0001752724-22-187459.txt : 20220823
0001752724-22-187459.hdr.sgml : 20220823
20220823133217
ACCESSION NUMBER: 0001752724-22-187459
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220630
FILED AS OF DATE: 20220823
DATE AS OF CHANGE: 20220823
PERIOD START: 20221231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: NATIONWIDE VARIABLE INSURANCE TRUST
CENTRAL INDEX KEY: 0000353905
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03213
FILM NUMBER: 221186700
BUSINESS ADDRESS:
STREET 1: ONE NATIONWIDE PLAZA
STREET 2: MAIL CODE 5-02-210
CITY: COLUMBUS
STATE: OH
ZIP: 43215
BUSINESS PHONE: 614-435-5749
MAIL ADDRESS:
STREET 1: ONE NATIONWIDE PLAZA
STREET 2: MAIL CODE 5-02-210
CITY: COLUMBUS
STATE: OH
ZIP: 43215
FORMER COMPANY:
FORMER CONFORMED NAME: GARTMORE VARIABLE INSURANCE TRUST
DATE OF NAME CHANGE: 20020125
FORMER COMPANY:
FORMER CONFORMED NAME: NATIONWIDE SEPARATE ACCOUNT TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: NATIONWIDE SEPARATE ACCOUNT MONEY MARKET TRUST
DATE OF NAME CHANGE: 19860226
0000353905
S000021040
NVIT Short Term Bond Fund
C000059825
Class I
C000059826
Class II
C000059827
Class Y
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000353905
XXXXXXXX
S000021040
C000059825
C000059826
C000059827
Nationwide Variable Insurance Trust
811-03213
0000353905
549300WLMVM3JP578846
One Nationwide Plaza Location:N0900
Mail Code 5-02-210T
Columbus
43215
614-435-3820
NVIT Short Term Bond Fund
S000021040
549300UQ781MJCK8JH31
2022-12-31
2022-06-30
N
1278281538.21
52427991.21
1225853547.00
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
125801361.23000000
KYD
RUB
USD
UST
British Airways Pass-Through Trust
N/A
British Airways Pass-Through Trust, Series 2021-1, Class B
11042CAB6
4467656.27000000
PA
USD
3989457.55000000
0.325443243996
Long
ABS-O
CORP
US
Y
2
2031-09-15
Fixed
3.90000000
N
N
N
N
N
N
PTC, Inc.
54930050SSMU8SKDJ030
PTC, Inc.
69370CAB6
1350000.00000000
PA
USD
1276804.32000000
0.104156350742
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
3.62500000
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1
64829LAA6
1003367.67000000
PA
USD
970289.05000000
0.079152118323
Long
ABS-MBS
CORP
US
Y
2
2056-11-25
Variable
3.75000120
N
N
N
N
N
N
NRZ Advance Receivables Trust
549300RNWDDBV4LFKJ17
NRZ Advance Receivables Trust, Series 2020-T2, Class AT2
62942QCW1
9000000.00000000
PA
USD
8596316.70000000
0.701251525603
Long
ABS-O
CORP
US
Y
2
2053-09-15
Fixed
1.47540000
N
N
N
N
N
N
Mill City Mortgage Loan Trust
N/A
Mill City Mortgage Loan Trust, Series 2018-4, Class A1B
59980YAB1
5482452.75000000
PA
USD
5317657.35000000
0.433792222815
Long
ABS-MBS
CORP
US
Y
2
2066-04-25
Variable
3.49538040
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017DB2
2596000.00000000
PA
USD
2593271.24000000
0.211548210334
Long
DBT
CORP
US
N
2
2023-08-16
Fixed
3.65000000
N
N
N
N
N
N
NRZ Advance Receivables Trust
549300RNWDDBV4LFKJ17
NRZ Advance Receivables Trust, Series 2020-T3, Class BT3
62942QDC4
360000.00000000
PA
USD
357056.10000000
0.029127141726
Long
ABS-O
CORP
US
Y
2
2052-10-15
Fixed
1.56580000
N
N
N
N
N
N
LCM 37 Ltd.
N/A
LCM 37 Ltd., Series 37A, Class A1
50204JAA5
1700000.00000000
PA
USD
1669726.40000000
0.136209288955
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-15
Floating
2.51106840
N
N
N
N
N
N
LL ABS Trust
N/A
LL ABS Trust, Series 2022-1A, Class A
50203YAA3
2700963.78000000
PA
USD
2674995.36000000
0.218214921884
Long
ABS-O
CORP
US
Y
2
2029-11-15
Fixed
3.76000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2015-SFR2, Class A
02666BAA4
0.22000000
PA
USD
0.22000000
0.000000017946
Long
ABS-O
CORP
US
Y
2
2052-10-17
Fixed
3.73200000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAB8
1750000.00000000
PA
USD
1645455.00000000
0.134229329761
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
5.62500000
N
N
N
N
N
N
Ares LVI CLO Ltd.
N/A
Ares LVI CLO Ltd., Series 2020-56A, Class AR
04018NAN1
2700000.00000000
PA
USD
2613608.10000000
0.213207206227
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-25
Floating
2.34399960
N
N
N
N
N
N
Goodgreen
N/A
Goodgreen, Series 2022-1A, Class A
38218JAA4
2309717.46000000
PA
USD
2182489.68000000
0.178038370516
Long
ABS-O
CORP
US
Y
2
2056-10-15
Fixed
3.84000000
N
Y
N
N
N
N
N/A
N/A
CDI
N/A
150000000.00000000
PA
USD
2289671.08000000
0.186781780385
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Investment Grade Index Series 38-V1
Markit CDX North American Investment Grade Index Series 38-V1
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
2287855.49000000
USD
150000000.00000000
USD
2289671.08000000
N
N
N
Goodgreen Trust
N/A
Goodgreen Trust, Series 2017-1A, Class A
38217VAA8
278818.22000000
PA
USD
265178.40000000
0.021632143631
Long
ABS-O
CORP
US
Y
2
2052-10-15
Fixed
3.74000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
170000000.00000000
PA
USD
1592282.25000000
0.129891719438
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Investment Grade Index Series 38-V1
Markit CDX North American Investment Grade Index Series 38-V1
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
1590224.58000000
USD
170000000.00000000
USD
1592282.25000000
N
N
N
GSAA Trust
N/A
GSAA Trust, Series 2004-NC1, Class AF6
36228FC38
2489.22000000
PA
USD
2359.61000000
0.000192487104
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
5.26200120
N
N
N
N
N
N
HomeBanc Mortgage Trust
N/A
HomeBanc Mortgage Trust, Series 2005-4, Class A2
43739EBT3
254624.35000000
PA
USD
254083.53000000
0.020727070588
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.28357000
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
96950FAQ7
4500000.00000000
PA
USD
4445492.72000000
0.362644683851
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust, Series 2021-PJ10, Class A4
36262PAD3
7467429.50000000
PA
USD
6234482.22000000
0.508582957177
Long
ABS-MBS
CORP
US
Y
2
2052-03-25
Variable
2.49999840
N
N
N
N
N
N
Fells Point Funding Trust
N/A
Fells Point Funding Trust
314382AA0
5250000.00000000
PA
USD
4841170.43000000
0.394922414822
Long
DBT
CORP
US
Y
2
2027-01-31
Fixed
3.04600000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828K74
15000000.00000000
PA
USD
14531835.90000000
1.185446331298
Long
DBT
UST
US
N
2
2025-08-15
Fixed
2.00000000
N
N
N
N
N
Royalty Pharma plc
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAG8
9957000.00000000
PA
USD
9587906.56000000
0.782141274825
Long
DBT
CORP
GB
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAB9
2620000.00000000
PA
USD
2619309.92000000
0.213672336830
Long
DBT
CORP
FR
Y
2
2024-07-21
Fixed
5.15000000
N
N
N
N
N
N
AMMC CLO 22 Ltd.
