NPORT-P
false
0000911507
XXXXXXXX
S000007277
C000156620
C000019982
C000054887
C000054886
C000054885
C000156622
C000156621
C000019980
C000019984
C000188234
LORD ABBETT INVESTMENT TRUST
811-07988
0000911507
54930085JIVNI3FPKR71
90 HUDSON STREET
JERSEY CITY
07302
201-827-2000
Lord Abbett Core Fixed Income Fund
S000007277
8YIJJU0VOUXPIR5N6R49
2022-11-30
2022-02-28
N
2125282388.86
192630629.45
1932651759.41
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
35993597.71000000
0.00000000
0.00000000
13187818.72000000
USD
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
3165000.00000000
PA
USD
2876262.40000000
0.148824659486
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48400000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2021-2 Ltd
69701XAA2
5340000.00000000
PA
USD
5345956.98000000
0.276612532701
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.39100000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2A8
4783000.00000000
PA
USD
4929906.88000000
0.255085110703
Long
DBT
CORP
FR
N
2
2033-03-01
Fixed
4.37500000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: SP9I9FBH6 CDS USD R F 3.00000 SP9I9FBH6_FEE CMBX / Short: SP9I9FBH6 CDS USD P V 01MEVENT SP9I9FBH6_PRO CMBX
000000000
2000000.00000000
OU
Notional Amount
USD
-185311.53000000
-0.00958845943
N/A
DCR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CMBX.NA.BBB-.12
137BERAL1
Y
sell protection
2061-08-17
0.00000000
USD
-159061.41000000
USD
2000000.00000000
USD
-26250.12000000
N
N
N
PFP III
N/A
PFP 2019-6 Ltd
69346WAA5
494871.13000000
PA
USD
492877.00000000
0.025502628582
Long
ABS-CBDO
CORP
KY
N
2
2037-04-14
Floating
1.17600000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAD3
4791000.00000000
PA
USD
5009670.10000000
0.259212249470
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
5.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: SP182BGA2 CDS USD R F 3.00000 SP182BGA2_FEE CMBX / Short: SP182BGA2 CDS USD P V 01MEVENT SP182BGA2_PRO CMBX
000000000
5700000.00000000
OU
Notional Amount
USD
-528137.87000000
-0.02732710988
N/A
DCR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CMBX.NA.BBB-.12
137BERAL1
Y
sell protection
2061-08-17
0.00000000
USD
-457314.05000000
USD
5700000.00000000
USD
-70823.82000000
N
N
N
NEUBERGER BERMAN GRP/FIN
N/A
Neuberger Berman Group LLC / Neuberger Berman Finance Corp
64128XAE0
690000.00000000
PA
USD
773012.71000000
0.039997516688
Long
DBT
CORP
US
N
2
2045-04-15
Fixed
4.87500000
N
N
N
N
N
N
Elmwood CLO VIII Ltd
N/A
Elmwood CLO VIII Ltd
29003EAA3
3490000.00000000
PA
USD
3500957.52000000
0.181147871206
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
1.49400000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: SP2K2UND8 CDS USD R F 3.00000 SP2K2UND8_FEE CMBX / Short: SP2K2UND8 CDS USD P V 01MEVENT SP2K2UND8_PRO CMBX
000000000
4100000.00000000
OU
Notional Amount
USD
-379888.64000000
-0.01965634202
N/A
DCR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CMBX.NA.BBB-.12
137BERAL1
Y
sell protection
2061-08-17
0.00000000
USD
-333641.52000000
USD
4100000.00000000
USD
-46247.12000000
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2020-2
33844QAA1
191535.19000000
PA
USD
191664.36000000
0.009917169974
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
1.49000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAP4
3700000.00000000
PA
USD
3939924.10000000
0.203861046399
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
4.75000000
N
N
N
N
N
N
Seminole Tribe of Florida
549300EWYRB8UULZD884
Seminole Tribe of Florida 2018 Term Loan B
81683UAN7
5163119.66000000
PA
USD
5150211.86000000
0.266484214495
Long
LON
CORP
US
N
2
2024-07-08
Floating
1.95900000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2021-A
03842VAC1
9564000.00000000
PA
USD
9305889.64000000
0.481508869597
Long
ABS-O
CORP
US
N
2
2046-07-17
Fixed
3.14000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
00401MAB2
3460000.00000000
PA
USD
3800962.24000000
0.196670829159
Long
DBT
CORP
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables 2021-A Owner Trust
89240BAB4
6875670.34000000
PA
USD
6870393.26000000
0.355490492611
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
0.16000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
N/A
Hertz Vehicle Financing III LP
42806MAE9
13526000.00000000
PA
USD
12994598.63000000
0.672371448541
Long
ABS-O
CORP
US
N
2
2027-12-27
Fixed
1.68000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
ReadyCap Commercial Mortgage Trust 2019-6
75575QAA7
685089.17000000
PA
USD
679082.31000000
0.035137334322
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Fixed
2.83300000
N
N
N
N
N
N
Bain Capital Credit CLO, Limited
549300WZ8E2KQS66KT95
Bain Capital Credit CLO 2019-2
05682LAJ6
5160000.00000000
PA
USD
5163855.55000000
0.267190171475
Long
ABS-CBDO
CORP
KY
N
2
2032-10-17
Floating
1.34100000
N
N
N
N
N
N
CROWDSTRIKE HOLDINGS INC
549300YBY08K9KM4HX32
Crowdstrike Holdings Inc
22788CAA3
2030000.00000000
PA
USD
1906768.85000000
0.098660756689
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.00000000
N
N
N
N
N
N
OWL ROCK CAPITAL CORP
2549000BD79OOCPF2L94
Owl Rock Capital Corp
69121KAG9
2396000.00000000
PA
USD
2179967.15000000
0.112796686696
Long
DBT
CORP
US
N
2
2028-06-11
Fixed
2.87500000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
3385000.00000000
PA
USD
4243079.73000000
0.219547039933
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust 2021-A
34532QAB4
5384550.16000000
PA
USD
5380031.98000000
0.278375654269
Long
ABS-O
CORP
US
N
2
2023-07-15
Fixed
0.19000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TA6
84360000.00000000
PA
USD
77373937.50000000
4.003511606437
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
1850000.00000000
PA
USD
1715505.00000000
0.088764310054
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
549300RO0W90UZB1HD05
GM Financial Consumer Automobile Receivables Trust 2018-4
38013FAD3
446836.76000000
PA
USD
448483.35000000
0.023205595514
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
3.21000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKY4
3080000.00000000
PA
USD
2976311.18000000
0.154001421389
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
1.54900000
N
N
N
N
N
N
American Money Management Corporation
549300ICO4ZE2FVC2Y46
AMMC CLO 23 Ltd
00177JBC8
3200000.00000000
PA
USD
3179844.26000000
0.164532707173
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
2.24100000
N
N
N
N
N
N
ALFA DESARROLLO SPA
2549006BJAN34R520038
Alfa Desarrollo SpA
01538TAA3
2892000.00000000
PA
USD
2452256.94000000
0.126885608235
Long
DBT
CORP
CL
N
2
2051-09-27
Fixed
4.55000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAV2
2600000.00000000
PA
USD
2431241.62000000
0.125798225581
Long
DBT
CORP
NL
N
2
2037-03-13
Fixed
3.32400000
N
N
N
N
N
N
Avid Automobile Receivables Trust
N/A
Avid Automobile Receivables Trust 2019-1
05369DAB1
466501.27000000
PA
USD
469258.76000000
0.024280564655
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
2.82000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AF2
3076000.00000000
PA
USD
3380498.59000000
0.174915039584
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.70000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
7749000.00000000
PA
USD
7189073.92000000
0.371979788132
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38300000
N
N
N
N
N
N
Vmware, Inc.
