0001752724-23-040496.txt : 20230224
0001752724-23-040496.hdr.sgml : 20230224
20230224162152
ACCESSION NUMBER: 0001752724-23-040496
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221231
FILED AS OF DATE: 20230224
DATE AS OF CHANGE: 20230224
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: 23667676
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
S000005423
NVIT Amundi Multi Sector Bond Fund
C000014754
Class I
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000353905
XXXXXXXX
S000005423
C000014754
Nationwide Variable Insurance Trust
811-03213
0000353905
549300WLMVM3JP578846
One Nationwide Plaza Location:N0900
Mail Code 5-02-210T
Columbus
43215
614-435-3820
NVIT Amundi Multi Sector Bond Fund
S000005423
5493003NBLEW4UFF5S87
2022-12-31
2022-12-31
N
231002290.24
4767645.34
226234644.90
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
10379816.77000000
CAD
EUR
GBP
MXN
USD
UST
Portfolio Excluding Derivatives
N/A
Bellemeade RE Ltd.
N/A
Bellemeade RE Ltd., Series 2021-3A, Class B1
078777AF6
2100000.00000000
PA
USD
1791616.05000000
0.791928243701
Long
ABS-MBS
CORP
BM
Y
2
2031-09-25
Floating
7.77768120
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2021-SFR7, Class F
74333PAN7
1710000.00000000
PA
USD
1364873.95000000
0.603300149101
Long
ABS-O
CORP
US
Y
2
2040-08-17
Fixed
3.83400000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
-17.00000000
NC
USD
886.55000000
0.000391871899
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 5 Year Note
2023-03-31
-1834804.70000000
USD
886.55000000
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397B69
600000.00000000
PA
USD
471334.86000000
0.208338939514
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.62500000
N
N
N
N
N
N
Bank of Nova Scotia (The)
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia (The)
06417XAG6
2695000.00000000
PA
USD
2299789.60000000
1.016550582257
Long
DBT
CORP
CA
N
2
2037-05-04
Variable
4.58799840
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397B93
3000000.00000000
PA
USD
2396280.00000000
1.059201167468
Long
DBT
CORP
US
N
2
2029-02-10
Fixed
2.90000000
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-276.00000000
NC
USD
481987.44000000
0.213047581732
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Note
2023-03-22
-30993937.50000000
USD
481987.44000000
N
N
N
Osmosis Buyer Ltd.
N/A
Osmosis Buyer Ltd., Term Loan B
00132UAL8
1162777.78000000
PA
USD
1093011.11000000
0.483131622251
Long
LON
CORP
US
N
2
2028-07-31
Variable
7.84421000
N
N
N
N
N
N
Serbia International Bond
254900W94OCY91V32O78
Republic of Serbia
N/A
1225000.00000000
PA
734764.06000000
0.324779637674
Long
DBT
NUSS
RS
Y
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
Four Lakes Re Ltd.
549300MG4RRU6DT7MN54
Four Lakes Re Ltd., Series A
35087TAD0
450000.00000000
PA
USD
450000.00000000
0.198908527117
Long
DBT
CORP
BM
Y
2
2026-01-07
Floating
10.91540160
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
2047000.00000000
PA
USD
1607400.61000000
0.710501528495
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft, Series 2021-1A, Class B
09229CAB5
2252596.96000000
PA
USD
1696456.90000000
0.749866096216
Long
ABS-O
CORP
US
Y
2
2046-07-15
Fixed
3.44600000
N
N
N
N
N
N
Elevance Health, Inc.
8MYN82XMYQH89CTMTH67
Elevance Health, Inc.
036752AX1
505000.00000000
PA
USD
538366.09000000
0.237968013359
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
6.10000000
N
N
N
N
N
N
Northern Trust Corp.
549300GLF98S992BC502
Northern Trust Corp.
665859AX2
2870000.00000000
PA
USD
3026249.09000000
1.337659442627
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
6.12500000
N
N
N
N
N
PECF USS Intermediate Holding III Corp.
N/A
PECF USS Intermediate Holding III Corp., Term Loan
69291LAB2
534600.00000000
PA
USD
444236.56000000
0.196360977425
Long
LON
CORP
US
N
2
2028-12-15
Variable
8.63357000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-159, Class CI
38382BHB2
1039205.70000000
PA
USD
181833.98000000
0.080374064759
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
TMS International Corp.
549300L4K0F1YF8WKF23
TMS International Corp.
87261QAC7
346000.00000000
PA
USD
247479.96000000
0.109390831854
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
6.25000000
N
N
N
N
N
Tullow Oil plc
2138003EYHWO75RKS857
Tullow Oil plc
899415AG8
1306000.00000000
PA
USD
1047412.00000000
0.462975951567
Long
DBT
CORP
GB
Y
2
2026-05-15
Fixed
10.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3747.99000000
-0.00165668260
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7118683.03000000
MXN
355962.49000000
USD
2023-03-29
-3747.99000000
N
N
N
Osmosis Buyer Ltd.
N/A
Osmosis Buyer Ltd., Term Loan B
00132UAM6
101111.11000000
PA
USD
95044.445000000
0.042011445701
Long
LON
CORP
US
N
2
2028-07-31
Variable
8.08561000
N
N
N
N
N
N
Grupo Aeromexico SAB de CV
N/A
Grupo Aeromexico SAB de CV
40054JAA7
2365000.00000000
PA
USD
2088866.29000000
0.923318482420
Long
DBT
CORP
MX
Y
2
2027-03-17
Fixed
8.50000000
N
N
N
N
N
N
Western Global Airlines LLC
N/A
Western Global Airlines LLC
958278AA1
1530000.00000000
PA
USD
1148924.28000000
0.507846302898
Long
DBT
CORP
US
Y
2
2025-08-15
Fixed
10.37500000
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC
N/A
850000.00000000
PA
719808.05000000
0.318168797850
Long
DBT
CORP
LU
Y
2
2028-06-01
Fixed
3.62500000
N
N
N
N
N
N
Grinding Media, Inc. (Molycop Ltd.)
N/A
Grinding Media, Inc. (Molycop Ltd.), 1st Lien Term Loan
39854KAB6
1382500.00000000
PA
USD
1278812.50000000
0.565259357409
Long
LON
CORP
US
N
2
2028-10-12
Variable
8.06952500
N
N
N
N
N
N
Fortune Brands Innovations, Inc.
