0001145549-22-007559.txt : 20220222
0001145549-22-007559.hdr.sgml : 20220222
20220222163219
ACCESSION NUMBER: 0001145549-22-007559
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220222
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: AMERICAN CENTURY VARIABLE PORTFOLIOS II INC
CENTRAL INDEX KEY: 0001124155
IRS NUMBER: 431901969
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-10155
FILM NUMBER: 22658596
BUSINESS ADDRESS:
STREET 1: 4500 MAIN STREET
CITY: KANSAS CITY
STATE: MO
ZIP: 64111
BUSINESS PHONE: 816-531-5575
MAIL ADDRESS:
STREET 1: 4500 MAIN STREET
CITY: KANSAS CITY
STATE: MO
ZIP: 64111
0001124155
S000006680
VP INFLATION PROTECTION FUND
C000018205
CLASS I
APTIX
C000018206
CLASS II
AIPTX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001124155
XXXXXXXX
S000006680
C000018206
C000018205
American Century Variable Portfolios II, Inc.
811-10155
0001124155
549300UXH4EGO0JMZQ52
4500 Main St
Kansas City
64111
816-531-5575
VP Inflation Protection Fund
S000006680
6RL1SDP2NPKUIT20MO45
2021-12-31
2021-12-31
N
816436165.940000000000
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790250518.970000000000
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0.000000000000
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0.000000000000
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0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
CAD
USD
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BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
SOLD CAD/BOUGHT USD
N/A
1
NC
USD
-19162.3500000000
-0.0024248450
N/A
DFE
CORP
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
2414034.0000000000
CAD
1888959.8300000000
USD
2022-03-16
-19162.3500000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
SOLD AUD/BOUGHT USD
N/A
1
NC
USD
-14911.2400000000
-0.0018869004
N/A
DFE
CORP
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
1204233.0000000000
AUD
861380.2800000000
USD
2022-03-16
-14911.2400000000
N
N
N
BANK OF AMERICA, N.A.
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N/A
1
NC
USD
-32283.2700000000
-0.0040851944
N/A
DFE
CORP
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
7876959.0000000000
CAD
6193892.5700000000
USD
2022-03-16
-32283.2700000000
N
N
N
ABN Amro Mortgage Corp
N/A
ABN Amro Mortgage Corp 5.50
000780BZ8
23814.1700000000
PA
USD
24192.6200000000
0.0030613862
Long
ABS-MBS
CORP
US
N
2
2033-03-25
Fixed
5.500000000000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc 3.55 09/15/2055
00206RLJ9
1011000.0000000000
PA
USD
1016376.7400000000
0.1286144983
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.550000000000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc 2.55 12/01/2033
00206RMM1
1140000.0000000000
PA
USD
1116291.3300000000
0.1412579053
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.550000000000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.00 10/29/2028
00774MAW5
670000.0000000000
PA
USD
679995.2700000000
0.0860480637
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.000000000000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.40 10/29/2033
00774MAY1
317000.0000000000
PA
USD
323137.6600000000
0.0408905344
Long
DBT
CORP
IE
N
2
2033-10-29
Fixed
3.400000000000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.85 10/29/2041
00774MAZ8
180000.0000000000
PA
USD
187825.0000000000
0.0237677794
Long
DBT
CORP
IE
N
2
2041-10-29
Fixed
3.850000000000000
N
N
N
N
N
N
Agate Bay Mortgage Trust 2015-7
549300LK2ZDVY7I44B84
Agate Bay Mortgage Trust 2015-7 3.50
00842CAC9
201037.2500000000
PA
USD
201676.1500000000
0.0255205337
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Variable
3.500000000000000
N
N
N
N
N
N
Agate Bay Mortgage Trust 2016-1
549300SCHQRABPDKYY47
Agate Bay Mortgage Trust 2016-1 3.50
00842TAC2
293205.0600000000
PA
USD
295198.5600000000
0.0373550606
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Variable
3.500000000000000
N
N
N
N
N
N
Aligned Data Centers Issuer LLC
N/A
Aligned Data Centers Issuer LLC 2.48
01627AAB4
3600000.0000000000
PA
USD
3561850.8000000000
0.4507242595
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Fixed
2.482000000000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc 2.88 05/12/2041
023135CA2
1340000.0000000000
PA
USD
1394142.9300000000
0.1764178443
Long
DBT
CORP
US
N
2
2041-05-12
Fixed
2.875000000000000
N
N
N
N
N
N
American Airlines 2021-1 Class A Pass Through Trust
N/A
American Airlines 2021-1 Class A Pass Through Trust 2.88 01/11/2036
02379KAA2
325000.0000000000
PA
USD
323313.0600000000
0.0409127299
Long
DBT
CORP
US
N
2
2036-01-11
Fixed
2.875000000000000
N
N
N
N
N
N
Anchorage Capital CLO Ltd
549300ZNOS7Q8W8H3S38
Anchorage Capital CLO 19 Ltd 2.01
03328JAC1
1425000.0000000000
PA
USD
1427014.2400000000
0.1805774505
Long
ABS-CBDO
CORP
US
N
2
2034-10-15
Variable
2.014890000000000
N
N
N
N
N
N
Angel Oak Mortgage Trust I LLC 2019-4
N/A
Angel Oak Mortgage Trust I LLC 2019-4 3.30
03463UAC1
237755.1300000000
PA
USD
239141.5300000000
0.0302614834
Long
ABS-MBS
CORP
US
N
2
2049-07-26
Variable
3.301000000000000
N
N
N
N
N
N
Angel Oak Mortgage Trust 2019-5
N/A
Angel Oak Mortgage Trust 2019-5 2.92
03464KAC2
769087.5700000000
PA
USD
767741.4400000000
0.0971516527
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
2.921000000000000
N
N
N
N
N
N
Angel Oak Mortgage Trust 2019-6
N/A
Angel Oak Mortgage Trust 2019-6 2.93
03464VAC8
746113.4200000000
PA
USD
746546.3200000000
0.0944695767
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.927000000000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc 2.65 02/08/2051
037833EF3
375000.0000000000
PA
USD
369660.1200000000
0.0467775865
Long
DBT
CORP
US
N
2
2051-02-08
Fixed
2.650000000000000
N
N
N
N
N
N
ARES CLO
5493005YAOTYJUJV3S58
Ares XXXIX CLO Ltd 1.72
04015WBE3
3500000.0000000000
PA
USD
3494071.7000000000
0.4421473465
Long
ABS-CBDO
CORP
US
N
2
2031-04-18
Variable
1.722250000000000
N
N
N
N
N
N
Arroyo Mortgage Trust 2021-1R
N/A
Arroyo Mortgage Trust 2021-1R 1.48
042853AB7
738712.7300000000
PA
USD
736746.7200000000
0.0932295142
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
1.483000000000000
N
N
N
N
N
N
Arroyo Mortgage Trust 2021-1R
N/A
Arroyo Mortgage Trust 2021-1R 1.64
042853AC5
602634.0700000000
PA
USD
600463.0800000000
0.0759838894
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
1.637000000000000
N
N
N
N
N
N
Assured Guaranty US Holdings Inc
5493007YCE0652G9TZ64
Assured Guaranty US Holdings Inc 3.60 09/15/2051
04621WAE0
470000.0000000000
PA
USD
489922.3600000000
0.0619958289
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.600000000000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding 2.67 06/07/2031
04685A2Y6
246000.0000000000
PA
USD
243981.7800000000
0.0308739791
Long
DBT
CORP
US
N
2
2031-06-07
Fixed
2.673000000000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding 1.99 08/19/2028
04685A3C3
1297000.0000000000
PA
USD
1261316.9600000000
0.1596097604
Long
DBT
CORP
US
N
2
2028-08-19
Fixed
1.985000000000000
N
N
N
N
N
N
Autodesk Inc
FRKKVKAIQEF3FCSTPG55
Autodesk Inc 2.40 12/15/2031
052769AH9
1118000.0000000000
PA
USD
1116009.6100000000
0.1412222559
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.400000000000000
N
N
N
N
N
N
AutoNation Inc
N/A
AutoNation Inc 1.95 08/01/2028
05329WAR3
600000.0000000000
PA
USD
587163.2100000000
0.0743008952
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
1.950000000000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd 2.75 02/21/2028
05401AAP6
1100000.0000000000
PA
USD
1080114.9800000000
0.1366800722
Long
DBT
CORP
IE
N
2
2028-02-21
Fixed
2.750000000000000
N
N
N
N
N
N
BRE Grand Islander Timeshare Issuer 2017-A LLC
N/A
BRE Grand Islander Timeshare Issuer 2017-A LLC 2.94
05584AAA8
315426.3600000000
PA
USD
320367.9600000000
0.0405400506
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Fixed
2.940000000000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11 3.20
05606FAA1
2801000.0000000000
PA
USD
2955278.5200000000
0.3739672989
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.202000000000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11 3.86
05606FAJ2
2050000.0000000000
PA
USD
2114334.7400000000
0.2675524646
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.856000000000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2021-VOLT
N/A
BX Commercial Mortgage Trust 2021-VOLT 2.11
05609VAN5
1900000.0000000000
PA
USD
1887741.0100000000
0.2388788067
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Variable
2.109760000000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2021-VOLT
N/A
BX Commercial Mortgage Trust 2021-VOLT 2.51
05609VAQ8
2200000.0000000000
PA
USD
2185345.3600000000
0.2765383012
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Variable
2.509760000000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA 5.18 11/19/2025
05971KAA7
