0001752724-24-035024.txt : 20240223
0001752724-24-035024.hdr.sgml : 20240223
20240223111459
ACCESSION NUMBER: 0001752724-24-035024
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231229
FILED AS OF DATE: 20240223
DATE AS OF CHANGE: 20240223
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Ivy Variable Insurance Portfolios
CENTRAL INDEX KEY: 0000810016
ORGANIZATION NAME:
IRS NUMBER: 481146010
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05017
FILM NUMBER: 24667937
BUSINESS ADDRESS:
STREET 1: 6300 LAMAR AVENUE
CITY: OVERLAND PARK
STATE: KS
ZIP: 66202
BUSINESS PHONE: 9132362000
MAIL ADDRESS:
STREET 1: P O BOX 29217
CITY: SHAWNEE MISSION
STATE: KS
ZIP: 66201-9217
FORMER COMPANY:
FORMER CONFORMED NAME: Ivy Funds Variable Insurance Portfolios
DATE OF NAME CHANGE: 20100301
FORMER COMPANY:
FORMER CONFORMED NAME: Ivy Funds Variable Insurance Portfolios, Inc.
DATE OF NAME CHANGE: 20080819
FORMER COMPANY:
FORMER CONFORMED NAME: W&R TARGET FUNDS INC
DATE OF NAME CHANGE: 20001026
0000810016
S000006235
Delaware Ivy VIP Balanced
C000017169
Class II
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000810016
XXXXXXXX
S000006235
C000017169
Ivy Variable Insurance Portfolios
811-05017
0000810016
72XHPUAYSOH6ROSGJT53
100 Independence
610 Market Street
Philadelphia
19106
215-255-1200
Delaware Ivy VIP Balanced
S000006235
QD2I67CIB119GHXDQ256
2023-12-31
2023-12-29
N
216398826.51
502486.70
215896339.81
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
317842.03000000
USD
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLWD6
377270.94000000
PA
USD
335620.49000000
0.155454460365
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
ENTEGRIS ESCROW CORP
N/A
Entegris Escrow Corp
29365BAA1
55000.00000000
PA
USD
53050.73000000
0.024572315606
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNKS1
1587129.96000000
PA
USD
1404356.71000000
0.650477312971
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BL6
25000.00000000
PA
USD
26499.38000000
0.012274121934
Long
DBT
CORP
US
N
2
2033-09-01
Fixed
6.05000000
N
N
N
N
N
N
KKR & Co Inc
54930013V5I303TF9571
KKR & Co Inc
48251W104
45194.00000000
NS
USD
3744322.90000000
1.734315136280
Long
EC
CORP
US
N
1
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAL8
71000.00000000
PA
USD
71485.67000000
0.033111107887
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.05000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
500000.00000000
PA
USD
363265.25000000
0.168259105420
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNCD3
509836.23000000
PA
USD
470206.97000000
0.217792932670
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEKE1
182122.07000000
PA
USD
157811.56000000
0.073095986777
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432PA7
10000.00000000
PA
USD
10596.86000000
0.004908309241
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.80000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AW5
55000.00000000
PA
USD
37455.41000000
0.017348793422
Long
DBT
CORP
US
N
2
2052-02-15
Fixed
2.85000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLS6
142000.00000000
PA
USD
146671.00000000
0.067935843715
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
5.81900000
N
N
N
N
N
N
United Rentals Inc
5323X5O7RN0NKFCDRY08
United Rentals Inc
911363109
4775.00000000
NS
USD
2738080.50000000
1.268238499276
Long
EC
CORP
US
N
1
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFH3
60000.00000000
PA
USD
63628.49000000
0.029471778009
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
6.40700000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2L4
260000.00000000
PA
USD
265918.93000000
0.123169725912
Long
DBT
CORP
CH
N
2
2025-01-09
Fixed
7.95000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AY1
105000.00000000
PA
USD
115576.09000000
0.053533140071
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D3N0
326804.33000000
PA
USD
300872.31000000
0.139359615945
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ED80
371025.20000000
PA
USD
350958.56000000
0.162558828143
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K305
27405.00000000
NS
USD
3828204.45000000
1.773167832937
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLYF9
159726.20000000
PA
USD
165554.86000000
0.076682569118
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
6.00000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BQ4
80000.00000000
PA
USD
74429.03000000
0.034474428823
Long
DBT
CORP
PA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM6W9
190169.73000000
PA
USD
174659.05000000
0.080899495634
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY FRN
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CHS3
1210000.00000000
PA
USD
1208456.16000000
0.559739067861
Long
DBT
UST
US
N
2
2025-07-31
Floating
5.45587997
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPXE3
296206.23000000
PA
USD
301561.58000000
0.139678875642
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPCK2
207894.70000000
PA
USD
209722.26000000
0.097140257303
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCN3
25000.00000000
PA
USD
24915.93000000
0.011540691251
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDC4
220439.12000000
PA
USD
180133.26000000
0.083435068958
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NEE7
35000.00000000
PA
USD
35452.22000000
0.016420945362
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
4.80000000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK32
06542BBH9
730000.00000000
PA
USD
624969.50000000
0.289476653726
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Fixed
2.64300000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397D26
200000.00000000
PA
USD
205290.34000000
0.095087457332
Long
DBT
CORP
US
N
2
2026-06-10
Fixed
6.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ES68
329165.49000000
PA
USD
334222.69000000
0.154807020023
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
6.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBT6
80000.00000000
PA
USD
69737.02000000
0.032301159001
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
2.72100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MB6X5
387629.26000000
PA
USD
