NPORT-P false 0000731890 XXXXXXXX S000039055 C000193195 C000225825 C000119983 T. ROWE PRICE SHORT-TERM BOND FUND, INC. 811-03894 0000731890 549300C2B2KYI619RG43 100 East Pratt Street Baltimore 21202 410-345-2000 T. Rowe Price Ultra Short-Term Bond Fund S000039055 549300KJPJ2IQ3OSSV02 2022-05-31 2022-02-28 N 4078304593.65 25327431.76 4052977161.89 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 427379.93000000 JPY USD N ARROW ELECTRONICS 4/2 144A CP 0.6200 20220323 N/A 000000000 19000000.00000000 PA USD 18994015.57000000 0.468643538103 Long DBT CORP US N 2 2022-03-23 None 0.00000000 N N N N N N BRAVO Residential Funding Trus N/A 105690AA9 7840654.68000000 PA USD 7775865.00000000 0.191855633264 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.69900000 N N N N N N Onslow Bay Financial LLC N/A 67448TAP0 893900.41000000 PA USD 888822.97000000 0.021930125300 Long ABS-MBS CORP US N 2 2060-02-25 Variable 3.50000000 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAC2 6315000.00000000 PA USD 6314576.90000000 0.155800949469 Long DBT CORP GB N 2 2024-08-12 Floating 0.58000100 N N N N N N Ford Credit Auto Lease Trust N/A 34531MAF5 3515000.00000000 PA USD 3528626.25000000 0.087062574227 Long ABS-O CORP US N 2 2023-06-15 Fixed 2.05000000 N N N N N N Verus Securitization Trust N/A 92537KAA2 2168753.67000000 PA USD 2171993.14000000 0.053590066098 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.64200000 N N N N N N BX Trust N/A 05608RAA3 3100000.00000000 PA USD 3037908.24000000 0.074954980466 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.09010000 N N N N N N MHC Commercial Mortgage Trust N/A 55293AAA5 12500000.00000000 PA USD 12242103.75000000 0.302052127633 Long ABS-MBS CORP US N 2 2023-05-15 Floating 1.04100000 N N N N N N PRINCIPAL LFE GLB FND II 635400WSLKBQWSOIIT41 74256LEM7 4800000.00000000 PA USD 4809811.20000000 0.118673533254 Long DBT CORP US N 2 2024-04-12 Floating 0.49891500 N N N N N N Freddie Mac - STACR N/A 35564KGX1 989866.75000000 PA USD 989163.45000000 0.024405848108 Long ABS-MBS CORP US N 2 2034-01-25 Floating 0.69867000 N N N N N N Santander Retail Auto Lease Tr N/A 80281GAH9 2000000.00000000 PA USD 2018784.20000000 0.049809908108 Long ABS-O CORP US N 2 2024-06-20 Fixed 3.31000000 N N N N N N Towd Point Mortgage Trust N/A 89169EAA7 229127.18000000 PA USD 228800.24000000 0.005645238817 Long ABS-MBS CORP US N 2 2057-02-25 Floating 0.78686000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAD4 24655000.00000000 PA USD 24809093.75000000 0.612120245415 Long DBT CORP US N 2 2024-07-15 Fixed 3.55000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBF8 10000000.00000000 PA USD 10030170.70000000 0.247476615321 Long DBT CORP FR N 2 2026-01-21 Floating 1.09889000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEN1 14925000.00000000 PA USD 14893403.78000000 0.367468238411 Long DBT CORP US N 2 2026-02-18 Floating 1.00000000 N N N N N N CIGNA CORP 4/2 144A CP 0.0000 20220419 N/A 000000000 10000000.00000000 PA USD 9991902.80000000 0.246532422979 Long DBT CORP US N 2 2022-04-19 None 0.00000000 N N N N N N BX Commercial Mortgage Trust 2 N/A 056054AA7 1614249.53000000 PA USD 1607168.79000000 0.039654030254 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.11100000 N N N N N N ST JOSEPHS UNIV MEDICAL N/A 85258PAA2 3075000.00000000 PA USD 3093523.80000000 0.076327195452 Long DBT CORP US N 2 2022-07-01 Fixed 3.92600000 N N N N N N STATE GRID OVERSEAS INV 3003006V8BHG5158QO96 000000000 4714000.00000000 PA USD 4824949.18000000 0.119047035975 Long DBT CORP VG N 2 2023-05-02 Fixed 3.75000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JE8 25420000.00000000 PA USD 25413492.48000000 0.627032708670 Long DBT CORP US N 2 2022-06-16 Fixed 1.75000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBX7 39800000.00000000 PA USD 39777950.80000000 0.981450159009 Long DBT CORP US N 2 2023-11-03 Floating 0.44958400 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BW2 8794000.00000000 PA USD 8667454.34000000 0.213854013822 Long DBT CORP US N 2 2023-09-29 Fixed 0.75000000 N N N N N N GS Mortgage-Backed Securities N/A 36262EAA4 12807187.85000000 PA USD 12538838.84000000 0.309373537998 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.01700000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XDN3 15000000.00000000 PA USD 14956335.00000000 0.369020954290 Long DBT CORP US N 2 2024-10-15 Floating 0.66883900 N N N N N N CHI TXBL SR B CP 0.0000 20220413 N/A 000000000 34725000.00000000 PA USD 34694442.00000000 0.856023624466 Long DBT CORP US N 2 2022-04-13 None 0.00000000 N N N N N N Santander Retail Auto Lease Tr N/A 80286DAE8 13860000.00000000 PA USD 13467852.09000000 0.332295286947 Long ABS-O CORP US N 2 2025-06-20 Fixed 0.84000000 N N N N N N CONAGRA FOODS INC 4/2 144A CP 0.0000 20220311 N/A 000000000 5000000.00000000 PA USD 4999694.45000000 0.123358564588 Long DBT CORP US N 2 2022-03-11 None 0.00000000 N N N N N N MIZUHO FIN GRP CAYMAN 2 5493005X5HKEZQSVVC05 000000000 27205000.00000000 PA USD 27561113.45000000 0.680021434839 Long DBT CORP KY N 2 2022-07-18 Fixed 4.20000000 N N N N N N Chase Auto Credit Linked Notes N/A 46591HCD0 13399415.82000000 PA USD 13202422.97000000 0.325746295689 Long ABS-O CORP US N 2 2029-02-26 Fixed 0.76000000 N N N N N N Onslow Bay Financial LLC N/A 67113CAL0 727321.68000000 PA USD 725687.97000000 0.017905059441 Long ABS-MBS CORP US N 2 2049-12-25 Floating 1.00771000 N N N N N N Freddie Mac - STACR N/A 35564KNK1 9950000.00000000 PA USD 9812373.59000000 0.242102859159 Long ABS-MBS CORP US N 2 2041-12-25 Floating 0.99867000 N N N N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460WAB3 6305000.00000000 PA USD 6304899.12000000 0.155562167467 Long DBT CORP US N 2 2024-04-23 Floating 0.51861200 N N N N N N Angel Oak Mortgage Trust N/A 03465DAA1 6962400.96000000 PA USD 6813322.03000000 0.168106598133 Long ABS-MBS CORP US N 2 2066-04-25 Variable 0.98500000 N N N N N N SUMITOMO MITSUI BANKING 5U0XI89JRFVHWIBS4F54 000000000 20438000.00000000 PA USD 20438000.00000000 0.504271284629 Long DBT CORP JP N 2 2022-03-01 Fixed 4.85000000 N N N N N N Eagle Re Ltd N/A 26982AAA2 7385000.00000000 PA USD 7344574.51000000 0.181214307819 Long ABS-MBS CORP BM N 2 2034-04-25 Floating 1.59867000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD -350839.83000000 -0.00865634855 N/A DFE CORP US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 -13304370.05000000 USD 41550000.00000000 ILS 2022-04-06 -350839.83000000 N N N Verus Securitization Trust N/A 92539LAA8 16812309.83000000 PA USD 16370164.58000000 0.403904683547 Long ABS-MBS CORP US N 2 2066-06-25 Variable 1.04600000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBC0 15000000.00000000 PA USD 15183045.00000000 0.374614620155 Long DBT CORP IT N 2 2023-01-12 Fixed 3.37500000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CK6 670000.00000000 PA USD 681454.99000000 0.016813689364 Long DBT CORP US N 2 2024-06-15 Fixed 3.75000000 N N N N N N Santander Retail Auto Lease Tr N/A 80286KAC6 4266240.87000000 PA USD 4278166.72000000 0.105556151666 Long ABS-O CORP US N 2 2023-07-20 Fixed 1.74000000 N N N N N N SES SA 5493008JPA4HYMH1HX51 78413HAA7 13819000.00000000 PA USD 14026285.00000000 0.346073625380 Long DBT CORP LU N 2 2023-04-04 Fixed 3.60000000 N N N N N N EASTERN CREATION II INVE 549300POZZMBXFYP2H73 000000000 7970000.00000000 PA USD 7849270.92000000 0.193666793728 Long DBT CORP VG N 2 2023-09-10 Fixed 1.00000000 N N N N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 844741BH0 6026000.00000000 PA USD 6227196.09000000 0.153644983459 Long DBT CORP US N 2 2023-05-04 Fixed 4.75000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XL28 5000000.00000000 PA USD 4974484.50000000 0.122736553928 Long ABS-MBS CORP US N 2 2030-10-25 Floating 1.03686000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114TZC9 10000000.00000000 PA USD 9969390.00000000 0.245976959696 Long DBT CORP CA N 2 2023-06-02 Floating 0.26931300 N N N N N N CENTRL TX REGL MOBILITY AUTH R N/A 155498JA7 500000.00000000 PA USD 495200.95000000 0.012218202329 Long DBT MUN US N 2 2024-01-01 Fixed 1.34500000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JB4 2500000.00000000 PA USD 2551877.50000000 0.062963036752 Long DBT CORP US N 2 2023-08-01 Fixed 4.25000000 N N N N N N Exeter Automobile Receivables N/A 30166RAD9 25000000.00000000 PA USD 24957550.00000000 0.615783139235 Long ABS-O CORP US N 2 2025-02-18 Fixed 0.50000000 N N N N N N MASSMUTUAL GLOBAL FUNDIN 549300K1IE3K7YU6VG29 57629WDC1 10000000.00000000 PA USD 10011770.00000000 0.247022610789 Long DBT CORP US N 2 2024-04-12 Floating 0.40891500 N N N N N N ALBEMARLE CORP 4/A 144A CP 0.4000 20220302 N/A 000000000 9000000.00000000 PA USD 8999820.00000000 0.222054545103 Long DBT CORP US N 2 2022-03-02 None 0.00000000 N N N N N N FISERV INC 0% 03/01/2022 N/A 000000000 23400000.00000000 PA USD 23399843.45000000 0.577349501744 Long DBT CORP US N 2 2022-03-01 None 0.00000000 N N N N N N BAIDU INC 254900AL64IANZYI1E02 056752AH1 2000000.00000000 PA USD 2006661.14000000 0.049510793173 Long DBT CORP KY N 2 2022-07-06 Fixed 2.87500000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796F38 60000000.00000000 PA USD 59996933.40000000 1.480317578992 Long DBT UST US N 2 2022-03-24 None 0.00000000 N N N N N N SG Capital Partners N/A 78432BAA7 190357.27000000 PA USD 188865.19000000 0.004659912515 Long ABS-MBS CORP US N 2 2059-09-25 Variable 2.70300000 N N N N N N Barclays Mortgage Loan Trust N/A 06744UAA9 13986108.07000000 PA USD 13690023.56000000 0.337776972659 Long ABS-MBS CORP US N 2 2051-09-25 Variable 1.74700000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCL8 1390000.00000000 PA USD 1426171.97000000 0.035188255769 Long DBT CORP US N 2 2023-06-19 Fixed 4.15000000 N N N N N N BRIGHTHSE FIN GLBL FUND 549300BLFX3KJ2IFOA78 10921U2B3 18003000.00000000 PA USD 18082987.33000000 0.446165537275 Long DBT CORP US N 2 2024-04-12 Floating 0.80891000 N N N N N N Navient Student Loan Trust N/A 63942LAA0 7092303.53000000 PA USD 6859847.61000000 0.169254534037 Long ABS-O CORP US N 2 2069-07-15 Fixed 0.94000000 