549300BUDHS3LRWBE814
Vmware, Inc. 3 Year Term Loan
000000000
5714298.00000000
PA
USD
5717869.44000000
0.295856168197
Long
LON
CORP
US
N
2
2024-11-01
Floating
0.86000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SP9W3V8L1 CDS USD R F 3.00000 SP9W3V8L1_FEE CMBX / Short: SP9W3V8L1 CDS USD P V 01MEVENT SP9W3V8L1_PRO CMBX
000000000
2050000.00000000
OU
Notional Amount
USD
-189944.32000000
-0.00982817101
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.12
137BERAL1
Y
sell protection
2061-08-17
0.00000000
USD
-166921.21000000
USD
2050000.00000000
USD
-23023.11000000
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAQ3
2034000.00000000
PA
USD
1927296.36000000
0.099722898893
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
3.25000000
N
N
N
N
N
N
COMM Mortgage Trust
5493004GWEVMOU8S3L34
COMM 2014-UBS4 Mortgage Trust
12591QAD4
4440000.00000000
PA
USD
3566006.42000000
0.184513656049
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
4.71200000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2019-BWAY Mortgage Trust
05492NAC7
664000.00000000
PA
USD
655683.60000000
0.033926629399
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
1.50100000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BK4
1982000.00000000
PA
USD
1927257.16000000
0.099720870592
Long
DBT
CORP
CA
N
2
2026-08-15
Fixed
3.87500000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AD4
691688.97000000
PA
USD
717675.31000000
0.037134227959
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lending Funding Trust 2020-2
51507KAA4
5712000.00000000
PA
USD
5607642.33000000
0.290152755285
Long
ABS-O
CORP
US
N
2
2031-04-21
Fixed
2.32000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2020-NQM1
64830VAA1
237274.18000000
PA
USD
237087.82000000
0.012267487861
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
2.46400000
N
N
N
N
N
N
Carlyle Global Market Strategies
5493007AYUHLOG0AMH17
Carlyle Global Market Strategies CLO 2015-5 Ltd
14312JBC5
2400000.00000000
PA
USD
2403309.17000000
0.124352934164
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
2.55400000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2021-1
33843WAA9
2485675.09000000
PA
USD
2473290.71000000
0.127973945536
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
0.31000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2020-3
96042QAN0
3875000.00000000
PA
USD
3851081.18000000
0.199264102353
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
3.34000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
14182000.00000000
PA
USD
13652754.28000000
0.706425987688
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.68700000
N
N
N
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2019-2 LLC
784034AC4
3285000.00000000
PA
USD
3294211.80000000
0.170450355785
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
2.76000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LD1
7031000.00000000
PA
USD
7348434.46000000
0.380225481606
Long
DBT
CORP
US
N
2
2028-01-10
Fixed
3.88700000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
25599576.86000000
PA
USD
25599576.86000000
1.324583010641
Long
RA
CORP
US
N
2
Repurchase
N
0.00000000
2022-03-01
28260600.00000000
USD
26111656.20000000
USD
UST
N
N
N
Southwestern Energy Company
EFWMP121W54QV9MGOP87
Southwestern Energy Company 2021 Term Loan
84546SAU7
8057450.85000000
PA
USD
8037347.51000000
0.415871481805
Long
LON
CORP
US
N
2
2027-06-22
Floating
3.00000000
N
N
N
N
N
N
TSMC ARIZONA CORP
2549005GOBWLCSY63Q97
TSMC Arizona Corp
872898AE1
2150000.00000000
PA
USD
2055637.47000000
0.106363573260
Long
DBT
CORP
US
N
2
2051-10-25
Fixed
3.25000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust
25272XAB1
294644.12000000
PA
USD
294928.51000000
0.015260302771
Long
ABS-O
CORP
US
N
2
2029-10-22
Fixed
4.11000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNK1
3860000.00000000
PA
USD
3809946.99000000
0.197135721500
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
0.99900000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BK6
3601000.00000000
PA
USD
4012140.61000000
0.207597700437
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
27034000.00000000
PA
USD
25230325.31000000
1.305477056958
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHG7
5798000.00000000
PA
USD
6067376.94000000
0.313940517760
Long
DBT
CORP
US
N
2
2029-03-05
Fixed
3.97000000
N
N
N
N
N
N
Planet Fitness Master Issuer LLC
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAC7
1393560.00000000
PA
USD
1391237.07000000
0.071985915891
Long
ABS-O
CORP
US
N
2
2049-12-05
Fixed
3.85800000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAC1
2457000.00000000
PA
USD
2261018.55000000
0.116990478961
Long
DBT
US
N
2
2031-07-15
Fixed
2.37500000
N
N
N
N
N
N
JAPAN FIN ORG MUNICIPAL
5493007YYYNZ4NMEOD64
Japan Finance Organization for Municipalities
000000000
9350000.00000000
PA
USD
9368162.19000000
0.484730999487
Long
DBT
NUSS
JP
Y
2
2022-04-21
Fixed
2.00000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2019-NQM2 Trust
36167FAA7
174245.00000000
PA
USD
174674.17000000
0.009038057122
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.24700000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2021-3
24381VAA8
4556287.78000000
PA
USD
4430273.16000000
0.229232873352
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
1.19400000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN22
000000000
-280.00000000
NC
USD
-565867.40000000
-0.02927932553
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT US Long Bond Future
USM2 COMDTY
2022-06-21
-43306632.60000000
USD
-565867.40000000
N
N
N
MIAMI-DADE CNTY FL SPL OBLIG
549300QG0NBD9HULR263
County of Miami-Dade FL
59333NV67
1295000.00000000
PA
USD
1208762.45000000
0.062544244927
Long
DBT
MUN
US
N
2
2037-10-01
Fixed
2.78600000
N
N
N
N
N
N
National Fuel Gas Co
8JB38FFW1Y3C1HM8E841
National Fuel Gas Co
636180BN0
7200000.00000000
PA
USD
7382608.27000000
0.381993715839
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.95000000
N
N
N
N
N
N
EPR PROPERTIES
549300YSSXFHMPOWZ492
EPR Properties
26884UAF6
4303000.00000000
PA
USD
4153027.24000000
0.214887509856
Long
DBT
US
N
2
2029-08-15
Fixed
3.75000000
N
N
N
N
N
N
ZH Trust
N/A
ZH Trust 2021-2
98879FAA6
6070000.00000000
PA
USD
6067595.67000000
0.313951835371
Long
ABS-MBS
CORP
US
N
2
2027-10-17
Fixed
2.34900000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
000000000
1694000.00000000
PA
USD
1763872.42000000
0.091266955436
Long
DBT
CORP
CH
Y
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: SP9W3V7O6 CDS USD R F 3.00000 SP9W3V7O6_FEE CMBX / Short: SP9W3V7O6 CDS USD P V 01MEVENT SP9W3V7O6_PRO CMBX
000000000
2050000.00000000
OU
Notional Amount
USD
-189944.32000000
-0.00982817101
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.12
137BERAL1
Y
sell protection
2061-08-17
0.00000000
USD
-179110.29000000
USD
2050000.00000000
USD
-10834.03000000
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2018-GLKS Mortgage Trust
23307GAA4
2000000.00000000
PA
USD
1983111.20000000
0.102610891504
Long
ABS-MBS
CORP
US
N
2
2030-12-19
Floating
1.19200000
N
N
N
N
N
N
Nvent Finance Sarl
549300KO1OQ4MVFB6X02
nVent Finance Sarl
67078AAD5
6513000.00000000
PA
USD
7000436.83000000
0.362219256310
Long