54930032LHW54PQUJD44
Fortune Brands Innovations, Inc.
34964CAG1
335000.00000000
PA
USD
251503.35000000
0.111169246474
Long
DBT
CORP
US
N
2
2052-03-25
Fixed
4.50000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2
20754LAJ8
1650000.00000000
PA
USD
1424678.64000000
0.629734955329
Long
ABS-MBS
CORP
US
Y
2
2041-12-25
Floating
9.92768040
N
N
N
N
N
N
MF1 Ltd.
N/A
MF1 Ltd., Series 2021-FL7, Class D
55284AAJ7
1600000.00000000
PA
USD
1465131.20000000
0.647615753390
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-16
Floating
6.88914000
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738ECD5
1845000.00000000
PA
USD
1923095.31000000
0.850044568041
Long
DBT
CORP
GB
N
2
2028-11-02
Variable
7.38500040
N
N
N
N
N
Oaktown Re VII Ltd.
N/A
Oaktown Re VII Ltd., Series 2021-2, Class B1
67389JAE8
1390000.00000000
PA
USD
1126475.18000000
0.497923375307
Long
ABS-MBS
CORP
BM
Y
2
2034-04-25
Floating
8.32767840
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AF6
3000000.00000000
PA
USD
2633625.09000000
1.164112194736
Long
DBT
CORP
IT
Y
2
2032-06-19
Variable
5.86100160
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280DH9
1200000.00000000
PA
USD
1111227.71000000
0.491183704640
Long
DBT
CORP
GB
N
2
2033-08-11
Variable
5.40200160
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280DR7
1820000.00000000
PA
USD
1912729.69000000
0.845462767581
Long
DBT
CORP
GB
N
2
2028-11-03
Variable
7.39000080
N
N
N
N
N
CANTOR FITZGERAL & CO
5493004J7H4GCPG6OB62
Government Agency Repurchase Agreement
N/A
1452378.19000000
PA
USD
1452378.19000000
0.641978681312
Long
RA
CORP
US
N
2
Repurchase
Y
4.30000000
2023-01-03
11209983.33275200
USD
1481425.75386500
USD
AMBS
N
N
Belden, Inc.
68BKYO1JC791TTJHUE82
Belden, Inc.
N/A
1925000.00000000
PA
1710311.50000000
0.755990091948
Long
DBT
CORP
US
Y
2
2031-07-15
Fixed
3.37500000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BD8
1400000.00000000
PA
USD
773687.68000000
0.341984615283
Long
DBT
CORP
US
Y
2
2030-12-01
Fixed
4.62500000
N
N
N
N
N
N
United Wholesale Mortgage LLC
549300HW662MN1WU8550
United Wholesale Mortgage LLC
913229AA8
850000.00000000
PA
USD
676158.17000000
0.298874723762
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
Gruenenthal GmbH
529900SH895E31PGLA72
Gruenenthal GmbH
N/A
2100000.00000000
PA
2017530.65000000
0.891786777790
Long
DBT
CORP
DE
Y
2
2028-05-15
Fixed
4.12500000
N
N
N
N
N
N
N/A
N/A
Avation plc
N/A
35000.00000000
NS
USD
0.00000000
0.000000
N/A
DO
GB
N
2
Avation plc
213800KA972GUP1B6I78
Call
Purchased
Avation plc
Avation plc
1.00000000
1.00000000
USD
2026-10-31
XXXX
0.00000000
N
N
N
Race Point VIII CLO Ltd.
5493008ABAJEYBWITR69
Race Point VIII CLO Ltd., Series 2013-8A, Class CR2
74982LBC3
650000.00000000
PA
USD
615173.00000000
0.271918123005
Long
ABS-CBDO
CORP
KY
Y
2
2030-02-20
Floating
6.72543000
N
N
N
N
N
N
FHLMC STACR Trust
5493005RUXPCBST1N217
FHLMC STACR Trust, Series 2018-HQA2, Class B2
35563XBE1
2800000.00000000
PA
USD
3022450.20000000
1.335980261261
Long
ABS-MBS
CORP
US
Y
2
2048-10-25
Floating
15.38871120
N
N
N
N
N
N
Total Play Telecomunicaciones SA de CV
4469000001BSAPAMOQ06
Total Play Telecomunicaciones SA de CV
89157FAC4
1355000.00000000
PA
USD
1058185.23000000
0.467737923370
Long
DBT
CORP
MX
Y
2
2028-09-20
Fixed
6.37500000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes, Series 2020-SFR1, Class F
89613GAF3
980000.00000000
PA
USD
870484.51000000
0.384770648361
Long
ABS-O
CORP
US
Y
2
2038-07-17
Fixed
4.88200000
N
N
N
N
N
N
STACR Trust
549300YG8OJES76WL398
STACR Trust, Series 2018-HRP2, Class B2
35564ACC3
2000000.00000000
PA
USD
2098647.80000000
0.927642095191
Long
ABS-MBS
CORP
US
Y
2
2047-02-25
Floating
14.88871080
N
N
N
N
N
N
FHLMC STACR REMIC Trust
N/A
FHLMC STACR REMIC Trust, Series 2020-DNA6, Class B2
35566CBE4
2115000.00000000
PA
USD
1789605.56000000
0.791039569024
Long
ABS-MBS
CORP
US
Y
2
2050-12-25
Floating
9.57768120
N
N
N
N
N
N
Home RE Ltd.
