Form NPORT-P NORTHWESTERN MUTUAL SERI For: Mar 31

May 24, 2022 1:40 PM EDT

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      NORTHWESTERN MUTUAL SERIES FUND INC
      811-03990
      0000742212
      549300T1UBX7MDSNZA55
      720 E WISCONSIN AVE
      MILWAUKEE
      
      53202
      414-271-1444
      Inflation Protection Portfolio
      S000018228
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      2022-12-31
      2022-03-31
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          USD
          
          
        
      
      
      
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        DNB BANK ASA
        549300GKFG0RYRRQ1414
        DNB Bank ASA
        25601B2D6
        
          
        
        1010000.00000000
        PA
        USD
        1008991.93000000
        0.202450911354
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2025-03-28
          Fixed
          2.97000000
          N
          N
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        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEF8
        
          
        
        352000.00000000
        PA
        USD
        301785.09000000
        0.060552185490
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-16
          Fixed
          2.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Global SC Finance VII SRL
        549300JZYOMTAKV6RT73
        Global SC Finance VII Srl
        37959PAG2
        
          
        
        773230.78000000
        PA
        USD
        721470.40000000
        0.144760662253
        Long
        ABS-O
        CORP
        BB
        N
        
        2
        
          2041-08-17
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: SWT000127 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000127 IRS USD P F  1.87000 INFLATION
        000000000
        
          
        
        8500000.00000000
        OU
        Notional Amount
        USD
        1318874.96000000
        0.264627921865
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-05-23
            0.00000000
            USD
            0.00000000
            USD
            8500000.00000000
            USD
            1318874.96000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCB0
        
          
        
        330000.00000000
        PA
        USD
        307354.73000000
        0.061669715433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-22
          Fixed
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659T2A8
        
          
        
        460000.00000000
        PA
        USD
        456389.75000000
        0.091573101898
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2033-03-01
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS EDISON GROCERY
        549300WUPIVS6ZE0ZI51
        Phillips Edison Grocery Center Operating Partnership I LP
        71845JAA6
        
          
        
        240000.00000000
        PA
        USD
        211952.92000000
        0.042527656111
        Long
        DBT
        
        US
        N
        
        2
        
          2031-11-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FS KKR CAPITAL C
        549300TYRSI1T21B1360
        FS KKR Capital Corp
        30313RAA7
        
          
        
        128000.00000000
        PA
        USD
        125922.00000000
        0.025265835039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810TE8
        
          
        
        851207.00000000
        PA
        USD
        881631.00000000
        0.176896359744
        Long
        DBT
        UST
        US
        N
        
        2
        
          2052-02-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RFW7
        
          
        
        450000.00000000
        PA
        USD
        495505.45000000
        0.099421538419
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QORVO INC
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74736KAJ0
        
          
        
        335000.00000000
        PA
        USD
        304632.25000000
        0.061123458777
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000105 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000105 IRS USD P F  2.76250 INFLATION
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        USD
        -19123.31000000
        -0.00383702923
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2023-03-21
            0.00000000
            USD
            0.00000000
            USD
            700000.00000000
            USD
            -19123.31000000
          
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397XU2
        
          
        
        300000.00000000
        PA
        USD
        299223.00000000
        0.060038110560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-08
          Fixed
          4.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83367TBG3
        
          
        
        1180000.00000000
        PA
        USD
        1202530.34000000
        0.241283756615
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-01-17
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Treman Park CLO Ltd
        549300E4DX3Q8L455K94
        Treman Park CLO Ltd
        89473LAH7
        
          
        
        736847.23000000
        PA
        USD
        735189.85000000
        0.147513424761
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-10-20
          Floating
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A3C3
        
          
        
        364000.00000000
        PA
        USD
        319777.65000000
        0.064162333462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-19
          Fixed
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        5493002P75UIPU4MC757
        Dryden 43 Senior Loan Fund
        26245CBN2
        
          
        
        2000000.00000000
        PA
        USD
        1913918.22000000
        0.384021394400
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Fixed
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2017-1
        46648CAB0
        
          
        
        338150.07000000
        PA
        USD
        329649.45000000
        0.066143077655
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-25
          Variable
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: SWT000130 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000130 IRS USD P F  2.24500 INFLATION
        000000000
        
          
        
        3000000.00000000
        OU
        Notional Amount
        USD
        337702.17000000
        0.067758829431
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-11-15
            0.00000000
            USD
            0.00000000
            USD
            3000000.00000000
            USD
            337702.17000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810SM1
        
          
        
        6034795.20000000
        PA
        USD
        6329580.82000000
        1.270009568365
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-02-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Discover Bank
        X05BVSK68TQ7YTOSNR22
        Discover Bank
        25466AAN1
        
          
        