600000.0000000000
PA
USD
668502.8500000000
0.0845937882
Long
DBT
CORP
ES
N
2
2025-11-19
Fixed
5.179000000000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp 3.42 12/20/2028
06051GHD4
1449000.0000000000
PA
USD
1548032.7700000000
0.1958913956
Long
DBT
CORP
US
N
2
2028-12-20
Variable
3.419000000000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp 2.68 06/19/2041
06051GJE0
987000.0000000000
PA
USD
951710.6700000000
0.1204315147
Long
DBT
CORP
US
N
2
2041-06-19
Variable
2.676000000000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp 2.48 09/21/2036
06051GKC2
500000.0000000000
PA
USD
484863.0400000000
0.0613556117
Long
DBT
CORP
US
N
2
2036-09-21
Variable
2.482000000000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp 2.57 10/20/2032
06051GKD0
721000.0000000000
PA
USD
724988.1700000000
0.0917415620
Long
DBT
CORP
US
N
2
2032-10-20
Variable
2.572000000000000
N
N
N
N
N
N
Bank of Ireland Group PLC
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC 2.03 09/30/2027
06279JAB5
577000.0000000000
PA
USD
567262.4200000000
0.0717826064
Long
DBT
CORP
IE
N
2
2027-09-30
Variable
2.029000000000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC 2.28 11/24/2027
06738EBU8
795000.0000000000
PA
USD
796884.9800000000
0.1008395390
Long
DBT
CORP
GB
N
2
2027-11-24
Variable
2.279000000000000
N
N
N
N
N
N
Bean Creek CLO
635400STD6UUTEW5KM07
Bean Creek CLO Ltd 1.15
07378WAQ1
1750000.0000000000
PA
USD
1747384.9800000000
0.2211178529
Long
ABS-CBDO
CORP
US
N
2
2031-04-20
Variable
1.151500000000000
N
N
N
N
N
N
Bellemeade Re Ltd
N/A
Bellemeade Re Ltd 1.90
07876AAC7
3200000.0000000000
PA
USD
3206161.6000000000
0.4057145833
Long
ABS-MBS
CORP
US
N
2
2031-06-25
Variable
1.899670000000000
N
N
N
N
N
N
Bellemeade RE 2021-3 Ltd
N/A
Bellemeade RE 2021-3 Ltd 1.05
078777AB5
2250000.0000000000
PA
USD
2240294.8500000000
0.2834917278
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Variable
1.049670000000000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft 2.44
09229CAA7
1363541.6200000000
PA
USD
1348827.7800000000
0.1706835678
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Fixed
2.443000000000000
N
N
N
N
N
N
Blackstone Private Credit Fund
549300ORP3TTCNXSYO43
Blackstone Private Credit Fund 2.63 12/15/2026
09261HAC1
198000.0000000000
PA
USD
193146.4700000000
0.0244411696
Long
DBT
CORP
US
N
2
2026-12-15
Floating
2.625000000000000
N
N
N
N
N
N
Blackstone Private Credit Fund
549300ORP3TTCNXSYO43
Blackstone Private Credit Fund 3.25 03/15/2027
09261HAJ6
826000.0000000000
PA
USD
835037.8800000000
0.1056674890
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.250000000000000
N
N
N
N
N
N
Block Financial LLC
N/A
Block Financial LLC 3.88 08/15/2030
093662AH7
398000.0000000000
PA
USD
426305.6400000000
0.0539456324
Long
DBT
CORP
US
N
2
2030-08-15
Floating
3.875000000000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA 0.00 01/03/2022
05970UA32
2000000.0000000000
PA
USD
1999989.1600000000
0.2530829290
Long
STIV
CORP
ES
N
2
2022-01-03
None
0.000000000000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA 0.00 04/29/2022
09660KDV6
15000000.0000000000
PA
USD
14990827.0500000000
1.8969714907
Long
STIV
CORP
FR
N
2
2022-04-29
None
0.000000000000000
N
N
N
N
N
N
Credit Agricole Corporate and Investment Bank/New York
254900BN8XS34XZDJ223
Credit Agricole Corporate and Investment Bank/New York 0.00 01/03/2022
22533UA37
6900000.0000000000
PA
USD
6899944.8000000000
0.8731338524
Long
STIV
CORP
US
N
2
2022-01-03
None
0.000000000000000
N
N
N
N
N
N
Glencove Funding LLC
549300XUUQZO7I38ZR06
Glencove Funding LLC 0.00 02/07/2022
37828XB73
10000000.0000000000
PA
USD
9998511.7000000000
1.2652331710
Long
STIV
CORP
US
N
2
2022-02-07
None
0.000000000000000
N
N
N
N
N
N
Blue Owl Finance LLC
254900OF2NO2GYFV5T41
Blue Owl Finance LLC 3.13 06/10/2031
09581JAA4
246000.0000000000
PA
USD
240985.4400000000
0.0304948158
Long
DBT
CORP
US
N
2
2031-06-10
Fixed
3.125000000000000
N
N
N
N
N
N
Blue Owl Finance LLC
254900OF2NO2GYFV5T41
Blue Owl Finance LLC 4.13 10/07/2051
09581JAC0
767000.0000000000
PA
USD
772014.9100000000
0.0976924268
Long
DBT
CORP
US
N
2
2051-10-07
Fixed
4.125000000000000
N
N
N
N
N
N
LMA-Americas LLC
N/A
LMA-Americas LLC 0.00 01/11/2022
53944RAB4
13000000.0000000000
PA
USD
12999690.2100000000
1.6450087533
Long
STIV
CORP
US
N
2
2022-01-11
None
0.000000000000000
N
N
N
N
N
N
State Street Institutional US Government Money Market Fund
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
12873993.4900000000
NS
USD
12873993.4900000000
1.6291028200
Long
STIV
RF
US
N
1
N
N
N
BlueMountain CLO Ltd
549300O2Y407FNHQWX93
BlueMountain CLO 2016-2 Ltd 2.41
09628WBA9
1025000.0000000000
PA
USD
1026552.7700000000
0.1299021950
Long
ABS-CBDO
CORP
US
N
2
2032-08-20
Variable
2.409630000000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA 4.38 03/01/2033
09659T2A8
705000.0000000000
PA
USD
765321.9800000000
0.0968454891
Long
DBT
CORP
FR
N
2
2033-03-01
Variable
4.375000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.38 07/15/2025
912828XL9
8983590.0000000000
PA
USD
9760268.1600000000
1.2350853211
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.375000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.75 07/15/2028
912828Y38
716443.0000000000
PA
USD
820943.9100000000
0.1038840077
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.750000000000000
N
N
N
N
N
N
Brighthouse Financial Global Funding
549300BLFX3KJ2IFOA78
Brighthouse Financial Global Funding 2.00 06/28/2028
10921U2E7
482000.0000000000
PA
USD
474397.7200000000
0.0600313076
Long
DBT
CORP
US
N
2
2028-06-28
Fixed
2.000000000000000
N
N
N
N
N
N
British Airways 2021-1 Class A Pass Through Trust
N/A
British Airways 2021-1 Class A Pass Through Trust 2.90 09/15/2036
11042CAA8
631939.4000000000
PA
USD
631896.8700000000
0.0799615887
Long
DBT
CORP
GB
N
2
2036-09-15
Fixed
2.900000000000000
N
N
N
N
N
N
British Telecommunications PLC
549300OWFMSO9NYV4H90
British Telecommunications PLC 3.25 11/08/2029
11102AAE1
515000.0000000000
PA
USD
526990.8300000000
0.0666865529
Long
DBT
CORP
GB
N
2
2029-11-08
Fixed
3.250000000000000
N
N
N
N
N
N
Broadstone Net Lease LLC
54930089IBT6J4WBTI50
Broadstone Net Lease LLC 2.60 09/15/2031
11135EAA2
375000.0000000000
PA
USD
364413.5100000000
0.0461136692
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.600000000000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2020-VIVA
N/A
BX Commercial Mortgage Trust 2020-VIVA 3.55
12433XAG4
3000000.0000000000
PA
USD
2998995.9000000000
0.3794993901
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.548750000000000
N
N
N
N
N
N
BXMT 2020-FL2 LTD
N/A
BXMT 2020-FL2 LTD 1.56
12434LAE4
2400000.0000000000
PA
USD
2403498.9600000000
0.3041439268
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Variable
1.564480000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 01/15/2030
912828Z37
24196050.0000000000
PA
USD
26875100.2900000000
3.4008329821
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 07/15/2030
912828ZZ6
16186800.0000000000
PA
USD
18124384.8900000000
2.2934986381
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.125000000000000
N
N
N
N
N
N
ViacomCBS Inc
5KYC8KF17ROCY24M3H09
ViacomCBS Inc 4.20 06/01/2029
124857AZ6
515000.0000000000
PA
USD
572915.9600000000
0.0724980176
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.200000000000000
N
N
N
N
N
N
CARS-DB5 LP
N/A
CARS-DB5 LP 2.76
12510HAN0
1500000.0000000000
PA
USD
1487224.0500000000
0.1881965294
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
2.760000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 10/15/2025
91282CAQ4
21592777.5000000000
PA
USD
23285235.8100000000
2.9465638112
Long
DBT
UST
US
N
2
2025-10-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 01/15/2031
91282CBF7
62070440.0000000000
PA
USD
69554557.2300000000
8.8015832398
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.125000000000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp 4.90 12/15/2048
125523AK6
300000.0000000000
PA
USD
388603.1200000000
0.0491746744
Long
DBT
CORP
US
N
2
2048-12-15
Floating
4.900000000000000
N
N
N
N
N
N
CSMC Trust 2015-WIN1
N/A
CSMC Trust 2015-WIN1 3.50
12649KAP2
343539.7600000000
PA
USD
346255.0000000000
0.0438158523
Long
ABS-MBS
CORP
US
N
2
2044-12-25
Variable
3.500000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 04/15/2026
91282CCA7
16088902.5000000000
PA
USD
17369436.1100000000
2.1979657960
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 07/15/2031
91282CCM1
10323000.0000000000
PA
USD
11613826.0100000000
1.4696385173
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.125000000000000
N
N
N
N
N
N
Credit Suisse Mortgage Capital Certificates 2019-ICE4
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4 1.34
12653VAC0
1375000.0000000000
PA
USD
1375248.3300000000
0.1740268810
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