549300ZW9D4NPX7LOC22
AMMC CLO 22 Ltd., Series 2018-22A, Class A
00177HAA7
5000000.00000000
PA
USD
4895480.00000000
0.399352762161
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-25
Floating
2.21400000
N
N
N
N
N
N
Wellman Park CLO Ltd.
N/A
Wellman Park CLO Ltd., Series 2021-1A, Class A
949723AA8
16000000.00000000
PA
USD
15478384.00000000
1.262661762318
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-15
Floating
2.14428960
N
N
N
N
N
N
GoldenTree Loan Management US CLO 8 Ltd.
549300LOEERRNVSKVY31
Goldentree Loan Management US CLO 8 Ltd., Series 2020-8A, Class BR
38136NAS5
5350000.00000000
PA
USD
5069611.85000000
0.413557709434
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-20
Floating
2.66271120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEW7
18000000.00000000
PA
USD
18175781.16000000
1.482704129255
Long
DBT
UST
US
N
2
2027-06-30
Fixed
3.25000000
N
N
N
N
N
N
RASC Trust
N/A
RASC Trust, Series 2005-KS12, Class M2
753910AE8
4100166.09000000
PA
USD
4076953.00000000
0.332580756484
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
2.31356880
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
8000000.00000000
PA
USD
7526599.36000000
0.613988463664
Long
DBT
CORP
CH
Y
2
2025-09-11
Variable
2.59300080
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BR9
650000.00000000
PA
USD
646594.00000000
0.052746431381
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
RR 19 Ltd.
549300RJ4N2AJDFNE876
RR 19 Ltd., Series 2021-19A, Class A1
74983AAA1
8750000.00000000
PA
USD
8474541.25000000
0.691317594237
Long
ABS-CBDO
CORP
KY
Y
2
2035-10-15
Floating
2.18428920
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2016-3A, Class A1
64829HAA5
936673.05000000
PA
USD
901020.18000000
0.073501453922
Long
ABS-MBS
CORP
US
Y
2
2056-09-25
Variable
3.75000120
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAC9
1350000.00000000
PA
USD
1262820.50000000
0.103015609253
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
3.50000000
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABN6
8000000.00000000
PA
USD
7316653.60000000
0.596861967557
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
1.80000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAE3
1500000.00000000
PA
USD
1477356.84000000
0.120516585657
Long
DBT
CORP
FR
Y
2
2026-04-01
Fixed
4.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828XT2
16000000.00000000
PA
USD
15710624.96000000
1.281607007496
Long
DBT
UST
US
N
2
2024-05-31
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
3 Month Eurodollar
N/A
-2000.00000000
NC
USD
-12500.00000000
-0.00101969766
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Call
Written
N/A
3 Month Eurodollar
250000.00000000
99.62500000
USD
2022-12-19
XXXX
231780.00000000
N
N
N
Visio Trust
N/A
Visio Trust, Series 2019-2, Class A1
92837DAA5
5130081.25810000
PA
USD
4913760.10000000
0.400843976185
Long
ABS-MBS
CORP
US
Y
2
2054-11-25
Variable
2.72199960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBV2
44000000.00000000
PA
USD
42002812.72000000
3.426413605670
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.37500000
N
N
N
N
N
N
Carlyle US CLO Ltd.
N/A
Carlyle US CLO Ltd., Series 2021-1A, Class A2
14316MAC5
3000000.00000000
PA
USD
2798613.00000000
0.228299131396
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-15
Floating
2.49428880
N
N
N
N
N
N
Bayview Opportunity Master Fund IVb Trust
N/A
Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class A
07333BAA6
0.01000000
PA
USD
0.01000000
0.000000000815
Long
ABS-O
CORP
US
Y
2
2054-06-28
Variable
3.99999960
N
N
N
N
N
N
Soundview Home Loan Trust
N/A
Soundview Home Loan Trust, Series 2006-WF2, Class M1
83612MAF4
497287.23000000
PA
USD
496708.98000000
0.040519438983
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
1.95356880
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2020-SFR2, Class C
89613JAE0
1000000.00000000
PA
USD
870490.60000000
0.071010978605
Long
ABS-O
CORP
US
Y
2
2039-11-17
Fixed
2.03200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDQ1
3000000.00000000
PA
USD
2772890.64000000
0.226200808961
Long
DBT
UST
US
N
2
2026-12-31
Fixed
1.25000000
N
N
N
N
N
Cedar Funding VIII CLO Ltd.
549300PTCF9P2JDL1E69
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1R
15032EAL3
1550000.00000000
PA
USD
1496352.95000000
0.122066208778
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-17
Floating
2.19429000
N
N
N
N
N
N
CANTOR FITZGERAL & CO
5493004J7H4GCPG6OB62
Government Agency Repurchase Agreement
N/A
16901375.00000000
PA
USD
16901375.00000000
1.378743410365
Long
RA
CORP
US
N
2
Repurchase
Y
1.55000000
2022-07-01
41496855.05376700
USD
17239402.49788400
USD
AMBS
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAP6
15000000.00000000
PA
USD
14460937.50000000
1.179662736661
Long
DBT
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
LCM 34 Ltd.
54930038DJKYPKSVRB29
LCM 34 Ltd., Series 34A, Class A1
50203CAA1
11450000.00000000
PA
USD
11064512.85000000
0.902596633755
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-20
Floating
2.23270920
N
N
N
N
N
N
Dryden 76 CLO Ltd.
N/A
Dryden 76 CLO Ltd., Series 2019-76A, Class A1R
26252WAU3
200000.00000000
PA
USD
193091.20000000
0.015751571667
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-20
Floating
2.21271120
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CU7
2750000.00000000
PA
USD
2716362.94000000
0.221589515864
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.04000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-RPL2, Class M1
69357QAD8
1900000.00000000
PA
USD
1695429.85000000
0.138306068791
Long
ABS-MBS
CORP
US
Y
2
2051-10-25
Variable
2.93000040
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEU1
24000000.00000000
PA
USD
23904374.88000000
1.950018820641
Long
DBT
UST
US
N
2
2025-06-15
Fixed
2.87500000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A16
36264EBB9
3995083.41000000
PA
USD
3773828.90000000
0.307853161516
Long
ABS-MBS
CORP
US
Y
2
2062-05-25
Variable
3.99999960
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
791.00000000
NC
USD
-731100.73000000
-0.05964013660
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 2 Year Note
2022-09-30
166122360.17000000
USD
-731100.73000000
N
N
N
SPGN Mortgage Trust
N/A
SPGN Mortgage Trust, Series 2022-TFLM, Class D
78473HAL0
5730000.00000000
PA
USD
5437951.07000000
0.443605280851
Long
ABS-MBS
CORP
US
Y
2
2039-02-15
Floating
4.77865080
N
N
N
N
N
N
Bacardi Ltd.
549300R32WTQNHNN5055
Bacardi Ltd.
067316AE9
5000000.00000000
PA
USD
4950171.70000000
0.403814282066
Long
DBT
CORP
BM
Y
2
2025-05-15
Fixed
4.45000000
N
N
N
N
N
N
Apidos CLO XXXV
549300KJKTO0Q1OATW69
Apidos CLO XXXV, Series 2021-35A, Class B
03768UAB5
1900000.00000000
PA
USD
1784964.50000000
0.145609930677
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
2.46270960
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAD4
1670000.00000000
PA
USD
1611887.84000000
0.131491061386
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
Lumen Technologies, Inc.
