FHLMC P1J0256 V/R 01/01/37 1.99500000

0001752724-22-297154.txt : 20221229 0001752724-22-297154.hdr.sgml : 20221229 20221229120733 ACCESSION NUMBER: 0001752724-22-297154 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20221031 FILED AS OF DATE: 20221229 DATE AS OF CHANGE: 20221229 PERIOD START: 20221031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BBH Trust CENTRAL INDEX KEY: 0001342947 IRS NUMBER: 000000000 FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21829 FILM NUMBER: 221497674 BUSINESS ADDRESS: STREET 1: 50 POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 800-575-1265 MAIL ADDRESS: STREET 1: 140 BROADWAY CITY: NEW YORK STATE: NY ZIP: 10005

0001342947 S000015110 BBH Limited Duration Fund

C000041213 Class N Shares BBBMX

C000041214 Class I Shares BBBIX

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PLC REGD V/R 3.51100000 53944YAR4 24865000.00000000 NS USD 23009091.57000000 0.278871808645 Long DBT CORP GB N 2 2026-03-18 Variable 3.51100000 N N N N N N FRANKLIN BSP LE 3.25% 03/30/26 549300K8IFP295FLKS39 FRANKLIN BSP LENDING COR REGD SER WI 3.25000000 12325JAJ0 26475000.00000000 NS USD 22699764.55000000 0.275122743400 Long DBT CORP US N 2 2026-03-30 Fixed 3.25000000 N N N N N N AVOLON HOLDINGS 5.5% 01/15/26 N/A AVOLON HOLDINGS FNDG LTD REGD 144A P/P 5.50000000 05401AAK7 33535000.00000000 NS USD 30815227.66000000 0.373482727261 Long DBT CORP KY Y 2 2026-01-15 Fixed 5.50000000 N N N N N N NORDSTROM INC 2.3% 04/08/24 549300S3IZB5P35KNV16 NORDSTROM INC REGD SER WI 2.30000000 655664AX8 11000000.00000000 NS USD 10323335.00000000 0.125119546503 Long DBT CORP US N 2 2024-04-08 Fixed 2.30000000 N N N N N N TEXAS ST MUNI G 6.25% 12/15/26 6AZ7FRSNC3ZFPM0Z8L86 TEXAS ST MUNI GAS ACQUISITION REGD N/C OID B/E 6.25000000 88256CEX3 12845000.00000000 NS USD 13305007.71000000 0.161257629526 Long DBT 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1.69000000 12530MAA3 23297928.85000000 NS USD 20481665.89000000 0.248239231585 Long ABS-CBDO CORP US Y 2 2060-07-15 Fixed 1.69000000 N N N N N N BX 2019-XL A V/R 10/15/21 N/A BX COMMERCIAL MORTGAGE TRUST 2019-XL SER 2019-XL CL A V/R REGD 144A P/P 4.33200000 056054AA7 11716656.78000000 NS USD 11481817.48000000 0.139160435667 Long ABS-CBDO CORP US Y 2 2036-10-15 Variable 4.33200000 N N N N N N PACIFIC LIFE GF 1.2% 06/24/25 6354003EUPCHXTWUU869 PACIFIC LIFE GF II REGD 144A P/P 1.20000000 6944PL2B4 19330000.00000000 NS USD 17297253.33000000 0.209643927317 Long DBT CORP US Y 2 2025-06-24 Fixed 1.20000000 N N N N N N JPMORGAN CHASE & V/R 03/16/24 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 0.69700000 46647PBZ8 62235000.00000000 NS USD 61028203.60000000 0.739666121304 Long DBT CORP US N 2 2024-03-16 Variable 0.69700000 N N N N N N T/L CHARTER 0% 04/30/2025 N/A T/L CHARTER COMMUNICATIONS OPERATING LLC REGD 0.00000000 16117LBW8 36166784.16000000 NS USD 35682510.92000000 0.432474542812 Long LON CORP US N 2 2025-04-30 Variable 5.51000000 N N N N N N US T BILL