DBT
CORP
LU
N
2
2028-04-15
Fixed
4.55000000
N
N
N
N
N
N
Continental Credit Card llc
N/A
Continental Finance Credit Card ABS Master Trust
66981PAA6
9100000.00000000
PA
USD
8929836.37000000
0.462050978740
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
2.24000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-1
52607MAC3
2250000.00000000
PA
USD
2206560.60000000
0.114172695068
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
3.41000000
N
N
N
N
N
N
Minejesa Capital BV
549300KS7ERCP10BKC35
Minejesa Capital BV
602736AA8
3750000.00000000
PA
USD
3682725.00000000
0.190552953064
Long
DBT
CORP
NL
N
2
2030-08-10
Fixed
4.62500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GFD1
1071000.00000000
PA
USD
1409027.79000000
0.072906450069
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE19 Mortgage Trust
12592GBE2
2686144.64000000
PA
USD
51293.81000000
0.002654063762
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
0.95200000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAG5
3488529.81000000
PA
USD
3453907.90000000
0.178713411931
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
1.89200000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAN8
3121000.00000000
PA
USD
3365619.92000000
0.174145181800
Long
DBT
CORP
AU
N
2
2029-03-27
Fixed
4.65400000
N
N
N
N
N
N
Hilton Worldwide Finance, LLC
549300406TN7EY0NPH20
Hilton Worldwide Finance, LLC 2019 Term Loan B2
43289DAH6
7619033.00000000
PA
USD
7517471.29000000
0.388971849346
Long
LON
CORP
US
N
2
2026-06-22
None
0.00000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2019-2
96041LAF9
1285000.00000000
PA
USD
1299962.15000000
0.067263134378
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
3.20000000
N
N
N
N
N
N
PHYSICIANS REALTY LP
549300P6Q1UMT0X60U20
Physicians Realty LP
71951QAC6
3349000.00000000
PA
USD
3143868.96000000
0.162671259563
Long
DBT
US
N
2
2031-11-01
Fixed
2.62500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDR9
95061000.00000000
PA
USD
93885734.24000000
4.857871252949
Long
DBT
UST
US
N
2
2023-12-31
Fixed
0.75000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
4221000.00000000
PA
USD
4057431.61000000
0.209941164529
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Eaton Vance CDO Ltd
5493001O5CL3BBUIEH94
Eaton Vance CLO 2013-1 Ltd
27830BBN3
4510000.00000000
PA
USD
4520944.37000000
0.233924417473
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
1.49100000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAH8
960000.00000000
PA
USD
1145594.68000000
0.059275794225
Long
DBT
CORP
US
N
2
2039-07-08
Fixed
6.12500000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAK7
3877000.00000000
PA
USD
3693707.96000000
0.191121237543
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAK6
3723000.00000000
PA
USD
4626110.08000000
0.239365941508
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2018-2
68269CAA4
5645000.00000000
PA
USD
5748691.88000000
0.297450994573
Long
ABS-O
CORP
US
N
2
2033-03-14
Fixed
3.57000000
N
N
N
N
N
N
Invesco CLO LTD
N/A
Invesco CLO 2021-3 Ltd
46146JAC0
1890000.00000000
PA
USD
1891181.78000000
0.097854244604
Long
ABS-CBDO
CORP
KY
N
2
2034-10-22
Floating
1.76800000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC21
17322MBB1
14935091.12000000
PA
USD
314858.60000000
0.016291533043
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
1.14500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAB2
2570000.00000000
PA
USD
2527083.57000000
0.130757316091
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
1.59900000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAB7
2460000.00000000
PA
USD
2356627.85000000
0.121937531607
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
2.04900000
N
N
N
N
N
N
JBS USA Lux S.A.
P77IMDGVZE8EFBTF2M92
JBS USA Lux S.A. 2019 Term Loan B
46611VAU9
7599497.02000000
PA
USD
7560549.60000000
0.391200823593
Long
LON
CORP
LU
N
2
2026-05-01
None
0.00000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd
03881EAC1
5760000.00000000
PA
USD
5668128.00000000
0.293282427752
Long
ABS-CBDO
CORP
KY
N
2
2036-05-15
Floating
1.59100000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust 2018-B
98162QAC4
40955.05000000
PA
USD
40997.66000000
0.002121316465
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.87000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage SecuritiesTrust 2018-MINN
46650GAA8
1026000.00000000
PA
USD
1024518.05000000
0.053011001335
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.27000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BQ4
2056000.00000000
PA
USD
1973122.64000000
0.102094059645
Long
DBT
CORP
PA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
Lamar Media Corporation
N/A
Lamar Media Corporation 2020 Term Loan B
513076BB4
7262851.70000000
PA
USD
7221998.16000000
0.373683366640
Long
LON
CORP
US
N
2
2027-02-05
Floating
1.63700000
N
N
N
N
N
N
Charter Communications Operating, LLC
549300TPZNMN50BJ3745
Charter Communications Operating, LLC 2019 Term Loan B1
16117LBW8
10548599.58000000
PA
USD
10521436.94000000
0.544404178806
Long
LON
CORP
US
N
2
2025-04-30
Floating
1.96000000
N
N
N
N
N
N
Verde CLO Ltd
N/A
VERDE CLO Ltd
92338BAN5
5340000.00000000
PA
USD
5341040.45000000
0.276358139742
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
1.34100000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN22
000000000
711.00000000
NC
USD
1259707.85000000
0.065180281127
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNM2 COMDTY
2022-06-21
130941854.65000000
USD
1259707.85000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-GC36
17324TAN9
3025000.00000000
PA
USD
2098764.66000000
0.108595076675
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
2.85000000
N
N
N
N
N
N
MF1 Ltd
N/A
MF1 2020-FL3 Ltd
59319WAC5
6610000.00000000
PA
USD
6676201.86000000
0.345442567575
Long
ABS-CBDO
USGSE
US
N
2
2035-07-15
Floating
3.91300000
N
N
N
N
N
N
HELMERICH & PAYNE INC
254900NAOGHJ88RZ4C73
Helmerich & Payne Inc
423452AE1
2691000.00000000
PA
USD
2574432.45000000
0.133207259790
Long
DBT
CORP
US
N
2
2031-09-29
Fixed
2.90000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCF0
1940000.00000000
PA
USD
1963406.10000000
0.101591302749
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.25000000
N
N
N
N
N
N
OCP CLO Ltd
2549003HLFPQ7ATPYA23
OCP Clo 2019-17 Ltd
67113LAL0
5030000.00000000
PA
USD
5014223.41000000
0.259447848562
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
1.29400000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAA0
5218000.00000000
PA
USD
4651990.60000000
0.240705061185
Long
DBT
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2018-B
12595PAD2
395024.07000000
PA
USD
398490.76000000
0.020618859971
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
4.26000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAL9
685000.00000000
PA
USD
693511.19000000
0.035883918901
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.42200000
N
N
N
N
N
N
HONO 2021-LULU Mortgage Trust
N/A
HONO 2021-LULU Mortgage Trust
40390MAJ4
916000.00000000
PA
USD
902847.16000000
0.046715460020
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.04100000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCE3
11805000.00000000
PA
USD
11275663.80000000
