4484681.69000000
        0.320011872302
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        364614AC1
        
          
        
        3000000.00000000
        PA
        USD
        2383556.40000000
        0.170082605417
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XSX3
        
          
        
        1489776.46000000
        PA
        USD
        1517502.39000000
        0.108283890500
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-02-25
          Floating
          3.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DCQ2
        
          
        
        7361000.00000000
        PA
        USD
        5258291.34000000
        0.375214067160
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atrium CDO Corp
        N/A
        
        55820WAA9
        
          
        
        5000000.00000000
        PA
        USD
        4667285.00000000
        0.333041833214
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-08-23
          Fixed
          2.30400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSMC 2019-2 Trust
        N/A
        
        69374XAA8
        
          
        
        66535.26000000
        PA
        USD
        66506.68000000
        0.004745694044
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36257QAQ9
        
          
        
        928621.46000000
        PA
        USD
        918574.05000000
        0.065546369153
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.98617500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wingstop Funding LLC
        N/A
        
        974153AB4
        
          
          
        
        5743140.00000000
        PA
        USD
        5351346.44000000
        0.381854167581
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-12-05
          Fixed
          2.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivabl
        N/A
        
        80286HAG4
        
          
        
        4200000.00000000
        PA
        USD
        4216012.08000000
        0.300840508341
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08163AAF0
        
          
        
        22638729.41000000
        PA
        USD
        2168588.79000000
        0.154743236401
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-07-15
          Variable
          1.79158100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        
        17321BAE1
        
          
        
        672921.03000000
        PA
        USD
        679594.79000000
        0.048493609176
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Variable
          2.85157600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFRA Trust
        N/A
        
        552747AD9
        
          
        
        700000.00000000
        PA
        USD
        664910.19000000
        0.047445765279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-01-25
          Variable
          2.28800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        
        07386HVR9
        
          
        
        267740.83000000
        PA
        USD
        242079.42000000
        0.017273977016
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Variable
          2.62678900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650MBF3
        
          
        
        1855539.59000000
        PA
        USD
        1842416.84000000
        0.131468697955
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-01-25
          Variable
          4.10819000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KLU1
        
          
        
        3900000.00000000
        PA
        USD
        3611457.33000000
        0.257701505213
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-10-25
          Floating
          3.49900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        35564KDB2
        
          
        
        1600000.00000000
        PA
        USD
        1578716.16000000
        0.112651900205
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.39900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whetstone Park CLO Ltd
        N/A
        
        96329YAJ6
        
          
        
        1600000.00000000
        PA
        USD
        1559440.00000000
        0.111276417957
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2035-01-20
          Floating
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08162RAF4
        
          
        
        18466399.75000000
        PA
        USD
        1550353.98000000
        0.110628069987
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-02-15
          Variable
          1.27564600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        
        89171YBD2
        
          
        
        1100000.00000000
        PA
        USD
        1107364.06000000
        0.079017792266
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-11-25
          Variable
          3.93041000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MBRT 2019 MBR
        N/A
        
        55282DBE3
        
          
        
        3000000.00000000
        PA
        USD
        2939949.90000000
        0.209784982972
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          4.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46630UAA2
        
          
          
        
        116240.05000000
        PA
        USD
        111676.49000000
        0.007968860473
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Variable
          3.06155600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        364614AG2
        
          
        
        11147000.00000000
        PA
        USD
        7696700.30000000
        0.549210767633
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BBCCRE Trust
        N/A
        
        05490TAQ5
        
          
        
        103000000.00000000
        PA
        USD
        751405.60000000
        0.053617788181
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-10
          Variable
          0.21460400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        N/A
        
        57109JAC2
        
          
        
        1400000.00000000
        PA
        USD
        1401645.56000000
        0.100016734958
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36262AAT1
        
          
        
        1268208.66000000
        PA
        USD
        1120097.74000000
        0.079926425043
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-08-25
          Variable
          2.65171600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92939HAJ4
        
          
        
        5000000.00000000
        PA
        USD
        4668399.50000000
        0.333121360203
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-10-15
          Variable
          4.00376200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        549300WT845S0N68C331
        
        83402JAD0
        
          
        
        1600000.00000000
        PA
        USD
        1604873.60000000
        0.114518407558
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08162VAF5
        
          
        
        20202774.11000000
        PA
        USD
        1281102.35000000
        0.091415175027
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-03-15
          Variable
          1.22524100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459TBY1
        
          
        
        7087000.00000000
        PA
        USD
        5884346.73000000
        0.419887283983
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          2.43500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        
        14315PAH8
        
          
        
        750000.00000000
        PA
        USD
        744964.88000000
        0.053158199963
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        
        35565KAH1
        
          
        
        1745279.19000000
        PA
        USD
        1742274.34000000
        0.124322864396
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Floating
          2.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        N/A
        
        90270RAL8
        
          
        
        720000.00000000
        PA
        USD
        664597.22000000
        0.047423432787
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Variable
          4.46048300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        
        93934FGH9
        
          
        
        363007.23000000
        PA
        USD
        362982.80000000
        0.025901237472
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DDC2
        
          
        
        3846000.00000000
        PA
        USD
        3414545.34000000
        0.243650524796
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61761AAN8
        
          
        
        11330000.00000000
        PA
        USD
        11040868.60000000
        0.787839422452
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92938JAQ5
        
          
        
        2380000.00000000
        PA
        USD
        2157500.46000000
        0.153952010292
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-15
          Variable
          5.04032300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Driven Brands Funding, LLC
        N/A
        
        26209XAD3
        
          
        
        1995000.00000000
        PA
        USD
        1796772.41000000
        0.128211664232
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-10-20
          Fixed
          2.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        549300CFP9NBBMZH1008
        
        95000KBF1
        
          
        
        32664000.00000000
        PA
        USD
        744200.24000000
        0.053103637812
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Variable
          0.58233900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XBH6
        
          
          
        
        543077.30000000
        PA
        USD
        564481.77000000
        0.040279529425
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-04-25
          Floating
          6.00657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651ABC5
        
          
        
        1904264.58000000
        PA
        USD
        1893467.97000000
        0.135111535691
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          4.74455900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35566AAH2
        
          
        
        1742099.36000000
        PA
        USD
        1746293.99000000
        0.124609693164
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-25
          Floating
          2.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        25490017VKY7XEFZL303
        
        26245XAU1
        
          
        
        5750000.00000000
        PA
        USD
        5622131.50000000
        0.401176482972
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-17
          Floating
          3.44129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35565RAH6
        
          
        
        246926.08000000
        PA
        USD
        247269.65000000
        0.017644334454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.60657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        12433XAG4
        
          
        
        6500000.00000000
        PA
        USD
        5854722.25000000
        0.417773380262
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-11
          Variable
          3.54875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFRA Trust
        N/A
        
        552757AC0
        
          
        
        591108.76000000
        PA
        USD
        579526.81000000
        0.041353093115
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-01-26
          Variable
          1.63200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        
        61946LAA0
        
          
        
        1122791.50000000
        PA
        USD
        1117309.58000000
        0.079727471279
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-02-22
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        35564KRN1
        
          
        
        5500000.00000000
        PA
        USD
        5393187.80000000
        0.384839826961
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-02-25
          Floating
          3.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        549300H3PON1KOB2RF56
        
        33851FBP1
        
          
        
        929435.39000000
        PA
        USD
        933069.11000000
        0.066580688110
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          4.93383300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650JAK0
        
          
        
        358368.29000000
        PA
        USD
        358040.28000000
        0.025548555791
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651FAR2
        
          
        
        3007098.62000000
        PA
        USD
        3081165.26000000
        0.219861638324
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-25
          Variable
          3.59088500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Helios Issuer VI, LLC
        N/A
        
        86744TAB2
        
          
        
        8338418.79000000
        PA
        USD
        7794295.27000000
        0.556174817979
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-07-20
          Fixed
          2.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08160JAN7
        
          
        
        3220000.00000000
        PA
        USD
        370167.01000000
        0.026413878648
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-03-15
          Variable
          2.00158000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748GEJ6
        
          
        
        2914529.23000000
        PA
        USD
        2830196.45000000
        0.201953344195
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          4.52862800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -384.00000000
        NC
        USD
        1286224.13000000
        0.091780648102
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -48470224.13000000
            USD
            1286224.13000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754WAB1
        
          
        
        1217145.28000000
        PA
        USD
        1213526.95000000
        0.086593220701
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36257TAS9
        
          
        
        942495.01000000
        PA
        USD
        941440.74000000
        0.067178059602
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          4.29993100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46651MAN6
        
          
        
        1930000.00000000
        PA
        USD
        1880450.92000000
        0.134182682580
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-15
          Floating
          2.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300LGCRX4YI1JNS93
        
        64133WAG0
        
          
        
        2250000.00000000
        PA
        USD
        2167510.50000000
        0.154666293237
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-07-16
          Floating
          3.04129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        549300GXWD0QSMEEID35
        
        00841YCF3
        
          
        
        705907.83000000
        PA
        USD
        702628.68000000
        0.050137230457
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-04-25
          Variable
          3.56704300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711X5R1
        
          
        
        2661672.35000000
        PA
        USD
        2657709.39000000
        0.189645245018
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-03-25
          Floating
          2.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        
        41162NAC1
        
          
          
        
        605757.28000000
        PA
        USD
        563914.78000000
        0.040239070917
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-25
          Floating
          0.59857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Opportunity Master Fun
        N/A
        
        07335UCJ1
        
          
        
        2534657.05000000
        PA
        USD
        2313246.39000000
        0.165065518476
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          3.39356000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SolarCity Corporation d/b/a Te
        N/A
        
        88159TAB6
        
          
        
        2000000.00000000
        PA
        USD
        1883731.40000000
        0.134416766651
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-02-20
          Fixed
          6.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        
        759950GA0
        
          
          
        
        593520.44000000
        PA
        USD
        554483.83000000
        0.039566109897
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Variable
          5.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        
        83405TAD5
        
          
        
        2500000.00000000
        PA
        USD
        2510356.50000000
        0.179130636072
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-05-25
          Fixed
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        
        94989NAA5
        
          
        
        16657000.00000000
        PA
        USD
        621707.53000000
        0.044362968088
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-09-15
          Variable
          1.24897400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12667F6H3
        
          
        
        460224.99000000
        PA
        USD
        385576.04000000
        0.027513415444
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06541FAJ8
        
          
        
        2200000.00000000
        PA
        USD
        1922620.70000000
        0.137191776911
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300NKHCH87PYOHD44
        
        35564MAH8
        
          
        
        2666150.93000000
        PA
        USD
        2667016.36000000
        0.190309359241
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-04-25
          Floating
          2.50657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sunnova Sol Issuer,LLC
        N/A
        
        86745PAA1
        
          
        
        3890153.54000000
        PA
        USD
        3655841.81000000
        0.260868633122
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-11-01
          Fixed
          2.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651HBH9
        
          
        
        30520.88000000
        PA
        USD
        30555.67000000
        0.002180350321
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust 2019-OC11
        N/A
        
        05606FAN3
        
          
        
        1300000.00000000
        PA
        USD
        1134047.72000000
        0.080921848916
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-09
          Variable
          4.07545700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46649HBB7
        
          
        
        1364416.06000000
        PA
        USD
        1318896.41000000
        0.094112032628
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-25
          Variable
          3.78615900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459TBC9
        
          
        
        5395000.00000000
        PA
        USD
        4611373.55000000
        0.329052179313
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        
        67448WAQ1
        
          
        
        372290.93000000
        PA
        USD
        366111.16000000
        0.026124466769
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650TAC6
        
          
        
        49375.13000000
        PA
        USD
        49544.15000000
        0.003535304688
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36257LAR8
        
          
        