1.340000000000000
N
N
N
N
N
N
Credit Suisse Mortgage Capital Certificates 2019-ICE4
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4 1.71
12653VAG1
3306000.0000000000
PA
USD
3298440.8300000000
0.4173917955
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
1.710000000000000
N
N
N
N
N
N
CSMC 2021-NQM2
N/A
CSMC 2021-NQM2 1.54
12662EAC7
700594.8400000000
PA
USD
693493.0500000000
0.0877561018
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.538000000000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp 4.78 03/25/2038
126650CY4
260000.0000000000
PA
USD
317043.8100000000
0.0401194055
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.780000000000000
N
N
N
N
N
N
Canadian Government Real Return Bond
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond 4.25 12/01/2026
135087VS0
8194550.0000000000
PA
8179183.8000000000
1.0350115063
Long
DBT
CORP
CA
N
2
2026-12-01
Fixed
4.250000000000000
N
N
N
N
N
N
Carlyle Group Inc/The
549300R4G5ROMXQ5CG20
Carlyle Global Market Strategies CLO 2012-4 Ltd 2.73
14309YBW3
1700000.0000000000
PA
USD
1705979.9200000000
0.2158783676
Long
ABS-CBDO
CORP
US
N
2
2032-04-22
Variable
2.728250000000000
N
N
N
N
N
N
Raytheon Technologies Corp
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp 4.13 11/16/2028
913017CY3
720000.0000000000
PA
USD
806068.7800000000
0.1020016768
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.125000000000000
N
N
N
N
N
N
Vanguard Short-Term Corporate Bond ETF
N/A
Vanguard Short-Term Corporate Bond ETF
92206C409
159400.0000000000
NS
USD
12952844.0000000000
1.6390807331
Long
EC
RF
US
N
1
N
N
N
Vanguard Intermediate-Term Corporate Bond ETF
N/A
Vanguard Intermediate-Term Corporate Bond ETF
92206C870
141600.0000000000
NS
USD
13134816.0000000000
1.6621078613
Long
EC
RF
US
N
1
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc 4.33 09/21/2028
92343VER1
936000.0000000000
PA
USD
1064210.5300000000
0.1346674889
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.329000000000001
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc 1.75 01/20/2031
92343VFR0
60000.0000000000
PA
USD
56859.2800000000
0.0071950956
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.750000000000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc 2.65 11/20/2040
92343VFT6
622000.0000000000
PA
USD
592095.7800000000
0.0749250732
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.650000000000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc 2.99 10/30/2056
92343VFW9
485000.0000000000
PA
USD
460176.5700000000
0.0582317327
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.987000000000000
N
N
N
N
N
N
Verus Securitization Trust 2020-1
N/A
Verus Securitization Trust 2020-1 2.72
92536PAE4
1187250.7600000000
PA
USD
1190228.2700000000
0.1506140447
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.724000000000000
N
N
N
N
N
N
Verus Securitization Trust 2019-4
N/A
Verus Securitization Trust 2019-4 3.00
92537KAC8
1473575.1900000000
PA
USD
1488800.6100000000
0.1883960307
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.000000000000000
N
N
N
N
N
N
Verus Securitization Trust 2021-1
N/A
Verus Securitization Trust 2021-1 1.16
92537QAF8
1830173.6800000000
PA
USD
1802208.4400000000
0.2280553314
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
1.155000000000000
N
N
N
N
N
N
Verus Securitization Trust 2021-5
N/A
Verus Securitization Trust 2021-5 1.37
92538KAC7
1910304.9200000000
PA
USD
1882399.7600000000
0.2382029135
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.373000000000000
N
N
N
N
N
N
ViacomCBS Inc
5KYC8KF17ROCY24M3H09
ViacomCBS Inc 4.38 03/15/2043
92553PAP7
530000.0000000000
PA
USD
604346.0200000000
0.0764752449
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.375000000000000
N
N
N
N
N
N
Viatris Inc
254900ZZTSW7NL773X71
Viatris Inc 4.00 06/22/2050
92556VAF3
215000.0000000000
PA
USD
229498.1500000000
0.0290411894
Long
DBT
CORP
US
N
2
2050-06-22
Fixed
4.000000000000000
N
N
N
N
N
N
Vista Point Securitization Trust 2020-2
N/A
Vista Point Securitization Trust 2020-2 2.50
92838TAC5
956100.0700000000
PA
USD
956223.7900000000
0.1210026146
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
2.496000000000000
N
N
N
N
N
N
Cendant Mort Capital LLC CDMC Mort Pas Thr Ce Se 03 6
N/A
Cendant Mort Capital LLC CDMC Mort Pas Thr Ce Se 03 6 5.25
15132EDZ8
167650.6300000000
PA
USD
172089.9200000000
0.0217766285
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Fixed
5.250000000000000
N
N
N
N
N
N
CenterPoint Energy Inc
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc 2.65 06/01/2031
15189TBB2
560000.0000000000
PA
USD
568199.2200000000
0.0719011511
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.650000000000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Series 2003-S11 Trust
N/A
WaMu Mortgage Pass-Through Certificates Series 2003-S11 Trust 5.95
92922FHA9
94472.5800000000
PA
USD
97165.7900000000
0.0122955680
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.950000000000000
N
N
N
N
N
N
Wendy's Funding LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC 2.78
95058XAL2
3457625.0000000000
PA
USD
3463134.3800000000
0.4382324715
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
2.775000000000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp 3.02 11/18/2036
961214EX7
439000.0000000000
PA
USD
434443.5200000000
0.0549754172
Long
DBT
CORP
AU
N
2
2036-11-18
Variable
3.020000000000000
N
N
N
N
N
N
Wind River CLO Ltd
549300QKM4OHZM4I5C40
THL Credit Wind River 2019-3 Clo Ltd 2.32
97314JAE5
2550000.0000000000
PA
USD
2556033.0500000000
0.3234459186
Long
ABS-CBDO
CORP
US
N
2
2031-04-15
Variable
2.323750000000000
N
N
N
N
N
N
CBOT 5 Year US Treasury Note
N/A
US 5YR NOTE (CBT) Mar22
N/A
363.0000000000
NC
USD
185938.4000000000
0.0235290450
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Long
US 5YR NOTE (CBT)
US 5YR NOTE (CBT) Mar22
2022-03-31
43728553.9700000000
USD
185938.4000000000
N
N
N
CME Ultra Long Term US Treasury
N/A
US ULTRA BOND CBT Mar22
N/A
-39.0000000000
NC
USD
-155099.3700000000
-0.0196266078
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Short
US ULTRA BOND CBT
US ULTRA BOND CBT Mar22
2022-03-22
-7532775.6300000000
USD
-155099.3700000000
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital 5.13 07/01/2049
161175BS2
1280000.0000000000
PA
USD
1488292.6000000000
0.1883317460
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.125000000000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital 3.50 06/01/2041
161175BZ6
820000.0000000000
PA
USD
800923.3900000000
0.1013505681
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.500000000000000
N
N
N
N
N
N
CBOT 10 Year US Treasury Note
N/A
US 10YR NOTE (CBT)Mar22
N/A
-44.0000000000
NC
USD
-64023.3000000000
-0.0081016461
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Short
US 10YR NOTE (CBT)
US 10YR NOTE (CBT)Mar22
2022-03-22
-5676601.7000000000
USD
-64023.3000000000
N
N
N
CBOT US Long Bond Future
N/A
US LONG BOND(CBT) Mar22
N/A
-49.0000000000
NC
USD
-101563.2800000000
-0.0128520358
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Short
US LONG BOND(CBT)
US LONG BOND(CBT) Mar22
2022-03-22
-7759874.2200000000
USD
-101563.2800000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc 3.52 10/27/2028
172967LS8
1022000.0000000000
PA
USD
1097110.6200000000
0.1388307370
Long
DBT
CORP
US
N
2
2028-10-27
Variable
3.520000000000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust 2019-IMC1
N/A
Citigroup Mortgage Loan Trust 2019-IMC1 2.72
17328BAA2
434490.1700000000
PA
USD
436312.7700000000
0.0552119561
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.720000000000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp 3.75 04/01/2040
20030NDH1
825000.0000000000
PA
USD
925363.0300000000
0.1170974277
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.750000000000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia 3.61 09/12/2034
202712BK0
770000.0000000000
PA
USD
805867.5200000000
0.1019762089
Long
DBT
CORP
AU
N
2
2034-09-12
Variable
3.610000000000000
N
N
N
N
N
N
Crown Castle International Corp
54930012H97VSM0I2R19
Crown Castle International Corp 3.30 07/01/2030
22822VAR2
620000.0000000000
PA
USD
654721.5400000000
0.0828498716
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.300000000000000
N
N
N
N
N
N
CubeSmart LP
549300MPHKO3I3FJRA97
CubeSmart LP 2.25 12/15/2028
22966RAH9
365000.0000000000
PA
USD
365357.9900000000
0.0462331857
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
2.250000000000000
N
N
N
N
N
N
DAE Funding LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC 1.55 08/01/2024
23371DAJ3
429000.0000000000
PA
USD
426303.7400000000
0.0539453920
Long
DBT
CORP
AE
N
2
2024-08-01
Fixed
1.550000000000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust 2021-3
N/A
Deephaven Residential Mortgage Trust 2021-3 1.55
24381VAC4
1917361.5200000000
PA