329903.24000000
0.152806314498
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
TE Connectivity Ltd
894500ZRIX9K13RHXR17
TE Connectivity Ltd
000000000
27212.00000000
NS
USD
3823286.00000000
1.770889679447
Long
EC
CORP
US
N
1
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599EF8
102000.00000000
PA
USD
106019.54000000
0.049106687076
Long
DBT
CORP
US
N
2
2031-01-01
Fixed
6.12500000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAK9
125000.00000000
PA
USD
94543.76000000
0.043791275055
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.75000000
N
N
N
N
N
N
POPULAR INC
5493008CARDZMVQ3LO89
Popular Inc
733174AL0
50000.00000000
PA
USD
51492.75000000
0.023850682251
Long
DBT
CORP
US
N
2
2028-03-13
Fixed
7.25000000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK39
06539VAW8
100000.00000000
PA
USD
75532.86000000
0.034985706597
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Variable
3.23901400
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FBF2
190000.00000000
PA
USD
195308.33000000
0.090463937541
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
5.05000000
N
N
N
N
N
N
ATHENE HOLDING LTD
549300H316CT32FQXI76
Athene Holding Ltd
04686JAD3
65000.00000000
PA
USD
48938.64000000
0.022667656173
Long
DBT
CORP
BM
N
2
2051-05-25
Fixed
3.95000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DG7
175000.00000000
PA
USD
165385.47000000
0.076604110169
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
Microchip Technology Inc
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017104
18159.00000000
NS
USD
1637578.62000000
0.758502261521
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-22532.32000000
-0.01043663825
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-700000.00000000
GBP
869961.19000000
USD
2024-02-16
-22532.32000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGUS6
117771.68000000
PA
USD
112407.25000000
0.052065380125
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
3.00000000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
110000.00000000
PA
USD
119263.76000000
0.055241214420
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
123.00000000
NC
USD
310159.02000000
0.143661083033
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
13068974.10000000
USD
310159.02000000
N
N
N
Intuit Inc
VI90HBPH7XSFMB9E4M29
Intuit Inc
461202103
2834.00000000
NS
USD
1771335.02000000
0.820456253014
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGTV1
24200.05000000
PA
USD
23150.55000000
0.010722993275
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDPP5
179554.83000000
PA
USD
176252.37000000
0.081637497956
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
53000.00000000
PA
USD
45115.04000000
0.020896621054
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHZ7
45000.00000000
PA
USD
46921.29000000
0.021733249410
Long
DBT
UST
US
N
2
2030-09-30
Fixed
4.62500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDR4
21000.00000000
PA
USD
21311.44000000
0.009871144651
Long
DBT
CORP
US
N
2
2034-06-01
Fixed
5.35000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NBK6
35000.00000000
PA
USD
35748.04000000
0.016557964823
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
5.30000000
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040H105
20549.00000000
NS
USD
2694384.88000000
1.247999332629
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNUY6
340301.75000000
PA
USD
290859.10000000
0.134721644774
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Meta Platforms Inc
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M102
5766.00000000
NS
USD
2040933.36000000
0.945330227365
Long
EC
CORP
US
N
1
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135106
29970.00000000
NS
USD
4553641.80000000
2.109179712823
Long
EC
CORP
US
N
1
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FX0
425000.00000000
PA
USD
312547.08000000
0.144767197199
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.15000000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAU7
25000.00000000
PA
USD
25216.26000000
0.011679799677
Long
DBT
CORP
US
N
2
2025-11-14
Fixed
5.40000000
N
N
N
N
N
N
Seagate Technology Holdings PL
635400RUXIFEZSRU8X70
Seagate Technology Holdings PLC
000000000
9408.00000000
NS
USD
803160.96000000
0.372012309568
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYG3
25000.00000000
PA
USD
22685.43000000
0.010507556552
Long
DBT
CORP
US
N
2
2027-09-10
Fixed
1.54200000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451BD9
165000.00000000
PA
USD
171037.37000000
0.079221986880
Long
DBT
CORP
AU
N
2
2030-09-08
Fixed
5.25000000
N
N
N
N
N
N
Discover Financial Services
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709108
20765.00000000
NS
USD
2333986.00000000
1.081067887512
Long
EC
CORP
US
N
1
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEJ7
101000.00000000
PA
USD
98884.18000000
0.045801693575
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPYZ5
285396.51000000
PA
USD
276736.84000000
0.128180422254
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-7
46591XAC9
365162.84000000
PA
USD
312827.70000000
0.144897176244
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
3.00000000
N
N
N
N
N
N
Vendee Mortgage Trust
N/A
Vendee Mortgage Trust 1997-1
911760KG0
8153.07000000
PA
USD
8250.69000000
0.003821597905
Long
ABS-MBS
USGSE
US
N
2
2026-12-15
Fixed
8.29300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNLC5
752702.89000000
PA
USD
645081.73000000
0.298792341995
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K107
18120.00000000
NS
USD
2553651.60000000
1.182813753233
Long
EC
CORP
US
N
1
N
N
N
FIFTH THIRD BANK
QFROUN1UWUYU0DVIWD51
Fifth Third Bank NA
31677QBT5
250000.00000000
PA
USD
249428.30000000
0.115531509343
Long
DBT
CORP
US
N
2
2025-10-27
Fixed
5.85200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWC68
500706.19000000
PA
USD
409214.95000000
0.189542328675
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B33 Mortgage Trust
08163PBG4
900000.00000000
PA
USD
798894.00000000
0.370035916636
Long
ABS-MBS
CORP
US
N
2
2055-03-15
Fixed
3.45820000
N
N
N
N
N
N
Salesforce Inc
RCGZFPDMRW58VJ54VR07
Salesforce Inc
79466L302
9766.00000000
NS
USD