ZCP 01/05/23 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796X95 9000000.00000000 PA USD 8938412.46000000 0.108334187882 Long STIV UST US N 2 2023-01-05 Fixed 0.00000000 N N N N N N T/L BCP RENAISSANC 0% 11/02/2026 N/A T/L BCP RENAISSANCE PARENT LLC REGD 0.00000000 05549PAC5 10333362.58000000 NS USD 10099001.92000000 0.122400613791 Long LON CORP US N 2 2026-11-02 Variable 7.05320000 N N N N N N T/L SS&C TECHNOLOGI 0% 4/16/25 N/A T/L SS&C TECHNOLOGIES HOLDINGS INC REGD 0.00000000 78466DBF0 8093227.11000000 NS USD 7906921.02000000 0.095832439058 Long LON CORP US N 2 2025-04-16 Variable 5.50386000 N N N N N N ABBVIE INC 2.3% 11/21/22 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 2.30000000 00287YBM0 57840000.00000000 NS USD 57762141.58000000 0.700081219836 Long DBT CORP US N 2 2022-11-21 Fixed 2.30000000 N N N N N N OPTN 2021-C A 2.18% 10/08/31 N/A OPORTUN ISSUANCE TRUST 2021-C SER 2021-C CL A REGD 144A P/P 2.18000000 68377WAA9 56210000.00000000 NS USD 49382205.03000000 0.598515799275 Long ABS-CBDO CORP US Y 2 2031-10-08 Fixed 2.18000000 N N N N N N MTN 2022-LPFL A V/R 03/15/27 N/A MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL SER 2022-LPFL CL A V/R REGD 144A P/P 4.77256000 62475WAA3 16040000.00000000 NS USD 15558832.08000000 0.188574139459 Long ABS-CBDO CORP US Y 2 2039-03-15 Variable 4.77256000 N N N N N N VISTRA CORP 5.5% 09/01/26 N/A VISTRA CORP REGD 144A P/P 5.50000000 92840VAA0 36892000.00000000 NS USD 35416320.00000000 0.429248290134 Long DBT CORP US Y 2 2026-09-01 Fixed 5.50000000 N N N N N N EART 2022-2A A 2.19% 11/17/25 N/A EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2 SER 2022-2A CL A2 REGD 2.19000000 30166QAB5 16168115.97000000 NS USD 16098922.90000000 0.195120078196 Long ABS-CBDO CORP US N 2 2025-11-17 Fixed 2.19000000 N N N N N N EART 2022-1A A 1.15% 01/15/23 N/A EXETER AUTOMOBILE RECEIVABLES TRUST 2022-1 SER 2022-1A CL A2 REGD 1.15000000 30167JAB0 17933954.55000000 NS USD 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0.60000000 N N N N N N SIDC 2019-1A A 4.54% 02/26/24 N/A STACK INFRASTRUCTURE ISSUER LLC SER 2019-1A CL A2 REGD 144A P/P 4.54000000 85236KAA0 49919932.28000000 NS USD 48608006.51000000 0.589132458743 Long ABS-CBDO CORP US Y 2 2044-02-25 Fixed 4.54000000 N N N N N N SYMP 2019-21A AR V/R 07/15/32 N/A SYMPHONY CLO XXI LTD SER 2019-21A CL AR V/R REGD 144A P/P 5.13914000 87166RDE4 50790000.00000000 NS USD 49030055.39000000 0.594247720862 Long ABS-CBDO CORP KY Y 2 2032-07-15 Variable 5.13914000 N N N N N N BLACKSTONE SEC 3.625% 01/15/26 549300KM7KWQHVBNH962 BLACKSTONE SECURED LEND REGD 3.62500000 09261LAC2 9654000.00000000 NS USD 8696860.35000000 0.105406559314 Long DBT CORP US N 2 2026-01-15 Fixed 3.62500000 N N N N N N BPR 2022-OANA A V/R 04/15/24 N/A BPR TRUST 2022-OANA SER 2022-OANA CL A V/R REGD 144A P/P 5.27366000 05592DAA2 20300000.00000000 NS USD 19668249.79000000 0.238380571225 Long ABS-CBDO CORP US Y 2 2037-04-15 Variable 5.27366000 N N N N N N US BANCORP