        1705000.00000000
        PA
        USD
        1728958.95000000
        0.346909925357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-09
          Fixed
          4.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2V4
        
          
        
        437000.00000000
        PA
        USD
        436122.36000000
        0.087506516770
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-24
          Fixed
          3.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CCM1
        
          
        
        5767850.00000000
        PA
        USD
        6134085.92000000
        1.230784159822
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCHE HOLDINGS INC
        PVJRP0EQNV6OGDPZGY95
        Roche Holdings Inc
        771196BV3
        
          
        
        1270000.00000000
        PA
        USD
        1232618.12000000
        0.247320770688
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-03-10
          Fixed
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSPECT CAPITAL CORP
        549300FSD8T39P5Q0O47
        Prospect Capital Corp
        74348TAW2
        
          
        
        159000.00000000
        PA
        USD
        135779.26000000
        0.027243661829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          3.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Blackbird Capital Aircraft
        N/A
        Blackbird Capital Aircraft
        09229CAA7
        
          
        
        956845.20000000
        PA
        USD
        874058.47000000
        0.175376956512
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-07-15
          Fixed
          2.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-VIVA
        12433XAG4
        
          
        
        2014962.00000000
        PA
        USD
        1806569.79000000
        0.362482285078
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-11
          Variable
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-VOLT
        05609VAN5
        
          
        
        1200000.00000000
        PA
        USD
        1154438.16000000
        0.231634218912
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-15
          Floating
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128287D6
        
          
        
        2087758.00000000
        PA
        USD
        2228600.12000000
        0.447161282389
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-07-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810PS1
        
          
        
        801412.00000000
        PA
        USD
        929653.57000000
        0.186531930429
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-01-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876AAC7
        
          
        
        2108000.00000000
        PA
        USD
        2051769.10000000
        0.411680719968
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-06-25
          Floating
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vanguard Intermediate-Term Corporate Bond ETF
        VKDXEYNPEMWGHJ22MR31
        Vanguard Intermediate-Term Corporate Bond ETF
        92206C870
        
          
        
        94300.00000000
        NS
        USD
        8113572.00000000
        1.627961529626
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBV0
        
          
        
        800000.00000000
        PA
        USD
        792480.57000000
        0.159008619253
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM CORP
        4K8SLPBF5DXXGPW03H93
        SLM Corp
        78442PGE0
        
          
        
        521000.00000000
        PA
        USD
        483227.50000000
        0.096958008144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-02
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAE6
        
          
        
        440000.00000000
        PA
        USD
        461513.67000000
        0.092601199589
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRE Grand Islander Timeshare Issuer
        N/A
        BRE Grand Islander Timeshare Issuer 2017-A LLC
        05584AAA8
        
          
        
        144058.34000000
        PA
        USD
        143102.02000000
        0.028712949533
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-05-25
          Fixed
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JBD9
        
          
        
        745000.00000000
        PA
        USD
        689065.40000000
        0.138258705610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE Funding LLC
        23371DAJ3
        
          
        
        316000.00000000
        PA
        USD
        298463.25000000
        0.059885669222
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-01
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09660KDV6
        
          
        
        8000000.00000000
        PA
        USD
        7996887.36000000
        1.604549140481
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2022-04-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust 2019-OC11
        N/A
        BX Trust 2019-OC11
        05606FAA1
        
          
        
        1850000.00000000
        PA
        USD
        1785927.10000000
        0.358340397240
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-09
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTERPOINT ENERGY INC
        21TPXMRRHFKOBHDC8J74
        CenterPoint Energy Inc
        15189TBB2
        
          
        
        370000.00000000
        PA
        USD
        341294.23000000
        0.068479564453
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERCULES CAPITAL INC
        549300UJ5OC256GR2B73
        Hercules Capital Inc
        427096AH5
        
          
        
        345000.00000000
        PA
        USD
        316849.27000000
        0.063574763649
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-16
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AZ8
        
          
        
        204000.00000000
        PA
        USD
        202500.66000000
        0.040631091238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-17
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BLF03DCI5 IRS USD R V 12MUSCPI SLF03DCI5_INF CCPINFLATIONZERO / Short: BLF03DCI5 IRS USD P F  1.71450 SLF03DCI5_FIX CCPINFLATIONZERO
        000000000
        
          
        
        7400000.00000000
        OU
        Notional Amount
        USD
        892442.74000000
        0.179065699806
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-06-20
            0.00000000
            USD
            -248.23000000
            USD
            7400000.00000000
            USD
            892690.97000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FKZZ2
        
          
        
        3000000.00000000
        PA
        USD
        3154326.90000000
        0.632905315324
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-25
          Fixed
          3.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: SWT000129 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000129 IRS USD P F  1.77000 INFLATION
        000000000
        
          
        