2569825.24000000
1.190305144710
Long
EC
CORP
US
N
1
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAQ5
256000.00000000
PA
USD
276673.23000000
0.128150959040
Long
DBT
CORP
US
N
2
2029-10-30
Fixed
7.16100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EW71
215011.93000000
PA
USD
218083.35000000
0.101012990860
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371HAR9
14030.53000000
PA
USD
14215.43000000
0.006584377489
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EU81
279484.63000000
PA
USD
276496.58000000
0.128069137366
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D3K6
423271.47000000
PA
USD
390319.79000000
0.180790369277
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQQY4
172565.04000000
PA
USD
173668.39000000
0.080440636535
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389GSV3
9968.65000000
PA
USD
10284.80000000
0.004763767653
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TV0
825000.00000000
PA
USD
925353.50000000
0.428610091683
Long
DBT
UST
US
N
2
2053-11-15
Fixed
4.75000000
N
N
N
N
N
N
Danaher Corp
S4BKK9OTCEWQ3YHPFM11
Danaher Corp
235851102
8351.00000000
NS
USD
1931920.34000000
0.894837004508
Long
EC
CORP
US
N
1
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076102
2783.00000000
NS
USD
964448.65000000
0.446718388486
Long
EC
CORP
US
N
1
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAM5
259000.00000000
PA
USD
184184.82000000
0.085311691787
Long
DBT
CORP
GB
N
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAA9
190000.00000000
PA
USD
175241.50000000
0.081169277883
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAF8
250000.00000000
PA
USD
241640.78000000
0.111924444950
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
4.55200000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22535WAJ6
250000.00000000
PA
USD
262092.38000000
0.121397324396
Long
DBT
CORP
FR
N
2
2029-10-03
Fixed
6.31600000
N
N
N
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160K105
5705.00000000
NS
USD
3765756.40000000
1.744242817323
Long
EC
CORP
US
N
1
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust 2020-C7
05492VAF2
343000.00000000
PA
USD
288090.06000000
0.133439066291
Long
ABS-MBS
CORP
US
N
2
2053-04-15
Fixed
2.03700000
N
N
N
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
Mastercard Inc
57636Q104
5569.00000000
NS
USD
2375234.19000000
1.100173440684
Long
EC
CORP
US
N
1
N
N
N
NextEra Energy Inc
N/A
NextEra Energy Inc
65339F101
15644.00000000
NS
USD
950216.56000000
0.440126294330
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
11091.00000000
NS
USD
1886579.10000000
0.873835610951
Long
EC
CORP
US
N
1
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAE7
195000.00000000
PA
USD
174773.82000000
0.080952655405
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
3.62500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEX9
150000.00000000
PA
USD
152814.95000000
0.070781630728
Long
DBT
CORP
US
N
2
2026-10-16
Fixed
6.13800000
N
N
N
N
N
N
Linde PLC
5299003QR1WT0EF88V51
Linde PLC
000000000
7480.00000000
NS
USD
3072110.80000000
1.422956407090
Long
EC
CORP
US
N
1
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324P102
11930.00000000
NS
USD
6280787.10000000
2.909167939358
Long
EC
CORP
US
N
1
N
N
N
Take-Two Interactive Software
BOMSTHHJK882EWYX3334
Take-Two Interactive Software Inc
874054109
11060.00000000
NS
USD
1780107.00000000
0.824519304758
Long
EC
CORP
US
N
1
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BY9
315000.00000000
PA
USD
196592.89000000
0.091058926785
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKJA9
1286270.25000000
PA
USD
1193843.63000000
0.552970759509
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDY9
34000.00000000
PA
USD
36875.32000000
0.017080104291
Long
DBT
CORP
US
N
2
2034-10-23
Fixed
6.25400000
N
N
N
N
N
N
OGLETHORPE POWER CORP
3EERXCUSWMS9GV5D9M98
Oglethorpe Power Corp
677050AT3
20000.00000000
PA
USD
21507.24000000
0.009961836323
Long
DBT
CORP
US
N
2
2053-12-01
Fixed
6.20000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
140000.00000000
PA
USD
135983.40000000
0.062985505043
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738108
22631.00000000
NS
USD
3006302.04000000
1.392474760176
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AT5B6
394629.49000000
PA
USD
359311.18000000
0.166427638521
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Fixed
3.00000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBH3
260000.00000000
PA
USD
181944.39000000
0.084273957659
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389K5S6
65511.36000000
PA
USD
69363.79000000
0.032128284370
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TU2
45000.00000000
PA
USD
45949.22000000
0.021283000925
Long
DBT
UST
US
N
2
2043-08-15
Fixed
4.37500000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BM7
205000.00000000
PA
USD
150686.50000000
0.069795764084
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389K5Q0
19675.59000000
PA
USD
20299.59000000
0.009402470656
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
7.00000000
N
N
N
N
N
N
VeriSign Inc
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343E102
10640.00000000
NS
USD
2191414.40000000
1.015030825408
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390REE9
19401.28000000
PA
USD
20016.58000000
0.009271384599
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
7.00000000
N
N
N
N
N
N
OGLETHORPE POWER CORP
3EERXCUSWMS9GV5D9M98
Oglethorpe Power Corp
677050AQ9
95000.00000000
PA
USD
71635.45000000
0.033180483774
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389UHE2
9618.09000000
PA
USD
9937.97000000
0.004603121113
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
7.00000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBF1
250000.00000000
PA
USD
171989.08000000
0.079662804914
Long
DBT
CORP
US
N
2
2051-12-10
Fixed
2.75000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BK8
35000.00000000
PA
USD
36408.31000000
0.016863792147
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
5.80000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GA46
295000.00000000
PA
USD
313220.26000000
0.145079004246
Long
DBT
CORP
US
N
2
2029-10-24
Fixed