        942259.23000000
        PA
        USD
        934373.75000000
        0.066673782853
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          4.37346600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivabl
        N/A
        
        80285HAG5
        
          
        
        3976833.54000000
        PA
        USD
        3999452.97000000
        0.285387575214
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12568PCG6
        
          
        
        967604.17000000
        PA
        USD
        866069.98000000
        0.061799854483
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-01-25
          Variable
          2.76648000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        93363PAC4
        
          
          
        
        237120.29000000
        PA
        USD
        230551.77000000
        0.016451402503
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Variable
          2.56692300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        
        86359DUS4
        
          
        
        116096.29000000
        PA
        USD
        117087.15000000
        0.008354947058
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          1.14113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        
        83406HAD0
        
          
        
        1500000.00000000
        PA
        USD
        1509282.60000000
        0.107697353802
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-11-26
          Fixed
          4.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BlackRock Liquidity FedFund
        549300T8K043VZEOVK74
        
        09248U700
        
          
          
        
        17480000.00000000
        NS
        USD
        17480000.00000000
        1.247314283268
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        
        83407AAD4
        
          
        
        1780000.00000000
        PA
        USD
        1771058.88000000
        0.126376832810
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-01-25
          Fixed
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20753TAB9
        
          
        
        60161.79000000
        PA
        USD
        60166.23000000
        0.004293260757
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-06-25
          Floating
          2.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12596XAC6
        
          
        
        807004.09000000
        PA
        USD
        786632.72000000
        0.056131477536
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          2.87700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61763BAG9
        
          
        
        2360000.00000000
        PA
        USD
        1801582.70000000
        0.128554910423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-11-15
          Fixed
          3.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30295DAL6
        
          
        
        4833677.65000000
        PA
        USD
        3642375.74000000
        0.259907739447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wachovia Mortgage Loan Trust,
        N/A
        
        92977YBP5
        
          
        
        97088.15000000
        PA
        USD
        96515.66000000
        0.006887034398
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-20
          Variable
          2.19407400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        5493000F7E2NMQ4HIO61
        
        92939FAE9
        
          
          
        
        5198000.00000000
        PA
        USD
        4655420.80000000
        0.332195243619
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-15
          Fixed
          3.49700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46652TCK4
        
          
        
        1446418.60000000
        PA
        USD
        1369751.91000000
        0.097740910862
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-25
          Variable
          3.52284000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        617458BJ2
        
          
        
        680158.28000000
        PA
        USD
        5051.40000000
        0.000360450993
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2047-09-15
          Fixed
          4.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36260JAL1
        
          
        
        2170000.00000000
        PA
        USD
        1778284.84000000
        0.126892453126
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELFI Graduate Loan Program
        N/A
        
        26857EAB4
        
          
        
        922411.44000000
        PA
        USD
        907292.38000000
        0.064741346949
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-03-25
          Variable
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46649CBF9
        
          
        
        2104692.94000000
        PA
        USD
        2057584.86000000
        0.146822367558
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          3.72605600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        
        67113AAQ3
        
          
        
        247452.54000000
        PA
        USD
        244448.61000000
        0.017443034483
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        N/A
        
        09631EAG2
        
          
        
        7250000.00000000
        PA
        USD
        7150689.50000000
        0.510249264792
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          3.64129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        549300CFP9NBBMZH1008
        
        95000KAE5
        
          
        
        7605000.00000000
        PA
        USD
        523046.04000000
        0.037322814445
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Variable
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        61691NAF2
        
          
        
        17697835.14000000
        PA
        USD
        612486.68000000
        0.043704999100
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-15
          Variable
          0.77711500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748KEE8
        
          
        
        965922.58000000
        PA
        USD
        930113.22000000
        0.066369765695
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.66225700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage
        N/A
        
        24381JAD9
        
          
        
        2000000.00000000
        PA
        USD
        1848262.40000000
        0.131885817548
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-11-25
          Variable
          3.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651HBW6
        
          
        
        2398957.15000000
        PA
        USD
        2353596.95000000
        0.167944799358
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          4.45899100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DBU4
        
          
        
        3915000.00000000
        PA
        USD
        3364199.82000000
        0.240058037028
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06650AAN7
        
          
        
        21150000.00000000
        PA
        USD
        1305534.51000000
        0.093158572175
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-15
          Variable
          1.26907000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        549300UOGMFS1M8XVM16
        
        46640NAM0
        
          
        
        30178535.60000000
        PA
        USD
        712008.23000000
        0.050806523746
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-11-15
          Variable
          1.63080000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        
        12624PAF2
        
          
        
        17240834.45000000
        PA
        USD
        52756.95000000
        0.003764559340
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          1.82376000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        
        07335CAK0
        
          
        
        48217019.54000000
        PA
        USD
        4091440.73000000
        0.291951513825
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-08-15
          Variable
          1.58615600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30311TAE7
        
          
        
        7638268.11000000
        PA
        USD
        7623954.76000000
        0.544019889424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.99143000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCW CLO 2021-2, Ltd.
        N/A
        
        87190MAL2
        
          
        
        3000000.00000000
        PA
        USD
        2971842.00000000
        0.212060696465
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-25
          Floating
          3.50771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Austin Fairmont Hotel Trust
        N/A
        
        05223HAN2
        
          
        
        2500000.00000000
        PA
        USD
        2386783.00000000
        0.170312844791
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-09-15
          Floating
          2.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MULTIFAMILY CONNECTICUT AVENUE
        5493002KQF9IH3CTQZ40
        
        62548QAD3
        
          
          
        
        4000000.00000000
        PA
        USD
        3863231.60000000
        0.275667274270
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Floating
          4.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46653JBU4
        
          
        
        2411342.75000000
        PA
        USD
        2320707.85000000
        0.165597943283
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-25
          Variable
          3.61603300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktree CLO Ltd
        N/A
        
        67402GAE7
        
          
        
        3000500.00000000
        PA
        USD
        2772894.07000000
        0.197864438186
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-15
          Floating
          6.75129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        
        12624UAN4
        
          
        
        4900000.00000000
        PA
        USD
        4661880.58000000
        0.332656191895
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-02-10
          Variable
          3.41830600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46641CBS9
        
          
        
        1510261.84000000
        PA
        USD
        1481359.81000000
        0.105704876983
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-01-25
          Variable
          3.68974500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36248FAJ1
        
          
        
        4220406.90000000
        PA
        USD
        12812.31000000
        0.000914243550
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-10
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WENDYS FUNDING LLC
        5493009DRVSTWJOXUL48
        
        95058XAG3
        
          
        
        3578250.00000000
        PA
        USD
        3548040.62000000
        0.253176301083
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-06-15
          Fixed
          3.78300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12648HBD6
        
          
        
        378375.01000000
        PA
        USD
        376853.53000000
        0.026891006331
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-04-25
          Variable
          3.81991700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DDE8
        
          
        
        3849000.00000000
        PA
        USD
        3324334.34000000
        0.237213369830
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81746DCD0
        
          
        
        2655514.03000000
        PA
        USD
        2577677.99000000
        0.183934472230
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-25
          Variable
          3.80327300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ajax Mortgage Loan Trust
        N/A
        
        00969PAB9
        
          
        
        1500000.00000000
        PA
        USD
        1457509.35000000
        0.104002988000
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92922F4V7
        
          
        
        285331.03000000
        PA
        USD
        281042.96000000
        0.020054284795
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-25
          Floating
          1.43657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Woodward Capital Management
        N/A
        
        749357BH1
        
          
        
        948463.05000000
        PA
        USD
        928378.40000000
        0.066245974748
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          3.83360800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46640JAG2
        
          
        
        5000000.00000000
        PA
        USD
        4141861.50000000
        0.295549371182
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-01-15
          Variable
          3.98600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        
        93934FBF8
        
          
        
        137397.79000000
        PA
        USD
        136662.90000000
        0.009751807045
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        
        16163CAH5
        
          
        
        122106.52000000
        PA
        USD
        113808.98000000
        0.008121027821
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Variable
          2.87885200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Babson CLO Ltd
        549300SCEOLR3BTPYX35
        
        05618DAG9
        
          
        
        857421.55000000
        PA
        USD
        857470.42000000
        0.061186218669
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2025-07-20
          Floating
          3.70400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DBW0
        
          
        
        3914000.00000000
        PA
        USD
        3286577.97000000
        0.234519201662
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Laurel Road Prime Student Loan
        N/A
        
        51889RAC3
        
          
        
        1037845.85000000
        PA
        USD
        1004885.42000000
        0.071705259577
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DAG6
        
          
        
        5194000.00000000
        PA
        USD
        5012671.75000000
        0.357687475464
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83405DAE8
        
          
        
        1250000.00000000
        PA
        USD
        1247611.38000000
        0.089025371524
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-07-25
          Variable
          4.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92937FAW1
        
          
        
        5350000.00000000
        PA
        USD
        4864392.81000000
        0.347106786690
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        
        83405BAC6
        
          
        
        1950000.00000000
        PA
        USD
        1949262.90000000
        0.139092875115
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-08-25
          Fixed
          2.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748GEQ0
        
          
        
        1716280.81000000
        PA
        USD
        1716591.29000000
        0.122490207926
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          4.52862800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        
        41165AAB8
        
          
          
        
        752924.92000000
        PA
        USD
        728973.17000000
        0.052017085072
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-19
          Floating
          0.63857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        
        95003ABJ2
        
          
        
        1266615.32000000
        PA
        USD
        1077987.80000000
        0.076921600693
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-25
          Variable
          2.71972300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citimortgage Alternative Loan
        N/A
        
        18976GAK2
        
          
        
        155923.83000000
        PA
        USD
        152494.13000000
        0.010881470621
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        549300DDYHDQJDDDWB27
        
        03768MAQ0
        
          
        
        3500000.00000000
        PA
        USD
        3417235.50000000
        0.243842485608
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-24
          Floating
          3.25886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Solar Loan 2019-2 Lt
        N/A
        
        59982VAA7
        
          
        
        1708606.34000000
        PA
        USD
        1700749.66000000
        0.121359802241
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2043-07-20
          Fixed
          3.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650TAY8
        
          
        
        943921.96000000
        PA
        USD
        933851.63000000
        0.066636526118
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          4.49051000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        
        161630AB4
        
          
        
        62396.28000000
        PA
        USD
        61736.12000000
        0.004405282852
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          2.32557100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        
        3623414A4
        
          
        
        219594.73000000
        PA
        USD
        224084.17000000
        0.015989896218
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Variable
          2.87115100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754BAF8
        
          
        
        1500000.00000000
        PA
        USD
        1421379.75000000
        0.101424900693
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          4.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square Loan Funding Ltd
        N/A
        
        69702FAA0
        
          
        
        3125000.00000000
        PA
        USD
        3006028.13000000
        0.214500104259
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-05-20
          Floating
          5.47957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Helios Issuer, LLC
        N/A
        
        86745JAB3
        
          
        
        2122607.05000000
        PA
        USD
        2085257.66000000
        0.148797005927
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-07-20
          Fixed
          7.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12559YBJ3
        
          
        
        964333.75000000
        PA
        USD
        908199.21000000
        0.064806055302
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-25
          Variable
          3.45056000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        61691NAL9
        
          
        
        15555000.00000000
        PA
        USD
        1217208.30000000
        0.086855909513
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-15
          Variable
          1.49175900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        549300GADFYEKC4OLM57
        
        92890PBG8
        
          
        
        19090000.00000000
        PA
        USD
        16437047.43000000
        1.172892679302
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-15
          Variable
          3.95953300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137F8ZX4
        
          
        
        29755240.18000000
        PA
        USD
        1631307.24000000
        0.116404623618
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-12-25
          Variable
          0.77434600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Mortgage Capital Accepta
        N/A
        