8M3THTGWLTYZVE6BBY25
Lumen Technologies, Inc.
156700BC9
1400000.00000000
PA
USD
1184050.00000000
0.096589841657
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
4.00000000
N
N
N
N
N
N
E3
N/A
E3, Series 2019-1, Class A
269330AA4
1438404.57000000
PA
USD
1310542.20000000
0.106908545740
Long
ABS-O
CORP
KY
Y
2
2055-09-20
Fixed
3.10000000
N
Y
N
N
N
N
Daimler Trucks Finance North America LLC
5493003HSDTSCZRXBA58
Daimler Trucks Finance North America LLC
233853AB6
10000000.00000000
PA
USD
9600899.30000000
0.783201168157
Long
DBT
CORP
US
Y
2
2023-12-14
Fixed
1.12500000
N
N
N
N
N
N
NextEra Energy Operating Partners LP
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAK8
620000.00000000
PA
USD
593092.00000000
0.048381962221
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
4.25000000
N
N
N
N
N
N
Dryden 76 CLO Ltd.
N/A
Dryden 76 CLO Ltd., Series 2019-76A, Class BR
26252WAW9
5650000.00000000
PA
USD
5311796.65000000
0.433314131447
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-20
Floating
2.66271120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CES6
1000000.00000000
PA
USD
980312.50000000
0.079969789409
Long
DBT
UST
US
N
2
2029-05-31
Fixed
2.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2021-15, Class A15
46654TBQ0
9776462.67000000
PA
USD
8162965.05000000
0.665900512339
Long
ABS-MBS
CORP
US
Y
2
2052-06-25
Variable
2.49999840
N
N
N
N
N
N
Carlyle Global Market Strategies CLO Ltd.
549300N3CJKPCWZ7KX23
Carlyle Global Market Strategies CLO Ltd., Series 2016-1A, Class A1R2
14312HAU0
700000.00000000
PA
USD
674116.80000000
0.054991626173
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
2.20271040
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
-1047.00000000
NC
USD
1109924.70000000
0.090543010028
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 5 Year Note
2022-09-30
-117525750.00000000
USD
1109924.70000000
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MassMutual Global Funding II
57629WCU2
7000000.00000000
PA
USD
6838980.89000000
0.557895427780
Long
DBT
CORP
US
Y
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828Z94
27000000.00000000
PA
USD
24251484.24000000
1.978334548963
Long
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
United Airlines, Inc.
K1OQBWM7XEOO08LDNP29
United Airlines, Inc.
90932LAH0
255000.00000000
PA
USD
216308.85000000
0.017645570348
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AQ0
2120000.00000000
PA
USD
1921165.20000000
0.156720613543
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Toronto-Dominion Bank (The)
PT3QB789TSUIDF371261
Toronto-Dominion Bank (The)
89114TZE5
10000000.00000000
PA
USD
9386293.70000000
0.765694541812
Long
DBT
CORP
CA
N
2
2024-09-10
Fixed
0.70000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2022-3, Class A1
92538UAA9
4876316.65000000
PA
USD
4778941.97000000
0.389846077591
Long
ABS-MBS
CORP
US
Y
2
2067-02-25
Variable
4.12999920
N
N
N
N
N
N
Golden Bear LLC
549300T04S4BVE82F105
Golden Bear LLC, Series 2016-1A, Class A
38081EAA9
696460.98000000
PA
USD
649872.41000000
0.053013870342
Long
ABS-O
CORP
US
Y
2
2047-09-20
Fixed
3.75000000
N
N
N
N
N
N
Mercury Financial Credit Card Master Trust
N/A
Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A
58940BAE6
8500000.00000000
PA
USD
8050846.40000000
0.656754342286
Long
ABS-O
CORP
US
Y
2
2026-09-21
Fixed
2.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2018-3, Class A1
89175MAA1
462635.15000000
PA
USD
452128.61000000
0.036882759046
Long
ABS-MBS
CORP
US
Y
2
2058-05-25
Variable
3.75000120
N
N
N
N
N
N
REESE PARK CLO Ltd.
N/A
Reese Park CLO Ltd., Series 2020-1A, Class BR
758465BC1
5000000.00000000
PA
USD
4750145.00000000
0.387496941345
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-15
Floating
2.69429040
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175AY0
9000000.00000000
PA
USD
9020880.00000000
0.735885622069
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AB4
4000000.00000000
PA
USD
3873180.68000000
0.315957863765
Long
DBT
CORP
CH
Y
2
2024-07-30
Variable
1.00800000
N
N
N
N
N
N
Barings CLO Ltd.
549300V1VT2NXKFG0H98
Barings CLO Ltd., Series 2021-3A, Class B1
06762TAC5
3300000.00000000
PA
USD
3111685.50000000
0.253838275185
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-18
Floating
2.64429000
N
N
N
N
N
N
AMMC CLO 23 Ltd.
549300ICO4ZE2FVC2Y46
AMMC CLO 23 Ltd., Series 2020-23A, Class BR
00177JAY1
2000000.00000000
PA
USD
1896480.00000000
0.154706898278
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-17
Floating
2.59428960
N
N
N
N
N
N
REESE PARK CLO Ltd.
N/A
Reese Park CLO Ltd., Series 2020-1A, Class AR
758465BA5
1300000.00000000
PA
USD
1255512.70000000
0.102419469525
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-15
Floating
2.17428840
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2019-SFR1, Class A
89612LAA4
5172390.71000000
PA
USD
4979266.05000000
0.406187677327
Long
ABS-O
CORP
US
Y
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
3 Month Eurodollar
N/A
-825.00000000
NC
USD
1960000.00000000
0.159888593934
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
3 Month Eurodollar
2022-12-19
-198639375.00000000
USD
1960000.00000000
N
N
N
Magallanes, Inc.
549300DXR29GD4N0A520
Magallanes, Inc.
55903VAC7
10000000.00000000
PA
USD
9803319.80000000
0.799713785059
Long
DBT
CORP
US
Y
2
2024-03-15
Fixed
3.42800000
N
N
N
N
N
Air Canada
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BK4
595000.00000000
PA
USD
503304.55000000
0.041057477969
Long
DBT
CORP
CA
Y
2
2026-08-15
Fixed
3.87500000
N
N
N
N
N
N
Viasat, Inc.
UFC8NYMNFSYIHNSM2I38
Viasat, Inc.
92552VAL4
1350000.00000000
PA
USD
1167286.42000000
0.095222338986
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
5.62500000
N
N
N
N
N
N
Cedar Funding XII CLO Ltd.
N/A
Cedar Funding XII CLO Ltd., Series 2020-12A, Class A1R
15033TAN5
3300000.00000000
PA
USD
3174900.30000000
0.258995073903
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-25
Floating
2.31400080
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QAD2
5000000.00000000
PA
USD
5020447.35000000
0.409547075365
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
Cedar Funding X CLO Ltd.
N/A
Cedar Funding X CLO Ltd., Series 2019-10A, Class BR
15033XAL0
6000000.00000000
PA
USD
5692716.00000000
0.464387937199
Long
ABS-CBDO
CORP
KY
Y
2
2032-10-20
Floating
2.66271120
N
N
N
N
N
N
UBS AG
254900R882POXXVAK772
UBS AG
870836AC7
5000000.00000000
PA
USD
5388173.80000000
0.439544659570
Long
DBT
CORP
CH
N
2
2025-07-15
Fixed
7.50000000
N
N
N
N
N
N
GoldentTree Loan Management US CLO 1 Ltd.