USD
1897202.3800000000
0.2400760688
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
1.554000000000000
N
N
N
N
N
N
Dell International LLC / EMC Corp
N/A
Dell International LLC / EMC Corp 4.90 10/01/2026
24703TAE6
1305000.0000000000
PA
USD
1470783.8500000000
0.1861161511
Long
DBT
CORP
US
N
2
2026-10-01
Floating
4.900000000000000
N
N
N
N
N
N
Deutsche Bank AG/New York NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY 3.96 11/26/2025
251526CB3
1825000.0000000000
PA
USD
1928463.6100000000
0.2440319321
Long
DBT
CORP
US
N
2
2025-11-26
Variable
3.961000000000000
N
N
N
N
N
N
Deutsche Bank AG/New York NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY 2.31 11/16/2027
251526CP2
1121000.0000000000
PA
USD
1121159.7800000000
0.1418739695
Long
DBT
CORP
US
N
2
2027-11-16
Variable
2.311000000000000
N
N
N
N
N
N
Discovery Communications LLC
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC 4.65 05/15/2050
25470DBH1
430000.0000000000
PA
USD
505743.7300000000
0.0639978991
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.650000000000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc 4.90 08/01/2041
25746UBM0
550000.0000000000
PA
USD
678527.8200000000
0.0858623694
Long
DBT
CORP
US
N
2
2041-08-01
Fixed
4.900000000000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc 2.25 08/15/2031
25746UDL0
480000.0000000000
PA
USD
469253.0000000000
0.0593802837
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.250000000000000
N
N
N
N
N
N
Dryden Senior Loan Fund
5493002P75UIPU4MC757
Dryden 43 Senior Loan Fund 3.09
26245CBN2
3000000.0000000000
PA
USD
2985288.6000000000
0.3777648389
Long
ABS-CBDO
CORP
US
N
2
2034-04-20
Fixed
3.093100000000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC 2.00 08/15/2031
26442UAL8
1220000.0000000000
PA
USD
1193123.9500000000
0.1509804703
Long
DBT
CORP
US
N
2
2031-08-15
Floating
2.000000000000000
N
N
N
N
N
N
Duke University Health System Inc
SYIJ9BNVFR17R33OPQ57
Duke University Health System Inc 3.92 06/01/2047
26443CAA1
467000.0000000000
PA
USD
556201.6700000000
0.0703829554
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
3.920000000000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC 1.75 06/15/2030
26444HAJ0
610000.0000000000
PA
USD
586103.0800000000
0.0741667441
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.750000000000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC 4.85 03/15/2044
29379VBA0
250000.0000000000
PA
USD
301653.3100000000
0.0381718585
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.850000000000001
N
N
N
N
N
N
Essential Utilities Inc
549300ILTEOF3E3QY357
Essential Utilities Inc 2.70 04/15/2030
29670GAD4
560000.0000000000
PA
USD
569585.1100000000
0.0720765246
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.704000000000000
N
N
N
N
N
N
FS KKR Capital Corp
549300TYRSI1T21B1360
FS KKR Capital Corp 3.13 10/12/2028
302635AK3
977000.0000000000
PA
USD
972816.1000000000
0.1231022412
Long
DBT
CORP
US
N
2
2028-10-12
Fixed
3.125000000000000
N
N
N
N
N
N
Fannie Mae Connecticut Avenue
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities 2.70
30711XAH7
631028.2300000000
PA
USD
640513.5900000000
0.0810519670
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Variable
2.702750000000000
N
N
N
N
N
N
FARM 21-1 Mortgage Trust
N/A
FARM 21-1 Mortgage Trust 2.18
30768WAA6
3570064.9100000000
PA
USD
3553899.3000000000
0.4497180596
Long
ABS-MBS
USGA
US
N
2
2051-01-25
Variable
2.180000000000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates 3.69
3137FKZZ2
5000000.0000000000
PA
USD
5652206.5000000000
0.7152423648
Long
ABS-MBS
USGA
US
N
2
2029-01-25
Fixed
3.690000000000000
N
N
N
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates 1.52
3137FTBM8
6000000.0000000000
PA
USD
5901268.2000000000
0.7467591679
Long
ABS-MBS
USGA
US
N
2
2030-03-25
Fixed
1.517000000000000
N
N
N
N
N
N
FirstKey Homes 2020-SFR2 Trust
N/A
FirstKey Homes 2020-SFR2 Trust 1.97
33767JAG7
1900000.0000000000
PA
USD
1852870.1200000000
0.2344661693
Long
ABS-MBS
CORP
US
N
2
2037-10-19
Fixed
1.968000000000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC 4.39 01/08/2026
345397XU2
470000.0000000000
PA
USD
506956.1000000000
0.0641513150
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
4.389000000000000
N
N
N
N
N
N
GS Mortgage Securities Corp Trust 2017-STAY
N/A
GS Mortgage Securities Corp Trust 2017-STAY 2.56
36253VAL3
1875000.0000000000
PA
USD
1879935.9400000000
0.2378911364
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Variable
2.559750000000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co 5.15 04/01/2038
37045VAP5
1140000.0000000000
PA
USD
1376492.4400000000
0.1741843133
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.150000000000000
N
N
N
N
N
N
Global Payments Inc
549300NOMHGVQBX6S778
Global Payments Inc 2.15 01/15/2027
37940XAG7
600000.0000000000
PA
USD
602728.9200000000
0.0762706136
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.150000000000000
N
N
N
N
N
N
Global Atlantic Fin Co
N/A
Global Atlantic Fin Co 3.13 06/15/2031
37959GAB3
395000.0000000000
PA
USD
391414.4400000000
0.0495304249
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.125000000000000
N
N
N
N
N
N
Global SC Finance VII Srl
N/A
Global SC Finance VII Srl 2.17
37959PAA5
1549763.3800000000
PA
USD
1548797.7200000000
0.1959881940
Long
ABS-MBS
CORP
US
N
2
2040-10-17
Fixed
2.170000000000000
N
N
N
N
N
N
Global SC Finance VII Srl
549300JZYOMTAKV6RT73
Global SC Finance VII Srl 1.95
37959PAG2
1180155.6300000000
PA
USD
1167748.4200000000
0.1477693962
Long
ABS-MBS
CORP
US
N
2
2041-08-17
Fixed
1.950000000000000
N
N
N
N
N
N
Golden State Tobacco Securitization Corp
N/A
Golden State Tobacco Securitization Corp 2.75% 06/01/2034
38122NB50
1120000.0000000000
PA
USD
1129460.8600000000
0.1429244060
Long
DBT
MUN
US
N
2
2034-06-01
Fixed
2.746000000000000
N
N
N
N
N
N
Goldentree Loan Opportunities Ltd
549300IGEA8MXF2YEF61
Goldentree Loan Opportunities X Ltd 1.25
38137PAQ3
1700000.0000000000
PA
USD
1700011.3900000000
0.2151230969
Long
ABS-CBDO
CORP
US
N
2
2031-07-20
Variable
1.251500000000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The 4.25 10/21/2025
38141GVR2
1410000.0000000000
PA
USD
1539115.1800000000
0.1947629445
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.250000000000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The 2.91 07/21/2042
38141GYK4
895000.0000000000
PA
USD
891507.4000000000
0.1128132635
Long
DBT
CORP
US
N
2
2042-07-21
Variable
2.908000000000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The 1.95 10/21/2027
38141GYM0
266000.0000000000
PA
USD
264950.9400000000
0.0335274617
Long
DBT
CORP
US
N
2
2027-10-21
Variable
1.948000000000000
N
N
N
N
N
N
Golub Capital BDC Inc
2549005WE0QLGK9APF78
Golub Capital BDC Inc 2.50 08/24/2026
38173MAB8
277000.0000000000
PA
USD
272511.3200000000
0.0344841684
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
2.500000000000000
N
N
N
N
N
N
Goodgreen Trust
N/A
Goodgreen 2020-1 Trust 2.63
38217TAA3
1272601.0800000000
PA
USD
1272980.9500000000
0.1610857468
Long
ABS-MBS
CORP
US
N
2
2055-04-15
Fixed
2.630000000000000
N
N
N
N
N
N
Goodgreen 2021-1 Trust
N/A
Goodgreen 2021-1 Trust 2.66
38217UAA0
823761.8300000000
PA
USD
816444.5200000000
0.1033146452
Long
ABS-MBS
CORP
US
N
2
2056-10-15
Fixed
2.660000000000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC 2.80 05/24/2032
404280CT4
440000.0000000000
PA
USD
441826.0500000000
0.0559096185
Long
DBT
CORP
GB
N
2
2032-05-24
Variable
2.804000000000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC 1.16 11/22/2024
404280CW7
1142000.0000000000
PA
USD
1139089.2100000000
0.1441427981
Long
DBT
CORP
GB
N
2
2024-11-22
Variable
1.162000000000000
N
N
N
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc 2.65 06/17/2031
40434LAG0
940000.0000000000
PA
USD
927721.6100000000
0.1173958875
Long
DBT
CORP
US
N
2
2031-06-17
Floating
2.650000000000000
N
N
N
N
N
N
Hercules Capital Inc
549300UJ5OC256GR2B73
Hercules Capital Inc 4.63 10/23/2022
427096AG7
1062000.0000000000
PA
USD
1082900.9000000000
0.1370326085
Long
DBT
CORP
US
N
2
2022-10-23
Fixed
4.625000000000000
N
N
N
N
N
N
Hercules Capital Inc
549300UJ5OC256GR2B73
Hercules Capital Inc 2.63 09/16/2026
427096AH5
521000.0000000000
PA
USD
516933.0600000000
0.0654138210
Long
DBT
CORP
US
N
2
2026-09-16
Fixed
2.625000000000000
N
N
N
N
N
N
Hill City Funding Trust
N/A
Hill City Funding Trust 4.05 08/15/2041
43137PAA8
1108000.0000000000
PA
USD
1073573.7000000000
0.1358523246
Long
DBT
CORP
US
N
2
2041-08-15
Fixed
4.046000000000000
N
N
N
N
N
N
Hilton Grand Vacations Trust 2017-A
N/A
Hilton Grand Vacations Trust 2017-A 2.66
43283AAA3
1002713.0600000000
PA
USD
1016935.8400000000
0.1286852480
Long
ABS-MBS
CORP
US
N
2
2028-12-26
Fixed
2.660000000000000
N
N
N
N
N
N
Hilton Grand Vacations Trust 2019-A
N/A
Hilton Grand Vacations Trust 2019-A 2.54
43284HAB5