6.48400000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
90000.00000000
PA
USD
86197.66000000
0.039925484645
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAW2
40000.00000000
PA
USD
39967.83000000
0.018512509306
Long
DBT
CORP
US
N
2
2033-05-01
Fixed
4.90000000
N
N
N
N
N
N
OGLETHORPE POWER CORP
3EERXCUSWMS9GV5D9M98
Oglethorpe Power Corp
677050AN6
185000.00000000
PA
USD
170639.06000000
0.079037495563
Long
DBT
CORP
US
N
2
2048-10-01
Fixed
5.05000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CD2
700000.00000000
PA
USD
544640.81000000
0.252269589414
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCA6
65000.00000000
PA
USD
43596.25000000
0.020193139929
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
3.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK40
06541LBG0
850000.00000000
PA
USD
757894.77000000
0.351045678063
Long
ABS-MBS
CORP
US
N
2
2064-03-15
Variable
3.39347600
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BU8
165000.00000000
PA
USD
183242.35000000
0.084875153585
Long
DBT
CORP
US
N
2
2034-10-20
Fixed
6.87500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAS9
150000.00000000
PA
USD
157953.23000000
0.073161606231
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
6.10000000
N
N
N
N
N
N
Airbus SE
MINO79WLOO247M1IL051
Airbus SE
009279100
90480.00000000
NS
USD
3489813.60000000
1.616430182684
Long
EC
CORP
FR
N
1
N
N
N
Aon PLC
635400FALWQYX5E6QC64
Aon PLC
000000000
7118.00000000
NS
USD
2071480.36000000
0.959479147179
Long
EC
CORP
US
N
1
N
N
N
BlackRock Liquidity FedFund
549300T8K043VZEOVK74
BlackRock Liquidity FedFund
09248U700
850658.00000000
NS
USD
850658.00000000
0.394012237886
Long
STIV
RF
US
N
1
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062X103
2301.00000000
NS
USD
595429.77000000
0.275794286519
Long
EC
CORP
US
N
1
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCD3
255000.00000000
PA
USD
267006.50000000
0.123673472294
Long
DBT
CORP
US
N
2
2033-01-31
Fixed
5.35000000
N
N
N
N
N
N
Schlumberger NV
213800ZUA17OK3QLGM62
Schlumberger NV
806857108
15589.00000000
NS
USD
811251.56000000
0.375759756146
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKC2
330000.00000000
PA
USD
261543.74000000
0.121143202441
Long
DBT
CORP
US
N
2
2036-09-21
Fixed
2.48200000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLC1
300000.00000000
PA
USD
313129.17000000
0.145036812701
Long
DBT
CORP
US
N
2
2028-11-10
Fixed
6.20400000
N
N
N
N
N
N
iShares MSCI Emerging Markets Asia ETF
549300QNROXHZ53JWF91
iShares MSCI Emerging Markets Asia ETF
464286426
13048.00000000
NS
USD
862603.28000000
0.399545115382
Long
EC
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HQV7
16701.38000000
PA
USD
17233.34000000
0.007982228885
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPYY8
361816.98000000
PA
USD
350838.51000000
0.162503222754
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBR5
125000.00000000
PA
USD
129977.28000000
0.060203558853
Long
DBT
CORP
CA
N
2
2033-03-08
Fixed
5.70000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAT6
234000.00000000
PA
USD
189309.35000000
0.087685298493
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEV3
88000.00000000
PA
USD
92231.31000000
0.042720182325
Long
DBT
CORP
US
N
2
2028-10-18
Fixed
6.29600000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
80000.00000000
PA
USD
53295.42000000
0.024685652404
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
APPALACHIAN POWER CO
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735DA2
280000.00000000
PA
USD
269725.62000000
0.124932928569
Long
DBT
CORP
US
N
2
2032-08-01
Fixed
4.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCZ2
675000.00000000
PA
USD
518509.28000000
0.240165850174
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
TSMC GLOBAL LTD
549300N2ZLI21P85T117
TSMC Global Ltd
872882AJ4
600000.00000000
PA
USD
535541.52000000
0.248054932506
Long
DBT
CORP
VG
N
2
2028-04-23
Fixed
1.75000000
N
N
N
N
N
N
NVIDIA Corp
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066G104
5906.00000000
NS
USD
2924769.32000000
1.354710006929
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNVR1
726007.91000000
PA
USD
689533.93000000
0.319381945338
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVKT1
262575.16000000
PA
USD
253329.00000000
0.117338256045
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBS8
195000.00000000
PA
USD
196921.61000000
0.091211185040
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.74900000
N
N
N
N
N
N
NATIONAL SECS CLEARING
549300RYC9NELN2ICA34
National Securities Clearing Corp
637639AB1
350000.00000000
PA
USD
335752.55000000
0.155515628609
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
1.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FBC1
250000.00000000
PA
USD
254594.90000000
0.117924602253
Long
DBT
CORP
US
N
2
2026-12-04
Fixed
5.48800000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBL2
175000.00000000
PA
USD
124735.19000000
0.057775500089
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179X2L9
521849.40000000
PA
USD
525690.37000000
0.243492025136
Long
ABS-MBS
USGA
US
N
2
2053-05-20
Fixed
5.50000000
N
N
N
N
N
N
Vertex Pharmaceuticals Inc
54930015RAQRRZ5ZGJ91
Vertex Pharmaceuticals Inc
92532F100
3786.00000000
NS
USD
1540485.54000000
0.713530179045
Long
EC
CORP
US
N
1
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833100
26343.00000000
NS
USD
5071817.79000000
2.349191187985
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R08
20755CAA6
671291.22000000
PA
USD
672762.69000000
0.311613754356
Long
ABS-MBS
CORP
US
N
2
2043-10-25
Floating
6.83743000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
139000.00000000
PA
USD
127822.06000000
0.059205292740
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEV0
342000.00000000
PA
USD
339955.18000000
0.157462224834
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
4.50000000
N
N
N
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
17351.00000000
NS
USD
2812076.57000000
1.302512387414
Long
EC
CORP
US
N
1
N
N
N
AUTODESK INC
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769AG1
500000.00000000
PA
USD
451088.15000000
0.208937377260
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