N/A
Home RE Ltd., Series 2020-1, Class B1
43731WAE5
300000.00000000
PA
USD
298884.03000000
0.132112404858
Long
ABS-MBS
CORP
BM
Y
2
2030-10-25
Floating
11.38871160
N
N
N
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
539439AW9
1407000.00000000
PA
USD
1489311.48000000
0.658303895346
Long
DBT
CORP
GB
N
2
2033-11-15
Variable
7.95300120
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJJ0
1995000.00000000
PA
USD
2071088.58000000
0.915460397727
Long
DBT
CORP
US
N
2
2033-10-21
Variable
5.85000000
N
N
N
N
N
Deuce Finco plc
9845007DA2BC863E8437
Deuce Finco plc
N/A
655000.00000000
PA
629926.43000000
0.278439418630
Long
DBT
CORP
GB
Y
2
2027-06-15
Fixed
5.50000000
N
N
N
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust, Series 2021-INV1, Class AX1
44590HBJ4
29473966.51000000
PA
USD
300360.35000000
0.132764966273
Long
ABS-MBS
CORP
US
Y
2
2051-07-25
Variable
0.22599360
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class D
61690FAB9
2000000.00000000
PA
USD
1585519.00000000
0.700829442237
Long
ABS-MBS
CORP
US
Y
2
2048-04-15
Variable
4.20185160
N
N
N
N
N
N
Altice France SA
5493001ZMCICV4N02J21
Altice France SA
02156LAF8
1785000.00000000
PA
USD
1338291.59000000
0.591550242267
Long
DBT
CORP
FR
Y
2
2029-07-15
Fixed
5.12500000
N
N
N
N
N
N
Light Servicos de Eletricidade SA
N/A
Light Servicos de Eletricidade SA
53227QAB4
1730000.00000000
PA
USD
1443047.88000000
0.637854507490
Long
DBT
CORP
BR
Y
2
2026-06-18
Fixed
4.37500000
N
N
N
N
N
N
Minerva Luxembourg SA
222100NM3G3RCPGZ2Z17
Minerva Luxembourg SA
603374AF6
2245000.00000000
PA
USD
1842314.35000000
0.814337852990
Long
DBT
CORP
LU
Y
2
2031-03-18
Fixed
4.37500000
N
N
N
N
N
N
AutoNation, Inc.
N/A
AutoNation, Inc.
05329RAA1
1750000.00000000
PA
USD
1396809.35000000
0.617416201049
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.85000000
N
N
N
N
N
N
Blackstone Holdings Finance Co. LLC
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co. LLC
09261BAK6
1722000.00000000
PA
USD
1735787.33000000
0.767250891554
Long
DBT
CORP
US
Y
2
2033-04-22
Fixed
6.20000000
N
N
N
N
N
Tricida, Inc.
549300QVPFFJC8SZXG25
Tricida, Inc.
89610FAB7
1260000.00000000
PA
USD
113400.00000000
0.050124948833
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.50000000
Y
N
N
N
Y
Tricida, Inc.
Tricida, Inc.
USD
XXXX
N
N
N
Kennedy-Wilson, Inc.
5EA4464UK7FM5QNNKL62
Kennedy-Wilson, Inc.
489399AN5
1160000.00000000
PA
USD
884500.00000000
0.390965760523
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
Eagle RE Ltd.
N/A
Eagle RE Ltd., Series 2021-2, Class M2
26982AAG9
2690000.00000000
PA
USD
2493224.35000000
1.102052407181
Long
ABS-MBS
CORP
BM
Y
2
2034-04-25
Floating
8.17768080
N
N
N
N
N
N
Boardwalk Pipelines LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AJ7
340000.00000000
PA
USD
281348.81000000
0.124361505340
Long
DBT
CORP
US
N
2
2032-09-01
Fixed
3.60000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
61000000.00000000
PA
USD
-1383876.96000000
-0.61169983961
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American High Yield Index Series 39-V1
Markit CDX North American High Yield Index Series 39-V1
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-12-20
935416.43000000
USD
0.00000000
USD
61000000.00000000
USD
-1383876.96000000
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust, Series 2021-4, Class AX1
33852FBA3
87883039.51000000
PA
USD
838281.16000000
0.370536157435
Long
ABS-MBS
CORP
US
Y
2
2051-06-01
Variable
0.20496600
N
N
N
N
N
N
Iochpe-Maxion Austria GmbH
N/A
Iochpe-Maxion Austria GmbH
46188AAA2
1280000.00000000
PA
USD
1064332.80000000
0.470455265801
Long
DBT
CORP
AT
Y
2
2028-05-07
Fixed
5.00000000
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAX6
3260000.00000000
PA
USD
2936042.75000000
1.297786531014
Long
DBT
CORP
NL
Y
2
2032-06-15
Fixed
5.00000000
N
N
N
N
N
N
Farmers Exchange Capital III
N/A
Farmers Exchange Capital III
30958QAA9
2010000.00000000
PA
USD
1833632.37000000
0.810500253314
Long
DBT
CORP
US
Y
2
2054-10-15
Variable
5.45400000
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2021-1, Class B
02376LAA3
300000.00000000
PA
USD
238031.34000000
0.105214362771
Long
ABS-O
CORP
US
N
2
2030-07-11
Fixed
3.95000000
N
N
N
N
N
N
FHLMC STACR Trust
549300KB1O80CETXGJ21
FHLMC STACR Trust, Series 2019-DNA3, Class B2
35564TBE9
1360000.00000000
PA
USD
1371855.26000000
0.606386020410
Long
ABS-MBS
CORP
US
Y
2
2049-07-25
Floating
12.53871000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBK7
1255000.00000000
PA
USD
849181.49000000
0.375354309847
Long
DBT
CORP
FR
Y
2
2043-01-21
Variable
4.02699960
N
N
N
N
N
MC Brazil Downstream Trading SARL
213800T2A7R9TYNXZI63
MC Brazil Downstream Trading SARL
55292WAA8
2190000.00000000
PA
USD
1805880.35000000
0.798233334597
Long
DBT
CORP
LU
Y
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
Algonquin Power & Utilities Corp.
549300K5VIUTJXQL7X75
Algonquin Power & Utilities Corp.
015857AH8
1330000.00000000
PA
USD
1077300.00000000
0.476187013919
Long
DBT
CORP
CA
N
2
2082-01-18
Variable
4.74999840
N
N
N
N
N
SCC Power plc
529900IYGYC6VSDSDF37
SCC Power plc
78397YAC6
1000161.00000000
PA
USD
29835.73000000
0.013187958021
Long
DBT
CORP
GB
Y
2
2032-05-17
Fixed
4.00000000
N
N
Y
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BK2
300000.00000000
PA
USD
167610.00000000
0.074086796067
Long
DBT
CORP
US
Y
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12630.42000000
0.005582884975
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
543987.50000000
GBP
670561.31000000
USD
2023-01-19
12630.42000000
N
N
N
JPMorgan Chase Bank NA-CACLN
N/A
JPMorgan Chase Bank NA-CACLN, Series 2021-3, Class F
46591HCH1
1000000.00000000
PA
USD
867179.60000000
0.383309815516
Long
ABS-O
CORP
US
Y
2
2029-02-26
Fixed
3.69400000
N
N
N
N
N
N
Altice France SA
5493001ZMCICV4N02J21
Altice France SA
02156LAE1
200000.00000000
PA
USD
150382.20000000
0.066471782014
Long
DBT
CORP
FR
Y
2
2029-01-15
Fixed
5.12500000
N
N
N
N
N
N
Shiba Bidco SpA
815600658C215B62EA21
Shiba Bidco SpA
N/A
1710000.00000000
PA
1565812.91000000
0.692118977043
Long
DBT
CORP
IT
Y
2
2028-10-31
Fixed
4.50000000
N
N
N
N
N
N
Truist Financial Corp.