V/R 10/21/26 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REGD 0.00000000 N/A 3877495.26000000 NS USD 3833873.44000000 0.046466815827 Long LON CORP LU N 2 2028-07-03 Variable 5.93750000 N N N N N N OWL ROCK CORE 3.125% 09/23/26 5493003I42XBWPE05N35 OWL ROCK CORE INCOME COR REGD SER * 3.12500000 69120VAM3 18000000.00000000 NS USD 15043058.64000000 0.182322929079 Long DBT CORP US N 2 2026-09-23 Fixed 3.12500000 N N N N N N FRANKLIN BSP LE 4.85% 12/15/24 549300K8IFP295FLKS39 FRANKLIN BSP LENDING COR REGD 144A P/P 4.85000000 12325JAF8 18375000.00000000 NS USD 17114537.11000000 0.207429393875 Long DBT CORP US Y 2 2024-12-15 Fixed 4.85000000 N N N N N N EFF 2019-2 A2 2.29% 02/20/23 N/A ENTERPRISE FLEET FINANCING 2019-2 LLC SER 2019-2 CL A2 REGD 144A P/P 2.29000000 29374DAB4 2318365.64000000 NS USD 2312692.83000000 0.028029999810 Long ABS-CBDO CORP US Y 2 2025-02-20 Fixed 2.29000000 N N N N N N CARMX 2022-1 A 0.91% 10/15/23 N/A CARMAX AUTO OWNER TRUST 2022-1 SER 2022-1 CL A2 REGD 0.91000000 14317CAB8 15436286.01000000 NS USD 15209898.98000000 0.184345045738 Long ABS-CBDO CORP US N 2 2025-02-18 Fixed 0.91000000 N N N N N N AVIATION CAPITAL 5.5% 12/15/24 N/A AVIATION CAPITAL GROUP REGD 144A P/P 5.50000000 05369AAH4 33230000.00000000 NS USD 31971947.42000000 0.387502252133 Long DBT CORP US Y 2 2024-12-15 Fixed 5.50000000 N N N N N N T/L SS&C TECHNOLOG 0% 04/16/25 N/A T/L SS&C TECHNOLOGIES HOLDINGS INC REGD 0.00000000 78466DBE3 9695940.03000000 NS USD 9480593.20000000 0.114905456596 Long LON CORP US N 2 2025-04-16 Variable 5.50386000 N N N N N N GOLDMAN SACHS 1.217% 12/06/23 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 1.21700000 38141GZE7 20810000.00000000 NS USD 19910300.46000000 0.241314242375 Long DBT CORP US N 2 2023-12-06 Fixed 1.21700000 N N N N N N WLAKE 2021-3A 0.57% 09/16/24 N/A WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-3 SER 2021-3A CL A2 REGD 144A P/P 0.57000000 96043JAC9 18102099.77000000 NS USD 17932140.97000000 0.217338810181 Long ABS-CBDO CORP US Y 2 2024-09-16 Fixed 0.57000000 N N N N N N BANK OF MONTREAL 1.5% 01/10/25 NQQ6HPCNCCU6TUTQYE16 BANK OF MONTREAL REGD MTN 1.50000000 06368FAE9 51125000.00000000 NS USD 46882338.19000000 0.568217237294 Long DBT CORP CA N 2 2025-01-10 Fixed 1.50000000 N N N N N N OXFIN 2022-1A 3.602% 03/15/25 N/A OXFORD FINANCE FUNDING 2022-1 LLC SER 2022-1A CL A2 REGD 144A P/P 3.60200000 69145BAA4 25930000.00000000 NS USD 23665865.00000000 0.286831948824 Long ABS-CBDO CORP US Y 2 2030-02-15 Fixed 3.60200000 N N N N N N SEACO 2020-1A 2.17% 03/18/30 N/A GLOBAL SC FINANCE VII SRL SER 2020-1A CL A REGD 144A P/P 2.17000000 37959PAA5 22080921.30000000 NS USD 19391619.65000000 0.235027794465 Long ABS-CBDO CORP BB Y 2 2040-10-17 Fixed 2.17000000 N N N N N N NMEF 2022-A A2 2.58% 02/15/25 N/A NMEF FUNDING 2022-A LLC SER 2022-A CL A2 REGD 144A P/P 2.58000000 62920KAB8 34930000.00000000 NS USD 33716423.52000000 0.408645425199 Long ABS-CBDO CORP US Y 2 2028-10-16 Fixed 2.58000000 