0.583429670922
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.87500000
N
N
N
N
N
N
TWILIO INC
5493004W8TRGD63APX93
Twilio Inc
90138FAD4
1955000.00000000
PA
USD
1838579.75000000
0.095132490426
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.87500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
1875000.00000000
PA
USD
1844531.25000000
0.095440435195
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZM9
2980000.00000000
PA
USD
2935929.29000000
0.151911966328
Long
DBT
CORP
US
N
2
2033-02-24
Fixed
3.10200000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAX4
2971000.00000000
PA
USD
3459640.37000000
0.179010023567
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
6.37500000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAP2
2032000.00000000
PA
USD
1954377.60000000
0.101124146680
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AG6
1986000.00000000
PA
USD
1994426.40000000
0.103196366872
Long
DBT
CORP
NL
N
2
2029-03-31
Fixed
4.12500000
N
N
N
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAU4
1916000.00000000
PA
USD
1926221.59000000
0.099667287736
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KJP5
6085000.00000000
PA
USD
5864893.38000000
0.303463536637
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
2.14900000
N
N
N
N
N
N
TENGIZCHEVROIL FIN CO IN
5493001VEV2XTJIBZH31
Tengizchevroil Finance Co International Ltd
88034QAC1
1400000.00000000
PA
USD
1290760.80000000
0.066787034638
Long
DBT
CORP
BM
N
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
SLC Student Loan Trust
5493007QNQ56NU0MGE13
SLC Student Loan Trust 2008-1
78444LAD5
1775256.96000000
PA
USD
1796432.94000000
0.092951714205
Long
ABS-O
CORP
US
N
2
2032-12-15
Floating
1.80300000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300MZIB10PDVAE312
Wells Fargo Commercial Mortgage Trust 2016-C35
95000FAZ9
2139000.00000000
PA
USD
2087715.76000000
0.108023380302
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Variable
4.17600000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796G45
108726000.00000000
PA
USD
108699044.65000000
5.624347175881
Long
DBT
UST
US
N
2
2022-04-21
None
0.00000000
N
N
N
N
N
N
CBAM CLO Management LLC
254900JWJFDB3KD6V066
CBAM 2017-1 Ltd
12480VAL9
2850000.00000000
PA
USD
2853577.04000000
0.147650864989
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
4.00400000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
5851000.00000000
PA
USD
5923839.27000000
0.306513537224
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BPQS01KH5 CDS USD R V 03MEVENT P_SPQS01KH5 CCPCDX / Short: BPQS01KH5 CDS USD P F 1.00000 F_SPQS01KH5 CCPCDX
000000000
19564000.00000000
OU
Notional Amount
USD
-328947.58000000
-0.01702053038
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S37
2I65BYDZ5
Y
buy protection
2026-12-20
0.00000000
USD
-322570.30000000
USD
19564000.00000000
USD
-6377.28000000
N
N
N
KKR Financial CLO Ltd
5493000WWM0GGYYSIJ83
KKR CLO 29 Ltd
48254GAA4
2950000.00000000
PA
USD
2960205.08000000
0.153168053457
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
1.44100000
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2020-3
85573MAA7
2017077.30000000
PA
USD
2004727.95000000
0.103729393577
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.48600000
N
N
N
N
N
N
CELLNEX FINANCE
549300OUROMFTRFA7T23
Cellnex Finance Co SA
15118JAA3
4365000.00000000
PA
USD
3652413.75000000
0.188984576875
Long
DBT
CORP
ES
N
2
2041-07-07
Fixed
3.87500000
N
N
N
N
N
N
CONSTELLATION EN GEN LLC
S2PEWKCZFFECR4533P43
Constellation Energy Generation LLC
30161MAG8
4321000.00000000
PA
USD
5044068.32000000
0.260992095210
Long
DBT
CORP
US
N
2
2039-10-01
Fixed
6.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DF9
1919000.00000000
PA
USD
2262625.74000000
0.117073638796
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
6.45000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2021-1
14316NAB5
5199193.31000000
PA
USD
5195395.82000000
0.268822140083
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
0.22000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-PC1 Mortgage Trust
12593GAK8
3385000.00000000
PA
USD
3406862.70000000
0.176279181358
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Variable
4.31900000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BE7
3165000.00000000
PA
USD
2975305.98000000
0.153949409950
Long
DBT
CORP
US
N
2
2031-04-27
Fixed
2.85000000
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2020-1
85573AAA3
241075.61000000
PA
USD
240213.31000000
0.012429208150
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.27500000
N
N
N
N
N
N
Mountain View CLO Ltd
549300RHYK4B5L898W39
Mountain View CLO X Ltd
62432CAQ4
587596.84000000
PA
USD
587743.31000000
0.030411237158
Long
ABS-CBDO
CORP
KY
N
2
2027-10-13
Floating
1.06400000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAU0
6300000.00000000
PA
USD
5860787.88000000
0.303251108300
Long
DBT
CORP
KY
N
2
2030-06-03
Fixed
2.39000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAJ3
3805000.00000000
PA
USD
3781334.46000000
0.195655241126
Long
ABS-CBDO
CORP
KY
N
3
2034-08-15
Floating
2.39100000
N
N
N
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2021-1 LLC
783897AE1
4325000.00000000
PA
USD
4150820.14000000
0.214773309251
Long
ABS-O
CORP
US
N
2
2030-10-21
Fixed
1.54000000
N
N
N
N
N
N
Bayer Corp
54930050NR9YMICYZM28
Bayer Corp
072732AC4
1425000.00000000
PA
USD
1682437.09000000
0.087053297719
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.65000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 7 Ltd
48661CAA0
4578038.00000000
PA
USD
4582106.91000000
0.237089112805
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
1.44100000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032633
17281000.00000000
PA
USD
17798080.01000000
0.920915003095
Long
ABS-MBS
USGSE
US
N
2
2052-03-14
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-PC1 Mortgage Trust
12593GAL6
1471000.00000000
PA
USD
1308911.54000000
0.067726197108
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Variable
4.31900000
N
N
N
N
N
N
HONO 2021-LULU Mortgage Trust
N/A
HONO 2021-LULU Mortgage Trust
40390MAG0
1490000.00000000
PA
USD
1468430.31000000
0.075980077779
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.64100000
N
N
N
N
N
N
Oglethorpe Power Corp
3EERXCUSWMS9GV5D9M98
Oglethorpe Power Corp
677050AG1
3719000.00000000
PA
USD
4600482.44000000
0.238039906444
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
5.95000000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
THL Credit Wind River 2017-3 Clo Ltd
97316LAG3
2000000.00000000
PA
USD
1996731.26000000
0.103315625811
Long
ABS-CBDO
CORP
KY
N
2
2035-04-15
Floating
4.09100000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust 2021-A
98164EAB1
5533724.97000000
PA
USD
5528583.03000000
0.286062039013
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
0.17000000
N
N
N
N
N
N
HGI CRE CLO Ltd
N/A
HGI CRE CLO 2021-FL2 Ltd
40390JAC6
5900000.00000000
PA
USD
5856196.93000000
0.303013561625
Long
ABS-CBDO
CORP
KY
N
2
2036-09-17
Floating
1.62600000
N
N
N
N
N
N
NEUBERGER BERMAN GRP/FIN
N/A
Neuberger Berman Group LLC / Neuberger Berman Finance Corp
64128XAG5
1164000.00000000
PA
USD
1257878.10000000
0.065085605509