2.85000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
400000.00000000
PA
USD
405248.88000000
0.187705303552
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
Howmet Aerospace Inc
549300HO5WFZUT5N2T22
Howmet Aerospace Inc
443201108
42355.00000000
NS
USD
2292252.60000000
1.061737592224
Long
EC
CORP
US
N
1
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAG2
600000.00000000
PA
USD
489514.86000000
0.226736062515
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B24 Mortgage Trust
08163CBC2
750000.00000000
PA
USD
610532.78000000
0.282789777972
Long
ABS-MBS
CORP
US
N
2
2054-03-15
Fixed
2.58430000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYU64
798900.38000000
PA
USD
686867.38000000
0.318146838711
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TT5
885000.00000000
PA
USD
894818.01000000
0.414466503131
Long
DBT
UST
US
N
2
2053-08-15
Fixed
4.12500000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJP6
130000.00000000
PA
USD
135792.11000000
0.062896902337
Long
DBT
CORP
US
N
2
2027-10-26
Fixed
6.78700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B0SH7
171037.00000000
PA
USD
147157.93000000
0.068161382508
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
110000.00000000
PA
USD
87240.64000000
0.040408577596
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48400000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAF8
337000.00000000
PA
USD
331065.67000000
0.153344734927
Long
DBT
CORP
US
N
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DJ6
35000.00000000
PA
USD
36335.94000000
0.016830271431
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
6.36100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXK3
800461.29000000
PA
USD
657195.05000000
0.304403053140
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWF2
329056.32000000
PA
USD
292618.17000000
0.135536420051
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B32 Mortgage Trust
08163NBQ7
125000.00000000
PA
USD
85601.68000000
0.039649435500
Long
ABS-MBS
CORP
US
N
2
2055-01-15
Variable
3.45419900
N
N
N
N
N
N
AutoZone Inc
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332102
935.00000000
NS
USD
2417545.35000000
1.119771345881
Long
EC
CORP
US
N
1
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
850658.00000000
NS
USD
850658.00000000
0.394012237886
Long
STIV
RF
US
N
1
N
N
N
CME Group Inc
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572Q105
8585.00000000
NS
USD
1808001.00000000
0.837439394105
Long
EC
CORP
US
N
1
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CB3
53000.00000000
PA
USD
37391.07000000
0.017318992083
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
3.50000000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAL7
235000.00000000
PA
USD
206954.35000000
0.095858202219
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS47
64307.38000000
PA
USD
60015.38000000
0.027798238753
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJN2
1905000.00000000
PA
USD
1949648.44000000
0.903048398928
Long
DBT
UST
US
N
2
2028-11-30
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAB5
250000.00000000
PA
USD
250390.13000000
0.115977014811
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
7.23743000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371HHK7
9117.20000000
PA
USD
9276.93000000
0.004296937135
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XK2J8
204904.66000000
PA
USD
204534.95000000
0.094737571827
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.50000000
N
N
N
N
N
N
Zebra Technologies Corp
PO0I32GKZ3HZMMDPZZ08
Zebra Technologies Corp
989207105
8101.00000000
NS
USD
2214246.33000000
1.025606238599
Long
EC
CORP
US
N
1
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDV7
135000.00000000
PA
USD
128644.54000000
0.059586253344
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EV98
386585.09000000
PA
USD
392524.47000000
0.181811544533
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDRM0
97548.90000000
PA
USD
83325.11000000
0.038594961856
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DY71
218100.49000000
PA
USD
186943.68000000
0.086589555045
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.00000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CU1
245000.00000000
PA
USD
258103.87000000
0.119549905397
Long
DBT
CORP
DE
N
2
2029-11-20
Fixed
6.81900000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJA0
1105000.00000000
PA
USD
1140739.90000000
0.528373895084
Long
DBT
UST
US
N
2
2028-09-30
Fixed
4.62500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B33 Mortgage Trust
08163PBN9
50000.00000000
PA
USD
34691.68000000
0.016068674452
Long
ABS-MBS
CORP
US
N
2
2055-03-15
Variable
3.61474000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TW8
105000.00000000
PA
USD
112661.72000000
0.052183246876
Long
DBT
UST
US
N
2
2043-11-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XMLN4
331427.40000000
PA
USD
298984.30000000
0.138485117562
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
2.00000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816109
10013.00000000
NS
USD
1875835.42000000
0.868859296850
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPK49
73966.48000000
PA
USD
70599.85000000
0.032700809130
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EM23
349221.24000000
PA
USD
355387.75000000
0.164610363618
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
Blackstone Inc
5299004LW4QWGZUB8Y96
Blackstone Inc
09260D107
14078.00000000
NS
USD
1843091.76000000
0.853692916527
Long
EC
CORP
US
N
1
N
N
N
Fidelity Government Portfolio
549300FQDFZGLUOCWN51
Fidelity Government Portfolio
316175108
850658.00000000
NS
USD
850658.00000000
0.394012237886
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ASNS1
282712.28000000
PA
USD
272942.42000000
0.126422902880
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388KCX8
12621.75000000
PA
USD
13022.04000000
0.006031616845
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3C3
75000.00000000
PA
USD
64852.84000000
0.030038878869
Long
DBT
CORP
US
N
2
2028-08-19
Fixed
1.98500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EP38
234394.15000000
PA
USD
235341.69000000