        58549RCG9
        
          
        
        982862.45740000
        PA
        USD
        858979.62000000
        0.061293910129
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-01
          Variable
          2.90878000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        N/A
        
        20267WAB1
        
          
        
        675792.72000000
        PA
        USD
        663756.92000000
        0.047363471792
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-08-25
          Fixed
          3.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALI Mortgage Trust 2019-101C
        N/A
        
        129890AN9
        
          
        
        1910000.00000000
        PA
        USD
        1731844.37000000
        0.123578616653
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-03-10
          Variable
          4.32443500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oceanview Mortgage Trust
        N/A
        
        67647ECF2
        
          
        
        3877539.78000000
        PA
        USD
        3404471.78000000
        0.242931709278
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.98091000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        
        46640UAQ5
        
          
        
        734000.00000000
        PA
        USD
        592121.98000000
        0.042251842282
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-15
          Variable
          3.86700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -681.00000000
        NC
        USD
        1817928.55000000
        0.129721295559
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            -146136726.10000000
            USD
            1817928.55000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        
        12624UAS3
        
          
        
        1255000.00000000
        PA
        USD
        1142908.29000000
        0.081554109529
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-02-10
          Variable
          3.41830600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G0UD9
        
          
          
        
        756742.94000000
        PA
        USD
        758067.54000000
        0.054093161917
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-09-25
          Floating
          2.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30295DAS1
        
          
        
        51082756.70000000
        PA
        USD
        170304.80000000
        0.012152380408
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30298CAN1
        
          
        
        29330832.27000000
        PA
        USD
        116375.94000000
        0.008304197493
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-04-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        
        17325DAL7
        
          
        
        1250000.00000000
        PA
        USD
        1058866.88000000
        0.075557195852
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        35564KQC6
        
          
        
        5000000.00000000
        PA
        USD
        4675100.50000000
        0.333599521130
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          2.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        
        46643TAC6
        
          
        
        46979000.00000000
        PA
        USD
        559256.81000000
        0.039906693771
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-01-15
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        61771MAA8
        
          
        
        6586500.00000000
        PA
        USD
        561885.75000000
        0.040094286129
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-15
          Variable
          1.39564900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81743ACC1
        
          
        
        472399.11000000
        PA
        USD
        455700.56000000
        0.032517266440
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          3.73797900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Mortgage Capital Accepta
        N/A
        
        585490CB9
        
          
        
        2491792.85000000
        PA
        USD
        2202258.73000000
        0.157145810605
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-03-25
          Variable
          3.32938000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Warehouse Securitization
        N/A
        
        58551VAC6
        
          
        
        1900000.00000000
        PA
        USD
        1896402.16000000
        0.135320909667
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-11-25
          Floating
          1.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        5493002GUQ80FGGGNP40
        
        09630QAQ4
        
          
        
        3750000.00000000
        PA
        USD
        3726198.75000000
        0.265889068831
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-04-15
          Floating
          2.36781000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receiva
        N/A
        
        03066LAG3
        
          
        
        3472000.00000000
        PA
        USD
        3511394.70000000
        0.250561370909
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-18
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Silver Creek CLO
        549300LSJSAR2PPV4U78
        
        827551AQ5
        
          
        
        1600000.00000000
        PA
        USD
        1592574.40000000
        0.113640777819
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-07-20
          Floating
          2.55400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        
        362341MC0
        
          
        
        100878.88000000
        PA
        USD
        67900.74000000
        0.004845169499
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Variable
          2.63799900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92925VAF7
        
          
        
        238890.09000000
        PA
        USD
        236680.21000000
        0.016888707465
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          3.02132300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atrium CDO Corp
        549300O252OCTN35RH57
        
        04965CAN8
        
          
        
        1400000.00000000
        PA
        USD
        1395711.80000000
        0.099593321708
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-04-22
          Floating
          1.90886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06541FAC3
        
          
        
        7060000.00000000
        PA
        USD
        433246.78000000
        0.030915039866
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-15
          Variable
          1.45273500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        
        83407CAD0
        
          
        
        950000.00000000
        PA
        USD
        893372.88000000
        0.063748098026
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-09-25
          Fixed
          2.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        254900GFKVQN72ENGJ20
        
        43731AAB9
        
          
        
        4000000.00000000
        PA
        USD
        4021806.40000000
        0.286982641147
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-05-25
          Floating
          3.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        549300SCHQRABPDKYY47
        
        00842TAV0
        
          
        
        646000.00000000
        PA
        USD
        638596.90000000
        0.045568136992
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-25
          Variable
          3.66941000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92937FAJ0
        
          
        
        645242.20000000
        PA
        USD
        4129.87000000
        0.000294693697
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-15
          Variable
          1.08809400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300BL200YC56BUV20
        
        35563WAH7
        
          
        
        2026442.03000000
        PA
        USD
        2037477.22000000
        0.145387553680
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-25
          Floating
          2.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651DAR7
        
          
        
        534316.17000000
        PA
        USD
        533507.27000000
        0.038069292797
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AREIT CRE Trust
        N/A
        
        00217LAJ1
        
          
        
        3500000.00000000
        PA
        USD
        3453482.90000000
        0.246428978729
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-14
          Floating
          2.81448000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TES LLC
        N/A
        
        88159DAB1
        
          
        
        1100000.00000000
        PA
        USD
        1093069.12000000
        0.077997753202
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-10-20
          Fixed
          7.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300F7COUCG1RROP29
        
        55954YAQ8
        
          
        
        5000000.00000000
        PA
        USD
        4863245.00000000
        0.347024882810
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-25
          Floating
          3.10771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46649TBA3
        
          
        
        2091012.87000000
        PA
        USD
        2058338.70000000
        0.146876159056
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-25
          Variable
          3.72474800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Loanpal Solar Loan 2020-3 Ltd
        N/A
        
        53948NAB9
        
          
        
        1977987.96000000
        PA
        USD
        1880817.92000000
        0.134208870471
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46591NBH9
        
          
        
        163818.25000000
        PA
        USD
        164003.14000000
        0.011702715047
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        617458BG8
        
          
        
        2600000.00000000
        PA
        USD
        43486.56000000
        0.003103055344
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2047-09-15
          Fixed
          4.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential
        N/A
        
        85573MAB5
        
          
        
        2000000.00000000
        PA
        USD
        1955231.20000000
        0.139518753023
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83390UAC1
        
          
        
        4100000.00000000
        PA
        USD
        3995819.41000000
        0.285128296536
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-02-15
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137FMD58
        
          
        
        22039000.00000000
        PA
        USD
        4139448.73000000
        0.295377203992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-05-25
          Variable
          3.12386300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        
        67115LAG9
        
          
        
        6000000.00000000
        PA
        USD
        5801622.00000000
        0.413984324183
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-18
          Floating
          3.01380000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83404KAE3
        
          
        
        1000000.00000000
        PA
        USD
        992801.40000000
        0.070842984363
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-11-26
          Fixed
          4.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46653QCH6
        
          
        
        1489822.40000000
        PA
        USD
        1263313.68000000
        0.090145835086
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          3.17035000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch
        N/A
        
        05526VAL9
        
          
        
        690000.00000000
        PA
        USD
        672828.45000000
        0.048010785805
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        549300EJIXF1G1X7PN20
        
        20268MAD8
        
          
        
        24211.53000000
        PA
        USD
        23929.77000000
        0.001707548278
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-09-25
          Fixed
          4.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        
        20049AAJ7
        
          
        
        1820000.00000000
        PA
        USD
        1639714.62000000
        0.117004546110
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-10
          Variable
          3.63268900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Opportunity Master Fun
        N/A
        
        07336JCL0
        
          
        
        1982662.84000000
        PA
        USD
        1803421.59000000
        0.128686127457
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-25
          Variable
          3.49784000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Wholesale Mortgage LLC
        N/A
        
        918307BH1
        
          
        
        1490061.31000000
        PA
        USD
        1336155.56000000
        0.095343587795
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-12-25
          Variable
          3.23365100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46591TBG8
        
          
        
        376513.59000000
        PA
        USD
        373580.59000000
        0.026657460289
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493005RUXPCBST1N217
        
        35563XAH5
        
          
        
        3600000.00000000
        PA
        USD
        3595654.44000000
        0.256573863885
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Floating
          2.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aqua Finance Trust
        N/A
        
        03842VAB3
        
          
        
        5800000.00000000
        PA
        USD
        5338625.08000000
        0.380946413918
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-07-17
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        549300YJIXJB9DCDOI21
        
        12626BBA1
        
          
        
        1230000.00000000
        PA
        USD
        1114160.08000000
        0.079502733502
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-10
          Variable
          4.90058000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        5493006021R83VCLAO08
        
        95001NAZ1
        
          
        
        15008193.69000000
        PA
        USD
        617132.42000000
        0.044036503554
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-06-15
          Variable
          0.79741600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture XXI CLO
        5493001C8B2BF8JNTO68
        
        92330MAS8
        
          
        
        5412500.00000000
        PA
        USD
        5328027.11000000
        0.380190178257
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-07-15
          Floating
          3.04129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08162YAP7
        
          
        
        14907500.00000000
        PA
        USD
        1227972.52000000
        0.087624008218
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-12-15
          Variable
          1.27473400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applebees/IHOP Funding LLC
        N/A
        
        03789XAE8
        
          
        
        1089000.00000000
        PA
        USD
        1089527.40000000
        0.077745027919
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-06-05
          Fixed
          4.72300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        
        33849NAP0
        
          
        
        2002274.47000000
        PA
        USD
        1991243.34000000
        0.142088458778
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-25
          Variable
          4.50024300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300W2612MGSLICQ35
        
        57109MAC5
        
          
        
        5886719.62000000
        PA
        USD
        5890361.14000000
        0.420316452147
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-09-17
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30296CAJ2
        
          
        
        79492019.00000000
        PA
        USD
        57950039.57000000
        4.135120827897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08160JAY3
        
          
        
        1350000.00000000
        PA
        USD
        1136031.48000000
        0.081063403389
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        
        86359SAD6
        
          
          
        
        172358.35000000
        PA
        USD
        170045.89000000
        0.012133905458
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.79657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.G. Wentworth XLI LLC
        N/A
        
        46651TAB7
        
          
        
        650000.00000000
        PA
        USD
        688875.66000000
        0.049155860990
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2074-10-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92937FAY7
        
          
        
        2020000.00000000
        PA
        USD
        1791084.51000000
        0.127805794729
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46628YAT7
        
          
        
        478329.22000000
        PA
        USD
        331242.03000000
        0.023636322382
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        
        63935BAA1
        
          
        
        415521.26000000
        PA
        USD
        402577.73000000
        0.028726599127
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-01-15
          Fixed
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co.,
        N/A
        
        36418WAG4
        
          
        
        89181.25000000
        PA
        USD
        89636.06000000
        0.006396129172
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-02-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        
        83405XAD6
        
          
        
        1100000.00000000
        PA
        USD
        1102730.86000000
        0.078687182624
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-25
          Fixed
          4.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46651WAJ3
        
          
        
        1330000.00000000
        PA
        USD
        1174276.29000000
        0.083792425001
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-12-05
          Variable
          3.86147000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate
        N/A
        
        12529TAC7
        
          
        
        1250000.00000000
        PA
        USD
        995382.13000000
        0.071027136616
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-01-15
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        254900XGNUOV0Y3IBA68
        
        26252YAE5
        
          
        
        2100000.00000000
        PA
        USD
        1992755.10000000
        0.142196332911
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-05-20
          Floating
          6.34957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LSTAR Commercial Mortgage Trus
        N/A
        
        50219QAS3
        
          
        
        13000000.00000000
        PA
        USD
        10024006.20000000
        0.715279525677
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-03-10
          Variable
          4.58511500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receiva
        N/A
        