N/A
GoldentTree Loan Management US CLO 1 Ltd., Series 2021-9A, Class A
38138JAC7
19500000.00000000
PA
USD
18936723.00000000
1.544778578676
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Floating
2.13270840
N
N
N
N
N
N
FCI Funding LLC
N/A
FCI Funding LLC, Series 2021-1A, Class A
30260GAA4
2155851.78000000
PA
USD
2109464.32000000
0.172081267388
Long
ABS-O
CORP
US
Y
2
2033-04-15
Fixed
1.13000000
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2019-SFR1, Class E
89612LAE6
2000000.00000000
PA
USD
1880061.40000000
0.153367537631
Long
ABS-O
CORP
US
Y
2
2038-03-17
Fixed
3.39700000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAF9
3000000.00000000
PA
USD
2995016.10000000
0.244320874000
Long
DBT
CORP
FR
Y
2
2023-09-12
Fixed
4.00000000
N
N
N
N
N
N
NextEra Energy Capital Holdings, Inc.
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings, Inc.
65339KCF5
9000000.00000000
PA
USD
9042363.00000000
0.737638115265
Long
DBT
CORP
US
N
2
2024-06-20
Fixed
4.20000000
N
N
N
N
N
HB Fuller Co.
JSMX3Z5FOYM8V0Q52357
HB Fuller Co.
359694AB2
250000.00000000
PA
USD
225000.00000000
0.018354557977
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.00000000
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust, Series 2005-WL2, Class M2
542514NC4
29473.93000000
PA
USD
29996.42000000
0.002446982355
Long
ABS-O
CORP
US
N
2
2035-08-25
Floating
2.35856880
N
N
N
N
N
N
Calpine Corp.
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CM6
1350000.00000000
PA
USD
1225634.49000000
0.099982130247
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1
64828XAA1
5112332.65000000
PA
USD
4884884.97000000
0.398488463973
Long
ABS-MBS
CORP
US
Y
2
2059-11-25
Variable
2.75000040
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828M56
4000000.00000000
PA
USD
3895937.52000000
0.317814271495
Long
DBT
UST
US
N
2
2025-11-15
Fixed
2.25000000
N
N
N
N
N
N
Magnetite XXVII Ltd.
5493003N6WY184N72D84
Magnetite XXVII Ltd., Series 2020-27A, Class BR
55955EAN8
4550000.00000000
PA
USD
4291095.90000000
0.350049637699
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-20
Floating
2.61271080
N
N
N
N
N
N
Cedar Funding VII CLO Ltd.
549300G87EGFMLOYN341
Cedar Funding VII CLO Ltd., Series 2018-7A, Class A1
15032FAA4
3000000.00000000
PA
USD
2943972.00000000
0.240156910032
Long
ABS-CBDO
CORP
KY
Y
2
2031-01-20
Floating
2.06271000
N
N
N
N
N
N
Cedar Funding XII CLO Ltd.
N/A
Cedar Funding XII CLO Ltd., Series 2020-12A, Class BR
15033TAS4
700000.00000000
PA
USD
653964.50000000
0.053347685912
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-25
Floating
2.78399880
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2T0
2500000.00000000
PA
USD
2248714.15000000
0.183440685512
Long
DBT
CORP
FR
Y
2
2028-01-20
Variable
2.59099920
N
N
N
N
N
N
Owl Rock CLO I Ltd.
N/A
Owl Rock CLO I Ltd., Series 2019-1A, Class A
69122DAA7
10000000.00000000
PA
USD
9814450.00000000
0.800621740175
Long
ABS-CBDO
CORP
KY
Y
2
2031-05-20
Floating
3.27800160
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBG6
5000000.00000000
PA
USD
4760100.00000000
0.388309028566
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA N.A.
B4TYDEB6GKMZO031MB27
Government Agency Repurchase Agreement
N/A
11000000.00000000
PA
USD
11000000.00000000
0.897333945553
Long
RA
CORP
US
N
2
Repurchase
Y
1.55000000
2022-07-01
3393595.48000000
USD
678515.23245000
USD
ACMO
53427790.79000000
USD
10541484.77855000
USD
AMBS
N
N
New Residential Mortgage Loan Trust
549300U1MV4J7YQZG974
New Residential Mortgage Loan Trust, Series 2018-2A, Class A1
64828CAA7
945228.77000000
PA
USD
934774.73000000
0.076255008788
Long
ABS-MBS
CORP
US
Y
2
2058-02-25
Variable
4.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAA1
6800000.00000000
PA
USD
6899349.56000000
0.562820051129
Long
DBT
CORP
FR
Y
2
2023-10-22
Fixed
5.70000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2013-2, Class A
02377UAB0
1317453.13000000
PA
USD
1293081.96000000
0.105484212462
Long
ABS-O
CORP
US
N
2
2023-01-15
Fixed
4.95000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2015-2, Class B
02377BAC0
2612255.10000000
PA
USD
2489991.90000000
0.203123114183
Long
ABS-O
CORP
US
N
2
2023-09-22
Fixed
4.40000000
N
N
N
N
N
N
AREIT Trust
N/A
AREIT Trust, Series 2022-CRE6, Class A
04002VAA9
2800000.00000000
PA
USD
2688605.64000000
0.219325191543
Long
ABS-MBS
CORP
KY
Y
2
2037-01-16
Floating
2.02389840
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CS6
2000000.00000000
PA
USD
1864852.28000000
0.152126841298
Long
DBT
CORP
GB
N
2
2025-05-24
Variable
0.97599960
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-1A, Class A1
64830CAA3
1566061.63000000
PA
USD
1541415.42000000
0.125742216415
Long
ABS-MBS
CORP
US
Y
2
2057-09-25
Variable
3.95595720
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-1, Class B
90933HAA3
6145833.41000000
PA
USD
5592129.47000000
0.456182509214
Long
ABS-O
CORP
US
N
2
2026-01-07
Fixed
3.65000000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAL6
2000000.00000000
PA
USD
1980310.00000000
0.161545398701
Long
DBT
CORP
US
Y
2
2025-05-13
Fixed
5.12500000
N
N
N
N
N
N
N/A
N/A
3 Month Eurodollar
N/A
2000.00000000
NC
USD
137500.00000000
0.011216674319
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Call
Purchased
N/A
3 Month Eurodollar
250000.00000000
98.25000000
USD
2022-12-19
XXXX
-1362500.00000000
N
N
N
International Game Technology plc
549300UQ6KHRCZDRGZ76
International Game Technology plc
460599AF0
1750000.00000000
PA
USD
1583750.00000000
0.129195694206
Long
DBT
CORP
GB
Y
2
2026-04-15
Fixed
4.12500000
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2017-SFR2, Class A
89613FAA6
13349219.70000000
PA
USD
13186006.80000000
1.075659227994
Long
ABS-O
CORP
US
Y
2
2036-01-17
Fixed
2.92800000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
46590XAF3
3045000.00000000
PA
USD
2572121.52000000
0.209822904725
Long
DBT
CORP
US
Y
2
2029-02-02
Fixed
3.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2017-1A, Class A1
64829JAA1
2547922.96000000
PA
USD
2514652.95000000
0.205134859392
Long
ABS-MBS
CORP
US
Y
2
2057-02-25
Variable
3.99999960
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 38 Ltd.
