0001145549-23-008290.txt : 20230222
0001145549-23-008290.hdr.sgml : 20230222
20230222163740
ACCESSION NUMBER: 0001145549-23-008290
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221231
FILED AS OF DATE: 20230222
DATE AS OF CHANGE: 20230222
PERIOD START: 20221231
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: 23653816
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
C000018205
C000018206
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
2022-12-31
2022-12-31
N
647735266.570000000000
25232385.650000000000
622502880.920000000000
0.000000000000
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0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
4281031.210000000000
USD
N
BBG TIPS Adjusted Index (Legacy Lehman)
LEHTIPSADJ
MORGAN STANLEY CAPITAL SERVICES INC
I7331LVCZKQKX5T7XV54
SOLD CAD/BOUGHT USD
N/A
1
NC
USD
-9443.0900000000
-0.0015169552
N/A
DFE
CORP
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES INC
I7331LVCZKQKX5T7XV54
2746719.0000000000
CAD
2020289.5500000000
USD
2023-03-15
-9443.0900000000
N
N
N
ABN Amro Mortgage Corp
N/A
ABN Amro Mortgage Corp 5.50
000780BZ8
18060.4400000000
PA
USD
16053.8600000000
0.0025789214
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 4.90 08/15/2037
00206RFW7
719000.0000000000
PA
USD
663630.6200000000
0.1066068351
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.900000000000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc 4.35 03/01/2029
00206RHJ4
2363000.0000000000
PA
USD
2252121.3500000000
0.3617848879
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.350000000000001
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc 0.90 03/25/2024
00206RMJ8
2150000.0000000000
PA
USD
2042696.8500000000
0.3281425537
Long
DBT
CORP
US
N
2
2024-03-25
Fixed
0.900000000000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc 2.95 11/21/2026
00287YBV0
1200000.0000000000
PA
USD
1117659.0200000000
0.1795427867
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.950000000000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.50 07/15/2025
00774MAN5
1086000.0000000000
PA
USD
1101447.8600000000
0.1769385964
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.500000000000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.15 10/29/2023
00774MAT2
1008000.0000000000
PA
USD
970204.3700000000
0.1558554024
Long
DBT
CORP
IE
N
2
2023-10-29
Fixed
1.150000000000000
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1.65 10/29/2024
00774MAU9
176000.0000000000
PA
USD
162460.7900000000
0.0260979981
Long
DBT
CORP
IE
N
2
2024-10-29
Fixed
1.650000000000000
N
N
N
N
N
N
Agate Bay Mortgage Trust 2015-7
549300LK2ZDVY7I44B84
Agate Bay Mortgage Trust 2015-7 3.50
00842CAC9
175712.1200000000
PA
USD
156704.4800000000
0.0251732939
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
196074.2500000000
PA
USD
179620.4000000000
0.0288545492
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
2955589.9200000000
0.4747913641
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 4.60 12/01/2025
023135CN4
3205000.0000000000
PA
USD
3200709.8800000000
0.5141678823
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
4.600000000000001
N
N
N
N
N
N
Ameren Corp
XRZQ5S7HYJFPHJ78L959
Ameren Corp 1.95 03/15/2027
023608AL6
2220000.0000000000
PA
USD
1956297.5200000000
0.3142632074
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
1.950000000000000
N
N
N
N
N
N
Ameren Illinois Co
RC71E2BZ6UOMFPDJSE79
Ameren Illinois Co 3.85 09/01/2032
02361DAY6
355000.0000000000
PA
USD
330873.9600000000
0.0531521974
Long
DBT
CORP
US
N
2
2032-09-01
Fixed
3.850000000000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp 3.65 03/15/2027
03027XBV1
413000.0000000000
PA
USD
386349.0400000000
0.0620638156
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.650000000000000
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
27708.9800000000
PA
USD
27535.7400000000
0.0044233916
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
331487.6800000000
PA
USD
314153.4900000000
0.0504661905
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
357929.9300000000
PA
USD
340025.1300000000
0.0546222581
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.927000000000000
N
N
N
N
N
N
ARES CLO
5493005YAOTYJUJV3S58
Ares XXXIX CLO Ltd 5.79
04015WBE3
3500000.0000000000
PA
USD
3374024.8500000000
0.5420095157
Long
ABS-CBDO
CORP
US
N
2
2031-04-18
Variable
5.793710000000000
N
N
N
N
N
N
Arroyo Mortgage Trust 2021-1R
N/A
Arroyo Mortgage Trust 2021-1R 1.48
042853AB7
517126.2000000000
PA
USD
412976.0500000000
0.0663412271
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
421866.1100000000
PA
USD
338274.0200000000
0.0543409565
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
1.637000000000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
Athene Global Funding 1.99 08/19/2028
04685A3C3
308000.0000000000
PA
USD
248342.0200000000
0.0398941158
Long
DBT
CORP
US
N
2
2028-08-19
Fixed
1.985000000000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2020-FL6 Ltd 6.17
05492XAE1
1206924.9200000000
PA
USD
1182836.0300000000
0.1900129407
Long
ABS-CBDO
CORP
US
N
2
2035-09-15
Variable
6.172800000000001
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
225389.9100000000
PA
USD
217602.7100000000
0.0349560969
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Fixed
2.940000000000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2021-VOLT
N/A
BX Commercial Mortgage Trust 2021-VOLT 6.32
05609VAN5
1900000.0000000000
PA
USD
1772678.5300000000
0.2847663174
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Variable
6.317870000000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2021-VOLT
N/A
BX Commercial Mortgage Trust 2021-VOLT 6.72
05609VAQ8
2200000.0000000000
PA
USD
2031627.1800000000
0.3263643016
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Variable
6.717870000000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA 3.50 03/24/2025
05964HAP0
2200000.0000000000
PA
USD
2120325.6400000000
0.3406129843
Long
DBT
CORP
ES
N
2
2025-03-24
Fixed
3.496000000000000
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
1314557.9300000000