        03066NAG9
        
          
        
        3750000.00000000
        PA
        USD
        3735554.25000000
        0.266556645992
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-18
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIMA Capital LTD
        N/A
        
        74166QAE7
        
          
        
        2170000.00000000
        PA
        USD
        2069615.58000000
        0.147680839462
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46648UAZ7
        
          
        
        1362395.51000000
        PA
        USD
        1340850.59000000
        0.095678609418
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-11-25
          Variable
          3.89168800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DRB PRIME STUDENT LOAN TRUST
        N/A
        
        23342KAD6
        
          
        
        597694.33000000
        PA
        USD
        598322.98000000
        0.042694324883
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-05-27
          Variable
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELFI Graduate Loan Program
        N/A
        
        268571AC0
        
          
        
        168808.62000000
        PA
        USD
        169185.27000000
        0.012072494495
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        
        95003DBP2
        
          
        
        20731211.39000000
        PA
        USD
        2201633.92000000
        0.157101226255
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-08-15
          Variable
          1.55487700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        
        143120AG8
        
          
        
        5800000.00000000
        PA
        USD
        5744673.80000000
        0.409920691273
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          3.33666000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        
        61946FAA3
        
          
        
        1206785.92000000
        PA
        USD
        1209695.84000000
        0.086319845517
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-06-22
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RCKT Mortgage Trust 2020-1
        N/A
        
        749389BH4
        
          
        
        1938918.48000000
        PA
        USD
        1855334.81000000
        0.132390481050
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          3.48753800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12555DAA3
        
          
        
        77252.86000000
        PA
        USD
        77633.98000000
        0.005539700922
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754CAB5
        
          
        
        887609.71000000
        PA
        USD
        887264.61000000
        0.063312232327
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.50657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        N/A
        
        26982AAC8
        
          
        
        1000000.00000000
        PA
        USD
        953035.30000000
        0.068005408589
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-04-25
          Floating
          3.54900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46644MAM8
        
          
        
        866533.59000000
        PA
        USD
        861146.70000000
        0.061448545703
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-25
          Variable
          3.59758200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459TAE6
        
          
        
        6557000.00000000
        PA
        USD
        5453645.74000000
        0.389153903168
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459TCA2
        
          
        
        4526000.00000000
        PA
        USD
        2983754.19000000
        0.212910710466
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        549300RC6OGKQI1MHM67
        
        78471CAC3
        
          
        
        1250000.00000000
        PA
        USD
        1252583.50000000
        0.089380165362
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-09-25
          Fixed
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        35564KSJ9
        
          
        
        6250000.00000000
        PA
        USD
        5841398.75000000
        0.416822659905
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-02-25
          Floating
          4.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46591FAY0
        
          
        
        3193956.19000000
        PA
        USD
        3196942.54000000
        0.228123117444
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          4.48220700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36248GAV2
        
          
        
        500000.00000000
        PA
        USD
        317345.00000000
        0.022644676843
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-11-10
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        
        17313QAL2
        
          
          
        
        242152.93000000
        PA
        USD
        229324.88000000
        0.016363855739
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          3.18454600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        
        95002VBJ7
        
          
        
        1056078.91000000
        PA
        USD
        978584.79000000
        0.069828534665
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-25
          Variable
          3.17860400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade Funding Mortgage Trust
        N/A
        
        12529YBY7
        
          
        
        5600000.00000000
        PA
        USD
        3732116.64000000
        0.266311349650
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-08-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651XAQ5
        
          
        
        430106.44000000
        PA
        USD
        417427.63000000
        0.029786238279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Alternative Loan T
        N/A
        
        94985GAH9
        
          
        
        138715.25000000
        PA
        USD
        130676.62000000
        0.009324646145
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137FTBP1
        
          
        
        14784517.57050000
        PA
        USD
        1665594.18000000
        0.118851224876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-25
          Variable
          1.69025800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46649TAZ9
        
          
        
        1475741.05000000
        PA
        USD
        1444358.97000000
        0.103064620906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-25
          Variable
          3.72474800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        137.00000000
        NC
        USD
        -683934.63000000
        -0.04880328563
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            24950059.63000000
            USD
            -683934.63000000
          
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co.,
        N/A
        
        36418GBA1
        
          
        
        850831.37000000
        PA
        USD
        854978.32000000
        0.061008390756
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-10-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81746LCD2
        
          
        
        272951.41000000
        PA
        USD
        260501.77000000
        0.018588534241
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-07-25
          Variable
          3.72199300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08163GAZ3
        
          
        
        4977841.46000000
        PA
        USD
        440449.87000000
        0.031429028256
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-08-15
          Variable
          1.28937800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Lt
        N/A
        
        08186PAS2
        
          
        
        5000000.00000000
        PA
        USD
        4963470.00000000
        0.354176603293
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          3.64129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46630RBB6
        
          
        
        967436.86000000
        PA
        USD
        540347.25000000
        0.038557370872
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        
        262487AG6
        
          
        
        5000000.00000000
        PA
        USD
        4851255.00000000
        0.346169316549
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-08-20
          Floating
          3.37957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFRA Trust
        N/A
        
        552732AD1
        
          
        
        3489000.00000000
        PA
        USD
        3188663.04000000
        0.227532320041
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-11-25
          Variable
          3.19900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Funding Mortgage Tru
        N/A
        
        743874AY5
        
          
        
        1144616.01000000
        PA
        USD
        1089366.77000000
        0.077733565900
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          3.29069000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36192KAC1
        
          
          
        
        2000000.00000000
        PA
        USD
        1940036.40000000
        0.138434502962
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-10
          Variable
          5.56090900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        12669F6Z1
        
          
          
        
        251487.51000000
        PA
        USD
        250617.64000000
        0.017883235812
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Variable
          2.69568700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivabl
        N/A
        
        80287EAF2
        
          
        
        4550000.00000000
        PA
        USD
        4360504.79000000
        0.311151024418
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        
        45661EAF1
        
          
        
        2711338.72000000
        PA
        USD
        2147079.58000000
        0.153208411181
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-25
          Floating
          0.87657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        
        61946GAA1
        
          
          
        
        811254.72000000
        PA
        USD
        802801.28000000
        0.057285211851
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-06-22
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46592ABT0
        
          
        
        1436150.89000000
        PA
        USD
        1365268.23000000
        0.097420970467
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-25
          Variable
          3.86582500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30295DAU6
        
          
        
        12250292.07000000
        PA
        USD
        44283.58000000
        0.003159928023
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08163DAG2
        
          
        
        34628686.04000000
        PA
        USD
        2622742.05000000
        0.187150092694
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-04-15
          Variable
          1.10836800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -154.00000000
        NC
        USD
        598012.15000000
        0.042672145095
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -21460199.65000000
            USD
            598012.15000000
          
        
        
          N
          N
          N
        
      
      
        Sonic Capital LLC
        N/A
        
        83546DAG3
        
          
        
        3346166.73000000
        PA
        USD
        3280432.29000000
        0.234080666511
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.84500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        N/A
        
        20267UAC3
        
          
        
        373120.41000000
        PA
        USD
        374946.16000000
        0.026754902793
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-10-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92938GAQ1
        
          
        
        320000.00000000
        PA
        USD
        290100.32000000
        0.020700587684
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Helios Issuer, LLC
        N/A
        
        86746CAA9
        
          
        
        1604220.57000000
        PA
        USD
        1452163.24000000
        0.103621507487
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-06-20
          Fixed
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMD2 Re-REMIC Trust
        N/A
        
        055631EU5
        
          
        
        6580000.00000000
        PA
        USD
        4694524.03000000
        0.334985519208
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06541FAL3
        
          
        
        5680000.00000000
        PA
        USD
        4131411.62000000
        0.294803702728
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aqua Finance Trust
        N/A
        
        038370AA0
        
          
        
        1268960.38000000
        PA
        USD
        1255636.42000000
        0.089598011513
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-07-16
          Fixed
          3.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TBW Mortgage Backed Pass Throu
        N/A
        
        87222PAU7
        
          
        
        3993655.87000000
        PA
        USD
        1453906.39000000
        0.103745892836
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Variable
          6.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        
        17307G6K9
        
          
        
        270506.61000000
        PA
        USD
        232477.55000000
        0.016588819717
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Variable
          2.77174600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        364614AQ0
        
          
        
        5000000.00000000
        PA
        USD
        3677811.50000000
        0.262436316654
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        
        17330BDN7
        
          
        
        1530066.27000000
        PA
        USD
        1359607.40000000
        0.097017032589
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-25
          Variable
          2.85863000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46652FBU3
        
          
        
        1494104.03000000
        PA
        USD
        1428761.33000000
        0.101951625531
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-25
          Variable
          3.67972200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        81.00000000
        NC
        USD
        -21874.68000000
        -0.00156090393
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            12176937.18000000
            USD
            -21874.68000000
          
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08161HAN0
        
          
        
        8000000.00000000
        PA
        USD
        725891.20000000
        0.051797166010
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-15
          Variable
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCW CLO 2017-1, Ltd
        N/A
        
        87240NBC9
        
          
        
        2000000.00000000
        PA
        USD
        2008220.00000000
        0.143299856404
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-29
          Floating
          3.96900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        78490DAC8
        
          
        
        2000000.00000000
        PA
        USD
        2012182.20000000
        0.143582585732
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-01-25
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KJP5
        
          
        
        3100000.00000000
        PA
        USD
        2913581.50000000
        0.207903422220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-09-25
          Floating
          2.19900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trafigura Securitisation Finan
        N/A
        
        892725AU6
        
          
        
        2450000.00000000
        PA
        USD
        2348084.90000000
        0.167551477923
        Long
        ABS-O
        CORP
        IE
        
        N
        
        2
        
          2025-01-15
          Fixed
          1.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        
        26251HAA1
        
          
        
        4400000.00000000
        PA
        USD
        4282572.80000000
        0.305590058499
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-11-20
          Floating
          6.63175000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459TAC0
        
          
        
        7374672.00000000
        PA
        USD
        6672114.28000000
        0.476099739190
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          2.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        N/A
        
        3622EQAA3
        
          
          
        
        966998.69000000
        PA
        USD
        361558.10000000
        0.025799575649
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Floating
          0.61657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRR Re-Remic Trust
        N/A
        
        30307WAE6
        
          
          
        
        3326000.00000000
        PA
        USD
        3135851.91000000
        0.223763894597
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-10-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92938GAN8
        
          
          
        
        7140000.00000000
        PA
        USD
        6924595.48000000
        0.494115952406
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-15
          Variable
          5.03192100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        
        17322AAP7
        
          
        
        2810000.00000000
        PA
        USD
        2704059.35000000
        0.192952623001
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-10
          Variable
          4.59143700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        61690YAC6
        
          
        
        1590000.00000000
        PA
        USD
        1308250.09000000
        0.093352346873
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651GAR0
        
          
        
        508879.31000000
        PA
        USD
        506755.86000000
        0.036160401733
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dewolf Park clo, ltd
        N/A
        
        25211AAL3
        
          
        
        2000000.00000000
        PA
        USD
        1958998.00000000
        0.139787539261
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-10-15
          Floating
          3.09129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        
        46643TAE2
        
          
        
        34428000.00000000
        PA
        USD
        376394.44000000
        0.026858247205
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-01-15
          Variable
          0.37744800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trus
        N/A
        
        12595JAY0
        
          
        
        16406000.00000000
        PA
        USD
        710893.31000000
        0.050726966787
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-15
          Variable
          0.75466700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83401BAC0
        
          
        
        4000000.00000000
        PA
        USD
        3984881.20000000
        0.284347782487
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-01-25
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wind River CLO Ltd
        549300AMLFWC1VCUN251
        