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.50000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAK2
3464000.00000000
PA
USD
5263700.73000000
0.272356398630
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust 2019-1
68267EAB0
3150000.00000000
PA
USD
3281895.23000000
0.169813067150
Long
ABS-O
CORP
US
N
2
2028-11-14
Fixed
3.95000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AU2
6365000.00000000
PA
USD
5842233.26000000
0.302291048118
Long
DBT
CORP
KY
N
2
2031-08-23
Fixed
2.37500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-RIVR
36255WAA3
1345682.16000000
PA
USD
1329595.20000000
0.068796418885
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.14100000
N
N
N
N
N
N
Octagon Investment Partners XIV LTD
549300QEN35HTPJ3BX33
Octagon Investment Partners XIV Ltd
67590ABP6
3868000.00000000
PA
USD
3843919.07000000
0.198893517742
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
1.19100000
N
N
N
N
N
N
FOOTHILL ESTRN TRANSPRTN CORRIDOR AGY CA TOLL ROAD REVENUE
N/A
Foothill-Eastern Transportation Corridor Agency
345105JE1
1567000.00000000
PA
USD
1642643.63000000
0.084994289426
Long
DBT
MUN
US
N
2
2049-01-15
Fixed
4.09400000
N
N
N
N
N
N
ASSURANT INC
H3F39CAXWQRVWURFXL38
Assurant Inc
04621XAN8
1685000.00000000
PA
USD
1555254.33000000
0.080472559136
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDV0
14298000.00000000
PA
USD
14144408.17000000
0.731865329650
Long
DBT
UST
US
N
2
2024-01-31
Fixed
0.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW
12433UAA3
5060000.00000000
PA
USD
5009417.20000000
0.259199163822
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
0.99100000
N
N
N
N
N
N
Hudsons Bay Simon JV Trust
N/A
Hudsons Bay Simon JV Trust 2015-HBS
44422PBC5
2410000.00000000
PA
USD
2164814.07000000
0.112012630286
Long
ABS-MBS
CORP
US
N
2
2034-08-05
Fixed
4.66600000
N
N
N
N
N
N
Sunrun Demeter Issuer LLC
N/A
Sunrun Demeter Issuer 2021-2
86772HAA5
2290067.95000000
PA
USD
2216091.66000000
0.114665854787
Long
ABS-O
CORP
US
N
2
2057-01-30
Fixed
2.27000000
N
N
N
N
N
N
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
N/A
New York City Transitional Finance Authority Future Tax Secured Revenue
64971XLY2
8450000.00000000
PA
USD
8488570.87000000
0.439218851956
Long
DBT
MUN
US
N
2
2033-05-01
Fixed
2.69000000
N
N
N
N
N
N
NEW JERSEY ST EDUCTNL FACS AUTH REVENUE
549300UTOO4X537XXG70
New Jersey Educational Facilities Authority
6460665X4
1592000.00000000
PA
USD
1678792.34000000
0.086864709683
Long
DBT
MUN
US
N
2
2036-09-01
Fixed
3.83600000
N
N
N
N
N
N
Emera US Finance LP
N/A
Emera US Finance LP
29103DAM8
3338000.00000000
PA
USD
3529959.00000000
0.182648476778
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
4.75000000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
3290000.00000000
PA
USD
3261446.42000000
0.168754997071
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.44100000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAB9
1908000.00000000
PA
USD
1891810.62000000
0.097886782281
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.12500000
N
N
N
N
N
N
UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE
N/A
Regents of the University of California Medical Center Pooled Revenue
913366KB5
950000.00000000
PA
USD
927914.12000000
0.048012484167
Long
DBT
MUN
US
N
2
2050-05-15
Fixed
3.00600000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
826.00000000
NC
USD
579789.22000000
0.029999673618
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
177197350.99000000
USD
579789.22000000
N
N
N
Towd Point Asset Trust 2018-SL1
54930022FYEFQVX02P24
Towd Point Asset Trust 2018-SL1
89174UAA4
689453.32000000
PA
USD
687870.20000000
0.035592040658
Long
ABS-O
CORP
US
N
2
2046-01-25
Floating
0.78700000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
2424000.00000000
PA
USD
2618166.74000000
0.135470176003
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43100000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2019-BWAY Mortgage Trust
05492NAA1
1510000.00000000
PA
USD
1497901.88000000
0.077505006926
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
1.14700000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AL8
1600000.00000000
PA
USD
1770864.00000000
0.091628716419
Long
DBT
CORP
US
N
2
2035-11-01
Fixed
6.87500000
N
N
N
N
N
N
WELLS FARGO + COMPANY
N/A
Westpac Banking Corp/NY
95000U2U6
4058000.00000000
PA
USD
4113259.61000000
0.212829838069
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAL9
4120000.00000000
PA
USD
4028586.68000000
0.208448659226
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.43600000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAC4
4400000.00000000
PA
USD
4081313.10000000
0.211176849638
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
3.25000000
N
N
N
N
N
N
KKR Financial CLO Ltd
54930088PYF0FHKY5C94
KKR CLO 18 Ltd
48251JAJ2
332154.00000000
PA
USD
332608.61000000
0.017209960789
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
3.84100000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2021-A
56848DAD1
2600000.00000000
PA
USD
2577648.58000000
0.133373670008
Long
ABS-O
CORP
US
N
2
2036-03-20
Fixed
3.83000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-1
03464RAA1
275386.78000000
PA
USD
275153.20000000
0.014237081184
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
2.46600000
N
N
N
N
N
N
Ohio Edison Co
N/A
Ohio Edison Co
677347CF1
2655000.00000000
PA
USD
3969853.39000000
0.205409659069
Long
DBT
CORP
US
N
2
2038-10-15
Fixed
8.25000000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAC2
5053000.00000000
PA
USD
6029802.71000000
0.311996337707
Long
DBT
CORP
IT
N
2
2040-10-01
Fixed
5.70000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-2
91680FAB8
3898000.00000000
PA
USD
3813164.32000000
0.197302193808
Long
ABS-O
CORP
US
N
2
2031-06-20
Fixed
1.75000000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62928CAA0
3973000.00000000
PA
USD
3814007.33000000
0.197345813151
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
3.25000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAU5
4407000.00000000
PA
USD
4212278.42000000
0.217953306874
Long
DBT
CORP
BM
N
2
2028-01-26
Fixed
2.85000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-BHAR
12659VAG5
5635000.00000000
PA
USD
5576457.99000000
0.288539203343
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.69200000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
4121000.00000000
PA
USD
3894798.31000000
0.201526130666
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 10 Ltd
48662LAA9
6640000.00000000
PA
USD
6647174.65000000
0.343940630671
Long
ABS-CBDO
CORP
KY
N
2
2034-04-23
Floating
1.42900000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden Senior Loan Fund
26245EAN9
6200000.00000000
PA
USD
6210838.22000000
0.321363545696
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
1.71100000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
696.00000000
NC
USD
580476.53000000
0.030035236672
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
81743273.47000000
USD
580476.53000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-DC1 Mortgage Trust
12629NAX3
3741365.00000000
PA
USD
3152626.80000000
0.163124411040
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.30600000