1583325.4000000000
PA
USD
1601181.5100000000
0.2026169514
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Fixed
2.540000000000000
N
N
N
N
N
N
Imperial Fund Mortgage Trust 2021-NQM1
N/A
Imperial Fund Mortgage Trust 2021-NQM1 1.62
452764AC7
757028.8000000000
PA
USD
746980.0000000000
0.0945244555
Long
ABS-MBS
CORP
US
N
2
2056-06-25
Variable
1.617000000000000
N
N
N
N
N
N
Instar Leasing III, LLC
N/A
InStar Leasing III LLC 2.30
45783NAA5
2486928.5500000000
PA
USD
2475218.8500000000
0.3132195159
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Fixed
2.300000000000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp 2.80 08/12/2041
458140BV1
990000.0000000000
PA
USD
989534.7900000000
0.1252178602
Long
DBT
CORP
US
N
2
2041-08-12
Fixed
2.800000000000000
N
N
N
N
N
N
Chase Mortgage Finance Corp
N/A
Chase Mortgage Finance Corp 1.25
46591HBX7
746504.6200000000
PA
USD
748714.9500000000
0.0947439998
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
1.249670000000000
N
N
N
N
N
N
JP Morgan Mortgage Trust 2014-5
N/A
JP Morgan Mortgage Trust 2014-5 2.87
46643KAA9
957127.1400000000
PA
USD
972282.2000000000
0.1230346804
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Variable
2.866528000000000
N
N
N
N
N
N
JP Morgan Mortgage Trust 2016-1
N/A
JP Morgan Mortgage Trust 2016-1 3.50
46646BAG3
1745763.2000000000
PA
USD
1770819.0900000000
0.2240832556
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Variable
3.500000000000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co 1.58 04/22/2027
46647PCB0
485000.0000000000
PA
USD
479536.3100000000
0.0606815558
Long
DBT
CORP
US
N
2
2027-04-22
Variable
1.578000000000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co 3.16 04/22/2042
46647PCD6
705000.0000000000
PA
USD
737314.5000000000
0.0933013623
Long
DBT
CORP
US
N
2
2042-04-22
Variable
3.157000000000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co 2.07 06/01/2029
46647PCJ3
3339000.0000000000
PA
USD
3313656.9600000000
0.4193172773
Long
DBT
CORP
US
N
2
2029-06-01
Variable
2.069000000000000
N
N
N
N
N
N
JP Morgan Mortgage Trust 2017-1
N/A
JP Morgan Mortgage Trust 2017-1 3.47
46648CAB0
748953.4000000000
PA
USD
752517.9700000000
0.0952252421
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Variable
3.468531000000000
N
N
N
N
N
N
KKR CLO Trust
549300GKHET0CQ690V42
KKR CLO Ltd 22 1.28
48252WAA1
2250000.0000000000
PA
USD
2251821.8300000000
0.2849503766
Long
ABS-CBDO
CORP
US
N
2
2031-07-20
Variable
1.281500000000000
N
N
N
N
N
N
LXP Industrial Trust
549300S4MH2ICXDBFV43
LXP Industrial Trust 2.38 10/01/2031
529537AA0
975000.0000000000
PA
USD
936617.4700000000
0.1185215887
Long
DBT
CORP
US
N
2
2031-10-01
Floating
2.375000000000000
N
N
N
N
N
N
MF1 2021-FL7 Ltd
N/A
MF1 2021-FL7 Ltd 1.56
55284AAC2
2300000.0000000000
PA
USD
2292726.4800000000
0.2901265390
Long
ABS-CBDO
CORP
US
N
2
2036-10-16
Variable
1.557500000000000
N
N
N
N
N
N
MVW 2019-2 LLC
N/A
MVW 2019-2 LLC 2.22
55400DAA9
1154848.9300000000
PA
USD
1168765.0900000000
0.1478980478
Long
ABS-MBS
CORP
US
N
2
2038-10-20
Fixed
2.220000000000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300NJNSVWVLHGRY73
Magnetite VIII Ltd 1.10
55952YAP2
2500000.0000000000
PA
USD
2501477.5000000000
0.3165423419
Long
ABS-CBDO
CORP
US
N
2
2031-04-15
Variable
1.103750000000000
N
N
N
N
N
N
Magnetite Xxix Ltd
549300XSCWZTP19VRZ67
Magnetite Xxix Ltd 1.52
55955KAC8
2600000.0000000000
PA
USD
2595342.1000000000
0.3284201703
Long
ABS-CBDO
CORP
US
N
2
2034-01-15
Variable
1.523750000000000
N
N
N
N
N
N
Main Street Capital Corp
5493001FS9QJLJNF3E20
Main Street Capital Corp 3.00 07/14/2026
56035LAE4
471000.0000000000
PA
USD
472874.9500000000
0.0598386130
Long
DBT
CORP
US
N
2
2026-07-14
Fixed
3.000000000000000
N
N
N
N
N
N
Marathon CLO Ltd
549300PRAU42OGUUTY83
Marathon Clo 2021-17 Ltd 4.03
56578AAN1
3000000.0000000000
PA
USD
3004286.6100000000
0.3801688880
Long
ABS-CBDO
CORP
US
N
2
2035-01-20
Fixed
4.030000000000000
N
N
N
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc 2.75 04/13/2030
609207AT2
237000.0000000000
PA
USD
244498.5700000000
0.0309393748
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
2.750000000000000
N
N
N
N
N
N
Moody's Corp
549300GCEDD8YCF5WU84
Moody's Corp 3.10 11/29/2061
615369AX3
400000.0000000000
PA
USD
397737.9500000000
0.0503306155
Long
DBT
CORP
US
N
2
2061-11-29
Fixed
3.100000000000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley 2.24 07/21/2032
61747YED3
180000.0000000000
PA
USD
176245.2300000000
0.0223024504
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.239000000000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley 2.48 09/16/2036
61747YEF8
903000.0000000000
PA
USD
870497.3200000000
0.1101546028
Long
DBT
CORP
US
N
2
2036-09-16
Variable
2.484000000000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley 1.59 05/04/2027
61772BAB9
1938000.0000000000
PA
USD
1919918.2300000000
0.2429505814
Long
DBT
CORP
US
N
2
2027-05-04
Variable
1.593000000000000
N
N
N
N
N
N
Mosaic Solar Loan Trust 2021-1
N/A
Mosaic Solar Loan Trust 2021-1 1.51
61947DAA7
2081530.4000000000
PA
USD
2025173.1700000000
0.2562697678
Long
ABS-MBS
CORP
US
N
2
2046-12-20
Fixed
1.510000000000000
N
N
N
N
N
N
NXP BV / NXP Funding LLC / NXP USA Inc
N/A
NXP BV / NXP Funding LLC / NXP USA Inc 4.30 06/18/2029
62954HAB4
350000.0000000000
PA
USD
392500.0200000000
0.0496677966
Long
DBT
CORP
NL
N
2
2029-06-18
Fixed
4.300000000000000
N
N
N
N
N
N
National Australia Bank Ltd
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd 2.33 08/21/2030
632525AU5
515000.0000000000
PA
USD
493946.9200000000
0.0625051054
Long
DBT
CORP
AU
N
2
2030-08-21
Fixed
2.332000000000000
N
N
N
N
N
N
National Australia Bank Ltd
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd 2.99 05/21/2031
632525AY7
53000.0000000000
PA
USD
53209.6900000000
0.0067332686
Long
DBT
CORP
AU
N
2
2031-05-21
Fixed
2.990000000000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
Nationwide Building Society 4.13 10/18/2032
63859WAF6
980000.0000000000
PA
USD
1045604.5300000000
0.1323130457
Long
DBT
CORP
GB
N
2
2032-10-18
Variable
4.125000000000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust 2020-NQM
N/A
New Residential Mortgage Loan Trust 2020-NQM 2.89
64830UAB1
2090000.0000000000
PA
USD
2112277.7300000000
0.2672921661
Long
ABS-MBS
CORP
US
N
2
2060-05-24
Variable
2.890770000000000
N
N
N
N
N
N
NextEra Energy Capital Holdings Inc
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc 3.55 05/01/2027
65339KAT7
400000.0000000000
PA
USD
433641.4400000000
0.0548739203
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.550000000000000
N
N
N
N
N
N
Office Properties Income Trust
N/A
Office Properties Income Trust 2.40 02/01/2027
67623CAE9
608000.0000000000
PA
USD
588924.6900000000
0.0745237967
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.400000000000000
N
N
N
N
N
N
Ontario Teachers' Cadillac Fairview Properties Trust
N/A
Ontario Teachers' Cadillac Fairview Properties Trust 2.50 10/15/2031
68327LAD8
474000.0000000000
PA
USD
472345.9600000000
0.0597716735
Long
DBT
CORP
CA
N
2
2031-10-15
Fixed
2.500000000000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp 3.60 04/01/2040
68389XBW4
1075000.0000000000
PA
USD
1079947.2800000000
0.1366588511
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.600000000000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos 6.70 02/16/2032
71643VAA3
425000.0000000000
PA
USD
430089.3800000000
0.0544244350
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.700000000000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos 3.50 01/30/2023
71654QBG6
331000.0000000000
PA
USD
334745.2700000000
0.0423593863
Long
DBT
CORP
MX
N
2
2023-01-30
Fixed
3.500000000000000
N
N
N
N
N
N
PG&E Energy Recovery Funding LLC
N/A
PG&E Energy Recovery Funding LLC 2.82 07/15/2048
71710TAC2
1400000.0000000000
PA
USD
1395169.2200000000
0.1765477132
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
2.822000000000000
N
N
N
N
N
N
Phillips Edison Grocery Center Operating Partnership I LP
549300WUPIVS6ZE0ZI51
Phillips Edison Grocery Center Operating Partnership I LP 2.63 11/15/2031
71845JAA6
367000.0000000000
PA
USD
357479.4700000000
0.0452362208
Long
DBT
CORP
US
N
2
2031-11-15
Floating
2.625000000000000
N
N
N
N
N
N
Physicians Realty LP
549300P6Q1UMT0X60U20
Physicians Realty LP 2.63 11/01/2031
71951QAC6
697000.0000000000
PA
USD
696921.1800000000
0.0881899048
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
2.625000000000000
N
N
N
N
N
N
Piedmont Operating Partnership LP
549300WKGDPAS39FBD10
Piedmont Operating Partnership LP 2.75 04/01/2032
720198AF7
650000.0000000000
PA
USD
637123.8300000000
0.0806230195
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
2.750000000000000
N
N
N
N
N
N
Progress Residential 2021-SFR1
N/A
Progress Residential 2021-SFR1 1.81
74331FAG6
1500000.0000000000
PA
USD
1438763.4000000000
