0001752724-24-015646.txt : 20240126
0001752724-24-015646.hdr.sgml : 20240126
20240126150318
ACCESSION NUMBER: 0001752724-24-015646
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231130
FILED AS OF DATE: 20240126
DATE AS OF CHANGE: 20240126
PERIOD START: 20240531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: VALIC Co I
CENTRAL INDEX KEY: 0000719423
ORGANIZATION NAME:
IRS NUMBER: 720029692
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03738
FILM NUMBER: 24567243
BUSINESS ADDRESS:
STREET 1: 30 HUDSON STREET
STREET 2: 16TH FLOOR
CITY: JERSEY CITY
STATE: NJ
ZIP: 07302
BUSINESS PHONE: 201-324-6378
MAIL ADDRESS:
STREET 1: 30 HUDSON STREET
STREET 2: 16TH FLOOR
CITY: JERSEY CITY
STATE: NJ
ZIP: 07302
FORMER COMPANY:
FORMER CONFORMED NAME: AIG Retirement CO I
DATE OF NAME CHANGE: 20080501
FORMER COMPANY:
FORMER CONFORMED NAME: VALIC CO I
DATE OF NAME CHANGE: 20020110
FORMER COMPANY:
FORMER CONFORMED NAME: NORTH AMERICAN FUNDS VARIABLE PRODUCT SERIES CO I
DATE OF NAME CHANGE: 20000929
0000719423
S000008017
Inflation Protected Fund
C000021786
Inflation Protected Fund
VCTPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
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S000008017
C000021786
VALIC Co I
811-03738
0000719423
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2929 ALLEN PARKWAY
C/O VARIABLE ANNUITY LIFE INSURANCE CO
HOUSTON
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800-448-2542
Inflation Protected Fund
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2024-05-31
2023-11-30
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0.00000000
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CAD
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USD
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Bloomberg Barclay US TIPS Index
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FRANCE (GOVT OF)
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French Republic Government Bond OAT
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Long
DBT
NUSS
FR
N
2
2031-07-25
Fixed
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N
N
N
N
N
N
Barclays Bank PLC
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PURCHASED USD / SOLD MXN
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NC
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DFE
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Barclays Bank PLC
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Chicago Board of Trade
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N
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United States Treasury
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DBT
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US
N
2
2027-10-15
Fixed
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1.00000000
NC
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Deutsche Bank AG
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1956845.20000000
USD
2023-12-20
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N
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BRAVO Residential Funding Trust
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BRAVO Residential Funding Trust 2021-NQM1
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USD
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Long
ABS-MBS
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US
N
2
2049-02-25
Variable
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N
N
N
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N
N
ONTARIO (PROVINCE OF)
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Province of Ontario Canada
683234XU7
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PA
16951950.51000000
4.266622754547
Long
DBT
NUSS
CA
N
2
2036-12-01
Fixed
2.00000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
35870000.00000000
PA
28542854.32000000
7.183927988085
Long
DBT
NUSS
NZ
N
2
2025-09-20
Fixed
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N
N
N
N
N
N
PETROLEOS MEXICANOS
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Petroleos Mexicanos
71654QDC3
1500000.00000000
PA
USD
1213098.15000000
0.305323695183
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE DEC23
000000000
-42.00000000
NC
-80512.36000000
-0.02026409096
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 10 Year Euro BUND Futures
RXZ3 Comdty
2023-12-07
-5482213.70000000
EUR
-80512.36000000
N
N
N
ESC LEHMAN BRTH HLDH PROD
N/A
ESC LEHMAN BRTH HLDH PROD
525ESC5W5
1000000.00000000
PA
USD
1563.00000000
0.000393390209
Long
DBT
CORP
US
N
3
2049-12-31
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
13993865.20000000
PA
USD
8500863.09000000
2.139575376396
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCM1
28293619.20000000
PA
USD
24378102.87000000
6.135705053909
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.13000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-1494488.48000000
-0.37614660044
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
63161000.00000000
NZD
37402680.98000000
USD
2023-12-20
-1494488.48000000
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
206827839.40000000
PA
10298820.10000000
2.592101726448
Long
DBT
NUSS
MX
N
2
2031-11-27
Fixed
2.75000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND DEC23
000000000
-17.00000000
NC