0.2111729874
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 3.46 03/15/2025
06051GHR3
3355000.0000000000
PA
USD
3267517.9100000000
0.5249000463
Long
DBT
CORP
US
N
2
2025-03-15
Variable
3.458000000000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp 2.88 10/22/2030
06051GHX0
777000.0000000000
PA
USD
651645.3100000000
0.1046814930
Long
DBT
CORP
US
N
2
2030-10-22
Variable
2.884000000000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp 3.38 04/02/2026
06051GKM0
760000.0000000000
PA
USD
726472.5100000000
0.1167018712
Long
DBT
CORP
US
N
2
2026-04-02
Variable
3.384000000000000
N
N
N
N
N
N
Bank of Ireland Group PLC
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC 2.03 09/30/2027
06279JAB5
292000.0000000000
PA
USD
246934.4400000000
0.0396679995
Long
DBT
CORP
IE
N
2
2027-09-30
Variable
2.029000000000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The 5.25 12/06/2024
06417XAL5
2540000.0000000000
PA
USD
2546610.8800000000
0.4090922240
Long
DBT
CORP
CA
N
2
2024-12-06
Fixed
5.250000000000000
N
N
N
N
N
N
Bean Creek CLO
635400STD6UUTEW5KM07
Bean Creek CLO Ltd 5.26
07378WAQ1
1750000.0000000000
PA
USD
1713859.1800000000
0.2753174696
Long
ABS-CBDO
CORP
US
N
2
2031-04-20
Variable
5.262570000000000
N
N
N
N
N
N
Bellemeade Re Ltd
N/A
Bellemeade Re Ltd 5.78
07876AAC7
3200000.0000000000
PA
USD
2934605.7600000000
0.4714204303
Long
ABS-MBS
CORP
US
N
2
2031-06-25
Variable
5.777680000000000
N
N
N
N
N
N
Bellemeade RE 2021-3 Ltd
N/A
Bellemeade RE 2021-3 Ltd 4.93
078777AB5
1930069.2600000000
PA
USD
1906129.6500000000
0.3062041492
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Variable
4.927680000000000
N
N
N
N
N
N
Bellemeade Re 2019-3 Ltd
254900SCWI9IDKK5LV64
Bellemeade Re 2019-3 Ltd 6.34
07877GAC3
3045000.0000000000
PA
USD
3018836.7500000000
0.4849514504
Long
ABS-MBS
CORP
BM
N
2
2029-07-25
Variable
6.338710000000000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft 2.44
09229CAA7
1192461.1400000000
PA
USD
980764.9400000000
0.1575518717
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Fixed
2.443000000000000
N
N
N
N
N
N
Block Financial LLC
N/A
Block Financial LLC 3.88 08/15/2030
093662AH7
800000.0000000000
PA
USD
701792.6400000000
0.1127372517
Long
DBT
CORP
US
N
2
2030-08-15
Floating
3.875000000000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA 2.82 11/19/2025
09659W2J2
2260000.0000000000
PA
USD
2142447.1800000000
0.3441666289
Long
DBT
CORP
FR
N
2
2025-11-19
Variable
2.819000000000000
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
149571.2400000000
PA
USD
122171.3900000000
0.0196258353
Long
DBT
CORP
GB
N
2
2036-09-15
Fixed
2.900000000000000
N
N
N
N
N
N
Sky Ltd
2138003TS48MQKF4BZ29
Sky Ltd 3.75 09/16/2024
111013AL2
3015000.0000000000
PA
USD
2945004.0000000000
0.4730908226
Long
DBT
CORP
GB
N
2
2024-09-16
Fixed
3.750000000000000
N
N
N
N
N
N
Broadstone Net Lease LLC
54930089IBT6J4WBTI50
Broadstone Net Lease LLC 2.60 09/15/2031
11135EAA2
280000.0000000000
PA
USD
210523.2000000000
0.0338188314
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
2113000.0000000000
PA
USD
1592641.4200000000
0.2558448272
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.548750000000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD 5.84
12434LAE4
2400000.0000000000
PA
USD
2340124.0800000000
0.3759218072
Long
ABS-CBDO
CORP
US
N
2
2038-02-15
Variable
5.840200000000000
N
N
N
N
N
N
CSMC Trust 2015-WIN1
N/A
CSMC Trust 2015-WIN1 3.50
12649KAP2
243906.6800000000
PA
USD
219209.4000000000
0.0352141985
Long
ABS-MBS
CORP
US
N
2
2044-12-25
Variable
3.500000000000000
N
N
N
N
N
N
Credit Suisse Mortgage Capital Certificates 2019-ICE4
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4 5.55
12653VAC0
1375000.0000000000
PA
USD
1351811.5900000000
0.2171574834
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
5.548000000000000
N
N
N
N
N
N
Credit Suisse Mortgage Capital Certificates 2019-ICE4
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4 5.92
12653VAG1
3306000.0000000000
PA
USD
3240489.6300000000
0.5205581740
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
5.918000000000000
N
N
N
N
N
N
CSMC 2021-NQM2
N/A
CSMC 2021-NQM2 1.54
12662EAC7
461913.0400000000
PA
USD
370418.6000000000
0.0595047206
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.538000000000000
N
N
N
N
N
N
Canadian National Railway Co
3SU7BEP7TH9YEQOZCS77
Canadian National Railway Co 3.85 08/05/2032
136375DC3
2170000.0000000000
PA
USD
2022820.6200000000
0.3249495998
Long
DBT
CORP
CA
N
2
2032-08-05
Fixed
3.850000000000000
N
N
N
N
N
N
Carlyle Group Inc/The
549300R4G5ROMXQ5CG20
Carlyle Global Market Strategies CLO 2012-4 Ltd 6.92
14309YBW3
1700000.0000000000
PA
USD
1618520.7000000000
0.2600021220
Long
ABS-CBDO
CORP
US
N
2
2032-04-22
Variable
6.924570000000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp 3.65 08/12/2025
14913R2Z9
3160000.0000000000
PA
USD
3085936.2000000000
0.4957304287
Long
DBT
CORP
US
N
2
2025-08-12
Fixed
3.650000000000000
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
98687.5400000000
PA
USD
93863.8200000000
0.0150784555
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Fixed
5.250000000000000
N
N
N
N
N
N
CHNGE Mortgage Trust 2022-3
N/A
CHNGE Mortgage Trust 2022-3 5.00
17030EAA5
926536.3200000000
PA
USD
905731.7800000000
0.1454984078
Long
ABS-MBS
CORP
US
N
2
2067-05-25
Variable
5.000000000000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc 3.52 10/27/2028
172967LS8
446000.0000000000
PA
USD
407665.1300000000
0.0654880712
Long
DBT
CORP
US
N
2
2028-10-27
Variable
3.520000000000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc 4.04 06/01/2024
172967LZ2
2650000.0000000000
PA
USD
2632784.3500000000
0.4229352876
Long
DBT
CORP
US
N
2
2024-06-01
Variable
4.044000000000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc 0.00 02/24/2028
172967NG2
190000.0000000000
PA
USD
171562.3100000000
0.0275600829
Long
DBT
CORP
US
N
2
2028-02-24
Variable
0.000000000000000
N
N
N
N
N
N
Colgate-Palmolive Co
YMEGZFW4SBUSS5BQXF88
Colgate-Palmolive Co 3.10 08/15/2027
194162AN3
1914000.0000000000
PA
USD
1812987.5400000000
0.2912416305