0.1820642145
Long
ABS-MBS
CORP
US
N
2
2038-04-17
Fixed
1.805000000000000
N
N
N
N
N
N
Progress Residential 2019-SFR1 Trust
N/A
Progress Residential 2019-SFR1 Trust 3.42
74333BAA6
2997039.9600000000
PA
USD
3002696.8700000000
0.3799677188
Long
ABS-MBS
CORP
US
N
2
2035-08-17
Fixed
3.422000000000000
N
N
N
N
N
N
Progress Residential 2021-SFR2 Trust
N/A
Progress Residential 2021-SFR2 Trust 2.00
74333DAE4
7625000.0000000000
PA
USD
7468561.6900000000
0.9450878564
Long
ABS-MBS
CORP
US
N
2
2038-04-19
Fixed
1.997000000000000
N
N
N
N
N
N
Progress Residential 2021-SFR8 Trust
N/A
Progress Residential 2021-SFR8 Trust 2.38
74333TAJ8
1600000.0000000000
PA
USD
1562020.4800000000
0.1976614305
Long
ABS-MBS
CORP
US
N
2
2038-10-17
Fixed
2.382000000000000
N
N
N
N
N
N
Prospect Capital Corp
549300FSD8T39P5Q0O47
Prospect Capital Corp 3.71 01/22/2026
74348TAU6
745000.0000000000
PA
USD
758360.6600000000
0.0959645887
Long
DBT
CORP
US
N
2
2026-01-22
Fixed
3.706000000000000
N
N
N
N
N
N
Prospect Capital Corp
549300FSD8T39P5Q0O47
Prospect Capital Corp 3.44 10/15/2028
74348TAW2
720000.0000000000
PA
USD
693386.2200000000
0.0877425833
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
3.437000000000000
N
N
N
N
N
N
Qorvo Inc
254900YAUJV2EUEVBR11
Qorvo Inc 4.38 10/15/2029
74736KAH4
735000.0000000000
PA
USD
781213.1300000000
0.0988563894
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.375000000000000
N
N
N
N
N
N
Qorvo Inc
254900YAUJV2EUEVBR11
Qorvo Inc 3.38 04/01/2031
74736KAJ0
515000.0000000000
PA
USD
525075.9800000000
0.0664442436
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.375000000000000
N
N
N
N
N
N
Rexford Industrial Realty LP
549300028US163ELJN70
Rexford Industrial Realty LP 2.15 09/01/2031
76169XAB0
901000.0000000000
PA
USD
851697.4200000000
0.1077756230
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
2.150000000000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
5493007GXSFXDXOXG741
Rockford Tower CLO 2017-1 Ltd 1.78
77340EAY2
3000000.0000000000
PA
USD
2986140.6000000000
0.3778726528
Long
ABS-CBDO
CORP
US
N
2
2034-04-20
Variable
1.781500000000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
N/A
Rockford Tower CLO 2020-1 Ltd 1.93
77341EAC9
1800000.0000000000
PA
USD
1801202.9400000000
0.2279280933
Long
ABS-CBDO
CORP
US
N
2
2032-01-20
Variable
1.931500000000000
N
N
N
N
N
N
Rogers Communications Inc
54930030NVF3Y2OL0A78
Rogers Communications Inc 3.00 03/15/2023
775109AW1
2490000.0000000000
PA
USD
2537402.3500000000
0.3210883497
Long
DBT
CORP
CA
N
2
2023-03-15
Fixed
3.000000000000000
N
N
N
N
N
N
SG Residential Mortgage Trust 2021-1
N/A
SG Residential Mortgage Trust 2021-1 1.56
784212AC6
1579949.0900000000
PA
USD
1560072.0700000000
0.1974148745
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
1.560000000000000
N
N
N
N
N
N
SBL Holdings Inc
N/A
SBL Holdings Inc 5.13 11/13/2026
78432MAA3
540000.0000000000
PA
USD
588013.9800000000
0.0744085535
Long
DBT
CORP
US
N
2
2026-11-13
Floating
5.125000000000000
N
N
N
N
N
N
SLG Office Trust 2021-OVA
N/A
SLG Office Trust 2021-OVA 2.85
78449RAG0
2815000.0000000000
PA
USD
2847579.6800000000
0.3603388561
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.850610000000000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC 5.63 03/01/2025
785592AM8
950000.0000000000
PA
USD
1055464.1600000000
0.1335607044
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.625000000000000
N
N
N
N
N
N
Safehold Operating Partnership LP
54930012UY5Z4Q8NL108
Safehold Operating Partnership LP 2.85 01/15/2032
78646UAB5
837000.0000000000
PA
USD
821418.1500000000
0.1039440191
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.850000000000000
N
N
N
N
N
N
Sammons Financial Group Inc
N/A
Sammons Financial Group Inc 3.35 04/16/2031
79588TAD2
184000.0000000000
PA
USD
185592.1600000000
0.0234852310
Long
DBT
CORP
US
N
2
2031-04-16
Fixed
3.350000000000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy 3.25 06/15/2027
816851BA6
350000.0000000000
PA
USD
369443.4500000000
0.0467501686
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.250000000000000
N
N
N
N
N
N
Sequoia Mortgage Trust 2017-7
N/A
Sequoia Mortgage Trust 2017-7 3.50
81746GAG8
1141517.8600000000
PA
USD
1150055.2700000000
0.1455304669
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
3.500000000000000
N
N
N
N
N
N
Sequoia Mortgage Trust 2019-4
N/A
Sequoia Mortgage Trust 2019-4 3.50
81748JAG0
4728655.7500000000
PA
USD
4769248.9000000000
0.6035110114
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
3.500000000000000
N
N
N
N
N
N
Sequoia Mortgage Trust 2021-5
N/A
Sequoia Mortgage Trust 2021-5 2.50
81748XAD6
2749226.6300000000
PA
USD
2775281.0500000000
0.3511900319
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.500000000000000
N
N
N
N
N
N
ServiceMaster Funding LLC
N/A
ServiceMaster Funding LLC 2.84
81761TAA3
1860937.5000000000
PA
USD
1853016.7900000000
0.2344847293
Long
ABS-MBS
CORP
US
N
2
2051-01-30
Fixed
2.841000000000000
N
N
N
N
N
N
Sierra Timeshare 2019-3 Receivables Funding LLC
N/A
Sierra Timeshare 2019-3 Receivables Funding LLC 2.75
82652NAB4
2187786.1500000000
PA
USD
2215420.5100000000
0.2803440753
Long
ABS-MBS
CORP
US
N
2
2036-08-20
Fixed
2.750000000000000
N
N
N
N
N
N
Sierra Timeshare 2021-1 Receivables Funding LLC
N/A
Sierra Timeshare 2021-1 Receivables Funding LLC 1.34
82652QAB7
3713013.8800000000
PA
USD
3661714.8800000000
0.4633612750
Long
ABS-MBS
CORP
US
N
2
2037-11-20
Fixed
1.340000000000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA 5.00 01/17/2024
83367TBG3
1840000.0000000000
PA
USD
1959462.5700000000
0.2479546072
Long
DBT
CORP
FR
N
2
2024-01-17
Fixed
5.000000000000000
N
N
N
N
N
N
Southern Co Gas Capital Corp
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp 3.95 10/01/2046
8426EPAB4
300000.0000000000
PA
USD
330095.1400000000
0.0417709488
Long
DBT
CORP
US
N
2
2046-10-01
Fixed
3.950000000000000
N
N
N
N
N
N
Starwood Mortgage Residential Trust 2020-2
N/A
Starwood Mortgage Residential Trust 2020-2 3.00
85573DAU3
3765000.0000000000
PA
USD
3775343.9600000000
0.4777401431
Long
ABS-MBS
CORP
US
N
2
2060-04-25
Variable
3.000000000000000
N
N
N
N
N
N
STAR 2021-1 Trust
N/A
STAR 2021-1 Trust 1.22
85573GAA0
2163532.5000000000
PA
USD
2158130.5900000000
0.2730944856
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.219000000000000
N
N
N
N
N
N
Stewart Information Services Corp
529900TV1XI0PLKENU10
Stewart Information Services Corp 3.60 11/15/2031
86038AAA0
908000.0000000000
PA
USD
920396.1600000000
0.1164689093
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
3.600000000000000
N
N
N
N
N
N
STORE Capital Corp
5493004EA6C9IHDZ7N66
STORE Capital Corp 2.70 12/01/2031
862121AD2
377000.0000000000
PA
USD
369075.5800000000
0.0467036175
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
2.700000000000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc 3.40 10/15/2052
87264ACM5
500000.0000000000
PA
USD
498624.1700000000
0.0630969747
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
3.400000000000000
N
N
N
N
N
N
Taco Bell Funding LLC
N/A
Taco Bell Funding LLC 2.54
87342RAJ3
2370000.0000000000
PA
USD
2324668.7700000000
0.2941685850
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Fixed
2.542000000000000
N
N
N
N
N
N
Telefonica Emisiones SA
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA 4.90 03/06/2048
87938WAW3
1275000.0000000000
PA
USD
1537281.7700000000
0.1945309409
Long
DBT
CORP
ES
N
2
2048-03-06
Fixed
4.895000000000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority 4.70 07/15/2033
880591DV1
2400000.0000000000
PA
USD
3103380.1200000000
0.3927083938
Long
DBT
USGA
US
N
2
2033-07-15
Fixed
4.700000000000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC 4.50 09/15/2042
88732JBD9
1155000.0000000000
PA
USD
1261924.7100000000
0.1596866664
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
4.500000000000000
N
N
N
N
N
N
Transcontinental Gas Pipe Line Co LLC
N/A
Transcontinental Gas Pipe Line Co LLC 3.25 05/15/2030
893574AP8
400000.0000000000
PA
USD
422076.3400000000
0.0534104477
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.250000000000000
N
N
N
N
N
N
Treman Park CLO
549300E4DX3Q8L455K94
Treman Park CLO Ltd 1.20
89473LAH7
1359759.4000000000
PA
USD
1359217.9400000000
0.1719983609
Long
ABS-CBDO
CORP
US
N
2
2028-10-20
Variable
1.201500000000000
N
N
N
N
N
N
Tricon American Homes 2020-SFR2 Trust
N/A
Tricon American Homes 2020-SFR2 Trust 1.83
89613JAC4
2200000.0000000000
PA
USD
2132422.3800000000
0.2698413135
Long
ABS-MBS
CORP
US
N
2
2039-11-17
Fixed
1.832000000000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG 1.49 08/10/2027
902613AH1
725000.0000000000
PA
USD
707625.7700000000
0.0895444866
Long
DBT
CORP
CH
N
2
2027-08-10
Variable
1.494000000000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp 2.49 11/03/2036
91159HJB7
785000.0000000000
PA
USD
782842.5200000000
0.0990625759
