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