N N N N N N Santander Drive Auto Receivabl N/A 80287EAD7 11000000.00000000 PA USD 10891499.30000000 0.268728365962 Long ABS-O CORP US N 2 2025-12-15 Fixed 0.60000000 N N N N N N CCG Receivables Trust N/A 12510FAB0 1275439.69000000 PA USD 1280521.68000000 0.031594594019 Long ABS-O CORP US N 2 2027-03-15 Fixed 2.11000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QCF3 6900000.00000000 PA USD 6909584.10000000 0.170481693431 Long DBT CORP CA N 2 2023-01-27 Floating 0.52903000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17328PAX1 1860419.45000000 PA USD 1816830.75000000 0.044827066065 Long ABS-MBS CORP US N 2 2050-08-25 Variable 2.50000000 N N N N N N Angel Oak Mortgage Trust N/A 03465EAA9 9246786.58000000 PA USD 9102206.60000000 0.224580752282 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.06800000 N N N N N N Verus Securitization Trust N/A 92537TAA3 1703021.20000000 PA USD 1694802.25000000 0.041816229954 Long ABS-MBS CORP US N 2 2060-03-25 Variable 1.97700000 N N N N N N Starwood Mortgage Residential N/A 85573JAA4 23583406.23000000 PA USD 22859086.72000000 0.564007291601 Long ABS-MBS CORP US N 2 2056-06-25 Variable 1.12700000 N N N N N N FIDELITY NATL INFO SERV 4/2 144A CP 0.3000 20220301 N/A 000000000 40000000.00000000 PA USD 39999754.40000000 0.986922768184 Long DBT CORP US N 2 2022-03-01 None 0.00000000 N N N N N N NEW JERSEY ST TURNPIKE AUTH TU 5493005YN67D71KSMI84 646140DL4 150000.00000000 PA USD 149134.08000000 0.003679618069 Long DBT MUN US N 2 2023-01-01 Fixed 0.47300000 N N N N N N Angel Oak Mortgage Trust N/A 03464WAA0 3266840.91000000 PA USD 3233324.43000000 0.079776527250 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.37300000 N N N N N N Onslow Bay Financial LLC N/A 67097VAS3 467714.43000000 PA USD 469851.32000000 0.011592745313 Long ABS-MBS CORP US N 2 2048-04-25 Floating 1.03686000 N N N N N N Onslow Bay Financial LLC N/A 67448TBC8 902804.47000000 PA USD 904617.21000000 0.022319820069 Long ABS-MBS CORP US N 2 2060-02-25 Floating 0.93686000 N N N N N N KKR Industrial Portfolio Trust N/A 48254CAA3 6036227.36000000 PA USD 5903930.16000000 0.145668971824 Long ABS-MBS CORP US N 2 2037-12-15 Floating 0.74114000 N N N N N N Freddie Mac - STACR N/A 35564KKR9 20800000.00000000 PA USD 20637762.08000000 0.509200058516 Long ABS-MBS CORP US N 2 2041-10-25 Floating 0.84867000 N N N N N N MICHIGAN ST FIN AUTH REVENUE 54930022O46HOX5J1D14 59447TH55 2125000.00000000 PA USD 2109307.51000000 0.052043409714 Long DBT MUN US N 2 2023-06-01 Fixed 1.08600000 N N N N N N POSCO 988400E5HRVX81AYLM04 000000000 4000000.00000000 PA USD 4021062.04000000 0.099212551153 Long DBT CORP KR N 2 2023-01-17 Fixed 2.37500000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AT2 3225000.00000000 PA USD 3225319.28000000 0.079579014417 Long DBT CORP US N 2 2024-10-01 Floating 0.29914000 N N N N N N Hyundai Auto Lease Securitizat N/A 44891TAE6 8700000.00000000 PA USD 8573540.28000000 0.211536851493 Long ABS-O CORP US N 2 2025-10-15 Fixed 0.61000000 N N N N N N SEMPRA ENERGY 4/2 144A CP 0.7200 20220418 N/A 000000000 25000000.00000000 PA USD 24979617.25000000 0.616327609365 Long DBT CORP US N 2 2022-04-18 None 0.00000000 N N N N N N Ellington Financial Mortgage T N/A 31573JAA8 12134127.26000000 PA USD 11591410.22000000 0.285997422561 Long ABS-MBS CORP US N 2 2066-09-25 Variable 1.24100000 N N N N N N CHICAGO IL TRANSIT AUTH SALES N/A 16772PCJ3 870000.00000000 PA USD 868522.13000000 0.021429238194 Long DBT MUN US N 2 2023-12-01 Fixed 1.83800000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAD9 19956000.00000000 PA USD 20013273.72000000 0.493791919386 Long DBT CORP GB N 2 2023-04-26 Fixed 3.62200000 N N N N N N HANA BANK 6RPK2YDJN6L35AS0M510 000000000 12500000.00000000 PA USD 12982687.50000000 0.320324713943 Long DBT CORP KR N 2 2023-10-24 Fixed 4.62500000 N N N N N N SG Capital Partners N/A 784212AA0 19001682.84000000 PA USD 18428837.21000000 0.454698767693 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.16000000 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 4521527Q8 6500000.00000000 PA USD 6530990.70000000 0.161140574918 Long DBT MUN US N 2 2022-10-01 Fixed 2.25000000 N N N N N N ONE Park Mortgage Trust N/A 682413AA7 7110000.00000000 PA USD 6884945.75000000 0.169873785984 Long ABS-MBS CORP US N 2 2036-03-15 Floating 0.89100000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83367TBG3 7815000.00000000 PA USD 8134242.75000000 0.200697966583 Long DBT CORP FR N 2 2024-01-17 Fixed 5.00000000 N N N N N N Freddie Mac - STACR N/A 35566CAA3 755642.30000000 PA USD 755415.61000000 0.018638536064 Long ABS-MBS CORP US N 2 2050-12-25 Floating 0.94867000 N N N N N N Vista Point Securitization Tru N/A 92838WAA2 1279718.32000000 PA USD 1278251.63000000 0.031538584574 Long ABS-MBS CORP US N 2 2065-03-25 Variable 1.76300000 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EBN4 10000000.00000000 PA USD 10039090.00000000 0.247696683178 Long DBT CORP US N 2 2024-04-01 Floating 0.57913000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CZ0 10000000.00000000 PA USD 10005290.00000000 0.246862728319 Long DBT CORP GB N 2 2024-11-22 Floating 0.63000000 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AA8 2440000.00000000 PA USD 2421609.72000000 0.059748911066 Long DBT CORP US N 2 2023-02-10 Fixed 0.62500000 N N N N N N NORDSTROM INC 549300S3IZB5P35KNV16 655664AX8 9395000.00000000 PA USD 9042687.50000000 0.223112224392 Long DBT CORP US N 2 2024-04-08 Fixed 2.30000000 N N N N N N HPEFS Equipment Trust N/A 40441JAD3 5250000.00000000 PA USD 5137346.55000000 0.126754885231 Long ABS-O CORP US N 2 2028-09-20 Fixed 0.61000000 N N N N N N ELARA HGV TIMESHARE ISSUER N/A 28415PAA2 825011.09000000 PA USD 827547.67000000 0.020418266300 Long ABS-O CORP US N 2 2028-04-25 Fixed 2.73000000 N N N N N N GOLDEN ST TOBACCO SECURITIZATI N/A 38122NB92 5000000.00000000 PA USD 5002865.50000000 0.123436804604 Long DBT MUN US N 2 2022-06-01 Fixed 1.23700000 N N N N N N Onslow Bay Financial LLC N/A 67113KAJ7 10841.03000000 PA USD 10848.18000000 0.000267659539 Long ABS-MBS CORP US N 2 2059-06-25 Floating 1.08686000 N N N N N N BINOM Securitization Trust N/A 05552UAA2 13598082.90000000 PA USD 13277550.25000000 0.327599927649 Long ABS-MBS CORP US N 2 2056-06-25 Variable 2.03400000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAK1 2000000.00000000 PA USD 2079850.00000000 0.051316598069 Long DBT CORP IE N 2 2024-01-16 Fixed 4.87500000 N N N N N N United Wholesale Mortgage LLC N/A 90354TAD1 5236871.64000000 PA USD 5137757.04000000 0.126765013341 Long ABS-MBS CORP US N 2 2051-09-25 Variable 2.50000000 N N N N N N PANASONIC CORP 254900GE1G59KGWPHX32 69832AAA4 6690000.00000000 PA USD 6707300.34000000 0.165490701577 Long DBT CORP JP N 2 2022-07-19 Fixed 2.53600000 N N N N N N PSMC Trust N/A 693650AL7 12019294.41000000 PA USD 11774166.91000000 0.290506618707 Long ABS-MBS CORP US N 2 2051-03-25 Variable 2.50000000 N N N N N N GCAT N/A 36168KAA5 18111241.13000000 PA USD 17492341.99000000 0.431592414447 Long ABS-MBS CORP US N 2 2066-07-25 Variable 1.26200000 N N N N N N Freddie Mac Whole Loan Securit N/A 3137G1BE6 12813.58000000 PA USD 12800.79000000 0.000315836716 Long ABS-MBS USGSE US N 2 2046-10-25 Variable 3.66211600 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAP6 7695000.00000000 PA USD 7872500.57000000 0.194239944010 Long DBT CORP DK N 2 2023-09-12 Fixed 3.87500000 N N N N N N BANGKOK BANK PCL/HK 549300CCL2BKJGMYXV60 000000000 16000000.00000000 PA USD 16600767.52000000 0.409594400780 Long DBT CORP TH N 2 2024-03-19 Fixed 4.05000000 N N N N N N ALBEMARLE CORP 4/A 144A CP 0.0000 20220307 N/A 000000000 15000000.00000000 PA USD 14998950.00000000 0.370072403590 Long DBT CORP US N 2 2022-03-07 None 0.00000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17328BAA2 182486.78000000 PA USD 181852.44000000 0.004486885386 Long ABS-MBS CORP US N 2 2049-07-25 Variable 2.72000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780099CE5 12269000.00000000 PA USD 12678919.56000000 0.312829780518 Long DBT CORP GB N 2 2022-12-15 Fixed 6.12500000 N N N N N N Angel Oak Mortgage Trust N/A 03464KAA6 2479124.47000000 PA USD 2479829.78000000 0.061185387455 Long ABS-MBS CORP US N 2 2049-10-25 Variable 2.59300000 N N N N N N Verus Securitization Trust N/A 92538LAA9 1689101.71000000 PA USD 1669710.32000000 0.041197131227 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.50200000 N N N N N N TOBACCO SETTLEMENT AUTH IA TOB N/A 888805BL1 1500000.00000000 PA USD 1480214.40000000 0.036521656571 Long DBT MUN US N 2 2023-06-01 Fixed 0.66300000 N N N N N N T. ROWE PRICE GOVERNMENT RESERVE FUND 5493002Y0IYARJVQ5N24 76105Y109 2960.73000000 NS USD 2960.73000000 0.000073050744 Long STIV RF US N 1 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAM5 855000.00000000 PA USD 854180.06000000 0.021075373136 Long DBT CORP GB N 2 2023-06-15 Fixed 1.32600000 N N N N N N CYTEC INDUSTRIES INC 549300CC16G1Y2NHCH33 232820AJ9 23569000.00000000 PA USD 23857743.82000000 0.588647378631 Long DBT CORP US N 2 2023-04-01 Fixed 3.50000000 N N N N N N SG Capital Partners N/A 81882JAA9 6217828.96000000 PA USD 6144642.63000000 0.151608123721 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.38100000 N N N N N N SYNGENTA WILMINGTON INC 4/2 144A CP 0.8500 20220318 N/A 000000000 39700000.00000000 PA USD 39685013.25000000 0.979157090327 Long DBT CORP US N 2 2022-03-18 None 0.00000000 N N N N N N QVC INC 549300WBLU5NKPX5X472 747262AS2 16245000.00000000 PA USD 16488675.00000000 0.406828717295 Long DBT CORP US N 2 2024-04-01 Fixed 4.85000000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 2663950000.00000000 PA 23174036.23000000 0.571778110370 Long DBT NUSS JP N 2 2022-04-11 None 0.00000000 N N N N N N FLORIDA ST DEV FIN CORP EDUCTN 549300HC854CNBLMWC48 34061UED6 1255000.00000000 PA USD 1255431.97000000 0.030975550067 Long DBT MUN US N 2 2022-04-01 Fixed 1.79500000 N N N N N N OOREDOO INTL FINANCE 549300BHXCDJ03WU7N77 000000000 9500000.00000000 PA USD 9630815.00000000 0.237623223998 Long DBT CORP BM N 2 2023-02-21 Fixed 3.25000000 N N N N N N Imperial Fund LLC N/A 452761AA7 11497373.44000000 PA USD 10841412.64000000 0.267492566746 Long ABS-MBS CORP US N 2 2056-09-25 Variable 1.07300000 N N N N N N NATURE CONSERVANCY (THE) 549300GJ1IZME7V1JJ28 63902HAF6 850000.00000000 PA USD 834922.70000000 0.020600232043 Long DBT CORP US N 2 2023-07-01 Fixed 0.46700000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD 953719.10000000 0.023531321838 N/A DFE CORP US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 -6301950000.00000000 JPY 55779341.48000000 USD 2022-03-07 953719.10000000 N N N Hyundai Auto Lease Securitizat N/A 44891VAE1 20345000.00000000 PA USD 19805108.80000000 0.488655820373 Long ABS-O CORP US N 2 2026-03-16 Fixed 0.62000000 N N N N N N MFRA Trust N/A 55283WAA9 10510452.96000000 PA USD 10240627.56000000 0.252669263875 Long ABS-MBS CORP US N 2 2064-11-25 Variable 1.02900000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06367WYH0 18500000.00000000 PA USD 18547101.00000000 0.457616716284 Long DBT CORP CA N 2 2023-03-10 Floating 0.72924000 N N N N N N Freddie Mac - STACR N/A 35564KBK4 6047690.35000000 PA USD 6034384.83000000 0.148887708688 Long ABS-MBS CORP US N 2 2033-08-25 Floating 0.74867000 N N N N N N WESTERN UNION CO 4/2 144A CP 0.3000 20220301 N/A 000000000 50000000.00000000 PA USD 49999686.00000000 1.233653287517 Long DBT CORP US N 2 2022-03-01 None 0.