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.100000000000000
N
N
N
N
N
N
Cologix Canadian Issuer LP
N/A
Cologix Canadian Issuer LP 4.94
19521DAD3
2950000.0000000000
PA
1991097.4900000000
0.3198535382
Long
ABS-MBS
CORP
CA
N
2
2052-01-25
Fixed
4.940000000000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust 2022-R03
N/A
Connecticut Avenue Securities Trust 2022-R03 6.03
20753XAA2
1001884.4500000000
PA
USD
995425.5000000000
0.1599069708
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Variable
6.027680000000000
N
N
N
N
N
N
DAE Funding LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC 1.55 08/01/2024
23371DAJ3
229000.0000000000
PA
USD
212949.0100000000
0.0342085180
Long
DBT
CORP
AE
N
2
2024-08-01
Fixed
1.550000000000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust 2020-2
N/A
Deephaven Residential Mortgage Trust 2020-2 2.86
24380NAC3
2225000.0000000000
PA
USD
2141145.3100000000
0.3439574941
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Fixed
2.856000000000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust 2021-3
N/A
Deephaven Residential Mortgage Trust 2021-3 1.55
24381VAC4
1450229.8300000000
PA
USD
1168068.1800000000
0.1876406063
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
1.554000000000000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank 4.68 08/09/2028
25466AAN1
2545000.0000000000
PA
USD
2443217.5900000000
0.3924829370
Long
DBT
CORP
US
N
2
2028-08-09
Variable
4.682000000000000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB Bank ASA 2.97 03/28/2025
25601B2D6
1535000.0000000000
PA
USD
1481321.2300000000
0.2379621485
Long
DBT
CORP
NO
N
2
2025-03-28
Variable
2.968000000000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc 1.45 04/15/2026
25746UDJ5
2050000.0000000000
PA
USD
1827427.1300000000
0.2935612326
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
1.450000000000000
N
N
N
N
N
N
Dryden Senior Loan Fund
5493002P75UIPU4MC757
Dryden 43 Senior Loan Fund 3.09
26245CBN2
3000000.0000000000
PA
USD
2512609.5000000000
0.4036301802
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
967109.4300000000
0.1553582256
Long
DBT
CORP
US
N
2
2031-08-15
Floating
2.000000000000000
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
486291.5500000000
0.0781187630
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.750000000000000
N
N
N
N
N
N
Essential Utilities Inc
549300ILTEOF3E3QY357
Essential Utilities Inc 2.70 04/15/2030
29670GAD4
560000.0000000000
PA
USD
470951.4400000000
0.0756544997
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.704000000000000
N
N
N
N
N
N
Extended Stay America Trust 2021-ESH
N/A
Extended Stay America Trust 2021-ESH 7.17
30227FAL4
2540052.1600000000
PA
USD
2426801.6500000000
0.3898458504
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
7.168000000000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp 2.71 03/06/2025
30231GAF9
3770000.0000000000
PA
USD
3608044.1200000000
0.5796027987
Long
DBT
CORP
US
N
2
2025-03-06
Fixed
2.709000000000000
N
N
N
N
N
N
FNB Corp/PA
PCYSKIGYNYFDTBLVZU83
FNB Corp/PA 2.20 02/24/2023
30260NAA9
3810000.0000000000
PA
USD
3791094.7400000000
0.6090083847
Long
DBT
CORP
US
N
2
2023-02-24
Fixed
2.200000000000000
N
N
N
N
N
N
FS KKR Capital Corp
549300TYRSI1T21B1360
FS KKR Capital Corp 4.25 02/14/2025
30313RAA7
198000.0000000000
PA
USD
185750.4100000000
0.0298392852
Long
DBT
CORP
US
N
2
2025-02-14
Fixed
4.250000000000000
N
N
N
N
N
N
Fannie Mae Connecticut Avenue
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities 6.99
30711XAH7
425529.6200000000
PA
USD
425265.2000000000
0.0683153786
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Variable
6.988709999999999
N
N
N
N
N
N
FARM 21-1 Mortgage Trust
N/A
FARM 21-1 Mortgage Trust 2.18
30768WAA6
3242113.9100000000
PA
USD
2687265.6700000000
0.4316872664
Long
ABS-MBS
USGA
US
N
2
2051-01-25
Variable
2.180000000000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp 6.25 07/15/2032
3134A4KX1
15050000.0000000000
PA
USD
17566219.8800000000
2.8218696521
Long
DBT
USGA
US
N
2
2032-07-15
Fixed
6.250000000000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association 6.63 11/15/2030
31359MGK3
27000000.0000000000
PA
USD
31681831.3200000000
5.0894272607
Long
DBT
USGA
US
N
2
2030-11-15
Fixed
6.625000000000000
N
N
N
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc 1.15 03/01/2026
31620MBR6
745000.0000000000
PA
USD
654111.0700000000
0.1050775972
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.150000000000000
N
N
N
N
N
N
FirstKey Homes 2020-SFR2 Trust
N/A
FirstKey Homes 2020-SFR2 Trust 1.97
33767JAG7
1500000.0000000000
PA
USD
1316047.0500000000
0.2114122023
Long
ABS-MBS
CORP
US
N
2
2037-10-19
Fixed
1.968000000000000
N
N
N
N
N
N
Global SC Finance VII Srl
N/A
Global SC Finance VII Srl 2.17
37959PAA5
1350235.2000000000
PA
USD
1198217.8900000000
0.1924839108
Long
ABS-MBS
CORP
US
N
2
2040-10-17
Fixed
2.170000000000000
N
N
N
N
N
N
Global SC Finance VII Srl
N/A
Global SC Finance VII Srl 1.86
37959PAE7
2081813.9800000000
PA
USD
1795597.0300000000
0.2884479872
Long
ABS-MBS
CORP
US
N
2
2041-04-17
Fixed
1.860000000000000
N
N
N
N
N
N
Global SC Finance VII Srl
549300JZYOMTAKV6RT73
Global SC Finance VII Srl 1.95
37959PAG2
1048645.1900000000
PA
USD
910136.0400000000
0.1462059161
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
901043.4700000000
0.1447452691
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 5.36
38137PAQ3
1700000.0000000000
PA
USD
1678665.8500000000
0.2696639488
Long
ABS-CBDO
CORP
US
N
2
2031-07-20
Variable
5.362570000000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The 3.81 04/23/2029
38141GWV2
182000.0000000000
PA
USD
166569.6200000000
0.0267580481
Long
DBT
CORP
US
N
2
2029-04-23
Variable
3.814000000000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The 1.95 10/21/2027
38141GYM0
545000.0000000000
PA
USD
477250.7900000000
0.0766664388
Long
DBT
CORP
US
N
2
2027-10-21
Variable
1.948000000000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The 1.76 01/24/2025
38141GZH0
1727000.0000000000
PA
USD
1653708.8800000000
0.2656548155
Long
DBT
CORP
US
N
2
2025-01-24