N
N
N
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2020-1
76119CAA9
208027.79000000
PA
USD
206579.92000000
0.010688936534
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
2.37600000
N
N
N
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle Global Market Strategies CLO 2015-1 Ltd
14311DBN5
3530000.00000000
PA
USD
3524783.22000000
0.182380669607
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
1.23400000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ML2
9393000.00000000
PA
USD
9065776.62000000
0.469084850690
Long
DBT
CORP
US
N
2
2031-01-29
Fixed
2.66600000
N
N
N
N
N
N
Apidos CLO
549300KJKTO0Q1OATW69
Apidos CLO XXXV
03768UAA7
2250000.00000000
PA
USD
2230829.12000000
0.115428406030
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
1.30400000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
Wind River 2021-4 CLO Ltd
97316UAC2
2970000.00000000
PA
USD
2967054.26000000
0.153522446325
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
1.86600000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2019-2
24703KAC9
1903436.65000000
PA
USD
1898943.97000000
0.098255878781
Long
ABS-O
CORP
US
N
2
2024-10-22
Fixed
1.91000000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton Orlando Trust 2018-ORL
432885AA9
2060000.00000000
PA
USD
2037373.17000000
0.105418534926
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
1.11100000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
92976GAG6
5275000.00000000
PA
USD
6560502.99000000
0.339456032782
Long
DBT
CORP
US
N
2
2037-02-01
Fixed
5.85000000
N
N
N
N
N
N
AVOLON TLB BORROWER 1 (US) LLC
635400O84AGITYFZQB55
Avolon TLB Borrower 1 (US) LLC 2021 Term Loan B5
05400KAH3
7599872.40000000
PA
USD
7563925.00000000
0.391375474819
Long
LON
CORP
US
N
2
2027-12-01
None
0.00000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCC7
2586000.00000000
PA
USD
2643422.13000000
0.136776949966
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.95000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: SPOC01IQ5 CDS USD R F 3.00000 SPOC01IQ5_FEE CMBX / Short: SPOC01IQ5 CDS USD P V 01MEVENT SPOC01IQ5_PRO CMBX
000000000
6600000.00000000
OU
Notional Amount
USD
-779918.22000000
-0.04035482420
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-575265.93000000
USD
6600000.00000000
USD
-204652.29000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
5532000.00000000
PA
USD
5066301.47000000
0.262142491285
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KMH9
3100000.00000000
PA
USD
2995320.13000000
0.154984989686
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
1.84900000
N
N
N
N
N
N
Humana Inc.
529900YLDW34GJAO4J06
Humana Inc. Term Loan
000000000
6000000.00000000
PA
USD
5906250.00000000
0.305603426548
Long
LON
CORP
US
N
3
2023-10-30
Floating
1.42900000
N
N
N
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
Massachusetts Educational Financing Authority
57563NAA6
667027.91000000
PA
USD
667798.39000000
0.034553477456
Long
ABS-O
CORP
US
N
2
2038-04-25
Floating
1.20800000
N
N
N
N
N
N
GCAT
N/A
GCAT 2020-NQM2 Trust
36166RAA2
1470845.59000000
PA
USD
1462242.32000000
0.075659896454
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.55500000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-2
52604DAB8
6945000.00000000
PA
USD
6602171.88000000
0.341612080285
Long
ABS-O
CORP
US
N
2
2032-04-20
Fixed
2.37000000
N
N
N
N
N
N
LoanCore 2022-CRE7 Issuer Ltd.
N/A
LoanCore 2022-CRE7 Issuer Ltd
53946PAA8
4080000.00000000
PA
USD
4080019.50000000
0.211109915696
Long
ABS-CBDO
CORP
KY
N
2
2037-01-17
Floating
1.59900000
N
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAA9
4235000.00000000
PA
USD
4136599.78000000
0.214037513993
Long
DBT
CORP
LU
N
2
2036-08-31
Fixed
3.54500000
N
N
N
N
N
N
Hudsons Bay Simon JV Trust
N/A
Hudsons Bay Simon JV Trust 2015-HBS
44422PBG6
2231000.00000000
PA
USD
1667881.10000000
0.086300136166
Long
ABS-MBS
CORP
US
N
2
2034-08-05
Variable
5.15900000
N
N
N
N
N
N
Horizon Therapeutics USA Inc.
N/A
Horizon Therapeutics USA Inc. 2021 Term Loan B2
44055UAD7
4080186.35000000
PA
USD
4031734.14000000
0.208611516294
Long
LON
CORP
US
N
2
2028-03-15
Floating
2.25000000
N
N
N
N
N
N
Cantor Commercial Real Estate Lending
N/A
CF Trust 2019-BOSS
15725PAA4
1690000.00000000
PA
USD
1563663.21000000
0.080907654593
Long
ABS-MBS
CORP
US
N
2
2024-12-15
Floating
4.75000000
N
N
N
N
N
N
Nutrition & Biosciences, Inc.
N/A
Nutrition & Biosciences, Inc. 5 Year Delayed Draw Term Loan
000000000
5150000.00000000
PA
USD
5143562.50000000
0.266140160789
Long
LON
CORP
US
N
2
2025-01-17
Floating
1.93600000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
4807000.00000000
PA
USD
4969137.66000000
0.257115004594
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TD0
16978000.00000000
PA
USD
17300316.80000000
0.895159550382
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAG3
2000000.00000000
PA
USD
1917764.82000000
0.099229714337
Long
DBT
CORP
NL
N
2
2027-01-19
Fixed
3.25700000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2021-I Ltd
12563EAA1
8040000.00000000
PA
USD
8044004.16000000
0.416215912713
Long
ABS-CBDO
CORP
KY
N
2
2033-04-25
Floating
1.36800000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ME8
6228000.00000000
PA
USD
6559781.57000000
0.339418704795
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.98000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-AFC1 Trust
12597MAA3
985753.08000000
PA
USD
977871.29000000
0.050597386996
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.24000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust 2020-2
24380NAA7
640992.81000000
PA
USD
641451.44000000
0.033190223581
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Fixed
1.69200000
N
N
N
N
N
N
OCP CLO Ltd
N/A
OCP CLO 2019-16 Ltd
67570QAK7
4860000.00000000
PA
USD
4862067.83000000
0.251574956860
Long
ABS-CBDO
CORP
KY
N
2
2033-04-10
Floating
1.23100000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
4126000.00000000
PA
USD
3801655.31000000
0.196706690250
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRY8
12969000.00000000
PA
USD
13552568.43000000
0.701242133457
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.78200000
N
N
N
N
N
N
Churchill Downs Incorporated
529900FODTBQC8MIS994
Churchill Downs Incorporated 2021 Incremental Term Loan B1
17148PAF8
4378926.88000000
PA
USD
4331481.21000000
0.224121142824
Long
LON
CORP
US
N
2
2028-03-17
Floating
2.21000000
N
N
N
N
N
N
Ford Credit Floorplan Master Owner Trust
5493001DTG5N7T8BG747
Ford Credit Floorplan Master Owner Trust A
34528PAK2
821000.00000000
PA
USD
891964.61000000
0.046152370992
Long
ABS-O
CORP
US
N
2
2030-11-15
Fixed
4.06000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AC5
938000.00000000
PA
USD
943278.60000000
0.048807478916
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.62500000
N
N
N
N
N
N
Carlyle Global Market Strategies
549300ODZUR61VZRRZ07
Carlyle Global Market Strategies CLO 2014-5 Ltd
14311AAS1
8699006.67000000
PA
USD
8665026.44000000
0.448349082953
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.38100000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2022-FL8 LLC
75574PAA0
6410000.00000000
PA
USD
6418012.50000000
0.332083235831
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Floating