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAL7 2000000.00000000 PA USD 2035000.00000000 0.050210004120 Long DBT CORP US N 2 2023-03-15 Fixed 4.25000000 N N N N N N Angel Oak Mortgage Trust N/A 03465JAA8 8776573.54000000 PA USD 8516442.92000000 0.210128075728 Long ABS-MBS CORP US N 2 2066-09-25 Variable 1.45800000 N N N N N N TOBACCO SETTLEMENT AUTH IA TOB N/A 888805BK3 1000000.00000000 PA USD 999384.10000000 0.024658024461 Long DBT MUN US N 2 2022-06-01 Fixed 0.56300000 N N N N N N SMBC AVIATION CAPITAL FI 549300OD7VKRVNWB2J98 78448TAB8 18066000.00000000 PA USD 18171830.63000000 0.448357587623 Long DBT CORP IE N 2 2022-07-15 Fixed 3.00000000 N N N N N N Navistar Financial Dealer Note N/A 63938PBM0 5520000.00000000 PA USD 5526924.84000000 0.136367036359 Long ABS-O CORP US N 2 2025-07-25 Floating 1.13686000 N N N N N N GC TREASURY CENTRE CO 549300LUFQBC2EQNAR40 000000000 5000000.00000000 PA USD 5056143.50000000 0.124751344457 Long DBT CORP TH N 2 2022-09-19 Fixed 4.25000000 N N N N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 000000000 4000000.00000000 PA USD 4011040.00000000 0.098965275149 Long DBT CORP SA N 2 2022-04-16 Fixed 2.75000000 N N N N N N New Residential Mortgage Loan N/A 64831TAA5 23606479.94000000 PA USD 22998202.33000000 0.567439721749 Long ABS-MBS CORP US N 2 2056-11-27 Variable 1.15612000 N N N N N N Barings CLO Ltd 54930079SUKCXYW8DR07 06760EAA4 767620.93000000 PA USD 766248.26000000 0.018905812428 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.05400000 N N N N N N Hilton Grand Vacations Trust N/A 43283AAA3 59277.75000000 PA USD 59676.14000000 0.001472402572 Long ABS-O CORP US N 2 2028-12-26 Fixed 2.66000000 N N N N N N Deephaven Residential Mortgage N/A 24381WAA6 8006932.54000000 PA USD 7748121.26000000 0.191171105844 Long ABS-MBS CORP US N 2 2066-04-25 Variable 0.89900000 N N N N N N Ellington Financial Mortgage T N/A 31573WAA9 3887722.78000000 PA USD 3861757.85000000 0.095282003715 Long ABS-MBS CORP US N 2 2065-10-25 Variable 1.17800000 N N N N N N ALEXANDER FUNDING TRUST N/A 014621AA4 10990000.00000000 PA USD 10854295.48000000 0.267810427901 Long DBT CORP US N 2 2023-11-15 Fixed 1.84100000 N N N N N N Deephaven Residential Mortgage N/A 24381RAA7 591985.15000000 PA USD 591175.97000000 0.014586215179 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.33900000 N N N N N N GS Mortgage-Backed Securities N/A 36261HAF7 16931704.72000000 PA USD 16684628.82000000 0.411663529143 Long ABS-MBS CORP US N 2 2051-10-25 Variable 2.50000000 N N N N N N STATE BANK INDIA/LONDON 5493001JZ37UBBZF6L49 000000000 13300000.00000000 PA USD 13763824.20000000 0.339597872137 Long DBT CORP IN N 2 2023-09-28 Fixed 4.50000000 N N N N N N DAIMLER TRUCKS FINAN NA 5493003HSDTSCZRXBA58 233853AE0 12843000.00000000 PA USD 12893485.83000000 0.318123821452 Long DBT CORP US N 2 2024-12-13 Floating 0.79921300 N N N N N N SOUTH DAKOTA ST EDUCTNL ENHANC N/A 83754LAU1 2700000.00000000 PA USD 2672436.78000000 0.065937622474 Long DBT MUN US N 2 2023-06-01 Fixed 0.70600000 N N N N N N Starwood Mortgage Residential N/A 85573HAA8 3996330.31000000 PA USD 3941921.87000000 0.097259908273 Long ABS-MBS CORP US N 2 2065-05-25 Variable 0.94300000 N N N N N N BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 000000000 1.00000000 NC USD 14245.22000000 0.000351475456 N/A DFE CORP US N 2 BNP PARIBAS SECURITIES CORP. RCNB6OTYUAMMP879YW96 -2743300000.00000000 JPY 23913678.88000000 USD 2022-05-09 14245.22000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCG9 10000000.00000000 PA USD 9965540.00000000 0.245881967796 Long DBT CORP US N 2 2025-06-01 Floating 0.58500300 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAA0 10000000.00000000 PA USD 10043290.00000000 0.247800310705 Long DBT CORP FR N 2 2022-05-22 Fixed 3.00000000 N N N N N N GREAT LAKES MI WTR AUTH SEWAGE N/A 39081HCF7 250000.00000000 PA USD 250151.50000000 0.006172043167 Long DBT MUN US N 2 2023-07-01 Fixed 1.50300000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAT8 2916000.00000000 PA USD 3068468.89000000 0.075709010128 Long DBT CORP DK N 2 2024-01-12 Fixed 5.37500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMH2 13328000.00000000 PA USD 13327533.52000000 0.328833175901 Long DBT CORP US N 2 2024-03-25 Floating 0.68923000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBM6 9775000.00000000 PA USD 9792428.83000000 0.241610757693 Long DBT CORP CA N 2 2024-02-16 Floating 0.68000500 N N N N N N Starwood Mortgage Residential N/A 85573PAA0 32013147.30000000 PA USD 31242645.27000000 0.770856681941 Long ABS-MBS CORP US N 2 2056-08-25 Variable 1.16200000 N N N N N N Verus Securitization Trust N/A 92537QAA9 8760038.09000000 PA USD 8569533.54000000 0.211437992312 Long ABS-MBS CORP US N 2 2066-01-25 Variable 0.81500000 N N N N N N DALLAS-FORT WORTH TX INTERNATI N/A 2350366K1 500000.00000000 PA USD 496141.65000000 0.012241412428 Long DBT MUN US N 2 2023-11-01 Fixed 1.04100000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAF9 20000000.00000000 PA USD 19900440.00000000 0.491007948110 Long DBT CORP US N 2 2025-06-09 Floating 0.44925300 N N N N N N Towd Point Mortgage Trust N/A 89173UAA5 220235.50000000 PA USD 221029.91000000 0.005453519750 Long ABS-MBS CORP US N 2 2057-06-25 Variable 2.75000000 N N N N N N Navient Student Loan Trust N/A 63942EAA6 10803145.75000000 PA USD 10409201.48000000 0.256828525407 Long ABS-O CORP US N 2 2069-12-16 Fixed 0.97000000 N N N N N N Verus Securitization Trust N/A 92537JAA5 1493204.83000000 PA USD 1496811.37000000 0.036931157275 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.78400000 N N N N N N Freddie Mac - STACR 549300YG8OJES76WL398 35564AAK7 911304.86000000 PA USD 910145.13000000 0.022456211659 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.43686000 N N N N N N Freddie Mac - STACR N/A 35564KFN4 5724440.64000000 PA USD 5702616.21000000 0.140701908306 Long ABS-MBS CORP US N 2 2033-12-25 Floating 0.74867000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739GCR8 2610000.00000000 PA USD 2614611.87000000 0.064510895708 Long DBT CORP GB N 2 2022-05-12 Fixed 1.70000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUN N/A 07331UAA6 420353.03000000 PA USD 422446.09000000 0.010423105611 Long ABS-MBS CORP US N 2 2057-06-28 Variable 3.50000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BP6 20255000.00000000 PA USD 19943984.48000000 0.492082330676 Long DBT CORP US N 2 2023-08-03 Fixed 0.65000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AG3 4817000.00000000 PA USD 4847867.34000000 0.119612500795 Long DBT CORP US N 2 2022-04-27 Fixed 5.20000000 N N N N N N Towd Point Mortgage Trust N/A 89172UAA6 20530.37000000 PA USD 20569.81000000 0.000507523461 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.25000000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06367WYQ0 10000000.00000000 PA USD 9975260.00000000 0.246121791501 Long DBT CORP CA N 2 2024-07-09 Floating 0.36900000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAF2 22810000.00000000 PA USD 23308717.84000000 0.575101139457 Long DBT CORP IE N 2 2023-07-03 Fixed 4.12500000 N N N N N N General Motors N/A 361886CN2 2145000.00000000 PA USD 2112261.72000000 0.052116299589 Long ABS-O CORP US N 2 2025-10-15 Fixed 0.96000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 161418.16000000 0.003982705886 N/A DCR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 PIONEER NATURAL RESOURCE Pioneer Natural Resources Co Y Default Event 2022-12-20 127161.69000000 USD 0.00000000 USD 20000000.00000000 USD 34256.47000000 N N N HERO ASIA INVESTMENT LTD 549300YWBWWXOPOSH694 000000000 12800000.00000000 PA USD 12578424.45000000 0.310350242490 Long DBT CORP HK N 2 2023-11-18 Fixed 1.50000000 N N N N N N General Motors N/A 361886CJ1 1435000.00000000 PA USD 1418354.57000000 0.034995375333 Long ABS-O CORP US N 2 2025-08-15 Fixed 1.03000000 N N N N N N Verus Securitization Trust N/A 92538EAA5 14551668.17000000 PA USD 14386861.80000000 0.354970216345 Long ABS-MBS CORP US N 2 2064-04-25 Variable 1.02000000 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EAW4 3819000.00000000 PA USD 3844938.65000000 0.094867019882 Long DBT CORP US N 2 2022-05-01 Fixed 4.95000000 N N N N N N World OMNI Select Auto Trust N/A 98163DAE8 4595000.00000000 PA USD 4564165.71000000 0.112612667865 Long ABS-O CORP US N 2 2026-06-15 Fixed 0.84000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CQ3 8250000.00000000 PA USD 8253869.25000000 0.203649537619 Long DBT CORP US N 2 2024-10-18 Floating 0.57883900 N N N N N N Towd Point Mortgage Trust N/A 89175VAA1 758831.07000000 PA USD 767199.16000000 0.018929274194 Long ABS-MBS CORP US N 2 2058-03-25 Variable 3.25000000 N N N N N N POSCO 988400E5HRVX81AYLM04 693483AF6 2345000.00000000 PA USD 2356914.38000000 