549300DRQQI75D2JP341
Truist Financial Corp.
89788NAA8
2350000.00000000
PA
USD
2204282.38000000
0.974334581237
Long
DBT
CORP
US
N
2
2033-07-28
Variable
4.91600160
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2022-SFR3, Class E1
66981YAE9
550000.00000000
PA
USD
453200.11000000
0.200323036376
Long
ABS-O
CORP
US
Y
2
2039-10-17
Fixed
4.00000000
N
N
N
N
N
N
Mystic Re IV Ltd.
N/A
Mystic Re IV Ltd., Series A
62865LAD9
450000.00000000
PA
USD
449775.00000000
0.198809072853
Long
DBT
CORP
BM
Y
2
2026-01-08
Floating
4.75224840
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GBB3
855000.00000000
PA
USD
913384.57000000
0.403733287801
Long
DBT
CORP
NL
Y
2
2052-10-14
Fixed
7.75000000
N
N
N
N
N
Catalyst Paper Corp.
549300XC9E3MQMOFK383
Catalyst Paper Corp.
14889B102
344368.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
CA
N
3
N
N
N
SLG Office Trust
N/A
SLG Office Trust, Series 2021-OVA, Class E
78449RAL9
3425000.00000000
PA
USD
2385718.69000000
1.054532868321
Long
ABS-MBS
CORP
US
Y
2
2041-07-15
Fixed
2.85061000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBV8
1380000.00000000
PA
USD
1399997.76000000
0.618825538687
Long
DBT
CORP
IT
Y
2
2033-11-21
Variable
8.24799960
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class D
46590LAE2
2500000.00000000
PA
USD
1534116.75000000
0.678108673708
Long
ABS-MBS
CORP
US
Y
2
2049-06-15
Variable
3.33459720
N
N
N
N
N
N
Toronto-Dominion Bank (The)
PT3QB789TSUIDF371261
Toronto-Dominion Bank (The)
89117F8Z5
1780000.00000000
PA
USD
1851200.00000000
0.818265478666
Long
DBT
CORP
CA
N
2
2082-10-31
Variable
8.12499840
N
N
N
N
N
N
BX Trust
N/A
BX Trust, Series 2021-ARIA, Class D
05608RAJ4
3000000.00000000
PA
USD
2774298.90000000
1.226292684405
Long
ABS-MBS
CORP
US
Y
2
2036-10-15
Floating
6.21326160
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2021-SFR8, Class G
74333TAQ2
2100000.00000000
PA
USD
1741383.42000000
0.769724469375
Long
ABS-O
CORP
US
Y
2
2038-10-17
Fixed
4.00500000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33, Class D
61767CAC2
3250000.00000000
PA
USD
2369823.95000000
1.047507092049
Long
ABS-MBS
CORP
US
Y
2
2050-05-15
Fixed
3.35600000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2022-SFR3, Class E2
66981YAF6
350000.00000000
PA
USD
282490.32000000
0.124866074391
Long
ABS-O
CORP
US
Y
2
2039-10-17
Fixed
4.00000000
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC
049362AA4
390000.00000000
PA
USD
316189.79000000
0.139761878707
Long
DBT
CORP
US
Y
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
Allegiant Travel Co.
549300JM9OZXOHWL2K18
Allegiant Travel Co.
01748XAD4
295000.00000000
PA
USD
280592.72000000
0.124027299233
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
7.25000000
N
N
N
N
N
N
VistaJet Malta Finance plc
N/A
VistaJet Malta Finance plc
92840JAD1
810000.00000000
PA
USD
730737.37000000
0.322999764391
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
7.87500000
N
N
N
N
N
MIWD Holdco II LLC
N/A
MIWD Holdco II LLC
55337PAA0
125000.00000000
PA
USD
99518.76000000
0.043989177715
Long
DBT
CORP
US
Y
2
2030-02-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Credit Risk
N/A
FHLMC Multifamily Structured Credit Risk, Series 2021-MN1, Class M2
35563FAB7
1275000.00000000
PA
USD
1138669.35000000
0.503313429516
Long
ABS-MBS
USGSE
US
Y
2
2051-01-25
Floating
7.29686880
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class D
61766CAV1
1400000.00000000
PA
USD
1078440.16000000
0.476690986244
Long
ABS-MBS
CORP
US
Y
2
2049-03-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2020-HQA5, Class B2
35565TBE8
1140000.00000000
PA
USD
1026348.95000000
0.453665684340
Long
ABS-MBS
CORP
US
Y
2
2050-11-25
Floating
11.32768080
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJG6
1240000.00000000
PA
USD
1176485.55000000
0.520028906501
Long
DBT
CORP
US
N
2
2033-07-22
Variable
4.96699920
N
N
N
N
N
JPMorgan Chase Bank NA-CACLN
N/A
JPMorgan Chase Bank NA-CACLN, Series 2021-2, Class F
48128U2R9
1560000.00000000
PA
USD
1402533.76000000
0.619946498742
Long
ABS-O
CORP
US
Y
2
2028-12-26
Fixed
4.39300000
N
N
N
N
N
N
Viking Ocean Cruises Ship VII Ltd.
N/A
Viking Ocean Cruises Ship VII Ltd.
92682RAA0
910000.00000000
PA
USD
732550.00000000
0.323800981199
Long
DBT
CORP
BM
Y
2
2029-02-15
Fixed
5.62500000
N
N
N
N
N
N
CoreLogic, Inc.
54930086CD8K2UIL0516
CoreLogic, Inc.