549300SM4FYZ8US63U33
Neuberger Berman Loan Advisers CLO 38 Ltd., Series 2020-38A, Class AR
64133RAJ5
9300000.00000000
PA
USD
8995583.10000000
0.733822006879
Long
ABS-CBDO
CORP
KY
Y
2
2035-10-20
Floating
2.20271040
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
94974BFN5
7000000.00000000
PA
USD
7050641.36000000
0.575161802749
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
4.12500000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1
64828MAA5
1516352.03000000
PA
USD
1483748.34000000
0.121037977467
Long
ABS-MBS
CORP
US
Y
2
2057-04-25
Variable
3.99999960
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX3
64829DAG1
2149077.25000000
PA
USD
2078841.75000000
0.169583206337
Long
ABS-MBS
CORP
US
Y
2
2054-11-25
Variable
3.75000120
N
N
N
N
N
N
37 Capital CLO I
N/A
37 Capital CLO I, Series 2021-1A, Class A
88430TAA9
9400000.00000000
PA
USD
8971228.40000000
0.731835252421
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-15
Floating
2.04635160
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-4A, Class A1B
64830WAD3
3967675.15000000
PA
USD
3859316.75000000
0.314826902401
Long
ABS-MBS
CORP
US
Y
2
2058-12-25
Variable
3.49999920
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust, Series 2020-1, Class A1
03464RAA1
3017805.69000000
PA
USD
2923764.23000000
0.238508444761
Long
ABS-MBS
CORP
US
Y
2
2059-12-25
Variable
2.46600000
N
N
N
N
N
N
N/A
N/A
3 Month Eurodollar
N/A
2000.00000000
NC
USD
37500.00000000
0.003059092996
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Call
Purchased
N/A
3 Month Eurodollar
250000.00000000
99.37500000
USD
2022-12-19
XXXX
-768220.00000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31410DWE6
29108.53000000
PA
USD
28922.34000000
0.002359363406
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Variable
1.81299960
N
N
N
N
N
N
FCI Funding LLC
N/A
FCI Funding LLC, Series 2019-1A, Class A
30259MAA4
118084.07490000
PA
USD
118146.15000000
0.009637868266
Long
ABS-O
CORP
US
Y
2
2031-02-18
Fixed
3.63000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2022-1, Class A2
92538WAB3
3326000.27000000
PA
USD
3110124.23000000
0.253710913315
Long
ABS-MBS
CORP
US
Y
2
2067-01-25
Variable
3.03199920
N
N
N
N
N
N
Triton Container International Ltd.
549300O4LZFLCX53XZ54
Triton Container International Ltd.
89680YAB1
10000000.00000000
PA
USD
9361843.60000000
0.763700005021
Long
DBT
CORP
BM
Y
2
2024-06-07
Fixed
1.15000000
N
N
N
N
N
N
Allison Transmission, Inc.
MWKQ3I0U1GXP2YDSZW75
Allison Transmission, Inc.
019736AE7
1350000.00000000
PA
USD
1234816.85000000
0.100731188731
Long
DBT
CORP
US
Y
2
2027-10-01
Fixed
4.75000000
N
N
N
N
N
Five Corners Funding Trust
N/A
Five Corners Funding Trust
33829TAA4
7577000.00000000
PA
USD
7618685.24000000
0.621500444212
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
4.41900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31403FFL3
192927.00000000
PA
USD
194331.56000000
0.015852755043
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
3.51000000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBL5
1350000.00000000
PA
USD
1382886.00000000
0.112810050057
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2022-1, Class A3
92538WAC1
3308943.85220000
PA
USD
3086199.32000000
0.251759219325
Long
ABS-MBS
CORP
US
Y
2
2067-01-25
Variable
3.28799880
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes, Series 2020-SFR1, Class B
89613GAB2
4760000.00000000
PA
USD
4368410.03000000
0.356356600728
Long
ABS-O
CORP
US
Y
2
2038-07-17
Fixed
2.04900000
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 32 Ltd.
5493007YBEOXQIHH3C54
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class AR
64132DAJ7
2000000.00000000
PA
USD
1951744.00000000
0.159215104020
Long
ABS-CBDO
CORP
KY
Y
2
2032-01-20
Floating
2.03429160
N
N
N
N
N
N
Howmet Aerospace, Inc.
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
443201AA6
1350000.00000000
PA
USD
1386855.00000000
0.113133824460
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2020-SFR2, Class D
89613JAG5
5764000.00000000
PA
USD
4900798.35000000
0.399786610887
Long
ABS-O
CORP
US
Y
2
2039-11-17
Fixed
2.28100000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2007-WFH1, Class M1
17311CAD3
369562.94000000
PA
USD
375250.14000000
0.030611335335
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
2.01357000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
3140JHAG8
2688512.71000000
PA
USD
2690899.49000000
0.219512314222
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
31413MRL3
65612.67000000
PA
USD
65125.01000000
0.005312625652
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Variable
1.98000000
N
N
N
N
N
N
Mill City Mortgage Loan Trust
N/A
Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1
59981BAC8
4471550.79000000
PA
USD
4367264.39000000
0.356263144213
Long
ABS-MBS
CORP
US
Y
2
2059-07-25
Variable
2.75000040
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2020-SFR2, Class E1
89613JAJ9
2826000.00000000
PA
USD
2411697.94000000
0.196736220725
Long
ABS-O
CORP
US
Y
2
2039-11-17
Fixed
2.73000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NCR0
7500000.00000000
PA
USD
7517948.10000000
0.613282730094
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAF2
2120000.00000000
PA
USD
2093500.00000000
0.170778965001
Long
DBT
CORP
US
Y
2
2024-05-01
Fixed
5.62500000
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class XA
61761QAF0
14082634.36000000
PA
USD
40746.69000000
0.003323944373
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
1.02070080
N
N
N
N
N
N
ARES XLIV CLO Ltd.
N/A
ARES XLIV CLO Ltd., Series 2017-44A, Class A1R
04016NAM5
10500000.00000000
PA
USD
10152576.00000000
0.828204643600
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-15
Floating
2.12429160
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2022-3, Class A2
92538UAB7
6502713.93000000
PA
USD
6362317.74000000
0.519011243681
Long
ABS-MBS
CORP
US
Y
2
2067-02-25
Variable
4.12999920
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-435.00000000
NC
USD
-133544.00000000
-0.01089396040
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Note
2022-09-21
-51561093.75000000
USD
-133544.00000000
N
N
N
Continental Resources, Inc.
XXRTID9RYWOZ0UPIVR53
Continental Resources, Inc.
212015AL5
2810000.00000000
PA
USD
2819694.50000000
0.230018871903
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
BAT International Finance plc
21380041YBGOQDFAC823
BAT International Finance plc
05530QAP5
2250000.00000000
PA
USD
2129979.69000000
0.173754825379
Long
DBT
CORP
GB
N
2
2028-03-16
Fixed
4.44800000
N
N
N
N
N
N
Renew
N/A
Renew, Series 2018-1, Class A
75973FAA9
2007806.31650000
PA
USD
1910475.09000000
0.155848559126
Long
ABS-O
CORP
KY
Y
2
2053-09-20
Fixed
3.95000000
N
Y
N
N
N
N
Avant Credit Card Master Trust
N/A
Avant Credit Card Master Trust, Series 2021-1A, Class A
05351KAA7
2250000.00000000
PA
USD
2055106.13000000
0.167646953833
Long
ABS-O
CORP
US
Y
2
2027-04-15
Fixed
1.37000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-6A, Class A1B
64828GAD2
3178172.21000000
PA
USD
3067438.33000000
0.250228776309
Long
ABS-MBS
CORP
US
Y
2
2059-09-25
Variable
3.49999920
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128S4WH6
215550.11000000
PA
USD
219035.76000000
0.017868020248
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
1.92899880
N
Y
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
3000000.00000000
PA
USD
2800661.58000000
0.228466245976
Long
DBT
CORP
CH
Y
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
Apidos CLO XXXIII
549300DDYHDQJDDDWB27
Apidos CLO XXXIII, Series 2020-33A, Class AR
03768MAJ6
12500000.00000000
PA
USD
12082525.00000000
0.985641802772
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-24
Floating
2.33399880
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBT9
1400000.00000000
PA
USD
1321250.00000000
0.107782043232
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2020-SFR3, Class E1
001807AE6
2082000.00000000
PA
USD
1901987.57000000
0.155156182780
Long
ABS-O
CORP
US
Y
2
2037-09-17
Fixed
2.55600000
N
N
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAY6
734000.00000000
PA
USD
709345.48000000
0.057865434393
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2022-1A, Class B
96042WAE7
500000.00000000
PA
USD
484968.50000000
0.039561699779
Long
ABS-O
CORP
US
Y
2
2027-03-15
Fixed
2.75000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2020-1, Class A
90931GAA7
2540525.00000000
PA
USD
2496038.88000000
0.203616401494
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAH6
650000.00000000
PA
USD
641654.00000000
0.052343446863
Long
DBT
CORP
NL
Y
2
2024-11-01
Fixed
5.62500000
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2017-2A, Class A3
64829KBV1
3537144.35000000
PA
USD
3443635.69000000
0.280917381886
Long
ABS-MBS
CORP
US
Y
2
2057-03-25
Variable
3.99999960
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-3, Class B
023771S41
2107959.74000000
PA
USD
1867395.37000000
0.152334295933
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
3.75000000
N
N
N
N
N
N
Carlyle US CLO Ltd.
