0001752724-21-272848.txt : 20211216
0001752724-21-272848.hdr.sgml : 20211216
20211216125030
ACCESSION NUMBER: 0001752724-21-272848
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211031
FILED AS OF DATE: 20211216
PERIOD START: 20211031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: NEUBERGER BERMAN ALTERNATIVE FUNDS
CENTRAL INDEX KEY: 0001317474
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21715
FILM NUMBER: 211497035
BUSINESS ADDRESS:
STREET 1: 1290 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10104
BUSINESS PHONE: (212) 476-8800
MAIL ADDRESS:
STREET 1: 1290 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10104
FORMER COMPANY:
FORMER CONFORMED NAME: NEUBERGER BERMAN INSTITUTIONAL LIQUIDITY FUNDS
DATE OF NAME CHANGE: 20090601
FORMER COMPANY:
FORMER CONFORMED NAME: LEHMAN BROTHERS INSTITUTIONAL LIQUIDITY FUNDS
DATE OF NAME CHANGE: 20061023
FORMER COMPANY:
FORMER CONFORMED NAME: LEHMAN BROTHERS INVESTOR LIQUIDITY SERIES
DATE OF NAME CHANGE: 20050211
0001317474
S000035445
Neuberger Berman Commodity Strategy Fund
C000108847
Class A
NRBAX
C000108848
Class C
NRBCX
C000108849
Institutional Class
NRBIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001317474
XXXXXXXX
S000035445
C000108848
C000108849
C000108847
NEUBERGER BERMAN ALTERNATIVE FUNDS
811-21715
0001317474
549300O1DN1L4W2HMC23
1290 AVENUE OF THE AMERICAS
NEW YORK
10104
212-476-8800
Neuberger Berman Commodity Strategy Fund
S000035445
549300V8U0N6WG002P89
2021-10-31
2021-10-31
N
175772513.56
2572955.12
173199558.44
0.00000000
28762456.84000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2269943.91000000
0.00000000
0.00000000
0.00000000
USD
N
N/A
N/A
PALLADIUM FUTURE DEC21
000000000
6.00000000
NC
USD
67500.00000000
0.038972385731
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX Palladium Future
PAZ1 Comdty
2021-12-29
1120680.00000000
USD
67500.00000000
N
N
N
N/A
N/A
SOYBEAN OIL FUTR MAR22
000000000
65.00000000
NC
USD
24960.00000000
0.014411122190
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Soybean Oil Future
BOH2 Comdty
2022-03-14
2332200.00000000
USD
24960.00000000
N
N
N
TWDC Enterprises 18 Corp
7260JQNI6SCF9FIV2392
TWDC Enterprises 18 Corp
25468PDS2
1255000.00000000
PA
USD
1256769.31000000
0.725619234436
Long
DBT
CORP
US
N
2
2022-03-04
Floating
0.51000000
N
N
N
N
N
N
N/A
N/A
SILVER FUTURE MAR22 XCEC 20220329
000000000
48.00000000
NC
USD
298269.25000000
0.172211322411
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Long
COMEX Silver Future
SIH2 Comdty
2022-03-29
5459810.75000000
USD
298269.25000000
N
N
N
Capital One Prime Auto Receivables Trust
N/A
Capital One Prime Auto Receivables Trust 2021-1
14044CAB8
1347000.00000000
PA
USD
1345980.19000000
0.777126802240
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
0.32000000
N
N
N
N
N
N
N/A
N/A
COTTON NO.2 FUTR MAR22
000000000
100.00000000
NC
USD
152500.00000000
0.088048723318
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
NYBOT CTN Number 2 Cotton Future
CTH2 Comdty
2022-03-09
5408500.00000000
USD
152500.00000000
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816BN8
2705000.00000000
PA
USD
2715923.11000000
1.568088934211
Long
DBT
CORP
US
N
2
2022-08-01
Floating
0.74000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2019-4
63941WAA7
468476.05000000
PA
USD
468359.63000000
0.270416180167
Long
ABS-O
CORP
US
N
2
2068-07-25
Floating
0.37000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DV3
2835000.00000000
PA
USD
2841605.66000000
1.640654101889
Long
DBT
CORP
US
N
2
2022-02-15
Floating
1.02000000
N
N
N
N
N
N
PPL ELECTRIC UTI
549300GCZLSGYEYPIR35
PPL Electric Utilities Corp
69351UAY9
1530000.00000000
PA
USD
1531040.40000000