0.109006799377
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
5.50000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EH9
55000.00000000
PA
USD
48769.22000000
0.022589183328
Long
DBT
CORP
US
N
2
2028-08-05
Fixed
1.40000000
N
N
N
N
N
N
NORTHWESTERN MUTUAL LIFE
1DU7IM20QESYGDO4HO54
Northwestern Mutual Life Insurance Co/The
668138AA8
500000.00000000
PA
USD
401562.65000000
0.185997896191
Long
DBT
CORP
US
N
2
2047-09-30
Fixed
3.85000000
N
N
N
N
N
N
MERCEDES-BENZ FIN NA
549300423Z16BB673J12
Mercedes-Benz Finance North America LLC
58769JAL1
300000.00000000
PA
USD
306012.87000000
0.141740647511
Long
DBT
CORP
US
N
2
2028-08-03
Fixed
5.10000000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK40
06541LBU9
100000.00000000
PA
USD
77583.28000000
0.035935430896
Long
ABS-MBS
CORP
US
N
2
2064-03-15
Variable
3.39347600
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DQ0
40000.00000000
PA
USD
41138.48000000
0.019054737118
Long
DBT
CORP
US
N
2
2030-03-02
Fixed
5.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PW2
285000.00000000
PA
USD
299639.65000000
0.138788666016
Long
DBT
UST
US
N
2
2038-02-15
Fixed
4.37500000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAW1
124000.00000000
PA
USD
101064.85000000
0.046811747753
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.10000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TF5
1160000.00000000
PA
USD
890526.55000000
0.412478762161
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNGF4
622511.65000000
PA
USD
532119.29000000
0.246469806050
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQUN3
148306.44000000
PA
USD
149710.83000000
0.069343848131
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA/Cleveland OH
49327M3F9
280000.00000000
PA
USD
279998.40000000
0.129691128736
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPZK7
169263.48000000
PA
USD
170434.55000000
0.078942769548
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XW4R1
594317.22000000
PA
USD
554622.89000000
0.256893141629
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
225000.00000000
PA
USD
183142.58000000
0.084828941593
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNMY6
22742.35000000
PA
USD
22055.85000000
0.010215944383
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617446448
17499.00000000
NS
USD
1631781.75000000
0.755817236844
Long
EC
CORP
US
N
1
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAR0
115000.00000000
PA
USD
102269.91000000
0.047369913769
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
3.12500000
N
N
N
N
N
N
BMO 2022-C1 Mortgage Trust
N/A
BMO 2022-C1 Mortgage Trust
05609MCC7
500000.00000000
PA
USD
443763.85000000
0.205544869538
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Variable
3.37400000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP Texas Inc
00108WAR1
30000.00000000
PA
USD
30481.75000000
0.014118696975
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.40000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
120000.00000000
PA
USD
114333.60000000
0.052957637031
Long
DBT
CORP
US
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
620000.00000000
PA
823830.45000000
0.381586112448
Long
DBT
NUSS
GB
Y
2
2028-06-07
Fixed
4.50000000
N
N
N
N
N
N
Aptiv PLC
N/A
Aptiv PLC
000000000
23060.00000000
NS
USD
2068943.20000000
0.958303972091
Long
EC
CORP
IE
N
1
N
N
N
Bank
N/A
BANK 2022-BNK39
06539VBB3
45000.00000000
PA
USD
30685.37000000
0.014213010756
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Variable
3.27001400
N
N
N
N
N
N
iShares MSCI China ETF
549300Q0IWAYMYXW0R77
iShares MSCI China ETF
46429B671
18670.00000000
NS
USD
760615.80000000
0.352306019022
Long
EC
RF
US
N
1
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAF9
245000.00000000
PA
USD
244795.23000000
0.113385539660
Long
DBT
CORP
US
N
2
2032-09-12
Fixed
5.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EK2
60000.00000000
PA
USD
41314.24000000
0.019136146558
Long
DBT
CORP
US
N
2
2051-08-05
Fixed
2.70000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJF9
5450000.00000000
PA
USD
5690140.63000000
2.635589206842
Long
DBT
UST
US
N
2
2028-10-31
Fixed
4.87500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.41.V1
000000000
1.00000000
NC
USD
-47519.63000000
-0.02201039167
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.41.V1
Y
Default Event
2028-12-20
0.00000000
USD
-43352.57000000
USD
792000.00000000
USD
-4167.06000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQSQ9
123884.63000000
PA
USD
125394.33000000
0.058080804014
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWE66
394340.69000000
PA
USD
382375.37000000
0.177110631118
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150BC7
90000.00000000
PA
USD
92855.96000000
0.043009510991
Long
DBT
CORP
US
N
2
2029-08-21
Fixed
6.20800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EJ68
1230333.02000000
PA
USD
1193001.52000000
0.552580706578
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBU3
40000.00000000
PA
USD
40346.34000000
0.018687829555
Long
DBT
CORP
US
N
2
2033-02-13
Fixed
4.81200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJB8
40000.00000000
PA
USD
40411.72000000
0.018718112606
Long
DBT
UST
US
N
2
2025-09-30
Fixed
5.00000000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JR2
350000.00000000
PA
USD
302921.78000000
0.140308900218
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.20000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFJ9
80000.00000000
PA
USD
88615.88000000
0.041045568478
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
6.62700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XFJ0
216950.31000000
PA
USD
215690.61000000
0.099904708986
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
5.00000000
N
N
N
N
N
N
Allstate Corp/The
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002101
14645.00000000
NS
USD
2050007.10000000
0.949533049890
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPZH4
139524.17000000
PA
USD
142047.05000000
0.065794098281
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TQ1
1475000.00000000
PA
USD
1406896.45000000
0.651653683076
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.87500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