1.69800000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2020-2
96042PAB8
1380454.21000000
PA
USD
1380861.72000000
0.071449070598
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
0.93000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
5493006MX7HG5PC85C29
CSAIL 2016-C7 Commercial Mortgage Trust
12637UAG4
1875000.00000000
PA
USD
1474930.69000000
0.076316422905
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
4.38200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796S59
91998000.00000000
PA
USD
91782865.44000000
4.749063818306
Long
DBT
UST
US
N
2
2022-07-28
None
0.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-4
92538LAA9
1831421.20000000
PA
USD
1812905.53000000
0.093804045202
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.50200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KLT3
175407.92000000
PA
USD
175767.14000000
0.009094609990
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
2.90000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
509227.24000000
PA
USD
509365.19000000
0.026355766760
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAE5
6194000.00000000
PA
USD
6297960.41000000
0.325871455079
Long
DBT
CORP
IE
N
2
2028-01-23
Fixed
3.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BLP30SOU8 IRS USD R V 12MUSCPI INF_SLP30SOU8 CCPINFLATIONZERO / Short: BLP30SOU8 IRS USD P F 2.67750 FIX_SLP30SOU8 CCPINFLATIONZERO
000000000
39000000.00000000
OU
Notional Amount
USD
960162.84000000
0.049681109663
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-02-14
0.00000000
USD
0.00000000
USD
39000000.00000000
USD
960162.84000000
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-1
92838WAA2
1037452.75000000
PA
USD
1037560.54000000
0.053685850797
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
1.76300000
N
N
N
N
N
N
NOV INC
549300EHF3IW1AR6U008
NOV Inc
637071AM3
8885000.00000000
PA
USD
8918043.05000000
0.461440764306
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.60000000
N
N
N
N
N
N
Mercedes-Benz Auto Lease Trust
N/A
Mercedes-Benz Auto Lease Trust 2021-A
58770GAB6
3417548.35000000
PA
USD
3416066.84000000
0.176755425459
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
0.18000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAM7
432000.00000000
PA
USD
476263.10000000
0.024642985870
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
5.37500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEF9
1033000.00000000
PA
USD
1077056.05000000
0.055729442449
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
1541000.00000000
PA
USD
1453964.32000000
0.075231573040
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAA8
6000000.00000000
PA
USD
5927495.40000000
0.306702714089
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.22500000
N
N
N
N
N
N
Galaxy CLO Ltd
549300BW4412X0TZDD77
Galaxy XXI CLO Ltd
36320WAL0
485000.00000000
PA
USD
485291.41000000
0.025110132109
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.27400000
N
N
N
N
N
N
FIRST AMERICAN FINANCIAL
549300B6VEZK3N0A1P55
First American Financial Corp
31847RAH5
2703000.00000000
PA
USD
2469632.22000000
0.127784646560
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.40000000
N
N
N
N
N
N
Vista Point Securitization Trust
N/A
Vista Point Securitization Trust 2020-2
92838TAA9
1443057.67000000
PA
USD
1424867.21000000
0.073726019344
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.47500000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
5044000.00000000
PA
USD
5214865.50000000
0.269829547646
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
Marble Point CLO LTD
2549003LUS5LG1CTZP23
Marble Point CLO XVII Ltd
56606CAA1
2824058.00000000
PA
USD
2818110.31000000
0.145815732000
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
1.55400000
N
N
N
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd
556079AD3
4585000.00000000
PA
USD
4276073.11000000
0.221254195908
Long
DBT
CORP
AU
N
2
2036-03-03
Fixed
3.05200000
N
N
N
N
N
N
EASTERN GAS TRAN
H2VQBNB3NSKRM5QWBI71
Eastern Gas Transmission & Storage Inc
276480AG5
4411000.00000000
PA
USD
4359918.19000000
0.225592539823
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.00000000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO Enterprises Inc
462613AP5
3909000.00000000
PA
USD
4072802.62000000
0.210736497155
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.25000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAP4
1755000.00000000
PA
USD
1809799.88000000
0.093643351482
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.12500000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2019-3 Ltd
92918FAG9
5460000.00000000
PA
USD
5418881.78000000
0.280385835348
Long
ABS-CBDO
CORP
KY
N
2
2032-10-17
Floating
1.89100000
N
N
N
N
N
N
XPO Logistics, Inc.
54930096DB9LCLPN7H13
XPO Logistics, Inc. 2018 Term Loan B
98379EAE6
5333295.00000000
PA
USD
5265322.16000000
0.272440295276
Long
LON
CORP
US
N
2
2025-02-24
Floating
1.85800000
N
N
N
N
N
N
Babson CLO Ltd
549300T40QLO0VJIOB35
Barings CLO Ltd 2019-III
06761KAQ4
3080000.00000000
PA
USD
3081806.36000000
0.159459992986
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.85400000
N
N
N
N
N
N
BRITISH AIR 20-1 A PTT
N/A
British Airways 2020-1 Class A Pass Through Trust
11044MAA4
3515633.65000000
PA
USD
3711213.97000000
0.192027040149
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.25000000
N
N
N
N
N
N
American Money Management Corporation
N/A
AMMC CLO 24 Ltd
00177LAC4
4250000.00000000
PA
USD
4250250.71000000
0.219918083498
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
1.98400000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
American Tower Corporation 2021 Term Loan
000000000
4750727.00000000
PA
USD
4724027.91000000
0.244432442989
Long
LON
CORP
US
N
3
2022-12-07
Floating
1.31300000
N
N
N
N
N
N
PULTE GROUP INC
N/A
PulteGroup Inc
745867AP6
2137000.00000000
PA
USD
2642485.38000000
0.136728480293
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
6.37500000
N
N
N
N
N
N
Massage Envy Franchising, LLC
N/A
ME Funding LLC 2019-1
55282GAA5
5488662.50000000
PA
USD
5700870.11000000
0.294976582420
Long
ABS-O
CORP
US
N
2
2049-07-30
Fixed
6.44800000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BEWS9
11238468.24000000
PA
USD
1115080.82000000
0.057696934513
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Variable
2.13900000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFM6
1716000.00000000
PA
USD
1783344.54000000
0.092274489251
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAR1
3084000.00000000
PA
USD
3559737.84000000
0.184189304807
Long
DBT
CORP
CA
N
2
2042-10-25
Fixed
5.55000000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216AY7
2595000.00000000
PA
USD
3550725.14000000
0.183722966267
Long
DBT
CORP
US
N
2
2039-09-15
Fixed
7.45000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
5167000.00000000
PA
USD
5216319.02000000
0.269904756229
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCU8
4221000.00000000
PA
USD
4175900.35000000
0.216071018985
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
2.96300000
N
N
N
N
N
N
Encina Equipment Finance
N/A
Encina Equipment Finance 2021-1 LLC
29253EAE2
4500000.00000000
PA
USD
4401517.95000000
0.227745010375