N/A
Carlyle US CLO Ltd., Series 2020-2A, Class BR
14315GAS4
150000.00000000
PA
USD
137966.85000000
0.011254757987
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-25
Floating
3.18399840
N
N
N
N
N
N
Ares LXIII CLO Ltd.
N/A
Ares LXIII CLO Ltd., Series 2022-63A, Class A1A
039937AA5
21250000.00000000
PA
USD
20732908.88000000
1.691303902553
Long
ABS-CBDO
CORP
KY
Y
2
2035-04-20
Floating
2.26730160
N
N
N
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2C
61744CMH6
1923924.36000000
PA
USD
1912003.72000000
0.155973258361
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
2.38357080
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust, Series 2021-PJ9, Class A4
36263CAD1
9136459.97000000
PA
USD
7629583.63000000
0.622389489239
Long
ABS-MBS
CORP
US
Y
2
2052-02-26
Variable
2.49999840
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust, Series 2017-CH1, Class A2
81746HAB7
81497.18000000
PA
USD
78584.62000000
0.006410604284
Long
ABS-MBS
CORP
US
Y
2
2047-08-25
Variable
3.49999920
N
N
N
N
N
N
Renew
N/A
Renew, Series 2017-2A, Class A
75973KAA8
1789387.18000000
PA
USD
1680928.84000000
0.137123137108
Long
ABS-O
CORP
KY
Y
2
2053-09-22
Fixed
3.22000000
N
Y
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
-5.00000000
NC
USD
10925.50000000
0.000891256547
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Ultra Note
2022-09-21
-636875.00000000
USD
10925.50000000
N
N
N
Continental Resources, Inc.
XXRTID9RYWOZ0UPIVR53
Continental Resources, Inc.
212015AN1
4000000.00000000
PA
USD
3945960.00000000
0.321894895981
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
Equifax, Inc.
5493004MCF8JDC86VS77
Equifax, Inc.
294429AQ8
5000000.00000000
PA
USD
4823789.55000000
0.393504555401
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.60000000
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2021-12, Class A15
46592WBP0
3623971.82000000
PA
USD
3031851.06000000
0.247325715818
Long
ABS-MBS
CORP
US
Y
2
2052-02-25
Variable
2.49999840
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAG7
1000000.00000000
PA
USD
920482.13000000
0.075089078320
Long
DBT
CORP
US
Y
2
2027-01-30
Fixed
3.70000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PAY2
2896000.00000000
PA
USD
2886071.59000000
0.235433637000
Long
DBT
CORP
US
N
2
2024-12-05
Variable
4.02300000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust, Series 2022-LTV1, Class A8
36266VAJ3
18174363.10000000
PA
USD
17011603.70000000
1.387735406209
Long
ABS-MBS
CORP
US
Y
2
2052-06-25
Variable
2.99999880
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AF2
7470000.00000000
PA
USD
7343458.20000000
0.599048574601
Long
DBT
CORP
FR
Y
2
2025-03-17
Fixed
4.37500000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2022-2CP, Class A
35633LAA2
1693426.67000000
PA
USD
1679470.12000000
0.137004140838
Long
ABS-O
CORP
US
Y
2
2029-05-18
Fixed
3.03000000
N
N
N
N
N
N
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M4
70069FFL6
543360.36000000
PA
USD
539432.68000000
0.044004659554
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
2.86857000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHC6
8623000.00000000
PA
USD
8594732.69000000
0.701122308699
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00399840
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MX6
5000000.00000000
PA
USD
4684145.30000000
0.382112962144
Long
DBT
CORP
US
N
2
2025-05-01
Variable
0.98100000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEX5
3000000.00000000
PA
USD
3001523.43000000
0.244851714737
Long
DBT
UST
US
N
2
2024-06-30
Fixed
3.00000000
N
N
N
N
N
N
Citizens Financial Group, Inc.
2138004JDDA4ZQUPFW65
Citizens Financial Group, Inc.
174610AK1
3250000.00000000
PA
USD
3222392.91000000
0.262869322186
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
4.30000000
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2003-QS20, Class CB
76110HMB2
29634.55000000
PA
USD
19262.46000000
0.001571350839
Long
ABS-MBS
CORP
US
N
2
2018-11-25
Fixed
5.00000000
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 38 Ltd.
549300SM4FYZ8US63U33
Neuberger Berman Loan Advisers CLO 38 Ltd., Series 2020-38A, Class BR
64133RAL0
5300000.00000000
PA
USD
5036908.00000000
0.410889866275
Long
ABS-CBDO
CORP
KY
Y
2
2035-10-20
Floating
2.71271160
N
N
N
N
N
N
New Residential Mortgage Loan Trust
549300U48YU2VDL8N523
New Residential Mortgage Loan Trust, Series 2018-3A, Class A1
64830KAA5
6410815.24000000
PA
USD
6371023.95000000
0.519721459842
Long
ABS-MBS
CORP
US
Y
2
2058-05-25
Variable
4.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-2, Class B
90932KAA7
143446.49000000
PA
USD
123967.78000000
0.010112772468
Long
ABS-O
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
SPGN Mortgage Trust
N/A
SPGN Mortgage Trust, Series 2022-TFLM, Class C
78473HAJ5
1270000.00000000
PA
USD
1210132.33000000
0.098717528938
Long
ABS-MBS
CORP
US
Y
2
2039-02-15
Floating
3.92865120
N
N
N
N
N
N
Carlyle US CLO Ltd.
N/A
Carlyle US CLO Ltd., Series 2020-2A, Class A1R
14315GAN5
150000.00000000
PA
USD
144228.75000000
0.011765577572
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-25
Floating
2.32400160
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2021-13, Class A15
46592XBP8
8020722.02000000
PA
USD
6772809.96000000
0.552497480353
Long
ABS-MBS
CORP
US
Y
2
2052-04-25
Variable
2.49999840
N
N
N
N
N
N
Tricon Residential Trust
N/A
Tricon Residential Trust, Series 2022-SFR1, Class D
89616QAD3
2250000.00000000
PA
USD
2163144.83000000
0.176460298646
Long
ABS-O
CORP
US
Y
2
2039-04-17
Fixed
4.75000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2016-2A, Class A1
64829GAA7
4463735.30000000
PA
USD
4323216.02000000
0.352669862609
Long
ABS-MBS
CORP
US
Y
2
2035-11-26
Variable
3.75000120
N
N
N
N
N
N
Apidos CLO XXXV
549300KJKTO0Q1OATW69
Apidos CLO XXXV, Series 2021-35A, Class A
03768UAA7
7600000.00000000
PA
USD
7329075.20000000
0.597875269679
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
2.11271040
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828N30
135000.00000000
PA
USD
134715.23000000
0.010989504442
Long
DBT
UST
US
N
2
2022-12-31
Fixed
2.12500000
N
N
N
N
N
N
Cedar Funding VIII CLO Ltd.