140000.00000000
PA
USD
145093.73000000
0.067205275516
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DR8
266000.00000000
PA
USD
272808.48000000
0.126360863847
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHBG1
568021.51000000
PA
USD
507347.78000000
0.234996008013
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824100
17035.00000000
NS
USD
1875042.45000000
0.868492004843
Long
EC
CORP
US
N
1
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ADC6
35000.00000000
PA
USD
37138.49000000
0.017202000753
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.75000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBZ7
40000.00000000
PA
USD
46575.60000000
0.021573130902
Long
DBT
CORP
CA
N
2
2053-11-15
Fixed
6.70000000
N
N
N
N
N
N
iShares Latin America 40 ETF
549300LU9LZBB8WGN795
iShares Latin America 40 ETF
464287390
18595.00000000
NS
USD
540370.70000000
0.250291737449
Long
EC
RF
US
N
1
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
75524KPT5
250000.00000000
PA
USD
243974.88000000
0.113005565640
Long
DBT
CORP
US
N
2
2025-10-24
Fixed
6.06400000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AH3
235000.00000000
PA
USD
229601.42000000
0.106347990985
Long
DBT
CORP
US
N
2
N/A
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJZY2
55521.93000000
PA
USD
51816.51000000
0.024000643107
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
FELLS POINT FUNDING TR
N/A
Fells Point Funding Trust
314382AA0
165000.00000000
PA
USD
155593.23000000
0.072068489042
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
3.04600000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBG6
410000.00000000
PA
USD
405292.05000000
0.187725299260
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
Progressive Corp/The
529900TACNVLY9DCR586
Progressive Corp/The
743315103
10277.00000000
NS
USD
1636920.56000000
0.758197457835
Long
EC
CORP
US
N
1
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64953BBF4
230000.00000000
PA
USD
235248.55000000
0.108963658303
Long
DBT
CORP
US
N
2
2026-09-18
Fixed
5.45000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B33 Mortgage Trust
08163PBM1
50000.00000000
PA
USD
38070.70000000
0.017633786674
Long
ABS-MBS
CORP
US
N
2
2055-03-15
Variable
3.61474000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK36
06540DBH7
860000.00000000
PA
USD
720794.81000000
0.333861523837
Long
ABS-MBS
CORP
US
N
2
2064-09-15
Fixed
2.47000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EHF0
319585.28000000
PA
USD
306395.45000000
0.141917852924
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBX2
306000.00000000
PA
USD
226922.68000000
0.105107238130
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
20735.00000000
NS
USD
2406711.45000000
1.114753243208
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLK9
56307.92000000
PA
USD
48560.04000000
0.022492294238
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B32 Mortgage Trust
08163NBP9
100000.00000000
PA
USD
72754.53000000
0.033698825123
Long
ABS-MBS
CORP
US
N
2
2055-01-15
Variable
3.20210000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VBD2
111000.00000000
PA
USD
113586.93000000
0.052611790500
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.60000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BG7
180000.00000000
PA
USD
191392.45000000
0.088650159687
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
6.10000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAQ5
250000.00000000
PA
USD
263405.25000000
0.122005426415
Long
DBT
CORP
US
N
2
2033-10-15
Fixed
6.95000000
N
N
N
N
N
N
ATHENE HOLDING LTD
549300H316CT32FQXI76
Athene Holding Ltd
04686JAE1
150000.00000000
PA
USD
101104.56000000
0.046830140839
Long
DBT
CORP
BM
N
2
2052-05-15
Fixed
3.45000000
N
N
N
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
12575.00000000
NS
USD
1842740.50000000
0.853530218076
Long
EC
CORP
US
N
1
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGJ4
1790000.00000000
PA
USD
1751088.44000000
0.811078335807
Long
DBT
UST
US
N
2
2030-01-31
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJP7
890000.00000000
PA
USD
898830.49000000
0.416325024681
Long
DBT
UST
US
N
2
2026-12-15
Fixed
4.37500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFE0
25000.00000000
PA
USD
25009.20000000
0.011583892539
Long
DBT
CORP
US
N
2
2034-04-21
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AAJQ8
265136.86000000
PA
USD
246723.11000000
0.114278505238
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
3.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBL4
205000.00000000
PA
USD
178441.53000000
0.082651484576
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.46900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QQPB5
327804.29000000
PA
USD
330443.18000000
0.153056406741
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-20.00000000
NC
USD
-85742.49000000
-0.03971465661
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
-2274570.11000000
USD
-85742.49000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHC8
1540000.00000000
PA
USD
1478400.00000000
0.684773072716
Long
DBT
UST
US
N
2
2033-05-15
Fixed
3.37500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B32 Mortgage Trust
08163NBJ3
1000000.00000000
PA
USD
816186.00000000
0.378045315968
Long
ABS-MBS
CORP
US
N
2
2055-01-15
Variable
3.00190000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBH1
35000.00000000
PA
USD
32149.71000000
0.014891271444
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
3.27600000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
160000.00000000
PA
USD
108913.95000000
0.050447335094
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWHE6
1492883.88000000
PA
USD
1476923.01000000
0.684088952735
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659BC4
260000.00000000
PA
USD
175978.76000000
0.081510765840
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
2.85000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHT1
695000.00000000
PA
USD
694348.44000000
0.321611955353
Long
DBT
UST
US
N
2
2033-08-15
Fixed
3.87500000
N
N
N
N
N
N
HCA Healthcare Inc
529900PH4ZGUH2MNEU89
HCA Healthcare Inc
40412C101