        88432CBD7
        
          
        
        2000000.00000000
        PA
        USD
        1945290.00000000
        0.138809382271
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-18
          Floating
          2.19129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20753VCZ9
        
          
        
        5100000.00000000
        PA
        USD
        5088623.43000000
        0.363107133090
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-02-25
          Floating
          4.10657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential
        N/A
        
        85573EAD9
        
          
        
        2500000.00000000
        PA
        USD
        2458655.00000000
        0.175441390110
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-11-25
          Fixed
          2.50100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        15.00000000
        NC
        USD
        -41278.80000000
        -0.00294551698
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            1761591.30000000
            USD
            -41278.80000000
          
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        
        63942GAB9
        
          
        
        850000.00000000
        PA
        USD
        762094.45000000
        0.054380508734
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2070-02-18
          Fixed
          2.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        N/A
        
        69702AAA1
        
          
        
        3800000.00000000
        PA
        USD
        3711372.60000000
        0.264831124400
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-15
          Floating
          6.59129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36252SAX5
        
          
        
        6309297.46000000
        PA
        USD
        334809.18000000
        0.023890862264
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-02-10
          Variable
          0.95535700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137FTZM2
        
          
        
        3389918.74600000
        PA
        USD
        474737.78000000
        0.033875698730
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-25
          Variable
          1.51201300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applebees/IHOP Funding LLC
        N/A
        
        03789XAD0
        
          
        
        2425500.00000000
        PA
        USD
        2416049.77000000
        0.172401223524
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-06-05
          Fixed
          4.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20753VBE7
        
          
        
        3900000.00000000
        PA
        USD
        3827315.70000000
        0.273104435880
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-02-25
          Floating
          4.10657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DCG4
        
          
        
        3310000.00000000
        PA
        USD
        2586700.79000000
        0.184578309033
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-27
          Fixed
          1.41113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92890NAA7
        
          
        
        33977312.39000000
        PA
        USD
        149748.21000000
        0.010685530962
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-15
          Variable
          1.47889000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08163BBF7
        
          
        
        15960015.61000000
        PA
        USD
        1669601.17000000
        0.119137150269
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-01-15
          Variable
          1.51930300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        
        67112VBB0
        
          
        
        188339.83000000
        PA
        USD
        187910.21000000
        0.013408643530
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-27
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46649YBJ3
        
          
        
        928776.25000000
        PA
        USD
        892625.03000000
        0.063694733954
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-25
          Variable
          4.26339700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receiva
        N/A
        
        03066EAG9
        
          
        
        2350000.00000000
        PA
        USD
        2298175.22000000
        0.163990090238
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-18
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83401AAC2
        
          
        
        2100000.00000000
        PA
        USD
        2074384.20000000
        0.148021112222
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-02-25
          Fixed
          4.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        302947AJ5
        
          
        
        16828000.00000000
        PA
        USD
        12314469.57000000
        0.878719324115
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36258FAT6
        
          
        
        2148693.85000000
        PA
        USD
        2037791.60000000
        0.145409986785
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-25
          Variable
          3.66887000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receiva
        N/A
        
        03066GAF6
        
          
        
        2020000.00000000
        PA
        USD
        2036230.30000000
        0.145298577643
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-02-18
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DAS0
        
          
        
        6762000.00000000
        PA
        USD
        5444047.66000000
        0.388469016310
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bojangles Issuer, LLC
        N/A
        
        09748RAA6
        
          
        
        4600000.00000000
        PA
        USD
        4515404.16000000
        0.322204124914
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-10-20
          Fixed
          3.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Series RR Trust
        5493009NOM6OPSHLLP64
        
        81753RAQ2
        
          
        
        9066000.00000000
        PA
        USD
        8131786.78000000
        0.580257082333
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137F82T9
        
          
        
        24694000.72000000
        PA
        USD
        1518700.80000000
        0.108369405025
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-25
          Variable
          0.88239200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arbys Funding LLC
        N/A
        
        038779AB0
        
          
        
        2807250.00000000
        PA
        USD
        2691282.22000000
        0.192040889777
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-07-30
          Fixed
          3.23700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominos Pizza Master Issuer LL
        N/A
        
        25755TAL4
        
          
        
        1323000.00000000
        PA
        USD
        1272773.76000000
        0.090820874726
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-10-25
          Fixed
          3.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Wholesale Mortgage LLC
        N/A
        
        90355DBJ1
        
          
        
        4868840.22000000
        PA
        USD
        4331630.89000000
        0.309090679573
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-25
          Variable
          3.24694000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459TAS5
        
          
        
        5331000.00000000
        PA
        USD
        4266815.12000000
        0.304465643206
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12667FP41
        
          
        
        433272.25000000
        PA
        USD
        407679.85000000
        0.029090669331
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-25
          Floating
          0.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        
        29429EAQ4
        
          
        
        2010000.00000000
        PA
        USD
        1153448.55000000
        0.082306227198
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-10
          Variable
          4.69364700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        arbor multifamily mortgage sec
        N/A
        
        03882KBA9
        
          
        
        2580000.00000000
        PA
        USD
        2009143.52000000
        0.143365755699
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06540WBH5
        
          
        
        11033240.72000000
        PA
        USD
        631485.33000000
        0.045060679163
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-15
          Variable
          0.95385700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Homes 4 Rent
        N/A
        
        02666AAG3
        
          
        
        1050537.70010000
        PA
        USD
        0.00000000
        0.000000
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2052-04-17
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        
        29429EAN1
        
          
        
        4231000.00000000
        PA
        USD
        2904755.39000000
        0.207273620557
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-10
          Variable
          4.69364700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        05608RAQ8
        
          
        
        6000000.00000000
        PA
        USD
        5797205.40000000
        0.413669170392
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          3.53910000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06540RAU8
        
          
        
        4000000.00000000
        PA
        USD
        3276888.80000000
        0.233827814926
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-11-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        549300TSTBCBQ5EBD390
        
        00842EAU5
        
          
        
        1362150.21000000
        PA
        USD
        1360267.72000000
        0.097064150813
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-25
          Variable
          3.76581800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shellpoint Co-Originator Trust
        N/A
        
        82281FCD4
        
          
        
        1348280.03000000
        PA
        USD
        1347482.12000000
        0.096151813199
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-25
          Variable
          3.66462800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fontainebleau Miami Beach Trus
        N/A
        
        34461LAS3
        
          
        
        6300000.00000000
        PA
        USD
        5781046.95000000
        0.412516157493
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-10
          Variable
          3.96287300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30298CAQ4
        
          
        
        3260000.00000000
        PA
        USD
        16172.86000000
        0.001154041148
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-05-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        35564KRF8
        
          
        
        5000000.00000000
        PA
        USD
        4872238.00000000
        0.347666593185
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-02-25
          Floating
          2.49900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        
        07389NAA3
        
          
        
        212771.18000000
        PA
        USD
        211393.83000000
        0.015084356038
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Variable
          3.00607400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCW Gem Ltd
        N/A
        
        87190CBE9
        
          
        
        6000000.00000000
        PA
        USD
        5928522.00000000
        0.423039483368
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          3.65400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        
        61946NAB4
        
          
        
        1555054.33000000
        PA
        USD
        1494815.41000000
        0.106665023555
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-04-20
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        
        25157TAA2
        
          
        
        351916.29000000
        PA
        USD
        351986.46000000
        0.025116575461
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-27
          Variable
          3.08479000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        
        39152TAN0
        
          
        
        1400000.00000000
        PA
        USD
        1345832.32000000
        0.096034088994
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          3.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754HAD0
        
          
        
        1000000.00000000
        PA
        USD
        999477.50000000
        0.071319368510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-07-25
          Floating
          4.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300TT7IR66ASPWY89
        
        83609NAW0
        
          
        
        4500000.00000000
        PA
        USD
        4500319.50000000
        0.321127734074
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-01-23
          Floating
          3.90886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        
        91679JAA5
        
          
        
        1982707.22000000
        PA
        USD
        1896769.35000000
        0.135347111116
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-11-20
          Fixed
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nyack Park CLO, Ltd.
        N/A
        
        67080PAL0
        
          
        
        3000000.00000000
        PA
        USD
        2909283.00000000
        0.207596695650
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-20
          Floating
          2.92375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        302947AC0
        
          
        
        218008797.00000000
        PA
        USD
        837306.39000000
        0.059747380990
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        
        12655TAY5
        
          
        
        5530000.00000000
        PA
        USD
        5064925.34000000
        0.361416116720
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-08-15
          Variable
          3.40005700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754LAF6
        
          
        
        3500000.00000000
        PA
        USD
        3258583.30000000
        0.232521595727
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          3.24900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        
        33851YBD7
        
          
        
        4815700.53000000
        PA
        USD
        4647372.05000000
        0.331620911763
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          4.24189000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMRF Mortgage Acquisition Co.,
        N/A
        
        36418WBX6
        
          
        
        960637.59000000
        PA
        USD
        947215.75000000
        0.067590144983
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-02-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        465964BH6
        
          
        
        1099432.07000000
        PA
        USD
        1093686.77000000
        0.078041826638
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2049-04-25
          Variable
          4.54934000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        05609TAL4
        
          
        
        500000.00000000
        PA
        USD
        490940.10000000
        0.035031842045
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-01-15
          Floating
          3.60016000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12667GYX5
        
          
          
        
        317885.47000000
        PA
        USD
        301121.75000000
        0.021487040033
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Floating
          1.01657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08162XBJ2
        
          
        
        7257161.59000000
        PA
        USD
        691299.07000000
        0.049328787415
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-10-15
          Variable
          1.62223800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81746KCC6
        
          
        
        2006088.38000000
        PA
        USD
        1950295.45000000
        0.139166554426
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-02-25
          Variable
          3.57680100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748TCF8
        
          
        
        2526963.74000000
        PA
        USD
        2229827.68000000
        0.159113038586
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-25
          Variable
          2.87162700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Galaxy CLO Ltd
        5493001X8XC4DMSYH466
        
        36319TAU0
        
          
        
        4500000.00000000
        PA
        USD
        4462263.00000000
        0.318412149633
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-24
          Floating
          3.65886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46647SCQ1
        
          
        
        873233.18000000
        PA
        USD
        864114.09000000
        0.061660288720
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-25
          Variable
          3.76879900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81746YCD4
        
          
        
        1393279.76000000
        PA
        USD
        1347445.73000000
        0.096149216530
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-06-25
          Variable
          4.26194100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        
        90276YAF0
        
          
        
        16421898.11000000
        PA
        USD
        1307317.75000000
        0.093285818212
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-04-15
          Variable
          1.54874800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651BAZ3
        
          
        
        1902435.91000000
        PA
        USD
        1905000.96000000
        0.135934491249
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          4.25550400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        549300E92LV3L3L4EW68
        
        78470RAE7
        
          
        
        3265000.00000000
        PA
        USD
        3294677.54000000
        0.235097159863
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-10-25
          Variable
          4.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650HAC2
        
          
        
        164185.93000000
        PA
        USD
        164707.68000000
        0.011752988662
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DAJ0
        
          
        
        1295000.00000000
        PA
        USD
        1232911.87000000
        0.087976463699
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459TAQ9
        
          
        
        5334000.00000000
        PA
        USD
        4590201.44000000
        0.327541408420
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          1.07930000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30298CAU5
        
          
        
        2300000.00000000
        PA
        USD
        1406952.32000000
        0.100395407586
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46591DAY5
        
          
        
        1652477.26000000
        PA
        USD
        1646989.71000000
        0.117523672178
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-25
          Variable
          5.01544900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651ABB7
        
          
        
        1904264.60000000
        PA
        USD
        1894876.39000000
        0.135212035828
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          4.74455900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receiva
        N/A
        