Variable
1.757000000000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The 2.64 02/24/2028
38141GZK3
535000.0000000000
PA
USD
477118.4000000000
0.0766451714
Long
DBT
CORP
US
N
2
2028-02-24
Variable
2.640000000000000
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
235502.7900000000
0.0378315984
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
1003230.1700000000
PA
USD
827423.7100000000
0.1329188563
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
659682.2600000000
PA
USD
536178.5900000000
0.0861327082
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 3.60 05/25/2023
404280BA6
1885000.0000000000
PA
USD
1873406.2500000000
0.3009474024
Long
DBT
CORP
GB
N
2
2023-05-25
Fixed
3.600000000000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC 2.80 05/24/2032
404280CT4
225000.0000000000
PA
USD
174597.4900000000
0.0280476598
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 0.73 08/17/2024
404280CU1
990000.0000000000
PA
USD
954218.9100000000
0.1532874689
Long
DBT
CORP
GB
N
2
2024-08-17
Variable
0.732000000000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC 1.16 11/22/2024
404280CW7
1917000.0000000000
PA
USD
1826517.4100000000
0.2934150935
Long
DBT
CORP
GB
N
2
2024-11-22
Variable
1.162000000000000
N
N
N
N
N
N
Hilton Grand Vacations Trust 2017-A
N/A
Hilton Grand Vacations Trust 2017-A 2.66
43283AAA3
603445.2800000000
PA
USD
594103.8300000000
0.0954379246
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
1059041.6800000000
PA
USD
987329.8400000000
0.1586064692
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Fixed
2.540000000000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The 2.70 04/15/2025
437076CM2
836000.0000000000
PA
USD
801905.3100000000
0.1288195339
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.700000000000000
N
N
N
N
N
N
Honda Motor Co Ltd
549300P7ZYCQJ36CCS16
Honda Motor Co Ltd 2.27 03/10/2025
438127AA0
2340000.0000000000
PA
USD
2216208.2000000000
0.3560157339
Long
DBT
CORP
JP
N
2
2025-03-10
Fixed
2.271000000000000
N
N
N
N
N
N
Imperial Fund Mortgage Trust 2021-NQM1
N/A
Imperial Fund Mortgage Trust 2021-NQM1 1.62
452764AC7
530931.4800000000
PA
USD
423238.5600000000
0.0679898155
Long
ABS-MBS
CORP
US
N
2
2056-06-25
Variable
1.617000000000000
N
N
N
N
N
N
Chase Mortgage Finance Corp
N/A
Chase Mortgage Finance Corp 5.13
46591HBX7
586891.4600000000
PA
USD
514566.6000000000
0.0826609187
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
5.127680000000000
N
N
N
N
N
N
JP Morgan Mortgage Trust 2014-5
N/A
JP Morgan Mortgage Trust 2014-5 2.79
46643KAA9
644104.2400000000
PA
USD
602960.8600000000
0.0968607341
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Variable
2.787410000000000
N
N
N
N
N
N
JP Morgan Mortgage Trust 2016-1
N/A
JP Morgan Mortgage Trust 2016-1 3.50
46646BAG3
1247273.4000000000
PA
USD
1112272.5200000000
0.1786774895
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 2.52 04/22/2031
46647PBL9
1097000.0000000000
PA
USD
900083.7100000000
0.1445910915
Long
DBT
CORP
US
N
2
2031-04-22
Variable
2.522000000000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co 1.58 04/22/2027
46647PCB0
485000.0000000000
PA
USD
426709.8800000000
0.0685474547
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 2.07 06/01/2029
46647PCJ3
1762000.0000000000
PA
USD
1474662.4800000000
0.2368924747
Long
DBT
CORP
US
N
2
2029-06-01
Variable
2.069000000000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co 2.95 02/24/2028
46647PCW4
650000.0000000000
PA
USD
588924.0400000000
0.0946058337
Long
DBT
CORP
US
N
2
2028-02-24
Variable
2.947000000000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co 5.55 12/15/2025
46647PDM5
2235000.0000000000
PA
USD
2236743.1700000000
0.3593145090
Long
DBT
CORP
US
N
2
2025-12-15
Variable
5.546000000000000
N
N
N
N
N
N
JP Morgan Mortgage Trust 2017-1
N/A
JP Morgan Mortgage Trust 2017-1 3.45
46648CAB0
602526.5500000000
PA
USD
522086.7200000000
0.0838689645
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Variable
3.449385000000000
N
N
N
N
N
N
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON 4.13
46649XAA5
3055000.0000000000
PA
USD
2866018.9200000000
0.4604025150
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
4.128300000000000
N
N
N
N
N
N
KKR CLO Trust
549300GKHET0CQ690V42
KKR CLO Ltd 22 5.39
48252WAA1
2250000.0000000000
PA
USD
2213590.9500000000
0.3555952941
Long
ABS-CBDO
CORP
US
N
2
2031-07-20
Variable
5.392570000000000
N
N
N
N
N
N
KKR Static CLO Trust
N/A
KKR Static CLO I LTD 5.08
48255QAE3
2200000.0000000000
PA
USD
2117967.9400000000
0.3402342391
Long
ABS-CBDO
CORP
US
N
2
2031-07-20
Variable
5.077300000000000
N
N
N
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp 4.75 05/30/2025
526057BV5
1310000.0000000000
PA
USD
1302852.7100000000
0.2092926394
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
4.750000000000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC 4.72 08/11/2026
53944YAT0
1140000.0000000000
PA
USD
1116538.1500000000
0.1793627281
Long
DBT
CORP
GB
N
2
2026-08-11
Variable
4.716000000000000
N
N
N
N
N
N
Lowe's Cos Inc
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc 3.35 04/01/2027
548661EG8
1357000.0000000000
PA
USD
1275970.5200000000
0.2049742353
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.350000000000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2021-FL7 Ltd 5.79
55284AAC2
812000.0000000000
PA
USD
776608.4100000000
0.1247557937
Long
ABS-CBDO
CORP
US
N
2
2036-10-16
Variable
5.789140000000000
N
N
N
N
N
N
Magallanes Inc
549300DXR29GD4N0A520
Warnermedia Holdings Inc 3.76 03/15/2027
55903VAG8
472000.0000000000
PA
USD
425721.8000000000
0.0683887277
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.428000000000000
N
N
N
N
N
N
Magnetite Xxix Ltd
549300XSCWZTP19VRZ67
Magnetite Xxix Ltd 5.48
55955KAC8
2600000.0000000000
PA
USD
2514826.8600000000
0.4039863810
Long
ABS-CBDO
CORP
US
N
2
2034-01-15
Variable
5.479140000000000
N
N
N
N
N
N
Marathon CLO Ltd
549300PRAU42OGUUTY83
Marathon Clo 2021-17 Ltd 4.03
56578AAN1
3000000.0000000000
PA
USD
2385315.0000000000
0.3831813592
Long
ABS-CBDO
CORP
US
N
2
2035-01-20