11429.75000000
0.002876744561
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 30 Year Euro BUXL Futures
UBZ3 Comdty
2023-12-07
-2222200.45000000
EUR
11429.75000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDR7
965000.00000000
PA
USD
952807.28000000
0.239811296000
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
5.38000000
N
N
N
N
N
N
Bank of America NA
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-23427.85000000
-0.00589653667
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
3460000.00000000
BRL
678125.55000000
USD
2023-12-20
-23427.85000000
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2021-2
85573HAA8
196291.06000000
PA
USD
174331.04000000
0.043877238884
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.94000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM4
12659PAA1
896901.83000000
PA
USD
725384.51000000
0.182571442403
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.10000000
N
N
N
N
N
N
NMLT Trust
N/A
NMLT 2021-INV1 Trust
62923JAA0
1148247.32000000
PA
USD
918614.16000000
0.231205257199
Long
ABS-MBS
CORP
US
N
2
2056-05-25
Variable
1.19000000
N
N
N
N
N
N
BANCA TRANSILVANIA
549300RG3H390KEL8896
Banca Transilvania SA
000000000
400000.00000000
PA
453238.56000000
0.114075247694
Long
DBT
CORP
RO
N
2
2027-04-27
Fixed
8.88000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-153842.37000000
-0.03872046205
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
45473000.00000000
BRL
9066313.10000000
USD
2023-12-20
-153842.37000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
15992992.50000000
PA
16601398.00000000
4.178392475975
Long
DBT
NUSS
IT
N
2
2026-05-21
Fixed
0.55000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-518192.99000000
-0.13042357580
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
37878000.00000000
EUR
40741448.01000000
USD
2023-12-20
-518192.99000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397KC90
170222.01000000
PA
USD
167069.38000000
0.042049557534
Long
ABS-MBS
USGSE
US
N
2
2037-08-15
Floating
6.14000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2021-1
784212AA0
1013646.47000000
PA
USD
774118.87000000
0.194837354174
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
1.16000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
17714.89000000
0.004458646379
N/A
DFE
NZ
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
675106.88000000
USD
1125000.00000000
NZD
2023-12-20
17714.89000000
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
7957254.72000000
PA
USD
7957254.72000000
2.002755024093
Long
RA
CORP
US
N
2
Repurchase
N
1.60000000
2023-12-01
8238200.00000000
USD
8116447.00000000
USD
UST
N
N
N
Wingstop Funding LLC
N/A
Wingstop Funding LLC
974153AB4
310275.00000000
PA
USD
273474.83000000
0.068830659444
Long
ABS-O
CORP
US
N
2
2050-12-05
Fixed
2.84000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFGG1
110322.73000000
PA
USD
109385.37000000
0.027531115571
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
5.89000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
11416000.00000000
PA
9823002.52000000
2.472343583417
Long
DBT
NUSS
BR
N
2
2027-05-15
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
9905.00000000
0.002492981463
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
37881000.00000000
CAD
27934604.66000000
USD
2023-12-20
9905.00000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR24
000000000
-70.00000000
NC
USD
-162750.52000000
-0.04096254714
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term U.S. Treasury Bond Futures
WNH4 Comdty
2024-03-19
-8447249.48000000
USD
-162750.52000000
N
N
N
NBM US Holdings Inc
5493008K1QMSP0J8UC24
NBM US Holdings Inc
000000000
1595000.00000000
PA
USD
1581840.74000000
0.398132220323
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
7.00000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-5 LLC
69358DAA2
717654.72000000
PA
USD
680421.14000000
0.171254648064
Long
ABS-O
CORP
US
N
2
2026-06-25
Variable
1.79000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2265.10000000
-0.00057010119
N/A
DFE
US
N
2
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
191000.00000000
EUR
205786.84000000
USD
2023-12-20
-2265.10000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
1670000.00000000
PA
1522651.28000000
0.383234872863
Long
DBT
CORP
GB
N
2
2029-08-09
Fixed
0.58000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BH6
1398000.00000000
PA
USD
1206138.13000000
0.303571933362
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8GP9
206436.06000000
PA
USD
198184.62000000
0.049880927200
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Floating
5.84000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2032.61000000
0.000511585971
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
906424.56000000
USD
834000.00000000
EUR
2023-12-20
2032.61000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
33377150.49000000
PA
USD
24626730.70000000
6.198281991959
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAK4
1695962.50000000
PA
USD
1425783.80000000
0.358854374932
Long
ABS-O
CORP
US
N
2
2051-06-15
Fixed
2.37000000
N
N
N
N
N
N
VCAT Asset Securitization, LLC
N/A
VCAT 2021-NPL2 LLC
91822YAA8
132171.49000000
PA
USD
128177.24000000
0.032260826179
Long
ABS-O
CORP
US
N
2
2051-03-27
Variable
2.12000000
N
N
N
N
N
N
Toorak Mortgage Corp.