Long
DBT
CORP
US
N
2
2036-11-03
Variable
2.491000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 3.63 04/15/2028
912810FD5
3756543.5000000000
PA
USD
4993300.3200000000
0.6318629599
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.625000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 2.00 01/15/2026
912810FS2
16208037.9900000000
PA
USD
18760485.8100000000
2.3739922163
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.000000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 2.38 01/15/2027
912810PS1
6151913.4700000000
PA
USD
7433117.2400000000
0.9406026395
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.375000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 1.75 01/15/2028
912810PV4
10375183.5200000000
PA
USD
12452871.1900000000
1.5758130986
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.750000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 2.50 01/15/2029
912810PZ5
3833793.2500000000
PA
USD
4903852.7500000000
0.6205440721
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.500000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 2.13 02/15/2040
912810QF8
2304144.0000000000
PA
USD
3530849.5500000000
0.4468012947
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 2.13 02/15/2041
912810QP6
2256468.1200000000
PA
USD
3497262.4100000000
0.4425511058
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.75 02/15/2042
912810QV3
19206722.7000000000
PA
USD
24306358.9900000000
3.0757789342
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.750000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.63 02/15/2043
912810RA8
17546921.2100000000
PA
USD
21845625.9800000000
2.7643924876
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.625000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 1.38 02/15/2044
912810RF7
12702505.0000000000
PA
USD
18154708.3700000000
2.2973358364
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.375000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.75 02/15/2045
912810RL4
16155425.0000000000
PA
USD
20828903.0200000000
2.6357341780
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.750000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 1.00 02/15/2046
912810RR1
233538.0000000000
PA
USD
319671.6600000000
0.0404519393
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.000000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 1.00 02/15/2048
912810SB5
1121980.0000000000
PA
USD
1576165.3400000000
0.1994513515
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.000000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 1.00 02/15/2049
912810SG4
219902.0000000000
PA
USD
312732.1500000000
0.0395737988
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.000000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.25 02/15/2050
912810SM1
9448772.6000000000
PA
USD
11458250.3400000000
1.4499516375
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.250000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 02/15/2051
912810SV1
8767275.0000000000
PA
USD
10406029.3200000000
1.3168013269
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.38 07/15/2027
9128282L3
13742257.5000000000
PA
USD
15253835.7400000000
1.9302531759
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.375000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.50 01/15/2028
9128283R9
17441968.5000000000
PA
USD
19526671.4700000000
2.4709469973
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.500000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.25 07/15/2029
9128287D6
12763352.0000000000
PA
USD
14310827.3800000000
1.8109228702
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.250000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.25 01/15/2025
912828H45
5840650.0000000000
PA
USD
6258989.7100000000
0.7920260170
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.250000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.63 01/15/2026
912828N71
21134041.5000000000
PA
USD
23218733.5800000000
2.9381484760
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.625000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 07/15/2026
912828S50
8656950.0000000000
PA
USD
9402534.7500000000
1.1898169662
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.38 01/15/2027
912828V49
1145380.0000000000
PA
USD
1260376.8400000000
0.1594907956
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.375000000000000
N
N
N
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.50 09/03/31
SLWS0QPF1
10000000.0000000000
OU
Swap Contract Amount
USD
435983.19999999925
0.0551702517
N/A
DCO
CORP
US
N
2
2031-09-03
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2031-09-03
608.000000000000
USD
0.000000000000
USD
10000000.0000000000
USD
435375.2
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.27 01/26/24
SL9K0IAE1
5000000.0000000000
OU
Swap Contract Amount
USD
316287.8499999996
0.0400237447
N/A
DCO
CORP
US
N
2
2024-01-26
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-01-26
517.000000000000
USD
0.000000000000
USD
5000000.0000000000
USD
315770.85
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.21 01/19/24
SL4G4P857
22000000.0000000000
OU
Swap Contract Amount
USD
1433138.5199999996
0.1813524301
N/A
DCO
CORP
US
N
2
2024-01-19
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-01-19
574.800000000745
USD
0.000000000000
USD
22000000.0000000000
USD
1432563.72
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.24 01/12/26
SL0X0ISZ6
9000000.0000000000
OU
Swap Contract Amount
USD
701673.4800000004
0.0887912710
N/A
DCO
CORP
US
N
2
2026-01-12
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2026-01-12
554.900000000372
USD
0.000000000000
USD
9000000.0000000000
USD
701118.58
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.51 08/27/31
SL0H02DO7
7500000.0000000000
OU
Swap Contract Amount
USD
327437.6299999999
0.0414346618
N/A
DCO
CORP
US
N
2
2031-08-27
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2031-08-27
581.000000000000
USD
0.000000000000
USD
7500000.0000000000
USD
326856.63
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.70 08/27/26
SL0H02DX7
15000000.0000000000
OU
Swap Contract Amount
USD
444011.0999999996
0.0561861194
N/A
DCO
CORP
US
N
2
2026-08-27
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2026-08-27
591.500000000000
USD
0.000000000000
USD
15000000.0000000000
USD
443419.6
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.33 02/02/26
SL0Y0L939
20000000.0000000000
OU
Swap Contract Amount
USD
1462304.3999999985
0.1850431433
N/A
DCO
CORP
US
N
2
2026-02-02
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2026-02-02
622.000000000000
USD
0.000000000000
USD
20000000.0000000000
USD
1461682.4
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.26 02/01/25
SL0W0QJZ0
12000000.0000000000
OU
Swap Contract Amount
USD
850771.0800000001
0.1076584019
N/A
DCO
CORP
US
N
2
2025-02-01
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2025-02-01
573.199999999254
USD
0.000000000000
USD
12000000.0000000000
USD
850197.88
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.90 12/21/27
SL470T3E9
15100000.0000000000
OU
Swap Contract Amount
USD
-2764196.49
-0.3497873679
N/A
DCO
CORP
US
N
2
2027-12-21
None
0.000000000000000
N
N
N
Barclays Bank
G5GSEF7VJP5I7OUK5573
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2027-12-21
0.000000000000
USD
0.000000000000
USD
15100000.0000000000
USD
-2764196.49
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.67 04/01/22
SL6H1P534
5000000.0000000000
OU
Swap Contract Amount
USD
-390323.9500000002
-0.0493924320
N/A
DCO
CORP
US
N
2
2022-04-01
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2022-04-01
0.000000000000
USD
0.000000000000
USD
5000000.0000000000
USD
-390323.95
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.59 07/23/24
SL7Z00869
2300000.0000000000
OU
Swap Contract Amount
USD
-55980.06999999983
-0.0070838384
N/A
DCO
CORP
US
N
2
2024-07-23
None
0.000000000000000
N
N
N
Barclays Bank
G5GSEF7VJP5I7OUK5573
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-07-23
0.000000000000
USD
0.000000000000
USD
2300000.0000000000
USD
-55980.07
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.78 07/02/44
SL7Z00836
3600000.0000000000
OU
Swap Contract Amount
USD
-563825.8399999999
-0.0713477342
N/A
DCO
CORP
US
N
2
2044-07-02
None
0.000000000000000
N
N
N
Barclays Bank
G5GSEF7VJP5I7OUK5573
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2044-07-02
0.000000000000
USD
0.000000000000
USD
3600000.0000000000
USD
-563825.84
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.53 08/19/24
SL7Z00893
4000000.0000000000
OU
Swap Contract Amount
USD
-66897.24000000022
-0.0084653206
N/A
DCO
CORP
US
N
2
2024-08-19
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-08-19
0.000000000000
USD
0.000000000000
USD
4000000.0000000000
USD
-66897.24
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.39 09/19/24