Fixed
4.030000000000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley 0.53 01/25/2024
6174468W2
1938000.0000000000
PA
USD
1925049.5900000000
0.3092434829
Long
DBT
CORP
US
N
2
2024-01-25
Variable
0.529000000000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley 0.79 05/30/2025
61747YEA9
755000.0000000000
PA
USD
702318.1300000000
0.1128216674
Long
DBT
CORP
US
N
2
2025-05-30
Variable
0.790000000000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley 2.48 09/16/2036
61747YEF8
270000.0000000000
PA
USD
196395.2900000000
0.0315492982
Long
DBT
CORP
US
N
2
2036-09-16
Variable
2.484000000000000
N
N
N
N
N
N
Mosaic Solar Loan Trust 2021-1
N/A
Mosaic Solar Loan Trust 2021-1 1.51
61947DAA7
1698575.4600000000
PA
USD
1338672.8000000000
0.2150468441
Long
ABS-MBS
CORP
US
N
2
2046-12-20
Fixed
1.510000000000000
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
393159.3900000000
0.0631578426
Long
DBT
CORP
AU
N
2
2030-08-21
Fixed
2.332000000000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
Nationwide Building Society 1.00 08/28/2025
63859UBF9
2260000.0000000000
PA
USD
2026632.4000000000
0.3255619311
Long
DBT
CORP
GB
N
2
2025-08-28
Fixed
1.000000000000000
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
1815512.3600000000
0.2916472221
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 5.00 07/15/2032
65339KCJ7
1580000.0000000000
PA
USD
1554419.4800000000
0.2497047849
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
5.000000000000000
N
N
N
N
N
N
BOC Aviation USA Corp
254900QKLTY6MF4Y3P65
BOC Aviation USA Corp 1.63 04/29/2024
66980P2A6
1072000.0000000000
PA
USD
1018056.6400000000
0.1635424785
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
1.625000000000000
N
N
N
N
N
N
O'Reilly Automotive Inc
549300K2RLMQL149Q332
O'Reilly Automotive Inc 4.70 06/15/2032
67103HAL1
1380000.0000000000
PA
USD
1338056.9300000000
0.2149479096
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
4.700000000000000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300UP5H2PFBIITY41
Palmer Square CLO 2014-1 Ltd 5.21
69688XAS0
1250000.0000000000
PA
USD
1238344.7500000000
0.1989299629
Long
ABS-CBDO
CORP
US
N
2
2031-01-17
Variable
5.209140000000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos 6.70 02/16/2032
71643VAB1
425000.0000000000
PA
USD
334560.8500000000
0.0537444661
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
330083.1300000000
0.0530251570
Long
DBT
CORP
MX
N
2
2023-01-30
Fixed
3.500000000000000
N
N
N
N
N
N
Progress Residential 2021-SFR1
N/A
Progress Residential 2021-SFR1 1.81
74331FAG6
1500000.0000000000
PA
USD
1273879.5000000000
0.2046383300
Long
ABS-MBS
CORP
US
N
2
2038-04-17
Fixed
1.805000000000000
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
6562134.4800000000
1.0541532708
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
800000.0000000000
PA
USD
660015.7600000000
0.1060261374
Long
ABS-MBS
CORP
US
N
2
2038-10-17
Fixed
2.382000000000000
N
N
N
N
N
N
Roche Holdings Inc
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc 2.31 03/10/2027
771196BV3
1930000.0000000000
PA
USD
1761078.8200000000
0.2829029188
Long
DBT
CORP
US
N
2
2027-03-10
Fixed
2.314000000000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
5493009YDNBJVFWX7747
Rockford Tower CLO 2020-1 Ltd 6.04
77341EAC9
1800000.0000000000
PA
USD
1747308.9600000000
0.2806909034
Long
ABS-CBDO
CORP
US
N
2
2032-01-20
Variable
6.042570000000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada 4.24 08/03/2027
78016FZS6
1365000.0000000000
PA
USD
1331888.4900000000
0.2139570002
Long
DBT
CORP
CA
N
2
2027-08-03
Fixed
4.240000000000000
N
N
N
N
N
N
State Street Institutional US Government Money Market Fund
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
23843.7800000000
NS
USD
23843.7800000000
0.0038303084
Long
STIV
RF
US
N
1
N
N
N
SG Residential Mortgage Trust 2021-1
N/A
SG Residential Mortgage Trust 2021-1 1.56
784212AC6
1224747.7600000000
PA
USD
983818.8100000000
0.1580424509
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
144000.0000000000
PA
USD
126357.6200000000
0.0202983189
Long
DBT
CORP
US
N
2
2026-11-13
Floating
5.125000000000000
N
N
N
N
N
N
Sammons Financial Group Inc
N/A
Sammons Financial Group Inc 4.75 04/08/2032
79588TAE0
317000.0000000000
PA
USD
265591.0500000000
0.0426650315
Long
DBT
CORP
US
N
2
2032-04-08
Fixed
4.750000000000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy 3.30 04/01/2025
816851BN8
767000.0000000000
PA
USD
736169.7100000000
0.1182596471
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.300000000000000
N
N
N
N
N
N
Sequoia Mortgage Trust 2017-7
N/A
Sequoia Mortgage Trust 2017-7 3.50
81746GAG8
834027.0100000000
PA
USD
729510.5000000000
0.1171898994
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
3839676.6500000000
PA
USD
3350847.8000000000
0.5382863120
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
3.500000000000000
N
N
N
N
N
N
ServiceMaster Funding LLC
N/A
ServiceMaster Funding LLC 2.84
81761TAA3
1842187.5000000000
PA
USD
1483201.1600000000
0.2382641439
Long
ABS-MBS
CORP
US
N
2
2051-01-30
Fixed
2.841000000000000
N
N
N
N
N
N
Shelter Growth CRE Issuer Ltd
N/A
Shelter Growth CRE 2022-FL4 Issuer Ltd 6.62
82286DAA2
2000000.0000000000
PA
USD
1956283.0000000000
0.3142608749
Long
ABS-CBDO
CORP
US
N
2
2037-06-17
Variable
6.617020000000000
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
1324718.1000000000
PA
USD
1250062.2900000000
0.2008122899
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
2220414.0700000000
PA
USD
2032618.1100000000
0.3265234864
Long
ABS-MBS
CORP
US
N
2
2037-11-20
Fixed
1.340000000000000
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
3320995.0600000000
0.5334907133
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
1357724.4500000000
PA
USD
1232801.8500000000
0.1980395413
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.219000000000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
Swedbank AB 3.36 04/04/2025
87020PAQ0
1740000.0000000000
PA
USD
1673833.3700000000
0.2688876504
Long
DBT
CORP
SE
N
2
2025-04-04
Fixed
3.356000000000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