0.883974770946
Long
DBT
CORP
US
N
2
2024-06-24
Floating
0.38000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust
34532QAB4
897830.83000000
PA
USD
897691.31000000
0.518298844457
Long
ABS-O
CORP
US
N
2
2023-07-15
Fixed
0.19000000
N
N
N
N
N
N
Verizon Owner Trust
549300WANFF5OIMC3D47
Verizon Owner Trust 2019-C
92348AAB1
1200000.00000000
PA
USD
1201978.20000000
0.693984563717
Long
ABS-O
CORP
US
N
2
2024-04-22
Floating
0.51000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013X6E3
2035000.00000000
PA
USD
2039596.82000000
1.177599318595
Long
DBT
CORP
CA
N
2
2022-04-29
Floating
0.60000000
N
N
N
N
N
N
N/A
N/A
COCOA FUTURE MAR22
000000000
95.00000000
NC
USD
-165300.00000000
-0.09543904239
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
NYBOT CSC Cocoa Future
CCH2 Comdty
2022-03-16
2616300.00000000
USD
-165300.00000000
N
N
N
N/A
N/A
LME LEAD FUTURE DEC21
000000000
-160.00000000
NC
USD
-780335.60000000
-0.45054133337
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Short
LME Lead Future
LLZ1 Comdty
2021-12-13
-8843664.40000000
USD
-780335.60000000
N
N
N
N/A
N/A
PLATINUM FUTURE JAN22
000000000
152.00000000
NC
USD
301147.12000000
0.173872914407
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX Platinum Future
PLF2 Comdty
2022-01-27
7456172.88000000
USD
301147.12000000
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BV4
765000.00000000
PA
USD
765031.68000000
0.441705329326
Long
DBT
CORP
US
N
2
2023-09-29
Floating
0.65000000
N
N
N
N
N
N
N/A
N/A
COFFEE 'C' FUTURE MAR22
000000000
20.00000000
NC
USD
76875.00000000
0.044385217082
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
NYBOT CSC C Coffee Future
KCH2 Comdty
2022-03-21
1473000.00000000
USD
76875.00000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SJ1
3275000.00000000
PA
USD
3311320.60000000
1.911852795598
Long
DBT
CORP
US
N
2
2023-10-31
Floating
1.36000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RFY3
455000.00000000
PA
USD
459089.78000000
0.265064059132
Long
DBT
CORP
US
N
2
2023-02-15
Floating
1.01000000
N
N
N
N
N
N
Hyundai Auto Lease Securitization Trust
N/A
Hyundai Auto Lease Securitization Trust 2021-B
44891VAB7
1690000.00000000
PA
USD
1688410.89000000
0.974835562635
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
0.19000000
N
N
N
N
N
N
TRUIST FIN CORP
549300DRQQI75D2JP341
Truist Financial Corp
05531FAY9
1475000.00000000
PA
USD
1477929.63000000
0.853310275910
Long
DBT
CORP
US
N
2
2022-04-01
Floating
0.78000000
N
N
N
N
N
N
N/A
N/A
NATURAL GAS FUTR MAR22
000000000
127.00000000
NC
USD
-370840.00000000
-0.21411140036
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX Henry Hub Natural Gas Futures
NGH22 Comdty
2022-02-24
6904990.00000000
USD
-370840.00000000
N
N
N
N/A
N/A
GASOLINE RBOB FUT MAR22
000000000
117.00000000
NC
USD
255528.00000000
0.147533863424
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX Reformulated Gasoline Blendstock for Oxygen Blending RBOB Futures
XBH2 Comdty
2022-02-28
11016696.60000000
USD
255528.00000000
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBK0
1185000.00000000
PA
USD
1185188.33000000
0.684290618679
Long
DBT
CORP
US
N
2
2023-06-10
Floating
0.30000000
N
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2021-C
12598LAB2
834000.00000000
PA
USD
833317.37000000
0.481131347854
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
0.33000000
N
N
N
N
N
N
N/A
N/A
LIVE CATTLE FUTR APR22
000000000
70.00000000
NC
USD
16800.00000000
0.009699793781
N/A
DCO
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Live Cattle Future
LCJ2 Comdty
2022-04-29
3825500.00000000
USD
16800.00000000
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WDJ9
2025000.00000000
PA