549300PTCF9P2JDL1E69
Cedar Funding VIII CLO Ltd., Series 2017-8A, Class BR
15032EAQ2
11850000.00000000
PA
USD
11108391.45000000
0.906176066234
Long
ABS-CBDO
CORP
KY
Y
2
2034-10-17
Floating
2.69429040
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3128JN3K9
110644.50960000
PA
USD
110050.68000000
0.008977473717
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Variable
2.31500160
N
Y
N
N
N
N
Sun Communities Operating LP
549300PUNBPJCGT6X741
Sun Communities Operating LP
866677AF4
1786000.00000000
PA
USD
1527760.40000000
0.124628297053
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
2.30000000
N
N
N
N
N
Goodgreen
N/A
Goodgreen, Series 2019-2A, Class A
38218EAA5
5558183.72000000
PA
USD
5040566.19000000
0.411188286099
Long
ABS-O
CORP
KY
Y
2
2055-04-15
Fixed
2.76000000
N
Y
N
N
N
N
Eleven Madison Trust Mortgage Trust
N/A
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A
556227AA4
2025000.00000000
PA
USD
1956573.83000000
0.159609101330
Long
ABS-MBS
CORP
US
Y
2
2035-09-10
Variable
3.67329240
N
N
N
N
N
N
Atalaya Equipment Leasing Trust
N/A
Atalaya Equipment Leasing Trust, Series 2021-1A, Class A2
046497AB9
2521372.29000000
PA
USD
2462907.47000000
0.200913679780
Long
ABS-O
CORP
US
Y
2
2026-05-15
Fixed
1.23000000
N
N
N
N
N
N
Magnetite XXXII Ltd.
549300QUG3I8PF6T6C52
Magnetite XXXII Ltd., Series 2022-32A, Class A
55953WAA8
21150000.00000000
PA
USD
20371665.20000000
1.661835155582
Long
ABS-CBDO
CORP
KY
Y
2
2035-04-15
Floating
2.06952120
N
N
N
N
N
N
RR 19 Ltd.
549300RJ4N2AJDFNE876
RR 19 Ltd., Series 2021-19A, Class A2
74983AAC7
2700000.00000000
PA
USD
2569671.00000000
0.209623001563
Long
ABS-CBDO
CORP
KY
Y
2
2035-10-15
Floating
2.69429040
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust, Series 2015-2A, Class A
42770UAA1
342613.90000000
PA
USD
341840.69000000
0.027885932282
Long
ABS-O
CORP
US
Y
2
2040-09-20
Fixed
3.99000000
N
Y
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2020-SFR3, Class E2
001807AF3
3718000.00000000
PA
USD
3389574.19000000
0.276507271059
Long
ABS-O
CORP
US
Y
2
2037-09-17
Fixed
2.75600000
N
N
N
N
N
N
CCG Receivables Trust
N/A
CCG Receivables Trust, Series 2019-1, Class A2
12510GAB8
0.04000000
PA
USD
0.04000000
0.000000003263
Long
ABS-O
CORP
US
Y
2
2026-09-14
Fixed
2.80000000
N
N
N
N
N
N
Shire Acquisitions Investments Ireland DAC
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAC3
4060000.00000000
PA
USD
4014563.57000000
0.327491287994
Long
DBT
CORP
IE
N
2
2023-09-23
Fixed
2.87500000
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2018-SFR1, Class E
89613TAE8
6250000.00000000
PA
USD
6153108.75000000
0.501944850186
Long
ABS-O
CORP
US
Y
2
2037-05-17
Fixed
4.56400000
N
N
N
N
N
N
Ashtead Capital, Inc.
213800J1134IW58IC398
Ashtead Capital, Inc.
045054AJ2
6726000.00000000
PA
USD
6070521.37000000
0.495207717500
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
4.00000000
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128283D0
5000000.00000000
PA
USD
4916015.60000000
0.401027970431
Long
DBT
UST
US
N
2
2024-10-31
Fixed
2.25000000
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2018-5A, Class A1
64829XAA0
2314408.30000000
PA
USD
2305390.21000000
0.188064081198
Long
ABS-MBS
CORP
US
Y
2
2057-12-25
Variable
4.74999840
N
N
N
N
N
N
Moog, Inc.
549300WM2I4U7OBAHG07
Moog, Inc.
615394AM5
2000000.00000000
PA
USD
1732980.00000000
0.141369252814
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05581KAA9
1000000.00000000
PA
USD
984518.44000000
0.080312892385
Long
DBT
CORP
FR
Y
2
2025-09-28
Fixed
4.37500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2J2
5000000.00000000
PA
USD
4776382.50000000
0.389637286745
Long
DBT
CORP
FR
Y
2
2025-11-19
Variable
2.81900160
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2022-1, Class A1
92538WAA5
9996004.80000000
PA
USD
9415915.65000000
0.768110976473
Long
ABS-MBS
CORP
US
Y
2
2067-01-25
Variable
2.72400120
N
N
N
N
N
N
NRZ Advance Receivables Trust
549300RNWDDBV4LFKJ17
NRZ Advance Receivables Trust, Series 2020-T3, Class AT3
62942QDB6
2640000.00000000
PA
USD
2614359.79000000
0.213268525950
Long
ABS-O
CORP
US
Y
2
2052-10-15
Fixed
1.31730000
N
N
N
N
N
N
Amsted Industries, Inc.
N2VLGYMEEBIU3PFSUY86
Amsted Industries, Inc.
032177AH0
2100000.00000000
PA
USD
1974000.00000000
0.161030655320
Long
DBT
CORP
US
Y
2
2027-07-01
Fixed
5.62500000
N
N
N
N
N
N
PERSHING LLC
ZI8Q1A8EI8LQFJNM0D94
Government Agency Repurchase Agreement
N/A
7000000.00000000
PA
USD
7000000.00000000
0.571030692624
Long
RA
CORP
US
N
2
Repurchase
Y
1.58000000
2022-07-01
54149.20000000
USD
48397.52624000
USD
UST
16797907.67200000
USD
7091602.49812000
USD
AMBS
N
N
Invesco CLO Ltd.
N/A
Invesco CLO Ltd., Series 2021-2A, Class A
46149MAA4
16000000.00000000
PA
USD
15379056.00000000
1.254558999942
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-15
Floating
2.16429120
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2022-1A, Class C
96042WAF4
3050000.00000000
PA
USD
2938335.23000000
0.239697085935
Long
ABS-O
CORP
US
Y
2
2027-03-15
Fixed
3.11000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967NQ0
5000000.00000000
PA
USD
4979573.80000000
0.406212782284
Long
DBT
CORP
US
N
2
2025-05-24
Variable
4.14000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2015-1, Class B
009090AB7
5831437.22000000
PA
USD
5724300.89000000
0.466964500287
Long
ABS-O
CORP
CA
Y
2
2023-03-15
Fixed
3.87500000
N
N
N
N
N
N
NRZ Advance Receivables Trust
549300RNWDDBV4LFKJ17
NRZ Advance Receivables Trust, Series 2020-T2, Class BT2
62942QCX9
600000.00000000
PA
USD
571110.42000000
0.046588796956
Long
ABS-O
CORP
US
Y
2
2053-09-15
Fixed
1.72370000
N
N
N
N
N
N
N/A
N/A
3 Month Eurodollar
N/A
-4000.00000000
NC
USD
-175000.00000000
-0.01427576731
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Call
Written
N/A
3 Month Eurodollar
250000.00000000
98.62500000
USD
2022-12-19
XXXX
1375000.00000000
N
N
N
Chase Mortgage Finance Corp.