Tennessee Valley Authority 4.70 07/15/2033
880591DV1
2400000.0000000000
PA
USD
2413598.2300000000
0.3877248289
Long
DBT
USGA
US
N
2
2033-07-15
Fixed
4.700000000000000
N
N
N
N
N
N
Thermo Fisher Scientific Inc
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc 1.22 10/18/2024
883556CS9
3930000.0000000000
PA
USD
3691014.7400000000
0.5929313507
Long
DBT
CORP
US
N
2
2024-10-18
Fixed
1.215000000000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp 2.50 03/22/2024
89236TJX4
3299000.0000000000
PA
USD
3201199.2000000000
0.5142464875
Long
DBT
CORP
US
N
2
2024-03-22
Fixed
2.500000000000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG 1.49 08/10/2027
902613AH1
1343000.0000000000
PA
USD
1157111.2500000000
0.1858804650
Long
DBT
CORP
CH
N
2
2027-08-10
Variable
1.494000000000000
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
4045954.3400000000
PA
USD
4411462.1700000000
0.7086653420
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
17456661.5100000000
PA
USD
17439761.8900000000
2.8015552095
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
6625827.4300000000
PA
USD
6760831.4500000000
1.0860723150
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
11174531.5200000000
PA
USD
11172155.5900000000
1.7947154836
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
4129151.2500000000
PA
USD
4307423.4700000000
0.6919523752
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 0.75 02/15/2042
912810QV3
13828727.0800000000
PA
USD
11586759.6400000000
1.8613182356
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
18898725.7100000000
PA
USD
15264247.7000000000
2.4520766358
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
13681127.0000000000
PA
USD
12718476.5300000000
2.0431193043
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
15185520.0000000000
PA
USD
12294952.0200000000
1.9750835533
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
10690025.0000000000
PA
USD
9089361.3800000000
1.4601316168
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 0.88 02/15/2047
912810RW0
2407216.5000000000
PA
USD
1975782.0200000000
0.3173932331
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.875000000000000
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
1208420.0000000000
PA
USD
1018312.5700000000
0.1635835915
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
236844.0000000000
PA
USD
198208.5600000000
0.0318405852
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
10176722.4000000000
PA
USD
6872490.1300000000
1.1040093694
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
8756037.0000000000
PA
USD
5647719.3400000000
0.9072599522
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds - When Issued
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 02/15/2052
912810TE8
13423693.8000000000
PA
USD
8707077.6300000000
1.3987208569
Long
DBT
UST
US
N
2
2052-02-15
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
11146438.5000000000
PA
USD
10509381.6400000000
1.6882462655
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
18785644.0000000000
PA
USD
17673463.9900000000
2.8390975418
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
1654257.4000000000
PA
USD
1515361.1000000000
0.2434303754
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 0.63 01/15/2026
912828N71
22762278.0000000000
PA
USD
21855591.5900000000
3.5109221595
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
9323850.0000000000
PA
USD
8788688.8900000000
1.4118310388
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
1233620.0000000000
PA
USD
1163728.4000000000
0.1869434561
Long
DBT
UST
US
N
2
2027-01-15
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
771641.0000000000
PA
USD
735415.4200000000
0.1181384766
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.750000000000000
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
14477875.0000000000
PA
USD
13013381.4800000000
2.0904933742
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
11738826.0000000000
PA
USD
10518039.7500000000
1.6896371201
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 01/15/2031
91282CBF7
21635397.0000000000
PA
USD
19228781.4500000000
3.0889465799
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 04/15/2026
91282CCA7
17328422.5000000000
PA
USD
16295963.9000000000
2.6178134109
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
12230130.0000000000
PA
USD
10815193.7300000000
1.7373724783
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 10/15/2026
91282CDC2
9814680.0000000000
PA
USD
9202852.2800000000
1.4783630023
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 01/15/2032
91282CDX6
26251500.0000000000
PA
USD
23013470.4100000000
3.6969259284
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.13 04/15/2027
91282CEJ6
16358855.0000000000
PA
USD
15251285.9200000000
2.4499944317
Long
DBT
UST
US
N
2
2027-04-15
Fixed
0.125000000000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds 0.63 07/15/2032
91282CEZ0
16974011.0000000000
PA
USD
15561068.0100000000
2.4997583926
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.625000000000000
N
N
N
N
N
N
Raytheon Technologies Corp
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp 4.13 11/16/2028
913017CY3
1790000.0000000000
PA
USD
1716895.2000000000
0.2758051814
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.125000000000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc 4.33 09/21/2028
92343VER1
1676000.0000000000
PA
USD
1614804.7700000000
0.2594051882
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.329000000000001
N
N
N
N
N
N
Verus Securitization Trust 2020-1
N/A
Verus Securitization Trust 2020-1 2.72
92536PAE4
1382118.1100000000
PA
USD
1303011.2000000000
0.2093180996
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.724000000000000
N
N
N
N
N
N
Verus Securitization Trust 2021-1
N/A
Verus Securitization Trust 2021-1 1.16
92537QAF8
1179715.5000000000
PA
USD
948421.5400000000
0.1523561688
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
1515898.9000000000
PA
USD
1156550.3700000000
0.1857903643
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.373000000000000