USD
2031271.40000000
1.172792481860
Long
DBT
CORP
US
N
2
2022-07-12
Floating
0.56000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2020-A
88167HAB2
361711.68000000
PA
USD
361926.07000000
0.208964776388
Long
ABS-O
CORP
US
N
2
2023-05-22
Fixed
0.55000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAX3
1170000.00000000
PA
USD
1175808.64000000
0.678875079469
Long
DBT
CORP
US
N
2
2022-08-15
Floating
1.00000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2021-4
362554AB3
2125000.00000000
PA
USD
2122624.68000000
1.225537004319
Long
ABS-O
CORP
US
N
2
2024-11-18
Fixed
0.28000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EVT3
1523000.00000000
PA
USD
1523517.42000000
0.879631237932
Long
DBT
CORP
US
N
2
2023-07-10
Floating
0.17000000
N
N
N
N
N
N
Ford Credit Auto Lease Trust
N/A
Ford Credit Auto Lease Trust 2020-B
34531RAB3
90894.85000000
PA
USD
90913.71000000
0.052490728509
Long
ABS-O
CORP
US
N
2
2022-12-15
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
BRENT CRUDE FUTR MAR22
000000000
148.00000000
NC
USD
374440.00000000
0.216189927602
N/A
DCO
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Long
ICE Brent Crude Oil Future
COH2 Comdty
2022-01-31
11677200.00000000
USD
374440.00000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAD8
2500000.00000000
PA
USD
2510334.83000000
1.449388700878
Long
DBT
CORP
US
N
2
2023-04-25
Floating
1.02000000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654AT2
1872000.00000000
PA
USD
1873902.35000000
1.081932521582
Long
DBT
CORP
US
N
2
2024-10-01
Floating
0.30000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EB81
3527000.00000000
PA
USD
3619336.26000000
2.089691389862
Long
DBT
CORP
US
N
2
2023-11-29
Floating
1.72000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBM6
2820000.00000000
PA
USD
2826316.21000000
1.631826452363
Long
DBT
CORP
US
N
2
2022-03-09
Floating
1.07000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36966TJA1
580000.00000000
PA
USD
585032.52000000
0.337779452366
Long
DBT
CORP
US
N
2
2023-04-15
Floating
1.12000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36966THT2
2255000.00000000
PA
USD
2281910.90000000
1.317503878504
Long
DBT
CORP
US
N
2
2023-03-15
Floating
1.12000000
N
N
N
N
N
N
BMW Vehicle Lease Trust
N/A
BMW Vehicle Lease Trust 2021-1
05591RAB0
1429191.99000000
PA
USD
1429195.56000000
0.825172750365
Long
ABS-O
CORP
US
N
2
2023-03-27
Fixed
0.20000000
N
N
N
N
N
N
N/A
N/A
LME NICKEL FUTURE DEC21
000000000
-57.00000000
NC
USD
-45431.01000000
-0.02623044216
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Short
LME Nickel Future
LNZ1 Comdty
2021-12-13
-6618780.99000000
USD
-45431.01000000
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434CV2
585000.00000000
PA
USD
585098.41000000
0.337817495188
Long
DBT
CORP
US
N
2
2023-09-14
Floating
0.47000000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
89788JAD1
945000.00000000
PA
USD
944964.20000000
0.545592730438
Long
DBT
CORP
US
N
2
2024-01-17
Floating
0.25000000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAG6
980000.00000000
PA
USD
980188.19000000
0.565929958960
Long
DBT
CORP
US
N
2
2021-11-26
Floating
0.37000000
N
N
N
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AP3
1855000.00000000
PA
USD
1859808.23000000
1.073795018157
Long
DBT
CORP
GB
N
2
2022-06-10
Floating
0.74000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796H69
12000000.00000000
PA
USD
11999716.68000000
6.928260549900
Long
STIV
UST
US
N
2
2021-11-18
None
0.00000000
N
N
N
N
N
N
Ford Credit Auto Owner Trust
N/A
Ford Credit Auto Owner Trust 2020-B
34533GAB5
52976.56000000
PA
USD
52988.72000000
0.030594027188
Long
ABS-O
CORP
US
N
2
2023-02-15
Fixed