N/A
Toorak Mortgage Corp 2021-1 Ltd
89053BAA2
602117.77000000
PA
USD
587677.36000000
0.147912040860
Long
ABS-MBS
CORP
US
N
2
2024-06-25
Variable
2.24000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376WKC8
122676.88000000
PA
USD
120983.15000000
0.030450151467
Long
ABS-MBS
USGA
US
N
2
2040-02-16
Floating
5.99000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
13529682.45000000
PA
USD
12700284.77000000
3.196524432804
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-3 LLC
69357PAA6
435580.84000000
PA
USD
416979.49000000
0.104949231603
Long
ABS-O
CORP
US
N
2
2026-04-25
Variable
1.87000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-C
009733AA4
316048.89000000
PA
USD
300046.10000000
0.075518360964
Long
ABS-MBS
CORP
US
N
2
2061-01-25
Variable
2.12000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL2Trust
12656TAF5
376575.00000000
PA
USD
233743.76000000
0.058830778473
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
3.61000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
9000000.00000000
PA
6494848.22000000
1.634683111328
Long
DBT
NUSS
NZ
N
2
2040-09-20
Fixed
2.50000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR24
000000000
-503.00000000
NC
-521814.02000000
-0.13133494992
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
Montreal Exchange 10 Year Canadian Bond Futures
CNH4 Comdty
2024-03-19
-59531204.47000000
CAD
-521814.02000000
N
N
N
OTP BANK NYRT
529900W3MOO00A18X956
OTP Bank Nyrt
000000000
660000.00000000
PA
USD
670830.60000000
0.168840812785
Long
DBT
CORP
HU
N
2
2027-05-25
Fixed
7.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR24
000000000
290.00000000
NC
USD
225811.41000000
0.056834291698
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVH4 Comdty
2024-03-28
30761141.86000000
USD
225811.41000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
9203012.50000000
PA
USD
6809150.75000000
1.713789661664
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
11572501.25000000
PA
USD
8938514.10000000
2.249727406200
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
510 Assets Backed Trust
N/A
510 Asset Backed 2021-NPL1 Trust
33835CAA3
905670.95000000
PA
USD
850997.22000000
0.214186804094
Long
ABS-O
CORP
US
N
2
2061-06-25
Variable
2.24000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
14252723.00000000
PA
USD
12583781.16000000
3.167201733147
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.13000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
119871.03000000
0.030170242881
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
10471036.29000000
USD
14367000.00000000
CAD
2023-12-20
119871.03000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
18820000.00000000
PA
16212911.85000000
4.080614710140
Long
DBT
NUSS
AU
N
2
2035-08-21
Fixed
2.00000000
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
89147.25000000
0.022437399468
N/A
DFE
NZ
N
2
Australia & New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
4007430.88000000
USD
6652000.00000000
NZD
2023-12-20
89147.25000000
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS3
52474XAA3
520428.43000000
PA
USD
487464.91000000
0.122689650127
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
1.75000000
N
N
N
N
N
N
Bank of America NA
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
903.18000000
0.000227320645
N/A
DFE
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
6670000.00000000
MXN
383947.58000000
USD
2023-12-20
903.18000000
N
N
N
GCAT
N/A
GCAT 2021-NQM3 Trust
36167HAA3
706917.00000000
PA
USD
568137.88000000
0.142994164895
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.09000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1367.63000000
-0.00034421769
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
108000.00000000
EUR
116274.31000000
USD
2023-12-20
-1367.63000000
N
N
N
MFRA Trust
N/A
MFA 2021-NQM1 Trust
55283FAA6
287033.22000000
PA
USD
253129.00000000
0.063709833897
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.15000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2021-R1
89179TAA2
1731009.07000000
PA
USD
1418540.47000000
0.357031307045
Long
ABS-MBS
CORP
US
N
2
2060-11-30
Variable
2.92000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2021-NQM2R
64831EAA8
239525.09000000
PA
USD
213977.82000000
0.053855904973
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
0.94000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
12470000.00000000
PA
9722010.90000000
2.446925084014
Long
DBT
NUSS
AU
N
2
2027-11-21
Fixed
0.75000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NEW YORK NY
64966HTX8
1580000.00000000
PA
USD
1629566.34000000
0.410144238103
Long
DBT
MUN
US
N
2
2036-12-01
Fixed
5.99000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HT3
915000.00000000
PA
USD
943946.15000000
0.237581045336
Long
DBT
CORP
US
N
2
2032-11-01
Fixed