N
N
N
N
N
N
Verus Securitization Trust 2022-3
N/A
Verus Securitization Trust 2022-3 4.13
92538UAC5
3407541.5900000000
PA
USD
3052138.4100000000
0.4903010899
Long
ABS-MBS
CORP
US
N
2
2067-02-25
Variable
4.130000000000000
N
N
N
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global 4.95 01/15/2031
92556HAB3
380000.0000000000
PA
USD
338618.6100000000
0.0543963121
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.950000000000000
N
N
N
N
N
N
Vista Point Securitization Trust 2020-2
N/A
Vista Point Securitization Trust 2020-2 2.50
92838TAC5
554341.6700000000
PA
USD
464927.3000000000
0.0746867708
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
2.496000000000000
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
77538.8400000000
PA
USD
69899.5800000000
0.0112287962
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.950000000000000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2022-1 Ltd 4.78
94950TAL3
2000000.0000000000
PA
USD
1839577.0000000000
0.2955130099
Long
ABS-CBDO
CORP
US
N
2
2034-04-15
Fixed
4.775000000000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co 3.35 03/02/2033
95000U2U6
463000.0000000000
PA
USD
391273.3200000000
0.0628548609
Long
DBT
CORP
US
N
2
2033-03-02
Variable
3.350000000000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co 4.54 08/15/2026
95000U3C5
455000.0000000000
PA
USD
446334.3200000000
0.0716999605
Long
DBT
CORP
US
N
2
2026-08-15
Variable
4.540000000000000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc 2.00 05/15/2030
98978VAS2
1580000.0000000000
PA
USD
1285787.8100000000
0.2065513027
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.000000000000000
N
N
N
N
N
N
CME Ultra Long Term US Treasury
N/A
US ULTRA BOND CBT Mar23
N/A
12.0000000000
NC
USD
-46523.4000000000
-0.0074736040
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Long
US ULTRA BOND CBT
US ULTRA BOND CBT Mar23
2023-03-22
1658273.4000000000
USD
-46523.4000000000
N
N
N
CBOT 10 Year US Treasury Note
N/A
US 10YR NOTE (CBT)Mar23
N/A
19.0000000000
NC
USD
-20681.5100000000
-0.0033223155
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Long
US 10YR NOTE (CBT)
US 10YR NOTE (CBT)Mar23
2023-03-22
2154322.1400000000
USD
-20681.5100000000
N
N
N
CBOT 10 Year Ultra US Treasury Note
N/A
US 10yr Ultra Fut Mar23
N/A
13.0000000000
NC
USD
-20134.7300000000
-0.0032344798
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Long
US 10yr Ultra Fut
US 10yr Ultra Fut Mar23
2023-03-22
1557790.9800000000
USD
-20134.7300000000
N
N
N
CBOT 5 Year US Treasury Note
N/A
US 5YR NOTE (CBT) Mar23
N/A
14.0000000000
NC
USD
-16214.7900000000
-0.0026047735
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Long
US 5YR NOTE (CBT)
US 5YR NOTE (CBT) Mar23
2023-03-31
1527230.4200000000
USD
-16214.7900000000
N
N
N
CBOT 2 Year US Treasury Note
N/A
US 2YR NOTE (CBT) Mar23
N/A
63.0000000000
NC
USD
-51560.1900000000
-0.0082827231
N/A
DIR
UST
US
N
1
Bank of America
B4TYDEB6GKMZO031MB27
Long
US 2YR NOTE (CBT)
US 2YR NOTE (CBT) Mar23
2023-03-31
12971482.1300000000
USD
-51560.1900000000
N
N
N
Bank of Montreal/Chicago IL 4.20 01/03/2023
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal/Chicago IL 4.20 01/03/2023
RPE14KBG4
2028074.4900000000
PA
USD
2028074.4900000000
0.3257935910
Long
RA
CORP
US
N
2
2023-01-03
Fixed
4.2
N
N
N
Repurchase
N
4.2
2023-01-03
2391775.849
USD
2066352.377
USD
UST
N
N
N
Fixed Income Clearing Corp 4.26 01/03/2023
549300H47WTHXPU08X20
Fixed Income Clearing Corp 4.26 01/03/2023
RPE94M3S6
12460000.0000000000
PA
USD
12460000.0000000000
2.0015971623
Long
RA
CORP
US
N
2
2023-01-03
Fixed
4.26
N
N
N
Repurchase
N
4.26
2023-01-03
15517700
USD
12709217.43
USD
UST
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.90 10/11/23
SLZ40AHP3
14150000.0000000000
OU
Swap Contract Amount
USD
-11546.679999999702
-0.0018548798
N/A
DCO
CORP
US
N
2
2023-10-11
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
2023-10-11
400.179999999702
USD
0.000000000000
USD
14150000.0000000000
USD
-11946.86
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.88 12/02/23
SL3X58QE9
10000000.0000000000
OU
Swap Contract Amount
USD
-7723.699999999255
-0.0012407493
N/A
DCO
CORP
US
N
2
2023-12-02
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
2023-12-02
468.939999999478
USD
0.000000000000
USD
10000000.0000000000
USD
-8192.64
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.50 09/03/31
SLWS0QPF1
10000000.0000000000
OU
Swap Contract Amount
USD
636332.3000000007
0.1022215831
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
635724.3
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.70 08/27/26
SL0H02DX7
15000000.0000000000
OU
Swap Contract Amount
USD
831415.5
0.1335601048
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
830824
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.27 01/26/24
SL9K0IAE1
5000000.0000000000
OU
Swap Contract Amount
USD
486739.5499999998
0.0781907305
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
486222.55
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.24 01/12/26
SL0X0ISZ6
9000000.0000000000
OU
Swap Contract Amount
USD
913513.0500000007
0.1467484052
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
912958.15
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.63 06/25/30
SLA11X4L8
8000000.0000000000
OU
Swap Contract Amount
USD
1394910.4800000004
0.2240809678
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
1394324.08
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 2.21 01/19/24
SL4G4P857
22000000.0000000000
OU
Swap Contract Amount
USD
2179169.3000000007
0.3500657373
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
2178594.5
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.08 06/04/25
SL2I4BCO0
4000000.0000000000
OU
Swap Contract Amount
USD
626156.2800000003
0.1005868887
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
625631.88
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.29 05/19/30
SLYP0FI75
3000000.0000000000
OU
Swap Contract Amount
USD
578560.4700000002
0.0929410108
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
578028.07