21871DAD5
680000.00000000
PA
USD
521696.00000000
0.230599517695
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
-59.00000000
NC
USD
-23656.46000000
-0.01045660358
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury Ultra Bond
2023-03-22
-7924437.50000000
USD
-23656.46000000
N
N
N
FHLMC STACR REMIC Trust
N/A
FHLMC STACR REMIC Trust, Series 2022-DNA1, Class B2
35564KQZ5
1770000.00000000
PA
USD
1371786.11000000
0.606355454800
Long
ABS-MBS
CORP
US
Y
2
2042-01-25
Floating
11.02767840
N
N
N
N
N
N
Cidron Aida Finco Sarl
98450036A07991DEBF10
Cidron Aida Finco Sarl
N/A
1800000.00000000
PA
1642605.54000000
0.726062774658
Long
DBT
CORP
LU
Y
2
2028-04-01
Fixed
5.00000000
N
N
N
N
N
N
Ashtead Capital, Inc.
213800J1134IW58IC398
Ashtead Capital, Inc.
04505AAA7
630000.00000000
PA
USD
602575.60000000
0.266349833495
Long
DBT
CORP
US
Y
2
2032-08-11
Fixed
5.50000000
N
N
N
N
N
N
Celanese US Holdings LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAP9
695000.00000000
PA
USD
660908.81000000
0.292134217680
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
6.37900000
N
N
N
N
N
LaserShip, Inc.
N/A
LaserShip, Inc., 1st Lien Term Loan
51809EAB1
651750.00000000
PA
USD
464098.14000000
0.205140172145
Long
LON
CORP
US
N
2
2028-05-07
Variable
9.22986000
N
N
N
N
N
N
Avation Capital SA
54930056OEYSV06OMD90
Avation Capital SA
05351CAA5
2057430.00000000
PA
USD
1615082.55000000
0.713897091541
Long
DBT
CORP
LU
Y
2
2026-10-31
Fixed
8.25000000
N
N
Y
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBL5
2300000.00000000
PA
USD
2151154.44000000
0.950851025027
Long
DBT
CORP
FR
Y
2
2033-06-15
Variable
6.22100160
N
N
N
N
N
N
Radiate Holdco LLC
N/A
Radiate Holdco LLC, Term Loan
75025KAH1
1668150.00000000
PA
USD
1348949.50000000
0.596261240446
Long
LON
CORP
US
N
2
2026-09-25
Variable
7.63357000
N
N
N
N
N
N
Dealer Tire LLC
N/A
Dealer Tire LLC
24229JAA1
1247000.00000000
PA
USD
1097202.14000000
0.484984136927
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
8.00000000
N
N
N
N
N
Windstream Escrow LLC
N/A
Windstream Escrow LLC
97382WAA1
1135000.00000000
PA
USD
924826.68000000
0.408790917239
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
7.75000000
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2021-10, Class AX1
46654ABS7
55361835.36320000
PA
USD
299363.59000000
0.132324379465
Long
ABS-MBS
CORP
US
Y
2
2051-12-25
Variable
0.12323520
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
65559CAD3
940000.00000000
PA
USD
725729.72000000
0.320786288201
Long
DBT
CORP
FI
Y
2
2029-03-01
Variable
3.75000120
N
N
N
N
N
N
Diamond Sports Group LLC
N/A
Diamond Sports Group LLC
25277LAC0
693000.00000000
PA
USD
5197.50000000
0.002297393488
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
6.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-42538.07000000
-0.01880263300
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
12190000.00000000
EUR
13020381.58000000
USD
2023-01-19
-42538.07000000
N
N
N
SCC Power plc
529900IYGYC6VSDSDF37
SCC Power plc
78397YAB8
1846451.00000000
PA
USD
638872.05000000
0.282393552182
Long
DBT
CORP
GB
Y
2
2028-12-31
Fixed
8.00000000
N
N
Y
N
N
N
Air Canada
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BF5
1377000.00000000
PA
USD
1634294.86000000
0.722389296618
Long
DBT
CORP
CA
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
Y
Air Canada
Air Canada
CAD
XXXX
N
N
N
Foursight Capital Automobile Receivables Trust
N/A
Foursight Capital Automobile Receivables Trust, Series 2021-2, Class F
35105UAH6
490000.00000000
PA
USD
444089.74000000
0.196296080203
Long
ABS-O
CORP
US
Y
2
2029-02-15
Fixed
4.19000000
N
N
N
N
N
N
Propulsion (BC) Newco LLC
N/A
Propulsion (BC) Newco LLC, Term Loan
74347UAC4
780000.00000000
PA
USD
756600.00000000
0.334431536926
Long
LON
CORP
US
N
2
2029-09-14
Variable
7.18154000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV, Series NC10
456837AZ6
2408000.00000000
PA
USD
1652505.17000000
0.730438598708
Long
DBT
CORP
NL
N
2
2031-05-16
Variable
4.25000160
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
508000.00000000
PA
USD
324103.34000000
0.143259817762
Long
DBT
NUSS
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
PERSHING LLC
ZI8Q1A8EI8LQFJNM0D94
Government Agency Repurchase Agreement
N/A
1000000.00000000
PA
USD
1000000.00000000
0.442018949149
Long
RA
CORP
US
N
2
Repurchase
Y
4.33000000
2023-01-03
1538570.76800000
USD
931575.75260000
USD
AMBS
73765.60000000
USD
88424.24736000
USD
UST
N
N
Grupo Aeromexico SAB de CV
N/A
Grupo Aeromexico SAB de CV
N/A
43743.00000000
NS
359165.58000000
0.158757992242
Long
EC
CORP
MX
N
2
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2021-VOLT, Class F
05609VAQ8
1000000.00000000
PA
USD
920004.90000000
0.406659599110
Long
ABS-MBS
CORP
US
Y
2
2036-09-15
Floating
6.71787000
N
N
N
N
N
N
Oaktown Re III Ltd.
2549008N2FD0KB1Y5E03
Oaktown Re III Ltd., Series 2019-1A, Class B1B
67400KAE0
3270000.00000000
PA
USD
3172356.17000000
1.402241540592
Long
ABS-MBS
CORP
BM
Y
2
2029-07-25
Floating
8.73870840
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co., Series L
949746804
1075.00000000
NS
USD
1273875.00000000
0.563076888848
Long
EP
CORP
US
N
1
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BW8
1307000.00000000
PA
USD
1272295.39000000
0.562378671296
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.60000000
N
N
N
N
N
Triangle Re Ltd.