N N N N N N CFII 2019-1A A 2.94% 11/15/22 N/A CHESAPEAKE FUNDING II LLC SER 2019-1A CL A1 REGD 144A P/P 2.94000000 165183BY9 22317.48000000 NS USD 22300.48000000 0.000270283386 Long ABS-CBDO CORP US Y 2 2031-04-15 Fixed 2.94000000 N N N N N N NY STATE ELECTR 5.75% 05/01/23 N/A NY STATE ELECTRIC & GAS REGD 5.75000000 649840CM5 25345000.00000000 NS USD 25340577.04000000 0.307129576574 Long DBT CORP US N 2 2023-05-01 Fixed 5.75000000 N N N N N N AMCAR 2021-2 A 0.26% 02/21/23 N/A AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-2 SER 2021-2 CL A2 REGD 0.26000000 03066RAB1 3145559.86000000 NS USD 3135010.60000000 0.037996549037 Long ABS-CBDO CORP US N 2 2024-11-18 Fixed 0.26000000 N N N N N N T/L SETANTA 0% 11/05/2028 N/A T/L SETANTA AIRCRAFT LEASING DESIGNATED ACTIVITY COMPANY REGD 0.00000000 G8057JAB2 15000000.00000000 NS USD 14768700.00000000 0.178997683059 Long LON CORP IE N 2 2028-11-05 Variable 5.67414000 N N N N N N SIRIUS INTERNATI 4.6% 11/01/26 N/A SIRIUS INTERNATIONAL GRP REGD 144A P/P 4.60000000 82968FAA2 37290000.00000000 NS USD 33129927.60000000 0.401537053385 Long DBT CORP BM Y 2 2026-11-01 Fixed 4.60000000 N N N N N N T/L ORGANON & CO 0% 06/02/28 N/A T/L ORGANON & CO REGD 0.00000000 N/A 50027637.50000000 NS USD 48714412.02000000 0.590422101011 Long LON CORP US N 2 2028-06-02 Variable 6.18750000 N N N N N N FS KKR CAPITAL 4.125% 02/01/25 549300TYRSI1T21B1360 FS KKR CAPITAL CORP REGD 4.12500000 302635AE7 18859000.00000000 NS USD 17634400.26000000 0.213730171828 Long DBT CORP US N 2 2025-02-01 Fixed 4.12500000 N N N N N N FS KKR CAPITAL 4.25% 02/14/25 549300TYRSI1T21B1360 FS KKR CAPITAL CORP REGD 144A P/P 4.25000000 30313RAA7 42821000.00000000 NS USD 39729232.16000000 0.481521088950 Long DBT CORP US Y 2 2025-02-14 Fixed 4.25000000 N N N N N N HTS 2021-1 A 1.411% 08/23/23 N/A HTS FUND I LLC SER 2021-1 CL A REGD 144A P/P 1.41100000 40456HAA5 21000000.00000000 NS USD 20410349.40000000 0.247374870709 Long ABS-CBDO CORP US Y 2 2036-08-25 Fixed 1.41100000 N N N N N N EDISON INTERNATIONA V/R /PERP/ 549300I7ROF15MAEVP56 EDISON INTERNATIONAL REGD V/R /PERP/ SER A 5.37500000 281020AS6 61690000.00000000 NS USD 50332871.00000000 0.610037937716 Long DBT CORP US N 2 2171-09-15 Variable 5.37500000 N N N N N N MHC 2021-MHC A V/R 04/15/26 N/A MHC COMMERCIAL MORTGAGE TRUST 2021-MHC SER 2021-MHC CL A V/R REGD 144A P/P 4.21296200 55316VAA2 33690000.00000000 NS USD 32276340.65000000 0.391191519497 Long ABS-CBDO CORP US Y 2 2038-04-15 Variable 4.21296200 N N N N N N RESI 2019-2A A1 V/R 02/10/51 N/A RESIMAC PREMIER SERIES 2019-2 SER 2019-2A CL A1 V/R REGD 144A P/P 4.25029000 76120LAA6 4841149.95000000 NS USD 4796753.70000000 0.058136992322 Long ABS-CBDO CORP AU Y 2 2051-02-10 Variable 4.25029000 N N N N N N PROTECTIVE LIF 0.781% 07/05/24 N/A PROTECTIVE LIFE GLOBAL REGD 144A P/P 0.78100000 74368CBF0 29855000.00000000 NS USD 27590342.41000000 0.334396891142 Long DBT CORP US Y 2 2024-07-05 Fixed 0.78100000 N N N N N N US T BILL ZCP 