0.058152668664 Long DBT CORP KR N 2 2022-11-12 Fixed 2.37500000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAA8 7220000.00000000 PA USD 7301225.00000000 0.180144735792 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAS8 5275000.00000000 PA USD 5327750.00000000 0.131452751574 Long DBT CORP US N 2 2023-02-01 Fixed 3.60000000 N N N N N N Freddie Mac - STACR N/A 35564KJG5 10460000.00000000 PA USD 10351751.55000000 0.255411050605 Long ABS-MBS CORP US N 2 2041-09-25 Floating 0.89867000 N N N N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 654740BH1 5528000.00000000 PA USD 5604225.59000000 0.138274294824 Long DBT CORP US N 2 2023-03-15 Fixed 3.45000000 N N N N N N Angel Oak Mortgage Trust N/A 03465CAA3 11026477.33000000 PA USD 10817548.74000000 0.266903767475 Long ABS-MBS CORP US N 2 2066-01-25 Variable 0.90900000 N N N N N N CALIFORNIA ST MUNI FIN AUTH RE 5493000UQOV6R4ZWS346 13048VFP8 1030000.00000000 PA USD 1047541.52000000 0.025846223113 Long DBT MUN US N 2 2023-04-01 Fixed 3.32300000 N N N N N N Hilton Grand Vacations Trust N/A 43284HAA7 876118.16000000 PA USD 873074.35000000 0.021541556123 Long ABS-O CORP US N 2 2033-07-25 Fixed 2.34000000 N N N N N N Ford Credit Auto Lease Trust N/A 34532QAE8 17400000.00000000 PA USD 17157682.38000000 0.423335284031 Long ABS-O CORP US N 2 2024-05-15 Fixed 0.47000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 61254.71000000 0.001511350978 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 AT&T INC AT&T Inc Y Default Event 2022-06-20 27068.67000000 USD 0.00000000 USD 15000000.00000000 USD 34186.04000000 N N N BDO UNIBANK INC 3FGIIBS1PEI1FYQBGN97 000000000 11650000.00000000 PA USD 11687862.50000000 0.288377210952 Long DBT CORP PH N 2 2023-03-06 Fixed 2.95000000 N N N N N N Santander Drive Auto Receivabl N/A 80286WAE6 13500000.00000000 PA USD 13497012.45000000 0.333014766944 Long ABS-O CORP US N 2 2025-03-17 Fixed 0.73000000 N N N N N N Onslow Bay Financial LLC N/A 67114JAA8 16329016.30000000 PA USD 15757450.11000000 0.388787044204 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.05400000 N N N N N N Starwood Mortgage Residential N/A 85572JAA5 520384.31000000 PA USD 522283.66000000 0.012886420010 Long ABS-MBS CORP US N 2 2049-09-27 Variable 2.61000000 N N N N N N New Residential Mortgage Loan N/A 64830VAA1 1757814.41000000 PA USD 1754676.18000000 0.043293512642 Long ABS-MBS CORP US N 2 2060-01-26 Variable 2.46413000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAB7 2366000.00000000 PA USD 2478041.93000000 0.061141275438 Long DBT CORP US N 2 2023-11-15 Fixed 5.62500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAM5 6578000.00000000 PA USD 6923345.00000000 0.170821219154 Long DBT CORP US N 2 2024-01-15 Fixed 5.87500000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 20754KAA9 26479355.54000000 PA USD 26214559.34000000 0.646797608101 Long ABS-MBS CORP US N 2 2041-11-25 Floating 0.94867000 N N N N N N SAUDI ELECTRICITY GLOBAL 549300NU3VI6NLNU1575 000000000 6000000.00000000 PA USD 6123900.00000000 0.151096336233 Long DBT CORP KY N 2 2023-04-08 Fixed 3.47300000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABC0 1667000.00000000 PA USD 1678070.55000000 0.041403405027 Long DBT CORP US N 2 2022-11-01 Fixed 2.85000000 N N N N N N JPMORGAN CHASE & 8I5DZWZKVSZI1NUHU748 46647PCL8 10000000.00000000 PA USD 9953760.00000000 0.245591317256 Long DBT CORP US N 2 2025-06-23 Floating 0.62924500 N N N N N N PT PERTAMINA (PERSERO) 254900NDAKGNZ2IBBL45 000000000 7800000.00000000 PA USD 7838332.16000000 0.193396899289 Long DBT CORP ID N 2 2022-05-03 Fixed 4.87500000 N N N N N N Angel Oak Mortgage Trust N/A 03463WAB9 225861.90000000 PA USD 225828.90000000 0.005571926289 Long ABS-MBS CORP US N 2 2049-03-25 Variable 3.78200000 N N N N N N Sierra Receivables Funding Co N/A 82652NAA6 4686154.25000000 PA USD 4671527.83000000 0.115261637147 Long ABS-O CORP US N 2 2036-08-20 Fixed 2.34000000 N N N N N N Santander Retail Auto Lease Tr N/A 80286RAE7 11555000.00000000 PA USD 11276071.54000000 0.278217001714 Long ABS-O CORP US N 2 2024-12-20 Fixed 0.82000000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAA5 5500000.00000000 PA USD 5603125.00000000 0.138247139724 Long DBT CORP BM N 2 2022-11-01 Fixed 5.00000000 N N N N N N HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 000000000 1.00000000 NC USD -250751.96000000 -0.00618685844 N/A DFE CORP US N 2 HSBC SECURITIES (USA) INC. CYYGQCGNHMHPSMRL3R97 -3332650000.00000000 JPY 28761795.90000000 USD 2022-04-04 -250751.96000000 N N N BAIDU INC 254900AL64IANZYI1E02 056752AK4 1000000.00000000 PA USD 1026888.35000000 0.025336642891 Long DBT CORP KY N 2 2023-09-29 Fixed 3.87500000 N N N N N N CHINA SOUTHERN POWER GRI N/A 000000000 10000000.00000000 PA USD 10020621.80000000 0.247241013204 Long DBT CORP VG N 2 2022-05-08 Fixed 2.75000000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AJ6 5000000.00000000 PA USD 5031825.00000000 0.124151328739 Long DBT CORP US N 2 2023-03-15 Fixed 2.95000000 N N N N N N HIGHWOODS REALTY LP JUJNVZX73BIYHLR58F51 431282AM4 11019000.00000000 PA USD 11155668.66000000 0.275246274883 Long DBT CORP US N 2 2023-01-15 Fixed 3.62500000 N N N N N N MICHIGAN ST FIN AUTH REVENUE 54930022O46HOX5J1D14 59447TH48 2000000.00000000 PA USD 2000462.40000000 0.049357850293 Long DBT MUN US N 2 2022-06-01 Fixed 0.89700000 N N N N N N POSCO 988400E5HRVX81AYLM04 000000000 5225000.00000000 PA USD 5377904.87000000 0.132690233751 Long DBT CORP KR N 2 2023-08-01 Fixed 4.00000000 N N N N N N SMITHSONIAN INSTITUTION 549300ZJ87IUCDSX4306 832432AF5 800000.00000000 PA USD 799342.40000000 0.019722351448 Long DBT CORP US N 2 2022-09-01 Fixed 0.89500000 N N N N N N ENERGY TRANSFER PARTNERS 4/2 144A CP 0.0000 20220301 N/A 000000000 20000000.00000000 PA USD 19999750.00000000 0.493458245658 Long DBT CORP US N 2 2022-03-01 None 0.00000000 N N N N N N Santander Consumer Auto Receiv N/A 802824AB8 1861569.05000000 PA USD 1859217.14000000 0.045872874821 Long ABS-O CORP US N 2 2028-10-16 Fixed 1.45000000 N N N N N N CHICAGO IL TRANSIT AUTH SALES N/A 16772PCH7 680000.00000000 PA USD 681520.41000000 0.016815303486 Long DBT MUN US N 2 2022-12-01 Fixed 1.70800000 N N N N N N GRAY OAK PIPELINE LLC N/A 38937LAA9 19536000.00000000 PA USD 19482451.82000000 0.480694833496 Long DBT CORP US N 2 2023-09-15 Fixed 2.00000000 N N N N N N BAIDU INC 254900AL64IANZYI1E02 056752AB4 4890000.00000000 PA USD 4949364.60000000 0.122116765091 Long DBT CORP KY N 2 2022-11-28 Fixed 3.50000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDH4 677833.33000000 PA USD 678825.61000000 0.016748814091 Long ABS-O CORP US N 2 2023-03-20 Fixed 3.70000000 N N N N N N BANK OF IRELAND GROUP 635400C8EK6DRI12LJ39 06279JAA7 27452000.00000000 PA USD 28256425.96000000 0.697177033852 Long DBT CORP IE N 2 2023-11-25 Fixed 4.50000000 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 000000000 23942000.00000000 PA USD 24110791.10000000 0.594890870018 Long DBT CORP NL N 2 2022-04-27 Fixed 6.25000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MBA2 6835000.00000000 PA USD 6818076.54000000 0.168223907208 Long DBT CORP IE N 2 2023-09-29 Floating 0.72920800 N N N N N N HARLEY-DAVIDSON FINL N/A 000000000 15000000.00000000 PA USD 14999595.00000000 0.370088317818 Long DBT CORP US N 2 2022-03-03 None 0.00000000 N N N N N N Galton Funding Mortgage Trust N/A 36418HAB8 4550055.94000000 PA USD 4520365.91000000 0.111531985733 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.41300000 N N N N N N Exeter Automobile Receivables N/A 30167YAC5 468364.49000000 PA USD 468843.81000000 0.011567886797 Long ABS-O CORP US N 2 2024-07-15 Fixed 2.08000000 N N N N N N PROSPEROUS RAY LTD N/A 000000000 5600000.00000000 PA USD 5811701.34000000 0.143393389793 Long DBT CORP VG N 2 2023-11-12 Fixed 4.62500000 N N N N N N Starwood Mortgage Residential N/A 85573EAA5 5299710.61000000 PA USD 5230134.95000000 0.129044273902 Long ABS-MBS CORP US N 2 2055-11-25 Variable 1.02700000 N N N N N N TRINITY ACQUISITION PLC 549300FJZWZN6MJNGB63 89641UAA9 2202000.00000000 PA USD 2288170.87000000 0.056456544870 Long DBT CORP GB N 2 2023-08-15 Fixed 4.62500000 N N N N N N Santander Drive Auto Receivabl N/A 80285WAE7 6258589.29000000 PA USD 6257683.67000000 0.154397210249 Long ABS-O CORP US N 2 2025-03-17 Fixed 0.69000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1919.00000000 NC USD -704577.35000000 -0.01738419245 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-06-30 -412315195.12000000 USD -704577.35000000 N N N SMBC AVIATION CAPITAL FI 549300OD7VKRVNWB2J98 78448TAD4 13698000.00000000 PA USD 14079530.39000000 0.347387360639 Long DBT CORP IE N 2 2023-07-15 Fixed 4.12500000 N N N N N N Angel Oak Mortgage Trust N/A 03465AAA7 3165641.38000000 PA USD 3130089.01000000 0.077229376948 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.26100000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674YG9 10000000.00000000 PA USD 10003010.00000000 0.246806473376 Long DBT CORP CH N 2 2023-06-01 Floating 0.37000000 N N N N N N COLT Funding LLC N/A 12597QAA4 2116033.14000000 PA USD 2109077.53000000 0.052037735367 Long ABS-MBS CORP US N 2 2065-04-27 Variable 1.50600000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AA9 17346000.00000000 PA USD 17499616.18000000 0.431771892142 Long DBT CORP JP N 2 2023-09-15 Fixed 3.04300000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -8395.16000000 -0.00020713563 N/A DFE CORP US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -41550000.00000000 ILS 12945135.06000000 USD 2022-04-06 -8395.16000000 N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAE1 5829000.00000000 PA USD 5836286.25000000 0.143999978704 Long DBT CORP KY N 2 2022-05-01 Fixed 3.62500000 N N N N N N MVW Owner Trust N/A 55389TAA9 5217530.32000000 PA USD 5053438.99000000 0.124684615485 Long ABS-O CORP US N 2 2041-01-22 Fixed 1.14000000 N N N N N N GS Mortgage Securities Trust N/A 36264YAA8 6665000.00000000 PA USD 6583550.37000000 0.162437391256 Long ABS-MBS CORP US N 2 2026-05-15 Floating 1.34200000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668BC5 2075000.00000000 PA