5.95000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0526C1
15600000.00000000
PA
USD
15370724.15000000
3.868645167030
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
10932696.25000000
PA
USD
8105676.14000000
2.040111091612
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.88000000
N
N
N
N
N
N
MBANK SA
259400DZXF7UJKK2AY35
mBank SA
000000000
400000.00000000
PA
373540.29000000
0.094016054383
Long
DBT
CORP
PL
N
2
2027-09-21
Fixed
0.97000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3H4
1095000.00000000
PA
USD
1143624.36000000
0.287837892999
Long
DBT
CORP
US
N
2
2034-10-23
Fixed
6.49000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-34884.00000000
-0.00877992583
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
51491000.00000000
MXN
2922138.36000000
USD
2023-12-20
-34884.00000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1850000.00000000
PA
1538607.48000000
0.387250875975
Long
DBT
NUSS
RO
N
2
2049-04-03
Fixed
4.63000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
6510000.00000000
PA
4738082.05000000
1.192524050581
Long
DBT
NUSS
AU
N
2
2040-08-21
Fixed
1.25000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd
03881EAA5
305000.00000000
PA
USD
302300.45000000
0.076085756498
Long
ABS-CBDO
CORP
KY
N
2
2036-05-15
Floating
6.54000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGW5
10404147.00000000
PA
USD
9958414.62000000
2.506425345675
Long
DBT
UST
US
N
2
2028-04-15
Fixed
1.25000000
N
N
N
N
N
N
FS LUXEMBOURG SARL
222100EKR3JUJPGGOY81
FS Luxembourg Sarl
30315XAB0
400000.00000000
PA
USD
408591.20000000
0.102837989657
Long
DBT
CORP
LU
N
2
2025-12-15
Fixed
10.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1447.42000000
-0.00036429997
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
108000.00000000
EUR
116194.52000000
USD
2023-12-20
-1447.42000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
880000.00000000
PA
USD
660352.00000000
0.166203462400
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3832.86000000
-0.00096468944
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
108000.00000000
EUR
113809.08000000
USD
2023-12-20
-3832.86000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CHP9
17845093.50000000
PA
USD
16708165.82000000
4.205264782498
Long
DBT
UST
US
N
2
2033-07-15
Fixed
1.38000000
N
N
N
N
N
N
SWAP BANK OF AMERICA COC
N/A
SWAP BANK OF AMERICA COC
000000000
550000.00000000
NS
USD
550000.00000000
0.138429056503
Long
STIV
CORP
US
N
N/A
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
000000000
1365000.00000000
PA
1443808.49000000
0.363390994623
Long
DBT
CORP
GB
N
2
2027-06-15
Fixed
3.02000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
28112775.25000000
PA
USD
26327906.96000000
6.626449673084
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.88000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
Pretium Mortgage Credit Partners I 2021-NPL2 LLC
741386AA4
626859.08000000
PA
USD
590249.57000000
0.148559438321
Long
ABS-O
CORP
US
N
2
2060-06-27
Variable
1.99000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-4955.90000000
-0.00124734647
N/A
DFE
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1129138.66000000
USD
1525000.00000000
CAD
2023-12-20
-4955.90000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-35640.56000000
-0.00897034380
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1092000.00000000
EUR
1153850.12000000
USD
2023-12-20
-35640.56000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR24
000000000
191.00000000
NC
USD
100033.45000000
0.025177338367
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYH4 Comdty
2024-03-19
20871169.68000000
USD
100033.45000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2852.91000000
-0.00071804661
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
82000.00000000
EUR
86467.82000000
USD
2023-12-20
-2852.91000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
47607.52000000
0.011982298320
N/A
DFE
XX
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1441434.38000000
USD
1367000.00000000
EUR
2023-12-20
47607.52000000
N
N
N
Avant Loans Funding Trust
N/A
Avant Loans Funding Trust 2021-REV1
05353LAA3
266487.84000000
PA
USD
263956.82000000
0.066435079182
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
1.21000000
N
N
N
N
N
N
Bank of America NA
B4TYDEB6GKMZO031MB27
Long: 99D0RY4F8 IRS USD R V 12MUSCPI 99D0RY4G6 INFLATIONZERO / Short: 99D0RY4F8 IRS USD P F 3.42950 99D0RY4F8 INFLATIONZERO
000000000
47280000.00000000
OU
Notional Amount
USD
-490833.06000000
-0.12353737708
N/A
DIR
US
N
2
Bank of America NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-04-15
0.00000000
USD
0.00000000
USD
47280000.00000000
USD
-490833.06000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
000000000
1610000.00000000
PA
1508904.35000000
0.379774919136
Long
DBT
CORP
DK
N
2
2029-06-09
Fixed
0.75000000
N
N
N
N
N
N