12/20/22 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796YZ6 61500000.00000000 PA USD 61196390.56000000 0.741704559092 Long STIV UST US N 2 2022-12-20 Fixed 0.00000000 N N N N N N WOODS 2019-18A A V/R 05/20/32 N/A NORTHWOODS CAPITAL XVIII LTD SER 2019-18A CL AR V/R REGD 144A P/P 4.08400000 66860MAN1 30000000.00000000 NS USD 29021124.00000000 0.351738064676 Long ABS-CBDO CORP KY Y 2 2032-05-20 Variable 4.08400000 N N N N N N VEROS 2022-1 A 3.47% 05/15/24 N/A VEROS AUTO RECEIVABLES TRUST 2022-1 SER 2022-1 CL A REGD 144A P/P 3.47000000 92512VAA7 13172572.34000000 NS USD 12851652.91000000 0.155762937454 Long ABS-CBDO CORP US Y 2 2025-12-15 Fixed 3.47000000 N N N N N N PARLI 2021-2A A V/R 08/20/32 N/A PARLIAMENT CLO II LTD SER 2021-2A CL A V/R REGD 144A P/P 4.33400000 701631AA1 19490000.00000000 NS USD 19075603.62000000 0.231197657948 Long ABS-CBDO CORP KY Y 2 2032-08-20 Variable 4.33400000 N N N N N N T/L CENTURYLINK 0% 01/31/2025 N/A T/L CENTURYLINK INC REGD 0.00000000 15669GAF1 49855542.75000000 NS USD 48588214.85000000 0.588892582431 Long LON CORP US N 2 2025-01-31 Variable 5.75386000 N N N N N N RBIT 2021-HB1 A V/R 11/25/31 N/A RMF BUYOUT ISSUANCE TRUST 2021-HB1 SER 2021-HB1 CL A V/R REGD 144A P/P 1.25860000 74969TAA8 21282393.43000000 NS USD 20123490.49000000 0.243898120537 Long ABS-CBDO CORP US Y 2 2031-11-25 Variable 1.25860000 N N N N N N FLX 2021-1A A2 3.25% 11/25/26 N/A FLEXENTIAL ISSUER 2021-1 SER 2021-1A CL A2 REGD 144A P/P 3.25000000 33938MAA7 50300000.00000000 NS USD 42965374.72000000 0.520743364458 Long ABS-CBDO CORP US Y 2 2051-11-27 Fixed 3.25000000 N N N N N N BLACKSTONE PRIV 1.75% 09/15/24 N/A BLACKSTONE PRIVATE CRE REGD SER WI 1.75000000 09261HAB3 46600000.00000000 NS USD 42622785.53000000 0.516591159372 Long DBT CORP US N 2 2024-09-15 Fixed 1.75000000 N N N N N N AIR LEASE CORP 2.75% 01/15/23 5493004NW4M4P8TMMK63 AIR LEASE CORP REGD 2.75000000 00912XAX2 29300000.00000000 NS USD 29133568.09000000 0.353100894958 Long DBT CORP US N 2 2023-01-15 Fixed 2.75000000 N N N N N N LIFE 2022-BMR2 A V/R 05/15/24 N/A LIFE 2022-BMR MORTGAGE TRUST SER 2022-BMR2 CL A1 V/R REGD 144A P/P 4.67090000 53218DAA6 23600000.00000000 NS USD 22716824.28000000 0.275329508527 Long ABS-CBDO CORP US Y 2 2039-05-15 Variable 4.67090000 N N N N N N ELB 5A AR V/R 06/15/34 54930088K41XQK16ML36 BLACKROCK ELBERT CLO V LLC/KY SER 5A CL AR V/R REGD 144A P/P 5.05642000 092913AC6 12410000.00000000 NS USD 11831229.87000000 0.143395338416 Long ABS-CBDO CORP KY Y 2 2034-06-15 Variable 5.05642000 N N N N N N UMBS P#AL2472 6.5% 06/01/40 N/A FANNIE MAE POOL UMBS P#AL2472 6.50000000 3138EJXA1 785973.82000000 NS USD 820443.16000000 0.009943828821 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6.50000000 N N N N N N SIDC 2020-1A 1.893% 08/25/25 N/A STACK INFRASTRUCTURE ISSUER LLC SER 2020-1A CL A2 REGD 144A P/P 1.89300000 85236KAD4 19160000.00000000 NS USD 16979563.26000000 0.205793501317 Long ABS-CBDO CORP US Y 2 2045-08-25 Fixed 1.89300000 N N