USD 2082729.38000000 0.051387641647 Long DBT CORP US N 2 2022-05-13 Fixed 2.90000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578QAA1 34423000.00000000 PA USD 36138848.86000000 0.891661793700 Long DBT CORP FR N 2 2023-10-22 Fixed 5.70000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDJ0 37500.00000000 PA USD 37567.26000000 0.000926905297 Long ABS-O CORP US N 2 2023-03-20 Fixed 4.53000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZJ6 9950000.00000000 PA USD 9950159.20000000 0.245502473923 Long DBT CORP US N 2 2025-01-24 Floating 0.74861200 N N N N N N BAYVIEW OPPORTUNITY MASTER FUN 549300ZGMKIELA840327 07326TAA6 290005.66000000 PA USD 288547.08000000 0.007119385786 Long ABS-MBS CORP US N 2 2058-01-28 Variable 3.50000000 N N N N N N Toorak Mortgage Corp. N/A 89688WAA9 9190781.18000000 PA USD 8873794.81000000 0.218945097777 Long ABS-MBS CORP US N 2 2056-07-25 Variable 1.15300000 N N N N N N SIEMENS FINANCIERINGSMAT TAFO772JB70PDRN5VS48 82620KBB8 10000000.00000000 PA USD 10011540.00000000 0.247016935948 Long DBT CORP NL N 2 2024-03-11 Floating 0.47926000 N N N N N N NATIONAL BANK OF CANADA BSGEFEIOM18Y80CKCV46 63307A2L8 2270000.00000000 PA USD 2258650.00000000 0.055728169929 Long DBT CORP CA N 2 2023-08-15 Fixed 0.90000000 N N N N N N SYDNEY AIRPORT FINANCE 549300MJAANHLHOVTO40 87124VAD1 35651000.00000000 PA USD 36406587.29000000 0.898267763073 Long DBT CORP AU N 2 2023-03-22 Fixed 3.90000000 N N N N N N HYUNDAI CAPITAL AMERICA N/A 000000000 24450000.00000000 PA USD 24449849.88000000 0.603256542126 Long DBT CORP US N 2 2022-03-01 None 0.00000000 N N N N N N Hyundai Auto Lease Securitizat N/A 44891PAE4 1930000.00000000 PA USD 1915079.94000000 0.047251190014 Long ABS-O CORP US N 2 2024-10-15 Fixed 0.81000000 N N N N N N SEMPRA ENERGY 4/2 144A CP 1.0000 20220601 N/A 000000000 7000000.00000000 PA USD 6985117.44000000 0.172345344199 Long DBT CORP US N 2 2022-06-01 None 0.00000000 N N N N N N Sierra Receivables Funding Co N/A 826525AA5 279417.06000000 PA USD 273616.31000000 0.006750995603 Long ABS-O CORP US N 2 2037-07-20 Fixed 1.33000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAC7 6570000.00000000 PA USD 6758887.50000000 0.166763522961 Long DBT CORP US N 2 2023-09-15 Fixed 4.20000000 N N N N N N MEDFORD OR HOSP FACS AUTH REVE N/A 584283HF5 500000.00000000 PA USD 499643.05000000 0.012327803242 Long DBT MUN US N 2 2022-08-15 Fixed 1.65000000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AA7 35323000.00000000 PA USD 35422469.57000000 0.873986409375 Long DBT CORP IT N 2 2022-04-12 Fixed 3.75000000 N N N N N N Octane Receivables Trust N/A 67571AAA3 12737410.62000000 PA USD 12594822.95000000 0.310754846299 Long ABS-O CORP US N 2 2027-03-22 Fixed 0.93000000 N N N N N N MFRA Trust N/A 552747AA5 8906974.59000000 PA USD 8751417.84000000 0.215925663788 Long ABS-MBS CORP US N 2 2056-01-25 Variable 0.85200000 N N N N N N Angel Oak Mortgage Trust N/A 03464MAB0 440288.99000000 PA USD 441626.37000000 0.010896344893 Long ABS-MBS CORP US N 2 2048-11-25 Variable 4.02200000 N N N N N N SMB Private Education Loan Tru 549300XC4C7GRVLU6076 784456AD7 2307433.72000000 PA USD 2321542.52000000 0.057279930956 Long ABS-O CORP US N 2 2032-04-15 Floating 1.69114000 N N N N N N ING BANK NV 3TK20IVIUJ8J3ZU0QE75 000000000 3307000.00000000 PA USD 3478315.83000000 0.085821254131 Long DBT CORP NL N 2 2023-09-25 Fixed 5.80000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AP4 5000000.00000000 PA USD 5035825.00000000 0.124250021622 Long DBT CORP GB N 2 2023-11-07 Fixed 2.90700000 N N N N N N JPMorgan Chase Bank, NA - CACL N/A 46591HAN0 1891656.03000000 PA USD 1884370.70000000 0.046493494158 Long ABS-O CORP US N 2 2028-01-25 Fixed 0.99100000 N N N N N N NATURE CONSERVANCY (THE) 549300GJ1IZME7V1JJ28 63902HAG4 650000.00000000 PA USD 622112.40000000 0.015349516544 Long DBT CORP US N 2 2024-07-01 Fixed 0.62500000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RAZ5 21899000.00000000 PA USD 21904365.26000000 0.540451238313 Long DBT CORP US N 2 2022-06-01 Fixed 3.65000000 N N N N N N GENERAL MOTORS FINL CO 4/2 144A CP 0.0000 20220301 N/A 000000000 10000000.00000000 PA USD 9999888.90000000 0.246729465786 Long DBT CORP US N 2 2022-03-01 None 0.00000000 N N N N N N HPHT FINANCE 17 LTD 549300TYU0354ZWXG128 000000000 15200000.00000000 PA USD 15248792.00000000 0.376236810396 Long DBT CORP KY N 2 2022-09-11 Fixed 2.75000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBB7 9874000.00000000 PA USD 9956428.15000000 0.245657149110 Long DBT CORP US N 2 2023-01-31 Fixed 2.85000000 N N N N N N Bank N/A 06650AAA5 47665.34000000 PA USD 47720.95000000 0.001177429531 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 2.12200000 N N N N N N Carvana Auto Receivables Trust N/A 14687HAC7 15635000.00000000 PA USD 15489028.51000000 0.382164218827 Long ABS-O CORP US N 2 2028-09-11 Fixed 1.24000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBK5 10569000.00000000 PA USD 10714323.75000000 0.264356874515 Long DBT CORP US N 2 2022-12-01 Fixed 3.50000000 N N N N N N GCAT N/A 36168HAA2 13611823.79000000 PA USD 13157305.94000000 0.324633113251 Long ABS-MBS CORP US N 2 2066-08-25 Variable 1.09300000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 281224.65000000 0.006938717855 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 AT&T INC AT&T Inc Y Default Event 2023-12-20 295115.72000000 USD 0.00000000 USD 25000000.00000000 USD -13891.07000000 N N N Deephaven Residential Mortgage N/A 24380VAA9 9426383.17000000 PA USD 9244710.37000000 0.228096779249 Long ABS-MBS CORP US N 2 2065-05-25 Variable 0.71500000 N N N N N N GM Financial Automobile Leasin N/A 36259PAF3 770000.00000000 PA USD 772130.90000000 0.019050956103 Long ABS-O CORP US N 2 2024-07-22 Fixed 1.56000000 N N N N N N CELULOSA ARAUCO CONSTITU 549300QEKV8G0AMNQD28 151191AZ6 10000000.00000000 PA USD 10337350.00000000 0.255055717984 Long DBT CORP CL N 2 2024-08-01 Fixed 4.50000000 N N N N N N Nelnet Student Loan Trust N/A 64034YAA9 5906057.96000000 PA USD 5872697.59000000 0.144898363731 Long ABS-O CORP US N 2 2062-04-20 Floating 0.85171000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -499.00000000 NC USD -258002.96000000 -0.00636576397 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-06-30 -58764340.79000000 USD -258002.96000000 N N N BOARDWALK PIPELINES LP 549300W6AQ2GHHCGL606 096630AC2 3850000.00000000 PA USD 3879887.55000000 0.095729321805 Long DBT CORP US N 2 2023-02-01 Fixed 3.37500000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAV0 11509000.00000000 PA USD 11874330.19000000 0.292977969420 Long DBT CORP N/A N 2 2023-06-01 Fixed 4.62500000 N N N N N N Sequoia Mortgage Trust 549300ZUG1L9OO3W6B29 81747DAA7 363789.83000000 PA USD 365726.03000000 0.009023639053 Long ABS-MBS CORP US N 2 2048-03-25 Variable 4.00000000 N N N N N N Verus Securitization Trust N/A 92537MAA8 1661290.95000000 PA USD 1664455.88000000 0.041067487269 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.69200000 N N N N N N Ellington Financial Mortgage T N/A 31574PAA3 2036393.84000000 PA USD 2036270.03000000 0.050241339851 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.00600000 N N N N N N Verus Securitization Trust N/A 92537HAA9 1049076.23000000 PA USD 1052639.21000000 0.025971999543 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.91300000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 20041000.00000000 PA USD 20722975.19000000 0.511302540385 Long DBT CORP GB N 2 2024-03-14 Fixed 4.25000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BM6 10000000.00000000 PA USD 10025910.00000000 0.247371490130 Long DBT CORP US N 2 2024-03-18 Floating 0.54916700 N N N N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 654740BL2 5000000.00000000 PA USD 5110170.00000000 0.126084352215 Long DBT CORP US N 2 2023-09-21 Fixed 3.87500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BJ7 9856000.00000000 PA USD 9864180.48000000 0.243381101989 Long DBT CORP GB N 2 2023-03-13 Fixed 3.26200000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAP0 2075000.00000000 PA USD 2137071.55000000 0.052728438000 Long DBT CORP IE N 2 2023-09-15 Fixed 4.50000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BE0 3150000.00000000 PA USD 3162883.50000000 0.078038522638 Long DBT CORP GB N 2 2023-05-15 Fixed 3.49800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJU4 15000000.00000000 PA USD 15018825.00000000 0.370562783852 Long DBT CORP US N 2 2025-04-22 Floating 0.73889000 N N N N N N Ford Credit Auto Lease Trust N/A 34531RAF4 2250000.00000000 PA USD 2242641.60000000 0.055333191143 Long ABS-O CORP US N 2 2023-11-15 Fixed 1.00000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 13607GRT3 6257000.00000000 PA USD 6248890.93000000 0.154180265034 Long DBT CORP CA N 2 2023-12-14 Floating 0.44922200 N N N N N N ELARA HGV TIMESHARE ISSUER N/A 28416DAA8 2452374.08000000 PA USD 2467363.24000000 0.060877797763 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.69000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXW9 10000000.00000000 PA USD 9991900.00000000 0.246532353894 Long DBT CORP US N 2 2024-03-08 Floating 0.62926200 N N N N N N Navient Student Loan Trust N/A 63941HAA0 833321.75000000 PA USD 825800.19000000 0.020375150340 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69000000 N N N N N N SBA TOWER TRUST N/A 78403DAM2 15000000.00000000 PA USD 15194404.95000000 0.374894906708 Long DBT CORP US N 2 2023-03-15 Fixed 3.44800000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 2743300000.00000000 PA 23866316.28000000 0.588858888829 Long DBT NUSS JP N 2 2022-05-09 None 0.00000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AM4 12552000.00000000 PA USD 12570865.66000000 0.310163742796 Long DBT CORP US N 2 2023-10-01 Floating 1.09912600 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AD0 14030000.00000000 PA USD 14136193.07000000 0.348785411448 Long DBT CORP CH N 2 2023-12-14 Fixed 2.99700000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 306543.99000000 0.007563427518 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS Verizon Communications Inc Y Default Event 2023-12-20 343399.14000000 USD 0.00000000 USD 25000000.00000000 USD -36855.15000000 N N N Angel Oak Mortgage Trust N/A 03463WAC7 180689.52000000 PA USD 180527.86000000 0.004454203731 Long ABS-MBS CORP US N 2 2049-03-25 Variable 3.83300000 N N N N N N Santander Consumer Auto Receiv N/A 80281HAB0 752181.49000000 PA USD 751521.45000000 0.018542454595 Long ABS-O CORP US N 2 2028-04-17 Fixed 1.44000000 N N N N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 80414L2A2 10000000.00000000 PA USD 10027600.00000000 0.247413187873 Long DBT CORP SA N 2 2022-04-16 Fixed 2.