0.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CJ5
1810000.00000000
PA
USD
1814549.36000000
1.047663964240
Long
DBT
CORP
US
N
2
2022-05-16
Floating
0.50000000
N
N
N
N
N
N
N/A
N/A
CME BITCOIN FUT NOV21
000000000
4.00000000
NC
USD
-23445.00000000
-0.01353640864
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Bitcoin Futures
BTCX1 CURNCY
2021-11-26
1283645.00000000
USD
-23445.00000000
N
N
N
Golden Credit Card Trust
549300BEDPMEONLTJX58
Golden Credit Card Trust
380881ED0
1000000.00000000
PA
USD
1003941.60000000
0.579644433878
Long
ABS-O
CORP
CA
N
2
2024-07-15
Floating
0.61000000
N
N
N
N
N
N
MMAF Equipment Finance LLC
N/A
MMAF Equipment Finance LLC 2021-A
55317JAB6
920000.00000000
PA
USD
919561.71000000
0.530926128381
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
0.30000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGJ2
2145000.00000000
PA
USD
2154225.30000000
1.243782212496
Long
DBT
CORP
US
N
2
2023-04-24
Floating
1.12000000
N
N
N
N
N
N
Nissan Auto Lease Trust
N/A
Nissan Auto Lease Trust
65480DAB9
1077000.00000000
PA
USD
1076270.33000000
0.621404777064
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
0.30000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBD1
120000.00000000
PA
USD
120521.80000000
0.069585512275
Long
DBT
CORP
US
N
2
2022-09-19
Floating
0.77000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMH2
2684000.00000000
PA
USD
2686529.24000000
1.551117834362
Long
DBT
CORP
US
N
2
2024-03-25
Floating
0.69000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust 2021-B
98163LAB6
1420000.00000000
PA
USD
1419181.09000000
0.819390709065
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
0.20000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAG2
1350000.00000000
PA
USD
1350099.66000000
0.779505255186
Long
DBT
CORP
US
N
2
2023-04-05
Floating
0.58000000
N
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GD3
1575000.00000000
PA
USD
1574763.83000000
0.909219309901
Long
DBT
CORP
US
N
2
2023-05-10
Floating
0.30000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
36496585.62000000
NS
USD
36496585.62000000
21.07198537266
Long
STIV
RF
US
N
2
N
N
N
N/A
N/A
NY HARB ULSD FUT MAR22
000000000
133.00000000
NC
USD
146911.80000000
0.084822271675
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX NY Harbor ULSD Futures
HOH2 Comdty
2022-02-28
13303059.00000000
USD
146911.80000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDH9
1285000.00000000
PA
USD
1285325.97000000
0.742106955454
Long
DBT
CORP
US
N
2
2023-09-15
Floating
0.65000000
N
N
N
N
N
N
N/A
N/A
SUGAR 11 (WORLD) MAR22
000000000
106.00000000
NC
USD
-59360.00000000
-0.03427260469
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
NYBOT CSC Number 11 World Sugar Future
SBH2 Comdty
2022-02-28
2347094.40000000
USD
-59360.00000000
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CR1
1615000.00000000
PA
USD
1615938.59000000
0.932992326628
Long
DBT
CORP
US
N
2
2023-10-18
Floating
0.44000000
N
N
N
N
N
N
American Express Credit Account Master Trust
549300Y4SA5G3GIJTP18
American Express Credit Account Master Trust
02588NAA3
1000000.00000000
PA
USD
1002372.80000000
0.578738657897
Long
ABS-O
CORP
US
N
2
2025-02-18
Floating
0.47000000
N
N
N
N
N
N
N/A
N/A
LME PRI ALUM FUTR DEC21
000000000
88.00000000
NC
USD
379420.92000000
0.219065754796
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Primary Aluminum Future
LAZ21 Comdty
2021-12-15
5601829.08000000
USD
379420.92000000
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7E8
270000.00000000
PA
USD
270817.95000000
0.156361801634
Long
DBT
CORP
CA
N
2
2023-01-17
Floating
0.48000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
63743HFA5
2220000.00000000
PA