N/A
Triangle Re Ltd., Series 2021-3, Class B1
89600HAG4
910000.00000000
PA
USD
720718.18000000
0.318571092556
Long
ABS-MBS
CORP
BM
Y
2
2034-02-25
Floating
8.87767920
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
46590XAJ5
1285000.00000000
PA
USD
1223077.75000000
0.540623541783
Long
DBT
CORP
US
Y
2
2052-12-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
73.00000000
NC
USD
17668.63000000
0.007809869265
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 2 Year Note
2023-03-31
14970703.20000000
USD
17668.63000000
N
N
N
Promontoria Holding 264 BV
54930014SXEXD3RX1509
Promontoria Holding 264 BV
N/A
1355000.00000000
PA
1350813.18000000
0.597085022321
Long
DBT
CORP
NL
Y
2
2027-03-01
Fixed
6.37500000
N
N
N
N
N
N
NatWest Group plc
2138005O9XJIJN4JPN90
NatWest Group plc
639057AB4
1815000.00000000
PA
USD
1336328.98000000
0.590682731458
Long
DBT
CORP
GB
N
2
2035-11-28
Variable
3.03199920
N
N
N
N
N
N
Park-Ohio Industries, Inc.
5493006LQUO5SLMNYM18
Park-Ohio Industries, Inc.
700677AR8
590000.00000000
PA
USD
400810.60000000
0.177165880220
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
6.62500000
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC
019579AA9
590000.00000000
PA
USD
487298.70000000
0.215395259296
Long
DBT
CORP
US
Y
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
Mutual of Omaha Insurance Co.
P2LER0UPV1DKOU8RO042
Mutual of Omaha Insurance Co.
628312AD2
170000.00000000
PA
USD
161861.63000000
0.071545907600
Long
DBT
CORP
US
Y
2
2054-07-15
Variable
4.29699960
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-CR26, Class D
12593QBK5
3000000.00000000
PA
USD
2423888.40000000
1.071404603424
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
3.46685760
N
N
N
N
N
N
Spirit Loyalty Cayman Ltd.
N/A
Spirit Loyalty Cayman Ltd.
84859BAB7
975000.00000000
PA
USD
980001.75000000
0.433179343700
Long
DBT
CORP
KY
Y
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
Med Trust
N/A
Med Trust, Series 2021-MDLN, Class F
58403YAX4
1865000.00000000
PA
USD
1715366.20000000
0.758224365131
Long
ABS-MBS
CORP
US
Y
2
2038-11-15
Floating
8.31800160
N
N
N
N
N
N
Hidrovias International Finance SARL
222100RBWNBUZOTA9381
Hidrovias International Finance SARL
42953LAB8
970000.00000000
PA
USD
718480.21000000
0.317581867409
Long
DBT
CORP
LU
Y
2
2031-02-08
Fixed
4.95000000
N
N
N
N
N
N
Traingle Re Ltd.
N/A
Traingle Re Ltd., Series 2020-1, Class B1
89600MAE8
250000.00000000
PA
USD
250829.30000000
0.110871303602
Long
ABS-MBS
CORP
BM
Y
2
2030-10-25
Floating
12.13871040
N
N
N
N
N
N
N/A
N/A
Euro-Bund
N/A
-29.00000000
NC
265287.39000000
0.117262053350
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-Bund
2023-03-08
-3854970.00000000
EUR
265287.39000000
N
N
N
FHLMC STACR REMIC Trust
N/A
FHLMC STACR REMIC Trust, Series 2020-DNA5, Class B2
35566ABE8
260000.00000000
PA
USD
291423.91000000
0.128814890455
Long
ABS-MBS
CORP
US
Y
2
2050-10-25
Floating
15.42768120
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bond
N/A
42.00000000
NC
USD
-52427.79000000
-0.02317407664
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury Long Bond
2023-03-22
5264437.50000000
USD
-52427.79000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2021-8, Class AX1
46592TBS1
49391693.91000000
PA
USD
287148.49000000
0.126925073799
Long
ABS-MBS
CORP
US
Y
2
2051-12-25
Variable
0.12515400
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YCM9
1730000.00000000
PA
USD
1716637.74000000
0.758786409905
Long
DBT
CORP
JP
N
2
2033-09-13
Variable
5.66899920
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2017-SFR2, Class F
89613FAF5
1300000.00000000
PA
USD
1258312.38000000
0.556197915909
Long
ABS-O
CORP
US
Y
2
2036-01-17
Fixed
5.10400000
N
N
N
N
N
N
International Petroleum Corp.
N/A
International Petroleum Corp.
N/A
1154000.00000000
PA
USD
1061680.00000000
0.469282677933
Long
DBT
CORP
CA
Y
2
2027-02-01
Fixed
7.25000000
N
N
N
N
N
N
Clear Channel Outdoor Holdings, Inc.
N/A
Clear Channel Outdoor Holdings, Inc.
18453HAD8
2930000.00000000
PA
USD
2151411.10000000
0.950964473611
Long
DBT
CORP
US
Y
2
2029-06-01
Fixed
7.50000000
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
-388.00000000
NC
USD
237629.05000000
0.105036542968
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Ultra Note
2023-03-22
-45893125.00000000
USD
237629.05000000
N
N
N
METROPOLITAN LIFE INSURANCE COMPANY
549300H7EXFMRS487544
Treasury Repurchase Agreement
N/A
2000000.00000000
PA
USD
2000000.00000000
0.884037898299
Long
RA
CORP
US
N
2
Repurchase
Y
4.30000000
2023-01-03
4383254.80880200
USD
2041060.09079900
USD
UST
N
N
Arizona Industrial Development Authority
N/A
Arizona Industrial Development Authority
04052EAX6
1300000.00000000
PA
USD
991063.19000000
0.438068709784
Long
DBT
MUN
US
N
2
2045-02-01
Fixed
3.00000000
N
N
N
N
N
N
HAT Holdings I LLC
N/A
HAT Holdings I LLC
418751AE3
1022000.00000000
PA
USD
887913.60000000
0.392474636407
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
3.37500000
N
N
N
N
N
GS Mortgage Securities Corp. Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E
36262MAJ7
300000.00000000
PA
USD
282410.19000000
0.124830655413
Long
ABS-MBS
CORP
US
Y
2
2036-10-15
Floating
7.86800160
N
N
N
N
N
N
Uniti Group LP
N/A
Uniti Group LP
91327AAB8
2200000.00000000
PA
USD
1392114.24000000
0.615340873461
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
6.00000000
N
N
N
N
N
Duke Energy Corp.