        03066KAH3
        
          
        
        1800000.00000000
        PA
        USD
        1794879.72000000
        0.128076608209
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-18
          Fixed
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        549300IG6PHVJ3WBR394
        
        03767VAQ1
        
          
        
        3500000.00000000
        PA
        USD
        3426489.50000000
        0.244502820069
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.34129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748ACE2
        
          
        
        1943924.33000000
        PA
        USD
        1781899.60000000
        0.127150390299
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-04-25
          Variable
          3.32602000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651BAY6
        
          
        
        951217.96000000
        PA
        USD
        932424.08000000
        0.066534660929
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          4.25550400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12667FTE5
        
          
        
        619279.17000000
        PA
        USD
        617814.64000000
        0.044085184489
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.47657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MBRT 2019 MBR
        N/A
        
        55282DAQ7
        
          
        
        9000000.00000000
        PA
        USD
        8768526.30000000
        0.625692682906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-15
          Floating
          3.54700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92938GAS7
        
          
        
        1250000.00000000
        PA
        USD
        1000471.38000000
        0.071390288459
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        
        863579MS4
        
          
          
        
        86060.37000000
        PA
        USD
        84141.83000000
        0.006004079312
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Variable
          2.49251400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DBG5
        
          
        
        3094000.00000000
        PA
        USD
        2716590.48000000
        0.193846802488
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        
        92939LAJ5
        
          
        
        1000000.00000000
        PA
        USD
        964065.80000000
        0.068792508143
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-11-15
          Variable
          4.31077500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650PAC4
        
          
        
        5122.76000000
        PA
        USD
        5120.19000000
        0.000365359617
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-06-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46651WAL8
        
          
        
        1360000.00000000
        PA
        USD
        1160177.51000000
        0.082786383258
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-12-05
          Variable
          3.86147000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.G. Wentworth XLII LLC
        N/A
        
        46590UAB8
        
          
        
        750000.00000000
        PA
        USD
        767445.60000000
        0.054762348885
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2077-10-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06539WAA4
        
          
        
        1650000.00000000
        PA
        USD
        1314626.28000000
        0.093807330446
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2063-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36263TBJ0
        
          
        
        993599.71000000
        PA
        USD
        894557.59000000
        0.063832634966
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-04-25
          Variable
          3.39504000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        
        83405BAD4
        
          
        
        600000.00000000
        PA
        USD
        598166.28000000
        0.042683143295
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-08-25
          Fixed
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        
        23306NAL6
        
          
        
        1000000.00000000
        PA
        USD
        856572.70000000
        0.061122160375
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-10
          Variable
          3.42161000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46591KBE2
        
          
        
        485353.01000000
        PA
        USD
        484933.71000000
        0.034603246162
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        302947AA4
        
          
        
        824145595.17000000
        PA
        USD
        3041509.32000000
        0.217031923199
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748JAU9
        
          
        
        400042.70000000
        PA
        USD
        384983.29000000
        0.027471118789
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46591FAZ7
        
          
        
        1962907.04000000
        PA
        USD
        1962878.97000000
        0.140064472288
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          4.48220700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        549300AT2084FJB5UN46
        
        61748HLP4
        
          
        
        900000.00000000
        PA
        USD
        915378.48000000
        0.065318343976
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          2.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCRR Trust
        N/A
        
        81753WAJ7
        
          
        
        7268111.95000000
        PA
        USD
        6497593.96000000
        0.463646553386
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-05-26
          Floating
          2.03964800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        N/A
        
        20267TAC6
        
          
        
        138836.72000000
        PA
        USD
        130992.88000000
        0.009347213399
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-05-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        
        75279YAC5
        
          
        
        2900000.00000000
        PA
        USD
        2735683.97000000
        0.195209250016
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2033-12-27
          Floating
          2.79900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651DAC0
        
          
        
        231537.05000000
        PA
        USD
        231112.43000000
        0.016491409323
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46591LBW0
        
          
        
        3361717.75000000
        PA
        USD
        3263890.75000000
        0.232900317591
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-25
          Variable
          4.40939000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        
        93936FAC4
        
          
          
        
        548622.07000000
        PA
        USD
        556709.42000000
        0.039724920548
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-25
          Floating
          0.68657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNRUN CALLISTO ISSUER LLC
        N/A
        
        86772FAA9
        
          
        
        3432424.72000000
        PA
        USD
        3372913.00000000
        0.240679780384
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-02-01
          Fixed
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        549300VCB8LYR1RGV869
        
        26244QAU7
        
          
        
        6000000.00000000
        PA
        USD
        6000492.00000000
        0.428175021638
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-18
          Floating
          3.64129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08160BAN4
        
          
        
        18964000.00000000
        PA
        USD
        1450063.30000000
        0.103471662799
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-15
          Variable
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        arbor multifamily mortgage sec
        N/A
        
        03882KBC5
        
          
        
        5649000.00000000
        PA
        USD
        4142565.92000000
        0.295599636235
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Betony CLO 2, Ltd.
        5493000QRX4XEMRJZO43
        
        08763QAE2
        
          
        
        1700000.00000000
        PA
        USD
        1659611.40000000
        0.118424313724
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-30
          Floating
          2.14900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMD2 Re-REMIC Trust
        N/A
        
        055631HH1
        
          
        
        8425000.00000000
        PA
        USD
        6861442.16000000
        0.489609542905
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.52108800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        
        33851LAP9
        
          
        
        1415209.06000000
        PA
        USD
        1401884.30000000
        0.100033770645
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-07-25
          Variable
          4.24484500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12668AX59
        
          
        
        240796.23000000
        PA
        USD
        200940.70000000
        0.014338455675
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        302962AE5
        
          
        
        914159.17000000
        PA
        USD
        919254.33000000
        0.065594911657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-25
          Floating
          4.74143000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36258FAD1
        
          
        
        317529.33000000
        PA
        USD
        315702.74000000
        0.022527490667
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36257LAA5
        
          
        
        124305.31000000
        PA
        USD
        124600.91000000
        0.008891103818
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Five Guys Funding, LLC
        549300LV8X8T05G1H175
        
        33830JAA3
        
          
          
        
        1488750.00000000
        PA
        USD
        1477017.61000000
        0.105395032127
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-07-25
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DCS8
        
          
        
        3856000.00000000
        PA
        USD
        2601209.79000000
        0.185613622702
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651YBT6
        
          
        
        2471211.37000000
        PA
        USD
        2360854.98000000
        0.168462708082
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-25
          Variable
          3.44045600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        
        14316WAG4
        
          
        
        5000000.00000000
        PA
        USD
        4915830.00000000
        0.350777172375
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-10-15
          Floating
          3.34129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        
        33852AAR8
        
          
        
        365956.91000000
        PA
        USD
        364738.57000000
        0.026026523342
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        
        17322AAX0
        
          
        
        44693343.29000000
        PA
        USD
        1160578.86000000
        0.082815022250
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-10
          Variable
          1.42643700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12647VAZ8
        
          
        
        273848.83000000
        PA
        USD
        274209.82000000
        0.019566694799
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-10-25
          Variable
          3.62649100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92922FW46
        
          
        
        694061.72000000
        PA
        USD
        688549.69000000
        0.049132600862
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Variable
          2.94261500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Laurel Road Prime Student Loan
        549300XLHGW4YH0MCQ51
        
        51888RAC4
        
          
        
        464224.91000000
        PA
        USD
        464763.78000000
        0.033163987479
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-05-26
          Fixed
          3.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        549300NWD6NYUKJT1J26
        
        03769LAJ7
        
          
        
        6500000.00000000
        PA
        USD
        6308321.50000000
        0.450140704256
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          3.15400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08162MAZ1
        
          
        
        12520537.46000000
        PA
        USD
        889770.74000000
        0.063491061375
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-03-15
          Variable
          1.41790400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81743ACD9
        
          
        
        472399.09000000
        PA
        USD
        454599.80000000
        0.032438719891
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          3.73797900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46649YBH7
        
          
        
        926880.97000000
        PA
        USD
        893274.21000000
        0.063741057265
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-25
          Variable
          4.26339700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        
        17327GAA2
        
          
        
        2240000.00000000
        PA
        USD
        2172386.27000000
        0.155014211862
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-10
          Variable
          5.06539200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        N/A
        
        36298YAC4
        
          
          
        
        2537099.13000000
        PA
        USD
        1045885.37000000
        0.074630878756
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pagaya AI Debt Selection Trust
        N/A
        
        69546MAB3
        
          
        
        3850000.00000000
        PA
        USD
        3664429.62000000
        0.261481430495
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          3.34400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sunnova Sol Issuer,LLC
        N/A
        
        86745NAA6
        
          
        
        3537333.83000000
        PA
        USD
        3408231.05000000
        0.243199958200
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-02-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        
        05492VAG0
        
          
        
        39295130.29000000
        PA
        USD
        3539921.46000000
        0.252596945006
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-04-15
          Variable
          1.62625100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83404FAE4
        
          
        
        1525000.00000000
        PA
        USD
        1543550.71000000
        0.110142611414
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-03-26
          Variable
          4.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06541UCB0
        
          
        
        17948009.98000000
        PA
        USD
        1512880.84000000
        0.107954112163
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-12-15
          Variable
          1.32871400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137FTZS9
        
          
        
        9076665.07000000
        PA
        USD
        998711.81000000
        0.071264731434
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-25
          Variable
          1.69715400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650TAQ5
        
          
        
        71818.73000000
        PA
        USD
        72064.57000000
        0.005142286469
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XEP5
        
          
          
        
        2103627.47000000
        PA
        USD
        2143336.80000000
        0.152941338929
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-07-25
          Floating
          4.00657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CD Commercial Mortgage Trust
        N/A
        
        12515BAF5
        
          
        
        17739298.95000000
        PA
        USD
        1423557.45000000
        0.101580294075
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-08-15
          Variable
          1.40768500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61763KAG9
        
          
        
        5000000.00000000
        PA
        USD
        4834381.00000000
        0.344965244397
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-15
          Variable
          4.89751300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KQY8
        
          
        
        10000000.00000000
        PA
        USD
        9111930.00000000
        0.650196821346
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          3.49900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XDS0
        
          
        
        859694.26000000
        PA
        USD
        898128.27000000
        0.064087426737
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651GBF5
        
          
        
        2828433.85000000
        PA
        USD
        2705833.12000000
        0.193079193290
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          3.25969200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83401CAC8
        
          
        
        1000000.00000000
        PA
        USD
        966333.90000000
        0.068954352166
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-11-16
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61690VAG3
        
          
        
        9950000.00000000
        PA
        USD
        8496658.23000000
        0.606293087547
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Variable
          4.37592100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC0 C 04/18/2022
        N/A
        
        000000000
        
          
        
        3000000.00000000
        PA
        USD
        2998848.00000000
        0.213987754219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION RES 110106 5.31%
        N/A
        
        000000000
        
          
        
        5000000.00000000
        PA
        USD
        4999926.80000000
        0.356778038497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46644MAL0
        
          
          
        
        520589.67000000
        PA
        USD
        514033.88000000
        0.036679736876
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-25
          Variable
          3.59758200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12558RAG6
        
          
        
        500000.00000000
        PA
        USD
        486301.40000000
        0.034700839942
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-09-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36257HBR6
        
          
        
        14446256.79000000
        PA
        USD
        836087.22000000
        0.059660385100
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-10
          Variable
          1.08325600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        N/A
        
        69688JAA0
        
          
        
        4500000.00000000
        PA
        USD
        4361796.00000000
        0.311243160841
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-15
          Floating
          6.38249000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46644VBT2
        
          
        
        1389618.17000000
        PA
        USD
        1304600.08000000
        0.093091894378
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-06-25
          Variable
          3.57032400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DBJ9
        