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
1.69000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFU8
5231000.00000000
PA
USD
5577831.93000000
0.288610294267
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
4.45000000
N
N
N
N
N
N
Setanta Aircraft Leasing Designated Activity Company
N/A
Setanta Aircraft Leasing Designated Activity Company Term Loan B
000000000
9232087.03000000
PA
USD
9190265.68000000
0.475526210826
Long
LON
CORP
IE
N
2
2028-11-05
Floating
2.14000000
N
N
N
N
N
N
United States Treasury
JNLUVFYJT1OZSIQ24U47
United States Treasury Note/Bond
91282CDY4
84454000.00000000
PA
USD
84777300.05000000
4.386579198100
Long
DBT
UST
US
N
2
2032-02-15
Fixed
1.87500000
N
N
N
N
N
N
MOUNTAIN VIEW CLO
N/A
Mountain View CLO 2017-1 LLC
62432HAJ9
2578067.32000000
PA
USD
2577641.04000000
0.133373279870
Long
ABS-CBDO
CORP
KY
N
2
2029-10-16
Floating
1.33100000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-INV1
92537TAA3
1453120.81000000
PA
USD
1447924.30000000
0.074919048035
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
1.97700000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-P3
29429CAM7
709000.00000000
PA
USD
564434.97000000
0.029205208193
Long
ABS-MBS
CORP
US
N
2
2049-04-15
Variable
2.80400000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd
632525AY7
2374000.00000000
PA
USD
2268291.53000000
0.117366800250
Long
DBT
CORP
AU
N
2
2031-05-21
Fixed
2.99000000
N
N
N
N
N
N
Mountain View CLO Ltd
549300XBX1AOMDRAHZ12
Mountain View CLO 2014-1 Ltd
62431XAY2
1700000.00000000
PA
USD
1706450.60000000
0.088295813857
Long
ABS-CBDO
CORP
KY
N
2
2026-10-15
Floating
2.24100000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAJ7
1795000.00000000
PA
USD
1864565.23000000
0.096477040983
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.75000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WAA1
4702975.62000000
PA
USD
4691708.70000000
0.242760170173
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Floating
1.31100000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
3956000.00000000
PA
USD
4145209.35000000
0.214482993628
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates
12659LAA0
1138028.08000000
PA
USD
1136715.02000000
0.058816339491
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.61600000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAP1
3813000.00000000
PA
USD
4019533.47000000
0.207980224602
Long
DBT
CORP
US
N
2
2027-07-13
Fixed
4.40000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-PC1 Mortgage Trust
12593GAJ1
620000.00000000
PA
USD
639402.53000000
0.033084208103
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Variable
4.31900000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAC9
2732000.00000000
PA
USD
2773885.30000000
0.143527424767
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z78
306657000.00000000
PA
USD
303087322.39000000
15.68245913493
Long
DBT
UST
US
N
2
2027-01-31
Fixed
1.50000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAT3
2497000.00000000
PA
USD
2827477.95000000
0.146300435980
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.87500000
N
N
N
N
N
N
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
5493001FUZGUQMIP5D78
Bay Area Toll Authority
072024XW7
5910000.00000000
PA
USD
5682895.84000000
0.294046550928
Long
DBT
MUN
US
N
2
2055-04-01
Fixed
3.12600000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300JHVVT1NJ057H42
Dryden 61 Clo Ltd
26251CAQ7
5060000.00000000
PA
USD
5046317.76000000
0.261108486587
Long
ABS-CBDO
CORP
KY
N
2
2032-01-17
Floating
1.23100000
N
N
N
N
N
N
NEW JERSEY ST EDUCTNL FACS AUTH REVENUE
549300UTOO4X537XXG70
New Jersey Educational Facilities Authority
6460665V8
1319000.00000000
PA
USD
1395287.53000000
0.072195496328
Long
DBT
MUN
US
N
2
2029-09-01
Fixed
3.63600000
N
N
N
N
N
N
Oaktree CLO Ltd
N/A
Oaktree CLO 2019-4 Ltd
67402CAW6
3360000.00000000
PA
USD
3317235.97000000
0.171641681117
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
2.50400000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
7324000.00000000
PA
USD
7022867.51000000
0.363379873058
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
FACTSET RESEARCH SYSTEMS
549300ZSJE7NBK6K9P30
FactSet Research Systems Inc
303075AB1
2718000.00000000
PA
USD
2733309.84000000
0.141427953933
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.45000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2014-C23
92939HBE4
19714989.80000000
PA
USD
241924.61000000
0.012517754883
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Variable
0.56000000
N
N
N
N
N
N
Pennsylvania Higher Education Assistance Agency
N/A
Pennsylvania Higher Education Assistance Agency
708788AD6
521403.33000000
PA
USD
490799.30000000
0.025395123441
Long
ABS-O
CORP
US
N
2
2038-04-25
Floating
0.52800000
N
N
N
N
N
N
Genesis Sales Finance Master Trust
N/A
Genesis Sales Finance Master Trust
37186XAF2
4000000.00000000
PA
USD
3990106.40000000
0.206457597990
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
2.24000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
36186CBY8
6040000.00000000
PA
USD
7963156.17000000
0.412032645365
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
Csail 2015-C2 Commercial Mortgage Trust
12634NAZ1
325000.00000000
PA
USD
302836.66000000
0.015669489266
Long
ABS-MBS
CORP
US
N
2
2057-06-15
Variable
4.18700000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBE0
3159000.00000000
PA
USD
2774225.71000000
0.143545038390
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
3.37500000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C30
46644UBG2
2629000.00000000
PA
USD
2581857.82000000
0.133591466099
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Variable
4.26300000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030637
129176000.00000000
PA
USD
130477852.52000000
6.751234508995
Long
ABS-MBS
USGSE
US
N
2
2049-04-25
Fixed
3.00000000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2020-2
57108RAE1
5750000.00000000
PA
USD
5908878.25000000
0.305739418456
Long
ABS-O
CORP
US
N
2
2030-09-16
Fixed
4.65000000
N
N
N
N
N
N
United States Treasury
JNLUVFYJT1OZSIQ24U47
United States Treasury Note/Bond
91282CDZ1
109369000.00000000
PA
USD
108941777.34000000
5.636906742746
Long
DBT
UST
US
N
2
2025-02-15
Fixed
1.50000000
N
N
N
N
N
N
Pennsylvania Electric Co
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co
708696BZ1
1682000.00000000
PA
USD
1741004.48000000
0.090083713815
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.60000000
N
N
N
N
N
N
AMER AIRLINE 21-1A EETC
N/A
American Airlines 2021-1 Class A Pass Through Trust
02379KAA2
5602000.00000000
PA
USD
5412976.76000000
0.280080295565
Long
DBT
CORP
US
N
2
2034-07-11
Fixed
2.87500000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2018-ATRM
04965KAA8
1141000.00000000
PA
USD
1128019.76000000
0.058366426052
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.14100000
N
N
N
N
N
N
Ellington Financial Mortgage Trust
N/A
Ellington Financial Mortgage Trust 2020-1
31574PAA3
1195898.04000000
PA
USD
1197320.20000000
0.061952195690
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.00600000
N
N
N
N
N
N
2022-03-31
LORD ABBETT INVESTMENT TRUST
Michael Hebert
Michael Hebert
Chief Financial Officer
XXXX