N N N N T/L SOUTHWEST 0% 06/22/2027 N/A T/L SOUTHWESTERN ENERGY REGD 0.00000000 N/A 15880000.00000000 NS USD 15612104.40000000 0.189219803725 Long LON CORP US N 2 2027-06-22 Variable 6.20320000 N N N N N N BHG 2020-A A 2.56% 09/17/31 N/A BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 2020-A SER 2020-A CL A REGD 144A P/P 2.56000000 06616PAA5 6146229.54000000 NS USD 5956097.77000000 0.072188324016 Long ABS-CBDO CORP US Y 2 2031-09-17 Fixed 2.56000000 N N N N N N AERCAP IRELAND C 4.5% 09/15/23 N/A AERCAP IRELAND CAP/GLOBA REGD 4.50000000 00774MAP0 11426000.00000000 NS USD 11220890.73000000 0.135997985099 Long DBT CORP IE N 2 2023-09-15 Fixed 4.50000000 N N N N N N CFII 2020-1A A 0.87% 01/15/24 N/A CHESAPEAKE FUNDING II LLC SER 2020-1A CL A1 REGD 144A P/P 0.87000000 165183CJ1 12547067.28000000 NS USD 12224228.73000000 0.148158512249 Long ABS-CBDO CORP US Y 2 2032-08-15 Fixed 0.87000000 N N N N N N WELLS FARGO & COM V/R 06/02/24 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R MTN 1.65400000 95000U2R3 14870000.00000000 NS USD 14526373.48000000 0.176060668588 Long DBT CORP US N 2 2024-06-02 Variable 1.65400000 N N N N N N AIR LEASE CORP 2.25% 01/15/23 5493004NW4M4P8TMMK63 AIR LEASE CORP REGD 2.25000000 00914AAD4 35795000.00000000 NS USD 35550698.41000000 0.430876965917 Long DBT CORP US N 2 2023-01-15 Fixed 2.25000000 N N N N N N SUTTER HEALTH 1.321% 08/15/25 549300MJCC12LU768G81 SUTTER HEALTH REGD SER 20A 1.32100000 86944BAF0 60630000.00000000 NS USD 54326065.47000000 0.658435735635 Long DBT CORP US N 2 2025-08-15 Fixed 1.32100000 N N N N N N MITSUBISHI UFJ 1.412% 07/17/25 353800V2V8PUY9TK3E06 MITSUBISHI UFJ FIN GRP REGD 1.41200000 606822BS2 39660000.00000000 NS USD 35402499.00000000 0.429080778641 Long DBT CORP JP N 2 2025-07-17 Fixed 1.41200000 N N N N N N DAIMLER TRUCKS FI V/R 06/14/23 N/A DAIMLER TRUCKS FINAN NA REGD V/R 144A P/P 2.28188000 233853AA8 45590000.00000000 NS USD 45444523.22000000 0.550790818700 Long DBT CORP US Y 2 2023-06-14 Variable 2.28188000 N N N N N N SPGN 2022-TFLM A V/R 02/25/27 N/A SPGN 2022-TFLM MORTGAGE TRUST SER 2022-TFLM CL A V/R REGD 144A P/P 4.92566000 78473HAA4 46350000.00000000 NS USD 44007012.14000000 0.533368083273 Long ABS-CBDO CORP US Y 2 2039-02-15 Variable 4.92566000 N N N N N N FREED 2022-1FP 0.94% 03/19/29 N/A FREED ABS TRUST 2022-1FP SER 2022-1FP CL A REGD 144A P/P 0.94000000 35633KAA4 3192011.86000000 NS USD 3164100.27000000 0.038349117884 Long ABS-CBDO CORP US Y 2 2029-03-19 Fixed 0.94000000 N N N N N N US T BILL ZCP 11/22/22 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796YR4 78000000.00000000 PA USD 77863474.92000000 0.943710794157 Long STIV UST US N 2 2022-11-22 Fixed 0.00000000 N N N N N N F/C US 2YR NOTE (CBT) DEC22 N/A FUTURE CONTRACT ON US 2YR NOTE (CBT) DEC22 0.00000000 N/A -1165.00000000 NC USD -238105975.98000000 -2.88586118095 N/A DIR CORP US N 1 GOLDMAN, SACHS AND CO. FOR8UP27PHTHYVLBNG30 Short F/C US 2YR NOTE (CBT) DEC22 US 2YR NOTE (CBT) DEC22 2022-12-30 