N/A
Chase Mortgage Finance Corp., Series 2016-SH1, Class M2
16163YAC8
805760.25000000
PA
USD
739897.33000000
0.060357726403
Long
ABS-MBS
CORP
US
Y
2
2045-04-25
Variable
3.75000120
N
N
N
N
N
N
Cedar Funding II CLO Ltd.
254900Q56WTD2BRLBE32
Cedar Funding II CLO Ltd., Series 2013-1A, Class ARR
15032TBE5
10000000.00000000
PA
USD
9556620.00000000
0.779589048250
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
2.14270920
N
N
N
N
N
N
Invesco CLO Ltd.
25490016C8NV86EY2059
Invesco CLO Ltd., Series 2021-1A, Class A1
46090XAA9
1350000.00000000
PA
USD
1289210.85000000
0.105168423516
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-15
Floating
2.04428880
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1
64830DAB9
3893214.87000000
PA
USD
3836324.10000000
0.312951258279
Long
ABS-MBS
CORP
US
Y
2
2057-12-25
Variable
4.25000160
N
N
N
N
N
N
Open Text Corp.
549300HP7ONDQODZJV16
Open Text Corp., Term Loan
68371YAJ2
928491.22000000
PA
USD
924619.41000000
0.075426580300
Long
LON
CORP
CA
N
2
2025-05-30
Variable
2.80957000
N
N
N
N
N
N
Cedar Funding X CLO Ltd.
N/A
Cedar Funding X CLO Ltd., Series 2019-10A, Class AR
15033XAJ5
2750000.00000000
PA
USD
2668523.00000000
0.217686933853
Long
ABS-CBDO
CORP
KY
Y
2
2032-10-20
Floating
2.16271080
N
N
N
N
N
N
Carlyle US CLO Ltd.
N/A
Carlyle US CLO Ltd., Series 2021-1A, Class A1
14316MAA9
7000000.00000000
PA
USD
6770344.00000000
0.552296317661
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-15
Floating
2.18428920
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2015-1, Class B
023770AB6
1562196.56000000
PA
USD
1510429.58000000
0.123214521318
Long
ABS-O
CORP
US
N
2
2023-05-01
Fixed
3.70000000
N
N
N
N
N
N
Southwick Park CLO LLC
N/A
Southwick Park CLO LLC, Series 2019-4A, Class A1R
846031AN2
14500000.00000000
PA
USD
14145692.50000000
1.153946369418
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-20
Floating
2.12271120
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 40 Ltd.
549300Y2YE54ON4DJE28
Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class A
64134JAA1
11000000.00000000
PA
USD
10749387.00000000
0.876889986271
Long
ABS-CBDO
CORP
KY
Y
2
2033-04-16
Floating
2.10429000
N
N
N
N
N
N
Level 3 Financing, Inc.
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BN2
650000.00000000
PA
USD
554125.00000000
0.045203197507
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 32 Ltd.
5493007YBEOXQIHH3C54
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class BR
64132DAL2
1000000.00000000
PA
USD
950778.00000000
0.077560488553
Long
ABS-CBDO
CORP
KY
Y
2
2032-01-20
Floating
2.44428840
N
N
N
N
N
N
N/A
N/A
3 Month Eurodollar
N/A
-1825.00000000
NC
USD
-11714218.75000000
-0.95559692091
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Put
Written
N/A
3 Month Eurodollar
250000.00000000
98.87500000
USD
2022-12-19
XXXX
-11084438.25000000
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-3A, Class A1A
64830EAC5
1696965.34000000
PA
USD
1655373.91000000
0.135038472911
Long
ABS-MBS
CORP
US
Y
2
2058-11-25
Variable
3.75000120
N
N
N
N
N
N
Whetstone Park CLO Ltd.
549300M54M5QSBMB3780
Whetstone Park CLO Ltd., Series 2021-1A, Class B1
96329YAC1
3300000.00000000
PA
USD
3113800.80000000
0.254010832502
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-20
Floating
2.66271120
N
N
N
N
N
N
Atalaya Equipment Leasing Trust
N/A
Atalaya Equipment Leasing Trust, Series 2021-1A, Class B
046497AC7
600000.00000000
PA
USD
566018.58000000
0.046173425967
Long
ABS-O
CORP
US
Y
2
2027-02-15
Fixed
2.08000000
N
N
N
N
N
N
Magnetite XXVIII Ltd.
54930077HHZ1QV5CPQ30
Magnetite XXVIII Ltd., Series 2020-28A, Class AR
55955LAJ1
10600000.00000000
PA
USD
10203623.60000000
0.832368893084
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-20
Floating
2.19270960
N
N
N
N
N
N
NATWEST MARKETS SECURITIES INC
ZE2ZWJ5BTIQJ8M0C6K34
Treasury Repurchase Agreement
N/A
5000000.00000000
PA
USD
5000000.00000000
0.407879066160
Long
RA
CORP
US
N
2
Repurchase
Y
1.49000000
2022-07-07
5361742.50000000
USD
5100211.64600000
USD
UST
N
N
Carlyle US CLO Ltd.
N/A
Carlyle US CLO Ltd., Series 2020-2A, Class A2R
14315GAQ8
2600000.00000000
PA
USD
2462140.20000000
0.200851089106
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-25
Floating
2.78399880
N
N
N
N
N
N
Southwick Park CLO LLC
N/A
Southwick Park CLO LLC, Series 2019-4A, Class B1R
846031AQ5
2500000.00000000
PA
USD
2372405.00000000
0.193530867190
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-20
Floating
2.56271040
N
N
N
N
N
N
RR 1 LLC
N/A
RR 1 LLC, Series 2017-1A, Class A1AB
78108YAL6
4900000.00000000
PA
USD
4755719.50000000
0.387951685716
Long
ABS-CBDO
CORP
US
Y
2
2035-07-15
Floating
2.19429000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAS7
9000000.00000000
PA
USD
9026451.00000000
0.736340080924
Long
DBT
CORP
US
N
2
2024-06-27
Fixed
4.20000000
N
N
N
N
N
Principal Life Global Funding II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LBJ7
6000000.00000000
PA
USD
5743189.92000000
0.468505388270
Long
DBT
CORP
US
Y
2
2024-11-21
Fixed
2.25000000
N
N
N
N
N
N
Kite Realty Group Trust
N/A
Kite Realty Group Trust
76131VAA1
10150000.00000000
PA
USD
9939849.22000000
0.810851283526
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.00000000
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2018-RP1, Class A1
17326QAA1
0.07000000
PA
USD
0.07000000
0.000000005710
Long
ABS-MBS
CORP
US
Y
2
2064-09-25
Variable
2.99999880
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A
64830GAB2
2663293.16000000
PA
USD
2589990.28000000
0.211280563354
Long
ABS-MBS
CORP
US
Y
2
2057-12-25
Variable
3.99999960
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHR3
5000000.00000000
PA
USD
4927864.20000000
0.401994529612
Long
DBT
CORP
US
N
2
2025-03-15
Variable
3.45800160
N
N
N
N
N
N
2022-08-01
Nationwide Variable Insurance Trust
Lee Cummings
Lee Cummings
Treasurer