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.87 11/25/29
SLFD07JJ4
5000000.0000000000
OU
Swap Contract Amount
USD
691525.2000000002
0.1110878714
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
692079.2
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.88 11/21/29
SL1S54L30
1000000.0000000000
OU
Swap Contract Amount
USD
137234.99
0.0220456795
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
137751.19
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.80 10/21/29
SL474BO35
6100000.0000000000
OU
Swap Contract Amount
USD
878897.3899999997
0.1411876823
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
879463.27
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.86 08/01/24
SL6J44N59
13600000.0000000000
OU
Swap Contract Amount
USD
1486367.6600000001
0.2387728162
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
1486977.82
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
INFL 1.71 06/20/24
SLF03DCI5
12600000.0000000000
OU
Swap Contract Amount
USD
1475107.58
0.2369639764
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
1475708.38
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.86 07/30/24
SL0X06YO0
12500000.0000000000
OU
Swap Contract Amount
USD
1364933.5
0.2192654109
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
1365534.75
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
ZC 1.78 06/06/24
SLXC06HC5
19000000.0000000000
OU
Swap Contract Amount
USD
2184959.719999999
0.3509959210
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
2185613.62
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
INFL 2.31 03/28/28
SLF031DE9
11500000.0000000000
OU
Swap Contract Amount
USD
1039853.4600000009
0.1670439595
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
1040477.66
N
N
N
LCH.Clearnet Group Ltd
WAM6YERMS7OXFZUOY219
INFL 2.15 11/20/27
SLP71H6D0
5000000.0000000000
OU
Swap Contract Amount
USD
550956.2000000002
0.0885066105
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
551510.2
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.24 04/28/27
SL8J2QPE9
4000000.0000000000
OU
Swap Contract Amount
USD
383736.8799999999
0.0616441934
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
383736.88
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.22 04/13/27
SL6V46O07
1750000.0000000000
OU
Swap Contract Amount
USD
170341.78000000003
0.0273640147
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
170341.78
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 2.28 11/16/26
SL1T3R255
2500000.0000000000
OU
Swap Contract Amount
USD
236355.2799999998
0.0379685440
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
236355.28
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.24 04/11/27
SL7Z00UG2
7000000.0000000000
OU
Swap Contract Amount
USD
665690.6900000004
0.1069377685
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
665690.69
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 2.25 11/15/26
SL604D030
2500000.0000000000
OU
Swap Contract Amount
USD
245810.58000000007
0.0394874606
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
245810.58
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 1.87 05/23/26
SL7Z00T17
1500000.0000000000
OU
Swap Contract Amount
USD
210867.56000000006
0.0338741501
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
210867.56
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 1.77 06/16/26
SL7Z00T74
12500000.0000000000
OU
Swap Contract Amount
USD
1866418
0.2998247972
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
1866418
N
N
N
Goldman Sachs Group Inc/The
FOR8UP27PHTHYVLBNG30
INFL 1.92 05/31/26
SL7Z00T41
13000000.0000000000
OU
Swap Contract Amount
USD
1750820.6300000008
0.2812550245
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
1750820.63
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 1.79 08/27/25
SL7Z00SM2
3000000.0000000000
OU
Swap Contract Amount
USD
387663.7200000002
0.0622750082
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
387663.72
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.36 09/29/24
SL7Z008I3
6500000.0000000000
OU
Swap Contract Amount
USD
273014.1699999999
0.0438574950
N/A
DCO
CORP
US
N
2
2024-09-29
None
0.000000000000000
N
N
N
Barclays Bank PLC
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
273014.17
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.31 09/30/24
SL7Z008L6
3600000.0000000000
OU
Swap Contract Amount
USD
173214
0.0278254134
N/A
DCO
CORP
US
N
2
2024-09-30
None
0.000000000000000
N
N
N
Barclays Bank PLC
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
173214
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.39 09/19/24
SL7Z008F9
6000000.0000000000
OU
Swap Contract Amount
USD
234197.16000000015
0.0376218596
N/A
DCO
CORP
US
N
2
2024-09-19
None
0.000000000000000
N
N
N
Barclays Bank PLC
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
234197.16
N
N
N
Bank of America
B4TYDEB6GKMZO031MB27
INFL 2.53 08/19/24
SL7Z00893
4000000.0000000000
OU
Swap Contract Amount
USD
87051.47999999998
0.0139841088
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
87051.48
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.59 07/23/24
SL7Z00869
2300000.0000000000
OU
Swap Contract Amount
USD
34113.720000000205
0.0054800903
N/A
DCO
CORP
US
N
2
2024-07-23
None
0.000000000000000
N
N
N
Barclays Bank PLC
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
34113.72
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.90 12/21/27
SL470T3E9
15100000.0000000000
OU
Swap Contract Amount
USD
-1931907.7400000002
-0.3103451886
N/A
DCO
CORP
US
N
2
2027-12-21
None
0.000000000000000
N
N
N
Barclays Bank PLC
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
-1931907.74
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
INFL 2.78 07/02/44
SL7Z00836
3600000.0000000000
OU
Swap Contract Amount
USD
-281071.7999999998
-0.0451518874
N/A
DCO
CORP
US
N
2
2044-07-02
None
0.000000000000000
N
N
N
Barclays Bank PLC
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
-281071.8
N
N
N
2023-02-22
American Century Variable Portfolios II, Inc.
Amy R. Bitter
Amy R. Bitter
Assistant Treasurer