USD
2221863.60000000
1.282834448316
Long
DBT
CORP
US
N
2
2024-10-18
Floating
0.38000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2021-1
36261LAB7
540856.05000000
PA
USD
540914.14000000
0.312306881652
Long
ABS-O
CORP
US
N
2
2023-11-16
Fixed
0.23000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516BV7
555000.00000000
PA
USD
556635.57000000
0.321383942900
Long
DBT
CORP
US
N
2
2022-08-08
Floating
0.50000000
N
N
N
N
N
N
N/A
N/A
KC HRW WHEAT FUT MAR22
000000000
163.00000000
NC
USD
295437.50000000
0.170576358658
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
KCBT Hard Red Winter Wheat Future
KWH2 Comdty
2022-03-14
6134912.50000000
USD
295437.50000000
N
N
N
N/A
N/A
CATTLE FEEDER FUT JAN22
000000000
27.00000000
NC
USD
-35775.00000000
-0.02065536443
N/A
DCO
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Feeder Cattle Future
FCF2 Comdty
2022-01-27
2143462.50000000
USD
-35775.00000000
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2017-4
63940AAB4
321130.95000000
PA
USD
321813.87000000
0.185805248522
Long
ABS-O
CORP
US
N
2
2066-09-27
Floating
0.59000000
N
N
N
N
N
N
N/A
N/A
COPPER FUTURE MAR22
000000000
68.00000000
NC
USD
351900.00000000
0.203176037612
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Long
COMEX Copper Future
HGH2 Comdty
2022-03-29
7026100.00000000
USD
351900.00000000
N
N
N
US BANK NA CINCINNATI
6BYL5QZYBDK8S7L73M02
US Bank NA/Cincinnati OH
90331HPG2
2185000.00000000
PA
USD
2193451.36000000
1.266430110882
Long
DBT
CORP
US
N
2
2022-12-09
Floating
0.52000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCX7
1125000.00000000
PA
USD
1135765.63000000
0.655755499742
Long
DBT
CORP
US
N
2
2024-04-15
Floating
0.75000000
N
N
N
N
N
N
Citibank Credit Card Issuance Trust
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGF6
2000000.00000000
PA
USD
2005146.20000000
1.157708609687
Long
ABS-O
CORP
US
N
2
2024-08-08
Floating
0.46000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2021-A
88161FAB2
1470042.90000000
PA
USD
1469639.23000000
0.848523658626
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
0.36000000
N
N
N
N
N
N
N/A
N/A
WHEAT FUTURE(CBT) MAR22
000000000
166.00000000
NC
USD
215800.00000000
0.124596160604
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Wheat Future
W H2 Comdty
2022-03-14
6299700.00000000
USD
215800.00000000
N
N
N
N/A
N/A
LME ZINC FUTURE MAR22
000000000
114.00000000
NC
USD
961875.00000000
0.555356496669
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Zinc Future
LXH2 Comdty
2022-03-14
8585625.00000000
USD
961875.00000000
N
N
N
N/A
N/A
SOYBEAN MEAL FUTR MAR22
000000000
187.00000000
NC
USD
59840.00000000
0.034549741661
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Soybean Meal Future
SMH2 Comdty
2022-03-14
6137340.00000000
USD
59840.00000000
N
N
N
World Omni Automobile Lease Securitization Trust
N/A
World Omni Automobile Lease Securitization Trust 2021-A
98163JAB1
660000.00000000
PA
USD
659214.40000000
0.380609746316
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
0.21000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EVV8
1000000.00000000
PA
USD
1002380.00000000
0.578742814951
Long
DBT
CORP
US
N
2
2024-10-11
Floating
0.25000000
N
N
N
N
N
N
N/A
N/A
LME PRI ALUM FUTR MAR22
000000000
79.00000000
NC
USD
-330812.50000000
-0.19100077562
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Primary Aluminum Future
LAH22 Comdty
2022-03-14
5693431.25000000
USD
-330812.50000000
N
N
N
Toyota Auto Receivables Owner Trust
N/A
Toyota Auto Receivables 2021-B Owner Trust
89190GAB3
3760000.00000000
PA
USD
3757883.50000000
2.169684226592
Long
ABS-O
CORP
US
N
2
2024-01-16
Fixed
0.14000000
N
N
N
N
N
N
Hyundai Auto Lease Securitization Trust