I1BZKREC126H0VB1BL91
Duke Energy Corp.
26441CBU8
2080000.00000000
PA
USD
1845721.63000000
0.815843935315
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
5.00000000
N
N
N
N
N
N
Arbor Realty Commercial Real Estate Notes Ltd.
N/A
Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class E
03880RAL3
1500000.00000000
PA
USD
1363417.80000000
0.602656503208
Long
ABS-CBDO
CORP
KY
Y
2
2036-11-15
Floating
7.71786000
N
N
N
N
N
N
Liberty Mutual Insurance Co.
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co.
53079QAD9
730000.00000000
PA
USD
788433.25000000
0.348502436639
Long
DBT
CORP
US
Y
2
2097-10-15
Fixed
7.69700000
N
N
N
N
N
N
DraftKings Holdings, Inc.
5493008P45UYYL683Z97
DraftKings Holdings, Inc.
26142RAB0
1789000.00000000
PA
USD
1106496.50000000
0.489092420168
Long
DBT
CORP
US
N
2
2028-03-15
None
0.00000000
N
N
N
N
Y
DraftKings, Inc.
DraftKings, Inc.
USD
XXXX
N
N
N
Lloyds Banking Group plc
549300PPXHEU2JF0AM85
Lloyds Banking Group plc
53944YAU7
855000.00000000
PA
USD
785052.75000000
0.347008191582
Long
DBT
CORP
GB
N
2
2033-08-11
Variable
4.97599920
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Nomura Holdings, Inc.
65535HBC2
3550000.00000000
PA
USD
3486291.10000000
1.541006728452
Long
DBT
CORP
JP
N
2
2029-07-06
Fixed
5.60500000
N
N
N
N
N
N/A
N/A
Euro-Bobl
N/A
-16.00000000
NC
67082.14000000
0.029651577029
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
Federal Republic of Germany
Euro-Bobl
2023-03-08
-1852000.00000000
EUR
67082.14000000
N
N
N
Promontoria Holding 264 BV
54930014SXEXD3RX1509
Promontoria Holding 264 BV
74349MAA4
1255000.00000000
PA
USD
1162477.03000000
0.513836875211
Long
DBT
CORP
NL
Y
2
2027-03-01
Fixed
7.87500000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP, Series G
29273VAM2
2321000.00000000
PA
USD
1938035.00000000
0.856648194115
Long
DBT
CORP
US
N
2
2030-05-15
Variable
7.12500120
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2021-SFR9, Class F
74333QAN5
780000.00000000
PA
USD
619066.34000000
0.273639053060
Long
ABS-O
CORP
US
Y
2
2040-11-17
Fixed
4.05300000
N
N
N
N
N
N
Sierra Timeshare Receivables Funding LLC
N/A
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class D
82653EAD9
166009.64000000
PA
USD
156374.08000000
0.069120306515
Long
ABS-O
CORP
US
Y
2
2036-01-20
Fixed
4.75000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PDH6
1780000.00000000
PA
USD
1694785.72000000
0.749127402988
Long
DBT
CORP
US
N
2
2033-07-25
Variable
4.91199840
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2020-1, Class B
90932VAA3
272034.00000000
PA
USD
258809.15000000
0.114398548513
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
4.87500000
N
N
N
N
N
N
Transocean Sentry Ltd.
N/A
Transocean Sentry Ltd.
89385AAA3
0.00500000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
KY
Y
2
2023-05-15
Fixed
5.37500000
N
N
N
N
N
N
VistaJet Malta Finance plc
N/A
VistaJet Malta Finance plc
92840JAB5
1192000.00000000
PA
USD
955775.40000000
0.422470837931
Long
DBT
CORP
US
Y
2
2030-02-01
Fixed
6.37500000
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YES0
1310000.00000000
PA
USD
1197810.07000000
0.529454748422
Long
DBT
CORP
US
N
2
2037-04-20
Variable
5.29700040
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-159, Class HI
38382BKH5
2045377.70000000
PA
USD
379550.31000000
0.167768429175
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Continental Credit Card ABS LLC
5493002QR2K2E0R56Z02
Continental Credit Card ABS LLC, Series 2019-1A, Class C
21134LAC2
1200000.00000000
PA
USD
1159625.16000000
0.512576294630
Long
ABS-O
CORP
US
Y
2
2026-08-15
Fixed
6.16000000
N
N
N
N
N
N
Gol Finance SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAC2
3225000.00000000
PA
USD
1917481.54000000
0.847563175325
Long
DBT
CORP
LU
Y
2
2026-06-30
Fixed
8.00000000
N
N
N
N
N
N
Alamo Re II Pte. Ltd.
N/A
Alamo Re II Pte. Ltd., Series A
011396AA6
250000.00000000
PA
USD
249500.00000000
0.110283727812
Long
DBT
CORP
SG
Y
2
2023-06-08
Floating
9.79554600
N
N
N
N
N
N
Seaspan Corp.
5493007Z8Q1H45KT7W98
Seaspan Corp.
81254UAK2
380000.00000000
PA
USD
287964.00000000
0.127285544673
Long
DBT
CORP
MH
Y
2
2029-08-01
Fixed
5.50000000
N
N
N
N
N
N
Artera Services LLC
549300J2G34D0WX8Z443
Artera Services LLC
73939VAA2
678751.00000000
PA
USD
565460.67000000
0.249944331139
Long
DBT
CORP
US
Y
2
2025-12-04
Fixed
9.03300000
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863BC3
1065000.00000000
PA
USD
884232.85000000
0.390847675160
Long
DBT
CORP
GB
Y
2
2052-03-16
Fixed
4.75000000
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBL1
405000.00000000
PA
USD
363399.33000000
0.160629389968
Long
DBT
CORP
US
N
2
2052-09-15
Fixed
4.75000000
N
N
N
N
N
N
Midwest Connector Capital Co. LLC
N/A
Midwest Connector Capital Co. LLC
59833CAC6
1467000.00000000
PA
USD
1325280.98000000
0.585799306107
Long
DBT
CORP
US
Y
2
2029-04-01
Fixed
4.62500000
N
N
N
N
N
N
Energizer Gamma Acquisition BV
5493002SUYZDHEQ3JN34
Energizer Gamma Acquisition BV
N/A
1080000.00000000
PA
918032.65000000
0.405787827238
Long
DBT
CORP
NL
Y
2
2029-06-30
Fixed
3.50000000
N
N
N
N
N
N
Grupo Posadas SAB de CV
529900NRFIXN5G8NUX35
Grupo Posadas SAB de CV
400489AL4
779690.00000000
PA
USD
608671.77000000
0.269044456152
Long
DBT
CORP
MX
Y
2
2027-12-30
Variable
4.00000000
N
N
Y
N
N
NOVA Chemicals Corp.