SL7Z008F9
6000000.0000000000
OU
Swap Contract Amount
USD
12933.179999999702
0.0016365924
N/A
DCO
CORP
US
N
2
2024-09-19
None
0.000000000000000
N
N
N
Barclays Bank
G5GSEF7VJP5I7OUK5573
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-09-19
0.000000000000
USD
0.000000000000
USD
6000000.0000000000
USD
12933.18
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.31 09/30/24
SL7Z008L6
3600000.0000000000
OU
Swap Contract Amount
USD
43286.62000000011
0.0054775820
N/A
DCO
CORP
US
N
2
2024-09-30
None
0.000000000000000
N
N
N
Barclays Bank
G5GSEF7VJP5I7OUK5573
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-09-30
0.000000000000
USD
0.000000000000
USD
3600000.0000000000
USD
43286.62
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.36 09/29/24
SL7Z008I3
6500000.0000000000
OU
Swap Contract Amount
USD
36203.50999999978
0.0045812700
N/A
DCO
CORP
US
N
2
2024-09-29
None
0.000000000000000
N
N
N
Barclays Bank
G5GSEF7VJP5I7OUK5573
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-09-29
0.000000000000
USD
0.000000000000
USD
6500000.0000000000
USD
36203.51
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 1.87 05/23/26
SL7Z00T17
1500000.0000000000
OU
Swap Contract Amount
USD
176378.81000000006
0.0223193539
N/A
DCO
CORP
US
N
2
2026-05-23
None
0.000000000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2026-05-23
0.000000000000
USD
0.000000000000
USD
1500000.0000000000
USD
176378.81
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 1.79 08/27/25
SL7Z00SM2
3000000.0000000000
OU
Swap Contract Amount
USD
308266.3500000001
0.0390086868
N/A
DCO
CORP
US
N
2
2025-08-27
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2025-08-27
0.000000000000
USD
0.000000000000
USD
3000000.0000000000
USD
308266.35
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 1.92 05/31/26
SL7Z00T41
13000000.0000000000
OU
Swap Contract Amount
USD
1445916.9399999995
0.1829694388
N/A
DCO
CORP
US
N
2
2026-05-31
None
0.000000000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2026-05-31
0.000000000000
USD
0.000000000000
USD
13000000.0000000000
USD
1445916.94
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 1.77 06/16/26
SL7Z00T74
12500000.0000000000
OU
Swap Contract Amount
USD
1592001.3800000008
0.2014552780
N/A
DCO
CORP
US
N
2
2026-06-16
None
0.000000000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2026-06-16
0.000000000000
USD
0.000000000000
USD
12500000.0000000000
USD
1592001.38
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 2.25 11/15/26
SL604D030
2500000.0000000000
OU
Swap Contract Amount
USD
183927.3799999999
0.0232745662
N/A
DCO
CORP
US
N
2
2026-11-15
None
0.000000000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2026-11-15
0.000000000000
USD
0.000000000000
USD
2500000.0000000000
USD
183927.38
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 2.28 11/16/26
SL1T3R255
2500000.0000000000
OU
Swap Contract Amount
USD
173548.8999999999
0.0219612510
N/A
DCO
CORP
US
N
2
2026-11-16
None
0.000000000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2026-11-16
0.000000000000
USD
0.000000000000
USD
2500000.0000000000
USD
173548.9
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.22 04/13/27
SL6V46O07
1750000.0000000000
OU
Swap Contract Amount
USD
128202.3899999999
0.0162230061
N/A
DCO
CORP
US
N
2
2027-04-13
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2027-04-13
0.000000000000
USD
0.000000000000
USD
1750000.0000000000
USD
128202.39
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.24 04/11/27
SL7Z00UG2
7000000.0000000000
OU
Swap Contract Amount
USD
495425.83999999985
0.0626922511
N/A
DCO
CORP
US
N
2
2027-04-11
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2027-04-11
0.000000000000
USD
0.000000000000
USD
7000000.0000000000
USD
495425.84
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
INFL 2.15 11/20/27
SLP71H6D0
5000000.0000000000
OU
Swap Contract Amount
USD
446989.25
0.0565629809
N/A
DCO
CORP
US
N
2
2027-11-20
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2027-11-20
0.000000000000
USD
554.000000000000
USD
5000000.0000000000
USD
447543.25
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.24 04/28/27
SL8J2QPE9
4000000.0000000000
OU
Swap Contract Amount
USD
286955.5999999996
0.0363119787
N/A
DCO
CORP
US
N
2
2027-04-28
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2027-04-28
0.000000000000
USD
0.000000000000
USD
4000000.0000000000
USD
286955.6
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
INFL 2.31 03/28/28
SLF031DE9
11500000.0000000000
OU
Swap Contract Amount
USD
775989.6400000006
0.0981953977
N/A
DCO
CORP
US
N
2
2028-03-28
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2028-03-28
0.000000000000
USD
624.199999999254
USD
11500000.0000000000
USD
776613.84
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
INFL 1.71 06/20/24
SLF03DCI5
12600000.0000000000
OU
Swap Contract Amount
USD
1076640.3900000006
0.1362403901
N/A
DCO
CORP
US
N
2
2024-06-20
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-06-20
0.000000000000
USD
600.800000000745
USD
12600000.0000000000
USD
1077241.19
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.78 06/06/24
SLXC06HC5
19000000.0000000000
OU
Swap Contract Amount
USD
1575983.120000001
0.1994282929
N/A
DCO
CORP
US
N
2
2024-06-06
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-06-06
0.000000000000
USD
653.899999998509
USD
19000000.0000000000
USD
1576637.02
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.86 07/30/24
SL0X06YO0
12500000.0000000000
OU
Swap Contract Amount
USD
973276
0.1231604379
N/A
DCO
CORP
US
N
2
2024-07-30
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-07-30
0.000000000000
USD
601.250000000000
USD
12500000.0000000000
USD
973877.25
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.86 08/01/24
SL6J44N59
13600000.0000000000
OU
Swap Contract Amount
USD
1060783.2699999996
0.1342337961
N/A
DCO
CORP
US
N
2
2024-08-01
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-08-01
0.000000000000
USD
610.160000000149
USD
13600000.0000000000
USD
1061393.43
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.80 10/21/29
SL474BO35
6100000.0000000000
OU
Swap Contract Amount
USD
800244.5999999996
0.1012646725
N/A
DCO
CORP
US
N
2
2029-10-21
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2029-10-21
0.000000000000
USD
565.879999999888
USD
6100000.0000000000
USD
800810.48
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.88 11/21/29
SL1S54L30
1000000.0000000000
OU
Swap Contract Amount
USD
123809.6000000001
0.0156671330
N/A
DCO
CORP
US
N
2
2029-11-21
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2029-11-21
0.000000000000
USD
516.199999999953
USD
1000000.0000000000
USD
124325.8
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.62 10/17/24
SL1T4R2O3
12500000.0000000000
OU
Swap Contract Amount
USD
1173147
0.1484525441
N/A
DCO
CORP
US
N
2
2024-10-17
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2024-10-17
0.000000000000
USD
601.250000000000
USD
12500000.0000000000
USD
1173748.25
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.79 10/16/29
SL6J45VQ1
6100000.0000000000
OU
Swap Contract Amount
USD
802544.8499999996
0.1015557511
N/A
DCO
CORP
US
N
2
2029-10-16
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2029-10-16
0.000000000000
USD
574.419999999925
USD
6100000.0000000000
USD
803119.27
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.29 05/19/30
SLYP0FI75
3000000.0000000000
OU
Swap Contract Amount
USD
569853.7799999998
0.0721105227
N/A
DCO
CORP
US
N
2
2030-05-19
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2030-05-19
532.399999999906
USD
0.000000000000
USD
3000000.0000000000
USD
569321.38
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.87 11/25/29
SLFD07JJ4
5000000.0000000000
OU
Swap Contract Amount
USD
625527.75
0.0791556266
N/A
DCO
CORP
US
N
2
2029-11-25
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2029-11-25
0.000000000000
USD
554.000000000000
USD
5000000.0000000000
USD
626081.75
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.08 06/04/25
SL2I4BCO0
4000000.0000000000
OU
Swap Contract Amount
USD
534300
0.0676114709
N/A
DCO
CORP
US
N
2
2025-06-04
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2025-06-04
524.399999999906
USD
0.000000000000
USD
4000000.0000000000
USD
533775.6
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.63 06/25/30
SLA11X4L8
8000000.0000000000
OU
Swap Contract Amount
USD
1348153.7599999998
0.1705982758
N/A
DCO
CORP
US
N
2
2030-06-25
None
0.000000000000000
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
U.S. CPI Urban Consumers NSA Index
U.S. CPI Urban Consumers NSA Index
Y
2030-06-25
586.400000000372
USD
0.000000000000
USD
8000000.0000000000
USD
1347567.36
N
N
N
2022-02-22
American Century Variable Portfolios II, Inc.
Amy R. Bitter
Amy R. Bitter
Assistant Treasurer