N/A
Hyundai Auto Lease Securitization Trust 2020-B
44891PAB0
546747.69000000
PA
USD
546981.86000000
0.315810193124
Long
ABS-O
CORP
US
N
2
2023-01-17
Fixed
0.36000000
N
N
N
N
N
N
N/A
N/A
WTI CRUDE FUTURE MAR22
000000000
119.00000000
NC
USD
355810.00000000
0.205433549141
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX Light Sweet Crude Oil Future
CLH2 Comdty
2022-02-22
8980930.00000000
USD
355810.00000000
N
N
N
DLLMT LLC
N/A
Dllmt 2021-1 LLC
23345FAB8
570000.00000000
PA
USD
569865.31000000
0.329022380387
Long
ABS-O
CORP
US
N
2
2024-03-20
Fixed
0.60000000
N
N
N
N
N
N
N/A
N/A
LME NICKEL FUTURE DEC21
000000000
57.00000000
NC
USD
226770.99000000
0.130930466591
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Nickel Future
LNZ1 Comdty
2021-12-13
6437441.01000000
USD
226770.99000000
N
N
N
N/A
N/A
LME PRI ALUM FUTR DEC21
000000000
-88.00000000
NC
USD
281478.42000000
0.162516823100
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Short
LME Primary Aluminum Future
LAZ21 Comdty
2021-12-15
-6262728.42000000
USD
281478.42000000
N
N
N
N/A
N/A
GOLD 100 OZ FUTR APR22 XCEC 20220427
000000000
88.00000000
NC
USD
162327.92000000
0.093723056491
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Long
COMEX Gold 100 Troy Ounces Future
GCJ2 Comdty
2022-04-27
15568552.08000000
USD
162327.92000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHE2
775000.00000000
PA
USD
781034.34000000
0.450944763967
Long
DBT
CORP
US
N
2
2024-03-05
Floating
0.91000000
N
N
N
N
N
N
N/A
N/A
LME ZINC FUTURE DEC21
000000000
-119.00000000
NC
USD
-996376.54000000
-0.57527660519
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Short
LME Zinc Future
LXZ1 Comdty
2021-12-13
-9155067.21000000
USD
-996376.54000000
N
N
N
N/A
N/A
LOW SU GASOIL G MAR22
000000000
110.00000000
NC
USD
93500.00000000
0.053983971346
N/A
DCO
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Long
ICE Gas Oil Future
QSH2 Comdty
2022-03-10
7513000.00000000
USD
93500.00000000
N
N
N
Mercedes-Benz Auto Lease Trust
N/A
Mercedes-Benz Auto Lease Trust 2020-B
58769EAB4
408237.58000000
PA
USD
408384.91000000
0.235788655397
Long
ABS-O
CORP
US
N
2
2023-02-15
Fixed
0.31000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCF3
2005000.00000000
PA
USD
2012600.69000000
1.162012598719
Long
DBT
CORP
CA
N
2
2023-01-27
Floating
0.53000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGH6
690000.00000000
PA
USD
691637.93000000
0.399330076952
Long
DBT
CORP
US
N
2
2023-01-20
Floating
1.29000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2020-3
362590AB7
331807.92000000
PA
USD
331893.49000000
0.191624905391
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
0.35000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EK5
640000.00000000
PA
USD
642616.68000000
0.371026742670
Long
DBT
CORP
AU
N
2
2023-01-13
Floating
0.51000000
N
N
N
N
N
N
Mercedes-Benz Auto Lease Trust
N/A
Mercedes-Benz Auto Lease Trust 2021-A
58770GAB6
1257984.07000000
PA
USD
1257975.52000000
0.726315662309
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
0.18000000
N
N
N
N
N
N
N/A
N/A
LME NICKEL FUTURE MAR22
000000000
48.00000000
NC
USD
389088.00000000
0.224647223990
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Nickel Future
LNH2 Comdty
2022-03-14
5199840.00000000
USD
389088.00000000
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAY3
1991000.00000000
PA
USD
1989027.80000000
1.148402350395
Long
DBT
CORP
US
N
2
2024-10-25
Floating
0.25000000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913R2R7
1179000.00000000
PA
USD
1182065.40000000
0.682487536715
Long
DBT
CORP
US
N
2
2024-09-13
Floating
0.32000000
N
N
N
N
N
N
N/A
N/A
CORN FUTURE MAR22
000000000
401.00000000
NC