549300ZOD6N7RI2FJP09
NOVA Chemicals Corp.
66977WAR0
1355000.00000000
PA
USD
1217092.17000000
0.537977802001
Long
DBT
CORP
CA
Y
2
2027-06-01
Fixed
5.25000000
N
N
N
N
N
Comerica Bank
70WY0ID1N53Q4254VH70
Comerica Bank
200339EX3
989000.00000000
PA
USD
950004.15000000
0.419919836071
Long
DBT
CORP
US
N
2
2033-08-25
Variable
5.33199960
N
N
N
N
N
GS Mortgage Securities Corp. Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2021-IP, Class D
36262MAG3
700000.00000000
PA
USD
639093.14000000
0.282491278151
Long
ABS-MBS
CORP
US
Y
2
2036-10-15
Floating
6.41800080
N
N
N
N
N
N
Multifamily Connecticut Avenue Securities Trust
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class CE
62547NAD1
2136000.00000000
PA
USD
1969572.92000000
0.870588552372
Long
ABS-MBS
CORP
US
Y
2
2049-10-25
Floating
13.13871120
N
N
N
N
N
N
AthenaHealth Group, Inc.
254900AA3KZN4Q7A5Z33
AthenaHealth Group, Inc.
60337JAA4
395000.00000000
PA
USD
291088.21000000
0.128666504694
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
6.50000000
N
N
N
N
N
Transportes Aereos Portugueses SA
213800XBTDYWRYHKH878
Transportes Aereos Portugueses SA
N/A
2000000.00000000
PA
2022497.24000000
0.893982104683
Long
DBT
CORP
PT
Y
2
2024-12-02
Fixed
5.62500000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAX3
1090000.00000000
PA
USD
852119.23000000
0.376652846595
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Golar LNG Ltd.
213800C2VSFZG3EZLO34
Golar LNG Ltd.
N/A
688751.00000000
PA
USD
675664.73000000
0.298656613932
Long
DBT
CORP
BM
Y
2
2025-10-20
Fixed
7.00000000
N
N
N
N
N
N
FARM Mortgage Trust
N/A
FARM Mortgage Trust, Series 2021-1, Class B
30768WAC2
647529.66000000
PA
USD
436991.41000000
0.193158483835
Long
ABS-MBS
CORP
US
Y
2
2051-07-25
Variable
3.23750160
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738ECA1
1155000.00000000
PA
USD
1091084.22000000
0.482279900358
Long
DBT
CORP
GB
N
2
2033-08-09
Variable
5.74599960
N
N
N
N
N
Bank of New York Mellon Corp. (The)
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp. (The)
06406RBM8
1050000.00000000
PA
USD
1088423.36000000
0.481103749817
Long
DBT
CORP
US
N
2
2033-10-25
Variable
5.83400160
N
N
N
N
N
N
Foursight Capital Automobile Receivables Trust
N/A
Foursight Capital Automobile Receivables Trust, Series 2021-2, Class E
35105UAG8
600000.00000000
PA
USD
543000.78000000
0.240016634163
Long
ABS-O
CORP
US
Y
2
2027-10-15
Fixed
3.35000000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CW3
1040000.00000000
PA
USD
964262.88000000
0.426222464921
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2021-R02, Class 2B2
20754KAJ0
590000.00000000
PA
USD
497150.64000000
0.219750003462
Long
ABS-MBS
CORP
US
Y
2
2041-11-25
Floating
10.12767840
N
N
N
N
N
N
N/A
N/A
CDI
N/A
50000000.00000000
PA
USD
-275692.14000000
-0.12186115001
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Investment Grade Index Series 39-V1
Markit CDX North American Investment Grade Index Series 39-V1
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-12-20
0.00000000
USD
138089.18000000
USD
50000000.00000000
USD
-275692.14000000
N
N
N
Coeur Mining, Inc.
5493003AVK173D48DR70
Coeur Mining, Inc.
192108BC1
860000.00000000
PA
USD
671166.90000000
0.296668487842
Long
DBT
CORP
US
Y
2
2029-02-15
Fixed
5.12500000
N
N
N
N
N
N
American Airlines, Inc.
N/A
American Airlines, Inc.
00253XAB7
345000.00000000
PA
USD
315314.76000000
0.139375098866
Long
DBT
CORP
US
Y
2
2029-04-20
Fixed
5.75000000
N
N
N
N
N
N
ProFrac Holdings II LLC
N/A
ProFrac Holdings II LLC, Term Loan
N/A
3099534.59000000
PA
USD
3177022.95000000
1.404304345784
Long
LON
CORP
US
N
2
2025-03-04
Variable
11.10490000
N
N
N
N
N
N
FHLMC Multifamily Structured Credit Risk
N/A
FHLMC Multifamily Structured Credit Risk, Series 2021-MN3, Class M2
35563GAB5
1615000.00000000
PA
USD
1417443.19000000
0.626536749323
Long
ABS-MBS
USGSE
US
Y
2
2051-11-25
Floating
7.52079960
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC
019576AC1
520000.00000000
PA
USD
377395.01000000
0.166815745734
Long
DBT
CORP
US
Y
2
2029-06-01
Fixed
6.00000000
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes
N/A
Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class D
80290CAU8
1075000.00000000
PA
USD
1036411.37000000
0.458113464654
Long
ABS-O
CORP
US
Y
2
2032-05-15
Fixed
9.96500000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
46590XAH9
645000.00000000
PA
USD
615188.10000000
0.271924797491
Long
DBT
CORP
US
Y
2
2033-04-01
Fixed
5.75000000
N
N
N
N
N
N
Albemarle Corp.
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp.
012653AF8
1746000.00000000
PA
USD
1588617.48000000
0.702199029110
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
5.65000000
N
N
N
N
N
2023-01-30
Nationwide Variable Insurance Trust
David Majewski
David Majewski
Treasurer