243048125.00000000 USD 4942149.02000000 N N N BANK OF NOVA SCOT V/R 07/31/24 L3I9ZG2KFGXZ61BMYR72 BANK OF NOVA SCOTIA REGD V/R 2.65831200 0641596F8 32500000.00000000 NS USD 32078444.78000000 0.388793007629 Long DBT CORP CA N 2 2024-07-31 Variable 2.65831200 N N N N N N MCIP 2022-1A A 4.05% 04/30/32 N/A MONROE CAPITAL INCOME PLUS ABS FUNDING LLC SER 2022-1A CL A REGD 144A P/P 4.05000000 61033MAB0 41880000.00000000 NS USD 36546695.08000000 0.442948515631 Long ABS-CBDO CORP US Y 2 2032-04-30 Fixed 4.05000000 N N N N N N AERCAP IRELAND 1.75% 10/29/24 N/A AERCAP IRELAND CAP/GLOBA REGD SER 3NC1 1.75000000 00774MBB0 21450000.00000000 NS USD 19438279.36000000 0.235593313433 Long DBT CORP IE N 2 2024-10-29 Fixed 1.75000000 N N N N N N NRART 2020-T1 1.425% 08/15/23 N/A NEW RESIDENTIAL ADVANCE RECEIVABLES TRUST SER 2020-T1 CL AT1 REGD 144A P/P 1.42570000 62942QCR2 40570000.00000000 NS USD 38764817.57000000 0.469832316267 Long ABS-CBDO CORP US Y 2 2053-08-15 Fixed 1.42570000 N N N N N N CAUTO 2020-1A 3.19% 02/15/25 N/A CARS-DB4 LP SER 2020-1A CL A4 REGD 144A P/P 3.19000000 12510HAD2 20547756.25000000 NS USD 19085908.73000000 0.231322556606 Long ABS-CBDO CORP US Y 2 2050-02-15 Fixed 3.19000000 N N N N N N T/L AMERICAN AIRLI 0% 4/20/28 N/A T/L AMERICAN AIRLINES INC REGD 0.00000000 N/A 36085000.00000000 NS USD 35685539.05000000 0.432511243961 Long LON CORP US N 2 2028-04-20 Variable 8.99257000 N N N N N N WMRK 2022-WMRK A V/R 11/15/27 N/A WMRK COMMERCIAL MORTGAGE TRUST 2022-WMRK SER 2022-WMRK CL A V/R REGD 144A P/P 0.00000000 929342AA1 20000000.00000000 NS USD 19849826.00000000 0.240581287665 Long ABS-CBDO CORP US Y 2 2027-11-15 Variable 6.28900000 N N N N N N MORGAN STANLEY V/R 10/16/26 IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY REGD V/R SER VAR 6.13800000 61747YEX9 42665000.00000000 NS USD 42793330.35000000 0.518658174589 Long DBT CORP US N 2 2026-10-16 Variable 6.13800000 N N N N N N US BANCORP V/R /PERP/ N1GZ7BBF3NP8GI976H15 US BANCORP REGD V/R /PERP/ 3.70000000 902973BC9 42990000.00000000 NS USD 33424725.00000000 0.405110018614 Long DBT CORP US N 2 2171-01-15 Variable 3.70000000 N N N N N N AGL 2019-2A A1 V/R 04/20/32 N/A AGL CORE CLO 2 LTD SER 2019-2A CL A1 V/R REGD 144A P/P 5.63257000 001200AA2 10000000.00000000 NS USD 9767943.00000000 0.118388156388 Long ABS-CBDO CORP KY Y 2 2032-04-20 Variable 5.63257000 N N N N N N CONSTELLATION BR 3.6% 05/09/24 5493005GKEG8QCVY7037 CONSTELLATION BRANDS INC REGD 3.60000000 21036PBM9 8175000.00000000 NS USD 7998536.58000000 0.096942826090 Long DBT CORP US N 2 2024-05-09 Fixed 3.60000000 N N N N N N TRUIST FINANCIAL V/R 10/28/26 549300DRQQI75D2JP341 TRUIST FINANCIAL CORP REGD V/R MTN 5.90000000 89788MAJ1 14435000.00000000 NS USD 14435678.16000000 0.174961434929 Long DBT CORP US N 2 2026-10-28 Variable 5.90000000 N N N N N N RCMT 2022-FL8 A V/R 12/25/26 N/A READY CAPITAL MORTGAGE FINANCING 202 SER 2022-FL8 CL A V/R REGD 144A P/P 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