USD
706762.50000000
0.408062529931
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Corn Future
C H2 Comdty
2022-03-14
10847050.00000000
USD
706762.50000000
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AV7
565000.00000000
PA
USD
565108.84000000
0.326276143594
Long
DBT
CORP
US
N
2
2023-03-09
Floating
0.50000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AQ5
1000000.00000000
PA
USD
1000240.08000000
0.577507292171
Long
DBT
CORP
US
N
2
2021-11-12
Floating
1.06000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GX5
1515000.00000000
PA
USD
1515216.18000000
0.874838361972
Long
DBT
CORP
US
N
2
2021-12-03
Floating
0.39000000
N
N
N
N
N
N
CENTERPOINT ENERGY RES
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp
15189WAN0
1045000.00000000
PA
USD
1044957.81000000
0.603325908802
Long
DBT
CORP
US
N
2
2023-03-02
Floating
0.62000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust 2020-C
98163CAB6
819980.99000000
PA
USD
820312.84000000
0.473622939566
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
0.35000000
N
N
N
N
N
N
N/A
N/A
LEAN HOGS FUTURE APR22
000000000
122.00000000
NC
USD
-244000.00000000
-0.14087795730
N/A
DCO
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Lean Hogs Future
LHJ2 Comdty
2022-04-14
4248040.00000000
USD
-244000.00000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468K8
3655000.00000000
PA
USD
3661138.57000000
2.113826734303
Long
DBT
CORP
US
N
2
2023-01-20
Floating
0.75000000
N
N
N
N
N
N
N/A
N/A
SOYBEAN FUTURE MAR22
000000000
80.00000000
NC
USD
-9000.00000000
-0.00519631809
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Soybean Future
S H2 Comdty
2022-03-14
5045000.00000000
USD
-9000.00000000
N
N
N
Nelnet Student Loan Trust
N/A
Navient Student Loan Trust 2019-7
64034WAA3
306654.19000000
PA
USD
307224.97000000
0.177382074623
Long
ABS-O
CORP
US
N
2
2068-01-25
Floating
0.59000000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2021-A
80286TAB9
1646964.72000000
PA
USD
1646385.65000000
0.950571505394
Long
ABS-O
CORP
US
N
2
2024-02-20
Fixed
0.32000000
N
N
N
N
N
N
Santander Consumer Auto Receivables Trust
N/A
Santander Consumer Auto Receivables Trust 2021-A
80282YAB2
699250.77000000
PA
USD
699260.49000000
0.403731104338
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
0.23000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBP3
2275000.00000000
PA
USD
2287216.16000000
1.320566969454
Long
DBT
CORP
US
N
2
2022-11-21
Floating
0.78000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBX7
1700000.00000000
PA
USD
1700969.00000000
0.982086221997
Long
DBT
CORP
US
N
2
2023-11-03
Floating
0.45000000
N
N
N
N
N
N
N/A
N/A
LME ZINC FUTURE DEC21
000000000
119.00000000
NC
USD
1387730.96000000
0.801232389100
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Zinc Future
LXZ1 Comdty
2021-12-13
8763712.79000000
USD
1387730.96000000
N
N
N
N/A
N/A
LME LEAD FUTURE MAR22
000000000
160.00000000
NC
USD
908000.00000000
0.524250759169
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Lead Future
LLH2 Comdty
2022-03-14
8562000.00000000
USD
908000.00000000
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
327032.79000000
NS
USD
327032.79000000
0.188818489461
Long
STIV
RF
US
N
2
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LL3
2888000.00000000
PA
USD
2925399.48000000
1.689034028925
Long
DBT
CORP
US
N
2
2024-05-17
Floating
1.22000000
N
N
N
N
N
N
N/A
N/A
LME LEAD FUTURE DEC21
000000000
160.00000000
NC
USD
382564.40000000
0.220880701686
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Lead Future
LLZ1 Comdty
2021-12-13
9241435.60000000
USD
382564.40000000
N
N
N
2021-11-24
NEUBERGER BERMAN ALTERNATIVE FUNDS
John McGovern
John McGovern
Treasurer