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYF5 10000000.00000000 PA USD 9959500.00000000 0.245732941543 Long DBT CORP US N 2 2024-09-10 Floating 0.54924300 N N N N N N Octane Receivables Trust N/A 67578AAA6 10017779.54000000 PA USD 9864009.63000000 0.243376886569 Long ABS-O CORP US N 2 2028-09-20 Fixed 1.21000000 N N N N N N LONGFOR PROPERTIES 254900UJX27B2F1JYR13 000000000 10790000.00000000 PA USD 10830732.25000000 0.267229047127 Long DBT CORP KY N 2 2022-07-13 Fixed 3.87500000 N N N N N N SMB Private Education Loan Tru 549300WEYOS38NWU8D22 78449TAB7 2538820.01000000 PA USD 2602007.94000000 0.064199916162 Long ABS-O CORP US N 2 2036-07-15 Fixed 3.44000000 N N N N N N GS Mortgage-Backed Securities N/A 36259WAA9 1753945.20000000 PA USD 1738927.57000000 0.042904943712 Long ABS-MBS CORP US N 2 2060-09-27 Variable 1.38200000 N N N N N N TARRANT CNTY TX CULTURAL EDU F 549300ROY505NVTMMI25 87638QQT9 450000.00000000 PA USD 449917.16000000 0.011100905384 Long DBT MUN US N 2 2022-09-01 Fixed 0.92300000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AP2 9971000.00000000 PA USD 10058754.77000000 0.248181876389 Long DBT CORP US N 2 2022-11-15 Fixed 3.12500000 N N N N N N Verus Securitization Trust N/A 92538BAA1 4062157.14000000 PA USD 4024992.46000000 0.099309527274 Long ABS-MBS CORP US N 2 2063-10-25 Variable 0.82000000 N N N N N N Freddie Mac - STACR N/A 35564KAA7 916290.95000000 PA USD 915792.49000000 0.022595550219 Long ABS-MBS CORP US N 2 2051-01-25 Floating 0.69867000 N N N N N N Ellington Financial Mortgage T N/A 31573TAA6 2153082.83000000 PA USD 2144801.64000000 0.052919164217 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.73900000 N N N N N N JP Morgan Mortgage Trust N/A 46652KAG4 655218.21000000 PA USD 655711.79000000 0.016178521709 Long ABS-MBS CORP US N 2 2050-10-25 Variable 2.50000000 N N N N N N MEDFORD OR HOSP FACS AUTH REVE N/A 584283HG3 1710000.00000000 PA USD 1691886.65000000 0.041744292711 Long DBT MUN US N 2 2023-08-15 Fixed 1.73000000 N N N N N N Navient Student Loan Trust 549300JSCKIU587G1R13 63939NAB9 11480382.02000000 PA USD 11778361.08000000 0.290610102389 Long ABS-O CORP US N 2 2045-12-15 Fixed 3.91000000 N N N N N N TARRANT CNTY TX CULTURAL EDU F 549300ROY505NVTMMI25 87638QQU6 475000.00000000 PA USD 471526.14000000 0.011634068517 Long DBT MUN US N 2 2023-09-01 Fixed 1.07100000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AL1 15000000.00000000 PA USD 15076650.00000000 0.371989512839 Long DBT CORP US N 2 2022-09-15 Fixed 2.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BGE39 221798.54000000 PA USD 223068.87000000 0.005503827460 Long ABS-MBS USGSE US N 2 2045-02-15 Floating 0.54114000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAE0 4725000.00000000 PA USD 4849031.25000000 0.119641218203 Long DBT CORP US N 2 2023-07-15 Fixed 4.50000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBA6 3675000.00000000 PA USD 3844968.75000000 0.094867762546 Long DBT CORP US N 2 2024-12-01 Fixed 5.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404121AF2 6446000.00000000 PA USD 6631322.50000000 0.163616083563 Long DBT CORP US N 2 2023-05-01 Fixed 4.75000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XQA5 2933231.99000000 PA USD 2873740.18000000 0.070904425690 Long ABS-MBS CORP US N 2 2030-01-25 Floating 1.38686000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABQ9 4645000.00000000 PA USD 4621101.48000000 0.114017456684 Long DBT CORP US N 2 2022-11-10 Fixed 1.15000000 N N N N N N Ellington Financial Mortgage T N/A 31572LAA4 9072340.29000000 PA USD 8801125.40000000 0.217152109386 Long ABS-MBS CORP US N 2 2066-06-25 Variable 0.93100000 N N N N N N Navient Student Loan Trust N/A 63941XAA5 3406758.51000000 PA USD 3343692.60000000 0.082499665466 Long ABS-O CORP US N 2 2069-07-15 Fixed 1.22000000 N N N N N N PERRIGO FINANCE UNLIMITD 549300E86RB6YCTMRM83 714295AC6 3364000.00000000 PA USD 3342975.00000000 0.082481959963 Long DBT CORP IE N 2 2024-12-15 Fixed 3.90000000 N N N N N N Navient Student Loan Trust N/A 63942KAA2 13396962.34000000 PA USD 13046542.02000000 0.321900210607 Long ABS-O CORP US N 2 2070-04-15 Fixed 1.58000000 N N N N N N Navient Student Loan Trust N/A 63942MAA8 3555000.00000000 PA USD 3523993.65000000 0.086948273065 Long ABS-O CORP US N 2 2070-07-15 Fixed 2.23000000 N N N N N N JPMorgan Chase Bank, NA - CACL N/A 46591HAU4 3417328.00000000 PA USD 3393286.76000000 0.083723313121 Long ABS-O CORP US N 2 2028-02-25 Fixed 0.84000000 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AL8 7624000.00000000 PA USD 7814600.00000000 0.192811350468 Long DBT CORP US N 2 2023-06-22 Fixed 4.20000000 N N N N N N GCT Commercial Mortgage Trust N/A 36167RAA1 3000000.00000000 PA USD 2990253.30000000 0.073779179614 Long ABS-MBS CORP US N 2 2038-02-15 Floating 0.99100000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KMA4 17795000.00000000 PA USD 17582933.43000000 0.433827597039 Long ABS-MBS CORP US N 2 2041-11-25 Floating 0.89867000 N N N N N N New Residential Mortgage Loan N/A 64828BAA9 9113965.76000000 PA USD 8944143.41000000 0.220680824311 Long ABS-MBS CORP US N 2 2055-07-25 Variable 0.94260000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -234.00000000 NC USD -194065.56000000 -0.00478822239 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-06-21 -29626309.44000000 USD -194065.56000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BA0 8984000.00000000 PA USD 9281568.05000000 0.229006176922 Long DBT CORP US N 2 2023-12-01 Fixed 4.15000000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3H2 9850000.00000000 PA USD 9843548.25000000 0.242872038425 Long DBT CORP US N 2 2025-01-07 Floating 0.76402100 N N N N N N New Orleans Hotel Trust N/A 647622AA7 10000000.00000000 PA USD 9849487.00000000 0.243018566514 Long ABS-MBS CORP US N 2 2032-04-15 Floating 1.17971000 N N N N N N MVW 2020-1 LLC N/A 55400EAA7 89211.76000000 PA USD 88216.79000000 0.002176592328 Long ABS-O CORP US N 2 2037-10-20 Fixed 1.74000000 N N N N N N Exeter Automobile Receivables N/A 30165XAD7 15200000.00000000 PA USD 15098614.48000000 0.372531447301 Long ABS-O CORP US N 2 2025-09-15 Fixed 0.57000000 N N N N N N Navient Student Loan Trust N/A 63942BAA2 1535241.30000000 PA USD 1491363.18000000 0.036796732881 Long ABS-O CORP US N 2 2069-05-15 Fixed 0.84000000 N N N N N N TOBACCO SETTLEMENT FIN AUTH WV N/A 88880LAE3 5415000.00000000 PA USD 5382793.20000000 0.132810844596 Long DBT MUN US N 2 2023-06-01 Fixed 1.19300000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308HC4 5000000.00000000 PA USD 5038010.00000000 0.124303932609 Long DBT CORP US N 2 2023-06-15 Fixed 3.25000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796S26 21000000.00000000 PA USD 20999982.57000000 0.518137204607 Long DBT UST US N 2 2022-03-01 None 0.00000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796S75 21000000.00000000 PA USD 20999836.62000000 0.518133603551 Long DBT UST US N 2 2022-03-08 None 0.00000000 N N N N N N Angel Oak Mortgage Trust N/A 03463WAA1 499075.22000000 PA USD 499011.19000000 0.012312213221 Long ABS-MBS CORP US N 2 2049-03-25 Variable 3.62800000 N N N N N N GM Financial Automobile Leasin N/A 362569AE5 2215000.00000000 PA USD 2194176.34000000 0.054137397087 Long ABS-O CORP US N 2 2024-10-21 Fixed 0.76000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641593W4 17145000.00000000 PA USD 17143508.39000000 0.422985566047 Long DBT CORP CA N 2 2024-04-15 Floating 0.49384000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MW8 15000000.00000000 PA USD 14995380.00000000 0.369984320193 Long DBT CORP US N 2 2025-05-01 Floating 0.71864400 N N N N N N Freddie Mac - STACR 5493005RUXPCBST1N217 35563XAA0 353136.62000000 PA USD 352981.17000000 0.008709182309 Long ABS-MBS USGSE US N 2 2048-10-25 Floating 0.93686000 N N N N N N STRYKER CORP 5493002F0SC4JTBU5137 863667BB6 3370000.00000000 PA USD 3293150.52000000 0.081252629572 Long DBT CORP US N 2 2023-12-01 Fixed 0.60000000 N N N N N N Angel Oak Mortgage Trust N/A 03464MAC8 440288.99000000 PA USD 441362.46000000 0.010889833383 Long ABS-MBS CORP US N 2 2048-11-25 Variable 4.12400000 N N N N N N Freddie Mac - STACR N/A 35564KED7 12027938.04000000 PA USD 11937528.84000000 0.294537283660 Long ABS-MBS CORP US N 2 2033-10-25 Floating 0.79867000 N N N N N N Ford Credit Floorplan Master O 5493001DTG5N7T8BG747 34528QHM9 5195000.00000000 PA USD 5117043.83000000 0.126253951739 Long ABS-O CORP US N 2 2025-09-15 Fixed 0.98000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159YN0 12544000.00000000 PA USD 12557371.90000000 0.309830808277 Long DBT CORP CA N 2 2023-09-15 Floating 0.59919200 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BU3 3306000.00000000 PA USD 3351705.45000000 0.082697368283 Long DBT CORP US N 2 2023-01-15 Fixed 3.70000000 N N N N N N AmeriCredit Automobile Receiva N/A 03066PAD1 7500000.00000000 PA USD 7425597.00000000 0.183213393596 Long ABS-O CORP US N 2 2025-12-18 Fixed 0.76000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AL5R8 182701.72000000 PA USD 184358.35000000 0.004548714257 Long ABS-MBS USGSE US N 2 2045-01-25 Floating 0.58686000 N N N N N N EASTERN CREATION II INVE 549300POZZMBXFYP2H73 000000000 3870000.00000000 PA USD 3780696.27000000 0.093281953462 Long DBT CORP VG N 2 2024-10-20 Fixed 1.35000000 N N N N N N PORT OF OAKLAND CA N/A 735000TK7 1040000.00000000 PA USD 1033131.63000000 0.025490684717 Long DBT MUN US N 2 2023-05-01 Fixed 0.82100000 N N N N N N QVC INC 549300WBLU5NKPX5X472 747262AK9 13355000.00000000 PA USD 13521937.50000000 