          
        
        2064000.00000000
        PA
        USD
        1736911.32000000
        0.123940177242
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DAU5
        
          
        
        4744000.00000000
        PA
        USD
        3629892.00000000
        0.259016941551
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300NQPL9XHZ20E278
        
        92330YAW3
        
          
        
        1600000.00000000
        PA
        USD
        1557182.40000000
        0.111115323179
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          2.52129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Opportunity Master Fun
        N/A
        
        07336NCJ6
        
          
        
        2077861.45000000
        PA
        USD
        1870316.75000000
        0.133459542134
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-12-25
          Variable
          3.41957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony Static CLO Ltd
        N/A
        
        87190TAG8
        
          
        
        7000000.00000000
        PA
        USD
        6780802.00000000
        0.483855331042
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-25
          Floating
          2.87911000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        5493007CD1Q2V06I4172
        
        94989AAX3
        
          
        
        6209072.96000000
        PA
        USD
        129506.36000000
        0.009241140309
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-12-15
          Variable
          1.03400100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36263UAC3
        
          
        
        1800000.00000000
        PA
        USD
        1341752.58000000
        0.095742972405
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-12-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        
        05551VBK8
        
          
        
        6635107.56000000
        PA
        USD
        588640.87000000
        0.042003441926
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-07-15
          Variable
          1.30545300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortg
        N/A
        
        23312VAS5
        
          
        
        2630000.00000000
        PA
        USD
        2154959.41000000
        0.153770689471
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Variable
          3.48375200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        
        61946LAB8
        
          
        
        1219970.35000000
        PA
        USD
        1206051.71000000
        0.086059812599
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2044-02-22
          Fixed
          4.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KPV5
        
          
        
        6000000.00000000
        PA
        USD
        5665024.20000000
        0.404237162455
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Reremic Trust
        N/A
        
        94988DAW0
        
          
        
        3680000.00000000
        PA
        USD
        3506464.82000000
        0.250209591176
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        549300EZH20KSD9JD814
        
        94989UBK6
        
          
        
        456016.16000000
        PA
        USD
        439833.15000000
        0.031385021181
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-07-25
          Variable
          3.68090200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61761QAQ6
        
          
        
        5500000.00000000
        PA
        USD
        5177570.75000000
        0.369454116081
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-15
          Variable
          4.01725200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        
        949831AS0
        
          
        
        231192.19000000
        PA
        USD
        227163.90000000
        0.016209655441
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36263UAD1
        
          
        
        500000.00000000
        PA
        USD
        337863.00000000
        0.024108772636
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-12-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLI Funding LLC
        N/A
        
        12565KAA5
        
          
        
        3166177.41000000
        PA
        USD
        2880632.22000000
        0.205552271902
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-02-18
          Fixed
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46654WCK5
        
          
        
        1693881.22000000
        PA
        USD
        1487220.09000000
        0.106123046946
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-25
          Variable
          3.10508500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners XI
        549300QEN35HTPJ3BX33
        
        67590ABV3
        
          
        
        5000000.00000000
        PA
        USD
        4832265.00000000
        0.344814253720
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-15
          Floating
          2.34129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        549300RES143ZXEZ6T39
        
        81747CCH2
        
          
        
        1663783.52000000
        PA
        USD
        1666656.54000000
        0.118927031329
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          4.92489400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06541ABM1
        
          
        
        14908975.52000000
        PA
        USD
        1355439.07000000
        0.096719594514
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-02-15
          Variable
          1.33241600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHNGE Mortgage Trust 2022-1
        N/A
        
        17030JAA4
        
          
        
        3804955.21000000
        PA
        USD
        3716152.12000000
        0.265172174947
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-01-25
          Variable
          3.00700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        549300TSTBCBQ5EBD390
        
        00842EAW1
        
          
        
        998318.66000000
        PA
        USD
        990868.91000000
        0.070705088346
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-25
          Variable
          3.76581800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIMA Capital LTD
        N/A
        
        74166VAC0
        
          
        
        10000000.00000000
        PA
        USD
        9018270.00000000
        0.643513557286
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        
        95000YAZ8
        
          
        
        33550492.28790000
        PA
        USD
        1199285.83000000
        0.085577022052
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Variable
          0.92608600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        
        61748HSH5
        
          
        
        132612.58000000
        PA
        USD
        98732.72000000
        0.007045236377
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        
        33851HBA0
        
          
        
        917064.01000000
        PA
        USD
        903818.21000000
        0.064493441808
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-04-25
          Variable
          4.03001000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        
        59980AAC1
        
          
        
        900000.00000000
        PA
        USD
        886507.92000000
        0.063258237462
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651HBT3
        
          
        
        959582.93000000
        PA
        USD
        942587.95000000
        0.067259920667
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          4.45899100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92925GAE3
        
          
        
        379595.59000000
        PA
        USD
        361138.10000000
        0.025769605855
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Variable
          2.38816500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCSS Financing LLC
        N/A
        
        50200XAA8
        
          
        
        850308.25000000
        PA
        USD
        820310.23000000
        0.058534591910
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-12-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        364614AE7
        
          
        
        7423000.00000000
        PA
        USD
        5328950.92000000
        0.380256098246
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12553XAK9
        
          
        
        606273.70000000
        PA
        USD
        611040.22000000
        0.043601784557
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vivint Solar Financing LLC
        N/A
        
        92855HAA3
        
          
        
        2295198.11000000
        PA
        USD
        2076280.28000000
        0.148156410143
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-07-31
          Fixed
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        N/A
        
        69702EAG0
        
          
        
        4550000.00000000
        PA
        USD
        4462917.55000000
        0.318458856130
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          3.08619000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46648CAZ7
        
          
        
        3505199.10000000
        PA
        USD
        3398785.46000000
        0.242525952518
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-25
          Variable
          3.46029800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Woodward Capital Management
        N/A
        
        749357AN9
        
          
        
        131491.89000000
        PA
        USD
        130950.80000000
        0.009344210711
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tesla Auto Lease Trust
        N/A
        
        88167HAH9
        
          
        
        1500000.00000000
        PA
        USD
        1510174.20000000
        0.107760975393
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-08-20
          Fixed
          4.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        549300KDXV3I7WKXA522
        
        20268KAD2
        
          
        
        102216.08000000
        PA
        USD
        102742.06000000
        0.007331329458
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-09-25
          Fixed
          4.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46636DBC9
        
          
        
        1410000.00000000
        PA
        USD
        1315910.14000000
        0.093898942398
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-07-15
          Variable
          3.87300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        35564KND7
        
          
        
        2000000.00000000
        PA
        USD
        1900113.00000000
        0.135585702787
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        
        08163ABR3
        
          
        
        6115000.00000000
        PA
        USD
        5482863.71000000
        0.391238799696
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-07-15
          Fixed
          4.13900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merit
        N/A
        
        55293DAL5
        
          
        
        5400000.00000000
        PA
        USD
        5246207.46000000
        0.374351801936
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-01-15
          Floating
          3.56036000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81746HBE0
        
          
        
        905600.88000000
        PA
        USD
        880817.21000000
        0.062852167447
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-25
          Variable
          4.49109200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        02150DAA3
        
          
          
        
        1086863.70000000
        PA
        USD
        1027616.48000000
        0.073327271923
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-05-25
          Floating
          0.79657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650PAZ3
        
          
        
        1229411.48000000
        PA
        USD
        1213174.89000000
        0.086568098878
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-06-25
          Variable
          4.61725000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137FWHG8
        
          
        
        12581303.88000000
        PA
        USD
        1660841.57000000
        0.118512094537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-25
          Variable
          1.33023100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748GBA8
        
          
        
        1202167.68000000
        PA
        USD
        1207757.76000000
        0.086181550616
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92925VAJ9
        
          
          
        
        427718.03000000
        PA
        USD
        419860.98000000
        0.029959873989
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          3.10999300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        
        83407AAC6
        
          
        
        3200000.00000000
        PA
        USD
        3180231.04000000
        0.226930640748
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-01-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92922FPT9
        
          
          
        
        371030.20000000
        PA
        USD
        372251.85000000
        0.026562645851
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-25
          Variable
          2.63613200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        
        95002KBK8
        
          
        
        2056772.51000000
        PA
        USD
        1901767.55000000
        0.135703765936
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          3.37705100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        364614AS6
        
          
        
        8020000.00000000
        PA
        USD
        5535100.84000000
        0.394966266422
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -2758.00000000
        NC
        USD
        7536776.24000000
        0.537799122079
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            -323844901.24000000
            USD
            7536776.24000000
          
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83405FAC7
        
          
        
        5050000.00000000
        PA
        USD
        4683751.78000000
        0.334216847510
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-05-15
          Fixed
          2.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        
        599808BL5
        
          
        
        1800000.00000000
        PA
        USD
        1783619.82000000
        0.127273139439
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-09-25
          Variable
          3.61945700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46649CBE2
        
          
        
        1006592.42000000
        PA
        USD
        988020.49000000
        0.070501834630
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          3.72605600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Babson CLO Ltd
        5493000D71NBEM2WZE67
        
        06760PAQ4
        
          
        
        4500000.00000000
        PA
        USD
        4216873.50000000
        0.300901976389
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-20
          Fixed
          2.26780000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XWX8
        
          
        
        1647185.46000000
        PA
        USD
        1659738.99000000
        0.118433418119
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-05-25
          Floating
          2.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        
        81748KEG3
        
          
        
        2413293.73000000
        PA
        USD
        2311950.11000000
        0.164973020275
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.66225700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36258FAA7
        
          
        
        186781.98000000
        PA
        USD
        185707.52000000
        0.013251466945
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        02151NBV3
        
          
        
        407329.31000000
        PA
        USD
        145516.32000000
        0.010383557459
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Floating
          0.92657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61761AAL2
        
          
        
        4930763.00000000
        PA
        USD
        4887782.03000000
        0.348775763130
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61763BAJ3
        
          
        
        4880000.00000000
        PA
        USD
        2853081.26000000
        0.203586327627
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-11-15
          Fixed
          3.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650QAC2
        
          
        
        17684.54000000
        PA
        USD
        17713.02000000
        0.001263941810
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        
        17291CAG0
        
          
        
        740000.00000000
        PA
        USD
        567668.21000000
        0.040506903117
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Variable
          4.43183200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12568PCH4
        
          
        
        1276269.88000000
        PA
        USD
        1110047.21000000
        0.079209252868
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-01-25
          Variable
          2.76648000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        
        46640UAN2
        
          
        
        3550000.00000000
        PA
        USD
        3373341.71000000
        0.240710371695
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-15
          Variable
          4.88632200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35565XAH3
        
          
        
        382399.12000000
        PA
        USD
        382933.41000000
        0.027324846214
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-25
          Floating
          4.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        02147MAJ0
        
          
        
        646750.89000000
        PA
        USD
        392717.55000000
        0.028023009691
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        
        46640UAP7
        
          
        
        3580000.00000000
        PA
        USD
        3045764.12000000
        0.217335531484
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-15
          Variable
          3.86700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46650TAX0
        
          
        
        943921.85000000
        PA
        USD
        937322.70000000
        0.066884210053
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          4.49051000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        54930005PH54PMVV8351
        
        81745DAH4
        
          
        
        338192.79000000
        PA
        USD
        336976.01000000
        0.024045479999
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-07-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        
        33851YBE5
        
          
        
        2400169.03430000
        PA
        USD
        2303931.62000000
        0.164400847671
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          4.24189000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12556MCR3
        
          
        
        913419.76000000
        PA
        USD
        900716.47000000
        0.064272112025
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          3.97891500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36192KAE7
        
          
        
        5540000.00000000
        PA
        USD
        4947052.69000000
        0.353005119011
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-10
          Variable
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06539XAN4
        