13387.00000000
NS
USD
3623593.16000000
1.678394901548
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
850658.00000000
NS
USD
850658.00000000
0.394012237886
Long
STIV
RF
US
N
1
N
N
N
Freddie Mac - STACR
529900ZTXRUUVE8G8W08
Freddie Mac Stacr Remic Trust 2023-Hqa3
35564K3F4
148828.21000000
PA
USD
149890.44000000
0.069427040834
Long
ABS-MBS
CORP
US
N
2
2043-11-25
Floating
7.18743000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJJ1
2085000.00000000
PA
USD
2189575.89000000
1.014179254695
Long
DBT
UST
US
N
2
2033-11-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387XT70
16846.40000000
PA
USD
17380.67000000
0.008050469968
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DP2
295000.00000000
PA
USD
302128.00000000
0.139941233031
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
N
N
N
Vanguard Russell 2000 ETF
N/A
Vanguard Russell 2000 ETF
92206C664
54980.00000000
NS
USD
4458878.00000000
2.065286518485
Long
EC
RF
US
N
1
N
N
N
Freddie Mac - STACR
5493000ISM9M3KNO6J64
Freddie Mac STACR REMIC Trust 2021-HQA2
35564KFV6
500000.00000000
PA
USD
492439.65000000
0.228090782100
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
7.38743000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMJG1
33420.22000000
PA
USD
29814.22000000
0.013809506926
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
Crown Holdings Inc
NYLWZIOY8PUNIT4JOE22
Crown Holdings Inc
228368106
16146.00000000
NS
USD
1486885.14000000
0.688703264403
Long
EC
CORP
US
N
1
N
N
N
AMERICAN INTERNATIONAL
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DS3
205000.00000000
PA
USD
208170.55000000
0.096421528120
Long
DBT
CORP
US
N
2
2033-03-27
Fixed
5.12500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
60000.00000000
PA
USD
48789.38000000
0.022598521143
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95300000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B25 Mortgage Trust
08163DAE7
1000000.00000000
PA
USD
805810.60000000
0.373239583732
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Fixed
2.57700000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBJ2
230000.00000000
PA
USD
234402.32000000
0.108571697049
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.95000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBS8
190000.00000000
PA
USD
157222.00000000
0.072822911281
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.30000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
18.00000000
NC
USD
45595.32000000
0.021119079665
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2024-03-19
1986436.02000000
USD
45595.32000000
N
N
N
Sherwin-Williams Co/The
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348106
7275.00000000
NS
USD
2269072.50000000
1.051000911825
Long
EC
CORP
US
N
1
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJK7
68000.00000000
PA
USD
66968.00000000
0.031018589781
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.65300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WTZ1
162211.35000000
PA
USD
146824.70000000
0.068007035287
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
3.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAX9
170000.00000000
PA
USD
169069.52000000
0.078310507787
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.20000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCB7
155000.00000000
PA
USD
114988.69000000
0.053261065056
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
3.30000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
290000.00000000
PA
USD
275082.92000000
0.127414350906
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBF0
94000.00000000
PA
USD
91959.70000000
0.042594376579
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.62500000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BJ1
25000.00000000
PA
USD
25899.33000000
0.011996187625
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
5.65000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJC6
275000.00000000
PA
USD
279114.25000000
0.129281603498
Long
DBT
UST
US
N
2
2026-10-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132E0DY5
278028.79000000
PA
USD
281497.59000000
0.130385531430
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XH5W3
103555.35000000
PA
USD
88484.39000000
0.040984664250
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABF4
80000.00000000
PA
USD
74007.75000000
0.034279298141
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAV3
80000.00000000
PA
USD
72221.29000000
0.033451836220
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
1.05000000
N
N
N
N
N
N
JEFFERIES FIN GROUP INC
549300HOF34RGOJ5YL07
Jefferies Financial Group Inc
47233WBM0
211000.00000000
PA
USD
216486.65000000
0.100273422972
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
5.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BS3Q4
232362.54000000
PA
USD
217400.32000000
0.100696621439
Long
ABS-MBS
USGSE
US
N
2
2045-06-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ET67
542024.95000000
PA
USD
544411.54000000
0.252163394932
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
AUTODESK INC
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769AH9
60000.00000000
PA
USD
51362.65000000
0.023790421850
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387BRK1
8274.48000000
PA
USD
8327.29000000
0.003857077895
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EPB0
1102117.29000000
PA
USD
1068676.19000000
0.494995047595
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
4.50000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
31797.00000000
NS
USD
11956943.88000000
5.538280033150
Long
EC
CORP
US
N
1
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAS0
182000.00000000
PA
USD
120346.19000000
0.055742580029
Long
DBT
CORP
US
N
2
2033-04-29
Fixed
4.57000000
Y
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPYT9
336742.12000000
PA
USD
318578.08000000
0.147560667438
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECD5
200000.00000000
PA
USD
213860.62000000
0.099057084612
Long
DBT
CORP
GB
N
2
2028-11-02
Fixed
7.38500000
N
N
N
N
N
N
2024-02-21
Ivy Variable Insurance Portfolio
Dan Geatens
Dan Geatens
Division Director - Head of US Fund Administration