0.333629748204 Long DBT CORP US N 2 2023-03-15 Fixed 4.37500000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 223699.05000000 0.005519376030 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 CITIGROUP INC Citigroup Inc Y Default Event 2023-12-20 268600.29000000 USD 0.00000000 USD 20000000.00000000 USD -44901.24000000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254AJ9 23807000.00000000 PA USD 24176484.64000000 0.596511741228 Long DBT CORP GB N 2 2023-01-11 Fixed 3.95000000 N N N N N N PCCW-HKT CAPITAL NO5 LTD 2549001SOZAHYTEJ2837 000000000 6931000.00000000 PA USD 7043628.75000000 0.173789006664 Long DBT CORP VG N 2 2023-03-08 Fixed 3.75000000 N N N N N N SKYWORKS SOLUTIONS INC 549300WZ3ORQ2BVKBD96 83088MAJ1 3075000.00000000 PA USD 3033711.98000000 0.074851445217 Long DBT CORP US N 2 2023-06-01 Fixed 0.90000000 N N N N N N JPMorgan Chase Bank, NA - CACL N/A 48128U2M0 17995277.03000000 PA USD 17789331.88000000 0.438920111548 Long ABS-O CORP US N 2 2028-12-26 Fixed 0.88900000 N N N N N N Drive Auto Receivables Trust N/A 262108AD5 6250000.00000000 PA USD 6234103.75000000 0.153815417679 Long ABS-O CORP US N 2 2025-07-15 Fixed 0.65000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HC0 2475000.00000000 PA USD 2477046.83000000 0.061116723116 Long DBT CORP US N 2 2024-04-01 Floating 0.87912500 N N N N N N SAUDI ELEC GLB SUKUK 549300KSEZC1HOYC2778 000000000 7200000.00000000 PA USD 7470900.00000000 0.184331164514 Long DBT CORP KY N 2 2024-01-27 Fixed 4.22200000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JX6 1845000.00000000 PA USD 1843127.33000000 0.045475887387 Long DBT CORP US N 2 2022-11-14 Floating 2.19264100 N N N N N N Towd Point Mortgage Trust N/A 89173FAA8 58138.60000000 PA USD 58488.67000000 0.001443103863 Long ABS-MBS CORP US N 2 2056-10-25 Variable 2.75000000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A2X8 5000000.00000000 PA USD 5004450.00000000 0.123475899323 Long DBT CORP US N 2 2024-05-24 Floating 0.75000000 N N N N N N Navient Student Loan Trust N/A 63942JAA5 15505919.99000000 PA USD 15017908.37000000 0.370540167638 Long ABS-O CORP US N 2 2069-10-15 Fixed 1.06000000 N N N N N N New Residential Mortgage Loan N/A 64830PAA4 2597709.18000000 PA USD 2604894.96000000 0.064271148243 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.70986000 N N N N N N ICICI BANK LTD/DUBAI R7RX8ER1V4666J8D1I38 000000000 11200000.00000000 PA USD 11257848.00000000 0.277767368290 Long DBT CORP IN N 2 2022-09-09 Fixed 3.25000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AG5 6000000.00000000 PA USD 6099754.44000000 0.150500587502 Long DBT CORP GB N 2 2022-09-27 Fixed 4.12500000 N N N N N N Santander Retail Auto Lease Tr N/A 80284NAH1 10500000.00000000 PA USD 10581900.00000000 0.261089554106 Long ABS-O CORP US N 2 2024-06-20 Fixed 2.88000000 N N N N N N Navient Student Loan Trust N/A 63942GAA1 4300479.30000000 PA USD 4103477.35000000 0.101246002286 Long ABS-O CORP US N 2 2070-02-18 Fixed 1.11000000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 00135TAA2 16335000.00000000 PA USD 16905614.22000000 0.417115950688 Long DBT CORP IE N 2 2023-10-12 Fixed 4.75000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABA4 1155000.00000000 PA USD 1159311.62000000 0.028603951458 Long DBT CORP US N 2 2022-06-20 Fixed 3.00000000 N N N N N N Galton Funding Mortgage Trust N/A 36418HAA0 893265.14000000 PA USD 893297.57000000 0.022040528093 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.31000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903AV5 9128000.00000000 PA USD 9231849.26000000 0.227779454244 Long DBT CORP US N 2 2023-02-15 Fixed 3.12500000 N N N N N N GM Financial Automobile Leasin N/A 36259KAF4 2545000.00000000 PA USD 2553654.02000000 0.063006869222 Long ABS-O CORP US N 2 2023-12-20 Fixed 1.84000000 N N N N N N World Omni Automobile Lease Se N/A 98162HAE0 3430000.00000000 PA USD 3448922.28000000 0.085096020585 Long ABS-O CORP US N 2 2025-06-16 Fixed 1.93000000 N N N N N N VW CREDIT INC 4/2 144A CP 0.3200 20220301 N/A 000000000 25000000.00000000 PA USD 24999846.50000000 0.616826730115 Long DBT CORP US N 2 2022-03-01 None 0.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46591JAA4 4303136.22000000 PA USD 4259869.48000000 0.105104699825 Long ABS-MBS CORP US N 2 2029-09-15 Floating 1.19100000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 14916RAF1 4165000.00000000 PA USD 4305452.13000000 0.106229370608 Long DBT CORP US N 2 2023-08-01 Fixed 4.20000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RCU6 6280000.00000000 PA USD 6367003.75000000 0.157094488709 Long ABS-O CORP US N 2 2024-03-20 Fixed 2.97000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAE3 6225000.00000000 PA USD 6265599.45000000 0.154592518036 Long DBT CORP CH N 2 2023-08-15 Fixed 2.85900000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBB8 35159000.00000000 PA USD 37839873.75000000 0.933631556225 Long DBT CORP US N 2 2023-08-01 Fixed 8.25000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AL6 6255000.00000000 PA USD 6150391.38000000 0.151749963898 Long DBT CORP US N 2 2023-10-01 Fixed 1.30000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAU9 7230000.00000000 PA USD 7012514.37000000 0.173021314700 Long DBT CORP IE N 2 2024-10-29 Fixed 1.65000000 N N N N N N NMLT Trust N/A 62917JAA8 19729868.33000000 PA USD 18973281.15000000 0.468131953182 Long ABS-MBS CORP US N 2 2056-08-25 Variable 1.16200000 N N N N N N Homeward Opportunities Fund I N/A 43789XAA2 1841973.57000000 PA USD 1836170.43000000 0.045304238258 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.65700000 N N N N N N ENRGY TRANS LP/REG FIN N/A 75886AAQ1 5575000.00000000 PA USD 5630750.00000000 0.138928737446 Long DBT CORP US N 2 2022-10-01 Fixed 5.00000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAZ0 10472000.00000000 PA USD 10518610.87000000 0.259528007433 Long DBT CORP IT N 2 2022-07-14 Fixed 3.12500000 N N N N N N Towd Point Mortgage Trust N/A 89169DAA9 121971.03000000 PA USD 122723.35000000 0.003027980299 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.75000000 N N N N N N PSMC Trust N/A 69376CAC8 12549387.70000000 PA USD 12270232.85000000 0.302746163126 Long ABS-MBS CORP US N 2 2051-05-25 Variable 2.50000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BD5 1636000.00000000 PA USD 1702683.36000000 0.042010682320 Long DBT CORP US N 2 2024-02-06 Fixed 4.60000000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AE5 29532000.00000000 PA USD 29652815.41000000 0.731630458933 Long DBT CORP GB N 2 2022-07-21 Fixed 3.75000000 N N N N N N Symphony Static CLO Ltd N/A 87190TAA1 16250000.00000000 PA USD 16237857.68000000 0.400640246204 Long ABS-CBDO CORP KY N 2 2029-10-25 Floating 0.95911000 N N N N N N EQUITABLE FINANCIAL LIFE 635400B4JJBON4TCHF02 29449WAH0 10000000.00000000 PA USD 9994030.00000000 0.246584907854 Long DBT CORP US N 2 2023-04-06 Floating 0.43830400 N N N N N N ABU DHABI NATIONAL ENERG 213800UNJSVQFNUYYW03 000000000 9300000.00000000 PA USD 9620143.20000000 0.237359916321 Long DBT CORP AE N 2 2024-05-06 Fixed 3.87500000 N N N N N N Exeter Automobile Receivables N/A 30166NAD8 10693217.38000000 PA USD 10693461.19000000 0.263842127968 Long ABS-O CORP US N 2 2024-09-16 Fixed 0.79000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XDF0 20000000.00000000 PA USD 20020880.00000000 0.493979590811 Long DBT CORP US N 2 2024-03-08 Floating 0.80926200 N N N N N N CONAGRA FOODS INC 4/2 144A CP 0.4000 20220307 N/A 000000000 34750000.00000000 PA USD 34748648.57000000 0.857361075131 Long DBT CORP US N 2 2022-03-07 None 0.00000000 N N N N N N TRITON INTERNATIONAL LTD 549300O4LZFLCX53XZ54 89680YAD7 9230000.00000000 PA USD 9065311.60000000 0.223670433804 Long DBT CORP BM N 2 2023-08-01 Fixed 0.80000000 N N N N N N Santander Drive Auto Receivabl N/A 80285RAE8 1039106.81000000 PA USD 1039504.27000000 0.025647918270 Long ABS-O CORP US N 2 2024-11-15 Fixed 0.96000000 N N N N N N Navient Student Loan Trust N/A 63939XAC5 637863.73000000 PA USD 637314.91000000 0.015724611428 Long ABS-O CORP US N 2 2058-12-16 Floating 1.09114000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796S91 38750000.00000000 PA USD 38748643.75000000 0.956053838998 Long DBT UST US N 2 2022-03-22 None 0.00000000 N N N N N N Onslow Bay Financial LLC N/A 67114BAA5 11632989.45000000 PA USD 11384343.61000000 0.280888422393 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.07200000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796T25 21000000.00000000 PA USD 20998693.38000000 0.518105396138 Long DBT UST US N 2 2022-03-29 None 0.00000000 N N N N N N Onslow Bay Financial LLC N/A 67448WAP3 5382657.76000000 PA USD 5374885.20000000 0.132615728766 Long ABS-MBS CORP US N 2 2060-01-25 Variable 3.00000000 N N N N N N AmeriCredit Automobile Receiva N/A 03066EAE4 800000.00000000 PA USD 795058.00000000 0.019616641501 Long ABS-O CORP US N 2 2026-02-18 Fixed 0.97000000 N N N N N N Santander Retail Auto Lease Tr N/A 80286CAE0 10135000.00000000 PA USD 9881927.02000000 0.243818966287 Long ABS-O CORP US N 2 2026-03-20 Fixed 0.83000000 N N N N N N World Omni Automobile Lease Se N/A 98163GAF8 7250000.00000000 PA USD 7138172.38000000 0.176121702513 Long ABS-O CORP US N 2 2026-02-17 Fixed 0.70000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114TZF2 10000000.00000000 PA USD 9961610.00000000 0.245785002039 Long DBT CORP CA N 2 2024-09-10 Floating 0.39924300 N N N N N N Onslow Bay Financial LLC N/A 67113ABB5 342004.22000000 PA USD 341912.84000000 0.008436090960 Long ABS-MBS CORP US N 2 2059-10-25 Floating 1.08686000 N N N N N N CITIZENS FINANCIAL GROUP 2138004JDDA4ZQUPFW65 75524RAA7 9060000.00000000 PA USD 9233281.56000000 0.227814793698 Long DBT CORP US N 2 2022-09-28 Fixed 4.15000000 N N N N N N ALBEMARLE CORP 4/A 144A CP 0.3500 20220304 N/A 000000000 16000000.00000000 PA USD 15999360.00000000 0.394755740309 Long DBT CORP US N 2 2022-03-04 None 0.