          
        
        52733178.34000000
        PA
        USD
        4092716.89000000
        0.292042576331
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2063-04-15
          Variable
          1.16048300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46591KBU6
        
          
        
        2842626.63000000
        PA
        USD
        2752214.33000000
        0.196388801168
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.43815700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36263TBM3
        
          
        
        993599.72000000
        PA
        USD
        849670.34000000
        0.060629631072
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-04-25
          Variable
          3.39504000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        N/A
        
        90270RAN4
        
          
        
        1231000.00000000
        PA
        USD
        934210.58000000
        0.066662139588
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Variable
          4.46048300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36257QAA4
        
          
        
        133861.93000000
        PA
        USD
        134405.94000000
        0.009590757935
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12657LAD6
        
          
        
        1000000.00000000
        PA
        USD
        947293.70000000
        0.067595707234
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-03-25
          Variable
          2.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Mortgage Capital Accepta
        N/A
        
        585499BR6
        
          
        
        1965648.82000000
        PA
        USD
        1932920.57000000
        0.137926741154
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          4.35527000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        N/A
        
        67389JAC2
        
          
        
        3800000.00000000
        PA
        USD
        3661296.58000000
        0.261257867249
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-04-25
          Floating
          3.44900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        
        46641WAG2
        
          
        
        5845000.00000000
        PA
        USD
        5632837.61000000
        0.401940435142
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-15
          Variable
          4.65354000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        
        12557LAQ8
        
          
        
        339378.89000000
        PA
        USD
        339219.28000000
        0.024205552237
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zaxby's Funding LLC
        N/A
        
        98920MAA0
        
          
        
        6517250.00000000
        PA
        USD
        6041272.42000000
        0.431084975891
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-07-30
          Fixed
          3.23800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36257QAR7
        
          
        
        3516070.91000000
        PA
        USD
        3465400.81000000
        0.247279400890
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.98617500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        
        94989NAC1
        
          
        
        16657000.00000000
        PA
        USD
        619260.62000000
        0.044188364782
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-09-15
          Variable
          1.24897400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        
        07386HZC8
        
          
          
        
        145707.13000000
        PA
        USD
        145567.95000000
        0.010387241603
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Variable
          2.61778600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XLT9
        
          
        
        1683419.28000000
        PA
        USD
        1713745.07000000
        0.122287111195
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-11-25
          Floating
          3.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        
        17307GL89
        
          
        
        575533.83000000
        PA
        USD
        576407.26000000
        0.041130492470
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arroyo Mortgage Trust
        N/A
        
        04285AAC9
        
          
        
        1046333.22000000
        PA
        USD
        1017170.66000000
        0.072581893177
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          3.41600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        
        07386HSY8
        
          
          
        
        147219.00000000
        PA
        USD
        146471.57000000
        0.010451720901
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Variable
          2.62685900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        40.00000000
        NC
        USD
        -134143.30000000
        -0.00957201682
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            5049143.30000000
            USD
            -134143.30000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        617458BE3
        
          
        
        3650000.00000000
        PA
        USD
        292877.10000000
        0.020898729409
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2047-09-15
          Fixed
          4.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMRT
        N/A
        
        78457JAQ5
        
          
        
        10000000.00000000
        PA
        USD
        9841321.00000000
        0.702243721369
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-01-15
          Floating
          3.65200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300HMTDFWN3B2DI35
        
        64133VAG2
        
          
        
        4850000.00000000
        PA
        USD
        4686773.25000000
        0.334432449494
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-16
          Floating
          3.09129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        N/A
        
        67113CAX4
        
          
        
        435919.53000000
        PA
        USD
        433678.51000000
        0.030945846674
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92926UAA9
        
          
          
        
        271155.62000000
        PA
        USD
        267703.00000000
        0.019102389906
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Variable
          3.02987700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Figure Line of Credit Trust 20
        N/A
        
        302452AA5
        
          
        
        1220484.01000000
        PA
        USD
        1196843.36000000
        0.085402735569
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-09-25
          Variable
          4.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        
        06541KAA6
        
          
        
        9363500.00000000
        PA
        USD
        705813.14000000
        0.050364462862
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-05-15
          Variable
          1.41607400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Onslow Bay Financial LLC
        549300ELWOCL265HSB73
        
        67448QAC5
        
          
        
        98485.10000000
        PA
        USD
        97451.60000000
        0.006953819943
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-01-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        
        36459DCE9
        
          
        
        9937000.00000000
        PA
        USD
        8468873.83000000
        0.604310485775
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-27
          Fixed
          2.03788000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12646XAY8
        
          
        
        217355.46000000
        PA
        USD
        217090.81000000
        0.015490873459
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-05-25
          Variable
          3.38930000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIG CLO Ltd
        N/A
        
        00142MAJ9
        
          
        
        2000000.00000000
        PA
        USD
        1933766.00000000
        0.137987068209
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-10-25
          Floating
          3.30771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        12544TAG9
        
          
        
        371458.14000000
        PA
        USD
        243823.08000000
        0.017398398757
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triton Container Finance LLC
        N/A
        
        89680HAF9
        
          
        
        2745000.05000000
        PA
        USD
        2510726.65000000
        0.179157048737
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-03-20
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        61691NAN5
        
          
        
        2675000.00000000
        PA
        USD
        2220467.75000000
        0.158445145315
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-15
          Fixed
          2.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46650RAN6
        
          
        
        5860000.00000000
        PA
        USD
        5564045.97000000
        0.397031694001
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-05
          Variable
          5.21016700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominos Pizza Master Issuer LL
        N/A
        
        25755TAK6
        
          
        
        1867275.00000000
        PA
        USD
        1873750.34000000
        0.133704551622
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-07-25
          Fixed
          4.32800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KBS7
        
          
        
        2000000.00000000
        PA
        USD
        1924782.60000000
        0.137346042858
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        N/A
        
        00842ACE7
        
          
        
        591562.49000000
        PA
        USD
        586944.58000000
        0.041882400350
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-06-25
          Variable
          3.53517200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        549300SCHQRABPDKYY47
        
        00842TAU2
        
          
        
        634497.00000000
        PA
        USD
        633988.96000000
        0.045239329819
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-25
          Variable
          3.66941000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktree CLO Ltd
        N/A
        
        67402JAJ0
        
          
        
        3000000.00000000
        PA
        USD
        2948562.00000000
        0.210399513598
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-15
          Floating
          3.49129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Lt
        N/A
        
        08186VAL4
        
          
        
        5000000.00000000
        PA
        USD
        5005665.00000000
        0.357187497240
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-25
          Floating
          3.90771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Symphony CLO Ltd
        54930085JMJSZBQ6N270
        
        87159QCB2
        
          
        
        4200000.00000000
        PA
        USD
        4197093.60000000
        0.299490548941
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-07-14
          Floating
          3.33843000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMD2 Re-REMIC Trust
        N/A
        
        055631FB6
        
          
        
        3350000.00000000
        PA
        USD
        2551731.52000000
        0.182083018991
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XJX3
        
          
          
        
        1959384.32000000
        PA
        USD
        2002404.95000000
        0.142884913902
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-10-25
          Floating
          3.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ajax Mortgage Loan Trust
        N/A
        
        00968FAB2
        
          
        
        3000000.00000000
        PA
        USD
        3002843.10000000
        0.214272831181
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-09-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Babson CLO Ltd
        5493001QIXQNVJN0QT95
        
        06762EAG9
        
          
        
        4000000.00000000
        PA
        USD
        3858880.00000000
        0.275356758662
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-25
          Floating
          3.15771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        
        17326DAX0
        
          
        
        20655000.00000000
        PA
        USD
        1210409.85000000
        0.086370794880
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Variable
          1.26491200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35566CAH8
        
          
        
        3000000.00000000
        PA
        USD
        2964835.50000000
        0.211560736080
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-25
          Floating
          2.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92925GAA1
        
          
          
        
        705435.84000000
        PA
        USD
        686914.69000000
        0.049015932735
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Variable
          2.71586700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSMC Trust
        N/A
        
        69375BAM9
        
          
        
        309010.28000000
        PA
        USD
        309430.60000000
        0.022079931754
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12648ABA7
        
          
        
        376740.92000000
        PA
        USD
        374347.15000000
        0.026712159444
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-11-25
          Variable
          3.57901100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        West Town Mall Trust
        N/A
        
        95630LAL5
        
          
        
        2550000.00000000
        PA
        USD
        2509766.61000000
        0.179088543496
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-07-05
          Variable
          4.34653300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        
        36257QAS5
        
          
        
        3006073.88000000
        PA
        USD
        2937063.44000000
        0.209579014850
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.98617500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        
        94983PAF5
        
          
        
        69867.50000000
        PA
        USD
        68054.16000000
        0.004856117036
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-25
          Variable
          2.88478600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46651HAJ6
        
          
        
        124036.26000000
        PA
        USD
        124089.79000000
        0.008854632006
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRETE 2021-ML11 TRUST
        S6XOOCT0IEG5ABCC6L87
        
        302610AD2
        
          
        
        13867291.56600000
        PA
        USD
        882389.63000000
        0.062964370074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-03-25
          Variable
          0.66764100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300PACXK2KP6J2T91
        
        69689DAN4
        
          
        
        4750000.00000000
        PA
        USD
        4589535.50000000
        0.327493889171
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          6.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        20754KAF8
        
          
        
        1000000.00000000
        PA
        USD
        930844.30000000
        0.066421933117
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.39900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        
        00083BAC9
        
          
        
        691320.43000000
        PA
        USD
        634896.38000000
        0.045304080272
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-02-25
          Variable
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        N/A
        
        00841WBN1
        
          
        
        1401664.49000000
        PA
        USD
        1386243.10000000
        0.098917666974
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-01-25
          Variable
          3.70284200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNRUN CALLISTO ISSUER LLC
        N/A
        
        86773PAA6
        
          
        
        1725020.69000000
        PA
        USD
        1701543.68000000
        0.121416460850
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2054-06-30
          Fixed
          3.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        5493007OZE2103TZO049
        
        64132JAS4
        
          
        
        2400000.00000000
        PA
        USD
        2377101.60000000
        0.169622012497
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          2.20400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Helios Issuer, LLC
        N/A
        
        86745JAA5
        
          
        
        867503.04000000
        PA
        USD
        869513.91000000
        0.062045601798
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-07-20
          Fixed
          4.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Popular ABS Mortgage Pass-Thro
        N/A
        
        73316PHP8
        
          
          
        
        159079.30000000
        PA
        USD
        156004.60000000
        0.011131966008
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Variable
          3.54125800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        
        75970NBE6
        
          
          
        
        519091.89000000
        PA
        USD
        528621.38000000
        0.037720652043
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Variable
          5.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        
        61771MAX8
        
          
        
        40679096.86000000
        PA
        USD
        2877069.80000000
        0.205298069536
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-15
          Variable
          1.30658600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WENDYS FUNDING LLC
        5493009DRVSTWJOXUL48
        
        95058XAE8
        
          
        
        1723500.00000000
        PA
        USD
        1711418.44000000
        0.122121090667
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          3.88400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        6.00000000
        NC
        USD
        -15432.00000000
        -0.00110117585
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            1286963.26000000
            USD
            -15432.00000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        549300NGGFIEJ2ER3D22
        
        12625KAQ8
        
          
        
        12047041.00000000
        PA
        USD
        11684720.22000000
        0.833782518673
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-10
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        5493000RGRVHYZAIY180
        
        78448WAD7
        
          
        
        1000000.00000000
        PA
        USD
        983278.70000000
        0.070163476369
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-06-17
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-01
      Voya Separate Portfolios Trust
      Tin Bui
      Tin Bui
      Vice President