Illinois State Toll Highway Authority
549300ISBFGI8MJJKM98
ILLINOIS ST TOLL HIGHWAY AUTH
452252FK0
1520000.00000000
PA
USD
1558672.75000000
0.392301087601
Long
DBT
MUN
US
N
2
2034-12-01
Fixed
5.85000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CEZ0
27270391.25000000
PA
USD
24079968.46000000
6.060667844659
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.63000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2021-NPL3 LLC
74143EAA0
560182.19000000
PA
USD
525370.06000000
0.132229966765
Long
ABS-O
CORP
US
N
2
2051-07-25
Variable
1.87000000
N
N
N
N
N
N
BANCA COMERCIALA ROMANA
549300ORLU6LN5YD8X90
Banca Comerciala Romana SA
000000000
200000.00000000
PA
226076.34000000
0.056900971716
Long
DBT
CORP
RO
N
2
2027-05-19
Fixed
7.63000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KJ5
985000.00000000
PA
USD
981076.39000000
0.246926325501
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
6.15000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE DEC23
000000000
-125.00000000
NC
-143696.06000000
-0.03616674547
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
French Government Bond Futures
OATZ3 Comdty
2023-12-07
-15756737.15000000
EUR
-143696.06000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAD5
1159000.00000000
PA
USD
1106467.41000000
0.278485890215
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
5.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ALEC9
145770.98000000
PA
USD
140520.69000000
0.035367539156
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Floating
5.94000000
N
N
N
N
N
N
Ellington Financial Mortgage Trust
N/A
Ellington Financial Mortgage Trust 2021-2
31572LAA4
263780.35000000
PA
USD
204568.92000000
0.051487786519
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
0.93000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
3417384.00000000
PA
USD
3365255.53000000
0.846998450750
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.13000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBH3
1800000.00000000
PA
USD
1479976.45000000
0.372494079311
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.45000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1597.69000000
-0.00040212130
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
166000.00000000
EUR
179222.32000000
USD
2023-12-20
-1597.69000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZZ6
15748854.40000000
PA
USD
13840536.10000000
3.483513370603
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.13000000
N
N
N
N
N
N
GREENSAIF PIPELINES BIDC
549300YWDGUXPB8GRP47
Greensaif Pipelines Bidco Sarl
39541EAC7
450000.00000000
PA
USD
450602.85000000
0.113411867969
Long
DBT
CORP
LU
N
2
2042-02-23
Fixed
6.51000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-31144.54000000
-0.00783874415
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
1155000.00000000
NZD
680152.47000000
USD
2023-12-20
-31144.54000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-576.92000000
-0.00014520452
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
99729.22000000
USD
90985.43000000
EUR
2023-12-29
-576.92000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL4 Trust
12662GAC2
399860.64000000
PA
USD
377722.44000000
0.095068656344
Long
ABS-MBS
CORP
US
N
2
2060-12-27
Variable
1.80000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS2
52476DAA5
394503.32000000
PA
USD
371440.02000000
0.093487439120
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Variable
1.75000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2880.12000000
-0.00072489508
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
213000.00000000
EUR
229135.92000000
USD
2023-12-20
-2880.12000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE DEC23
000000000
-200.00000000
NC
-311784.84000000
-0.07847287496
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-BTP Italian Bond Futures
IKZ3 Comdty
2023-12-07
-22707564.83000000
EUR
-311784.84000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828S50
2195554.50000000
PA
USD
2069881.88000000
0.520966901314
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.13000000
N
N
N
N
N
N
BXSC Commercial Mortgage Trust
N/A
BXSC Commercial Mortgage Trust 2022-WSS
05610BAJ5
1135000.00000000
PA
USD
1116489.40000000
0.281008316797
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
7.71000000
N
N
N
N
N
N
Toronto-Dominion Bank
PT3QB789TSUIDF371261
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-75439.73000000
-0.01898736481
N/A
DFE
US
N
2
Toronto-Dominion Bank
PT3QB789TSUIDF371261
51491000.00000000
MXN
2881582.63000000
USD
2023-12-20
-75439.73000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-729175.95000000
-0.18352570687
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
46177000.00000000
AUD
29798248.99000000
USD
2023-12-20
-729175.95000000
N
N
N
2023-12-18
VALIC Co I
Donna McManus
Donna McManus
Assistant Treasurer