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46652RAA2 9870000.00000000 PA USD 9808562.21000000 0.242008820139 Long ABS-MBS CORP US N 2 2033-10-15 Floating 1.56200000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254AL4 2157000.00000000 PA USD 2250861.86000000 0.055536011432 Long DBT CORP GB N 2 2024-01-26 Fixed 5.20000000 N N N N N N Santander Bank Auto Credit-Lin N/A 80290CAE4 4727961.32000000 PA USD 4686904.65000000 0.115641032820 Long ABS-O CORP US N 2 2031-12-15 Fixed 1.83300000 N N N N N N Deephaven Residential Mortgage N/A 24381JAA5 16046024.78000000 PA USD 15773760.65000000 0.389189477757 Long ABS-MBS CORP US N 2 2066-11-25 Variable 1.93100000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCU8 2400000.00000000 PA USD 2420992.80000000 0.059733689663 Long DBT CORP US N 2 2022-07-08 Fixed 3.55000000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAQ6 24473000.00000000 PA USD 24622138.46000000 0.607507456284 Long DBT CORP US N 2 2022-07-25 Fixed 2.85000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BV1 1915000.00000000 PA USD 1908305.16000000 0.047084034372 Long DBT CORP GB N 2 2023-10-14 Fixed 1.31900000 N N N N N N Verus Securitization Trust N/A 92538KAA1 16953121.14000000 PA USD 16213493.76000000 0.400039109829 Long ABS-MBS CORP US N 2 2066-09-25 Variable 1.01300000 N N N N N N TOBACCO SETTLEMENT FIN AUTH WV N/A 88880LAD5 1520000.00000000 PA USD 1520651.47000000 0.037519369324 Long DBT MUN US N 2 2022-06-01 Fixed 0.94700000 N N N N N N Fannie Mae - CAS N/A 20754RAA4 1045718.67000000 PA USD 1039174.35000000 0.025639778081 Long ABS-MBS CORP US N 2 2041-10-25 Floating 0.79867000 N N N N N N Fannie Mae - CAS N/A 20754BAA9 4804451.20000000 PA USD 4795324.18000000 0.118316091812 Long ABS-MBS CORP US N 2 2042-01-25 Floating 1.24867000 N N N N N N CANADIAN NATURAL RESOURC 4/2 144A CP 0.8000 20220321 N/A 000000000 39950000.00000000 PA USD 39942076.72000000 0.985499674056 Long DBT CORP US N 2 2022-03-21 None 0.00000000 N N N N N N BX Trust N/A 12433YAA5 5345781.39000000 PA USD 5308779.49000000 0.130984687994 Long ABS-MBS CORP US N 2 2037-10-15 Floating 1.12114000 N N N N N N BX Trust N/A 05608WAA2 5000000.00000000 PA USD 4887328.00000000 0.120586122368 Long ABS-MBS CORP US N 2 2038-06-15 Floating 0.86100000 N N N N N N ROCHE HOLDINGS INC PVJRP0EQNV6OGDPZGY95 771196BR2 10000000.00000000 PA USD 9996710.00000000 0.246651032085 Long DBT CORP US N 2 2024-03-05 Floating 0.28930500 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17328PAQ6 7695547.53000000 PA USD 7560818.50000000 0.186549743509 Long ABS-MBS CORP US N 2 2050-08-25 Variable 2.50000000 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC USD 212797.94000000 0.005250410537 N/A DFE CORP US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 -2663950000.00000000 JPY 23407014.68000000 USD 2022-04-11 212797.94000000 N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 3332650000.00000000 PA 28990677.85000000 0.715293392782 Long DBT NUSS JP N 2 2022-04-04 None 0.00000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CF5 5000000.00000000 PA USD 5006060.00000000 0.123515623208 Long DBT CORP GB N 2 2025-11-23 Floating 0.98000000 N N N N N N Vista Point Securitization Tru N/A 92838TAA9 4612424.21000000 PA USD 4546943.93000000 0.112187751087 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.47500000 N N N N N N JP Morgan Mortgage Trust N/A 46591VAF6 548611.09000000 PA USD 548543.72000000 0.013534340266 Long ABS-MBS CORP US N 2 2050-08-25 Variable 3.50000000 N N N N N N ENRGY TRANS LP/REG FIN N/A 75886AAJ7 4209000.00000000 PA USD 4335270.00000000 0.106965073496 Long DBT CORP US N 2 2023-11-01 Fixed 4.50000000 N N N N N N Towd Point Mortgage Trust N/A 89175JAA8 483400.81000000 PA USD 486514.49000000 0.012003879384 Long ABS-MBS CORP US N 2 2057-10-25 Variable 2.75000000 N N N N N N Ellington Financial Mortgage T N/A 31574XAA6 6612866.52000000 PA USD 6436946.42000000 0.158820199643 Long ABS-MBS CORP US N 2 2066-02-25 Variable 0.79700000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AB1 17510000.00000000 PA USD 17664875.95000000 0.435849382920 Long DBT CORP GB N 2 2023-02-11 Fixed 3.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XM92 2834748.30000000 PA USD 2817358.54000000 0.069513309043 Long ABS-MBS CORP US N 2 2030-10-25 Floating 1.03686000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 243550.12000000 0.006009165861 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 BANK OF AMERICA CORP Bank of America Corp Y Default Event 2023-12-20 276826.35000000 USD 0.00000000 USD 20000000.00000000 USD -33276.23000000 N N N CENTRL TX REGL MOBILITY AUTH R N/A 155498JQ2 170000.00000000 PA USD 169848.97000000 0.004190721122 Long DBT MUN US N 2 2023-01-01 Fixed 1.48600000 N N N N N N Santander Consumer Auto Receiv N/A 80281MAA1 1157242.30000000 PA USD 1158627.98000000 0.028587083857 Long ABS-O CORP US N 2 2024-10-15 Fixed 1.37000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BL6 930000.00000000 PA USD 930778.41000000 0.022965301131 Long DBT CORP US N 2 2023-03-30 Fixed 2.82500000 N N N N N N STELLANTIS NV 549300LKT9PW7ZIBDF31 31562QAF4 15110000.00000000 PA USD 15563300.00000000 0.383996735692 Long DBT CORP NL N 2 2023-04-15 Fixed 5.25000000 N N N N N N Verus Securitization Trust N/A 92536PAA2 1121060.66000000 PA USD 1119963.03000000 0.027633095012 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.41700000 N N N N N N Magnetite CLO Ltd 549300Z3WHVYABE20I45 55953RAL5 918008.57000000 PA USD 909816.71000000 0.022448108480 Long ABS-CBDO CORP KY N 2 2028-01-18 Floating 1.04129000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674YC8 10000000.00000000 PA USD 9976190.00000000 0.246144737596 Long DBT CORP CH N 2 2024-02-09 Floating 0.40952000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CL1 20000000.00000000 PA USD 19959180.00000000 0.492457253094 Long DBT CORP DE N 2 2023-11-08 Floating 0.54958400 N N N N N N Angel Oak Mortgage Trust N/A 03464MAA2 364042.77000000 PA USD 365366.50000000 0.009014768290 Long ABS-MBS CORP US N 2 2048-11-25 Variable 3.92000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46591JAG1 7000000.00000000 PA USD 6876967.30000000 0.169676931927 Long ABS-MBS CORP US N 2 2029-09-15 Floating 1.54100000 N N N N N N LONGFOR HOLDINGS LTD 254900UJX27B2F1JYR13 000000000 6200000.00000000 PA USD 6197427.00000000 0.152910484131 Long DBT CORP KY N 2 2023-04-16 Fixed 3.90000000 N N N N N N InTown Hotel Portfolio Trust N/A 46117MAA2 685000.00000000 PA USD 682407.69000000 0.016837195541 Long ABS-MBS CORP US N 2 2033-01-15 Floating 1.29200000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BG8 3000000.00000000 PA USD 3001263.00000000 0.074050824372 Long DBT CORP JP N 2 2022-03-07 Fixed 3.21800000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUN N/A 07332MAA3 293542.08000000 PA USD 288193.07000000 0.007110651219 Long ABS-MBS CORP US N 2 2057-08-28 Variable 3.50000000 N N N N N N WESTERN UNION CO/THE 28ID94QU1140NC23S047 959802AX7 3050000.00000000 PA USD 3137086.65000000 0.077402031264 Long DBT CORP US N 2 2023-06-09 Fixed 4.25000000 N N N N N N Navient Student Loan Trust N/A 63942AAA4 3541586.22000000 PA USD 3422311.97000000 0.084439458533 Long ABS-O CORP US N 2 2069-04-15 Fixed 1.33000000 N N N N N N SMB Private Education Loan Tru N/A 78448YAA9 890828.55000000 PA USD 890415.56000000 0.021969419624 Long ABS-O CORP US N 2 2053-01-15 Floating 0.69114000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KCU1 6762854.69000000 PA USD 6754844.76000000 0.166663775545 Long ABS-MBS CORP US N 2 2033-08-25 Floating 0.84867000 N N N N N N HARLEY DAVIDSON FINL SER 4/2 144A CP 0.4300 20220304 N/A 000000000 25000000.00000000 PA USD 24999094.50000000 0.616808175853 Long DBT CORP US N 2 2022-03-04 None 0.00000000 N N N N N N Great Wolf Trust N/A 39152TAA8 10000000.00000000 PA USD 9868603.00000000 0.243490219801 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.22500000 N N N N N N VANKE REAL ESTATE HK 25490078APAXS5NZGF08 000000000 2400000.00000000 PA USD 2431999.73000000 0.060005266076 Long DBT CORP HK N 2 2023-04-18 Fixed 4.15000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAY7 5000000.00000000 PA USD 4973025.00000000 0.122700543362 Long DBT CORP DK N 2 2023-12-08 Fixed 1.17100000 N N N N N N Verus Securitization Trust N/A 92538CAA9 4404164.98000000 PA USD 4339170.96000000 0.107061322743 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.21800000 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65557FAD8 14848000.00000000 PA USD 15108968.45000000 0.372786913088 Long DBT CORP FI N 2 2022-09-21 Fixed 4.25000000 N N N N N N GMRF Mortgage Acquisition Co., N/A 36418AAG2 595024.40000000 PA USD 597769.72000000 0.014748904228 Long ABS-MBS CORP US N 2 2059-06-25 Variable 4.00000000 N N N N N N Verus Securitization Trust N/A 92537UAA0 1600634.28000000 PA USD 1590800.46000000 0.039250170836 Long ABS-MBS CORP US N 2 2060-05-25 Variable 2.22600000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 6301950000.00000000 PA 54816961.03000000 1.352510977496 Long DBT NUSS JP N 2 2022-03-07 None 0.00000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AD8 45425000.00000000 PA USD 46901312.50000000 1.157206434346 Long DBT CORP US N 2 2023-04-15 Variable 5.62500000 N N N N N N NATURE CONSERVANCY (THE) 549300GJ1IZME7V1JJ28 63902HAE9 1250000.00000000 PA USD 1248011.25000000 0.030792457005 Long DBT CORP US N 2 2022-07-01 Fixed 0.36700000 N N N N N N Verus Securitization Trust N/A 92538FAA2 7058254.00000000 PA USD 6900422.26000000 0.170255641331 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.03100000 N N N N N N ARI Fleet Lease Trust N/A 00217FAB1 7250000.00000000 PA USD 7178878.23000000 0.177126046934 Long ABS-O CORP US N 2 2030-03-15 Fixed 0.37000000 N N N N N N CENTRL TX REGL MOBILITY AUTH R N/A 155498JR0 510000.00000000 PA USD 505754.30000000 0.012478587462 Long DBT MUN US N 2 2024-01-01 Fixed 1.64500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 68454.89000000 0.001689002608 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 AT&T INC AT&T Inc Y Default Event 2022-12-20 42023.06000000 USD 0.00000000 USD 10000000.00000000 USD 26431.83000000 N N N 2022-04-22 T. ROWE PRICE SHORT-TERM BOND FUND, INC. Alan S. Dupski Alan S. Dupski Treasurer & Vice President XXXX