        6000000.00000000
        OU
        Notional Amount
        USD
        990913.62000000
        0.198823557927
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-06-16
            0.00000000
            USD
            0.00000000
            USD
            6000000.00000000
            USD
            990913.62000000
          
        
        
          N
          N
          N
        
      
      
        WENDYS FUNDING LLC
        5493009DRVSTWJOXUL48
        Wendy's Funding LLC
        95058XAL2
        
          
        
        3399312.50000000
        PA
        USD
        3004009.85000000
        0.602744693757
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-06-15
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arroyo Mortgage Trust
        N/A
        Arroyo Mortgage Trust 2021-1R
        042853AB7
        
          
        
        449811.72000000
        PA
        USD
        427910.39000000
        0.085858812006
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          1.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NBH7
        
          
        
        1150000.00000000
        PA
        USD
        1062833.54000000
        0.213254053272
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-10-04
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEMPRA ENERGY
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BN8
        
          
        
        507000.00000000
        PA
        USD
        507802.83000000
        0.101888967260
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust 2019-OC11
        N/A
        BX Trust 2019-OC11
        05606FAJ2
        
          
        
        1350000.00000000
        PA
        USD
        1279350.72000000
        0.256697513137
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-09
          Fixed
          3.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rockford Tower CLO Ltd
        N/A
        Rockford Tower CLO 2020-1 Ltd
        77341EAC9
        
          
        
        1350000.00000000
        PA
        USD
        1345601.97000000
        0.269990608495
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASSURED GUARANTY US HLDG
        5493007YCE0652G9TZ64
        Assured Guaranty US Holdings Inc
        04621WAE0
        
          
        
        305000.00000000
        PA
        USD
        263136.93000000
        0.052797559331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-09-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SG Capital Partners
        N/A
        SG Residential Mortgage Trust 2021-1
        784212AC6
        
          
        
        946777.09000000
        PA
        USD
        897224.48000000
        0.180025140206
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-07-25
          Variable
          1.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CAQ4
        
          
        
        7312005.00000000
        PA
        USD
        7664323.65000000
        1.537821326144
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-10-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000125 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000125 IRS USD P F  1.79000 INFLATION
        000000000
        
          
        
        1500000.00000000
        OU
        Notional Amount
        USD
        212466.62000000
        0.042630728326
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2025-08-27
            0.00000000
            USD
            0.00000000
            USD
            1500000.00000000
            USD
            212466.62000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: SWT000128 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000128 IRS USD P F  1.92000 INFLATION
        000000000
        
          
        
        7000000.00000000
        OU
        Notional Amount
        USD
        1049420.82000000
        0.210562835129
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-05-31
            0.00000000
            USD
            0.00000000
            USD
            7000000.00000000
            USD
            1049420.82000000
          
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2020-2
        85573DAU3
        
          
        
        2503000.00000000
        PA
        USD
        2508577.43000000
        0.503337808566
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-04-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AV8
        
          
        
        470000.00000000
        PA
        USD
        508105.47000000
        0.101949690981
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-30
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DM9
        
          
        
        805000.00000000
        PA
        USD
        731984.94000000
        0.146870370113
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-21
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLOCK FINANCIAL LLC
        N/A
        Block Financial LLC
        093662AH7
        
          
        
        530000.00000000
        PA
        USD
        520559.31000000
        0.104448513006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: SWT000112 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000112 IRS USD P F  2.52600 INFLATION
        000000000
        
          
        
        5500000.00000000
        OU
        Notional Amount
        USD
        9358.97000000
        0.001877846541
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2023-05-24
            0.00000000
            USD
            0.00000000
            USD
            5500000.00000000
            USD
            9358.97000000
          
        
        
          N
          N
          N
        
      
      
        US BANCORP
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        91159HJB7
        
          
        
        495000.00000000
        PA
        USD
        443868.02000000
        0.089060657968
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-11-03
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Taco Bell Funding, LLC
        N/A
        Taco Bell Funding LLC
        87342RAJ3
        
          
        
        748125.00000000
        PA
        USD
        648219.64000000
        0.130063138241
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-08-25
          Fixed
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROGERS COMMUNICATIONS IN
        54930030NVF3Y2OL0A78
        Rogers Communications Inc
        775109CA7
        
          
        
        280000.00000000
        PA
        USD
        277978.41000000
        0.055775453468
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71643VAB1
        
          
        
        243000.00000000
        PA
        USD
        230850.00000000
        0.046319293045
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2032-02-16
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000133 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000133 IRS USD P F  2.24000 INFLATION
        000000000
        
          
        
        3500000.00000000
        OU
        Notional Amount
        USD
        379273.02000000
        0.076099883723
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-04-11
            0.00000000
            USD
            0.00000000
            USD
            3500000.00000000
            USD
            379273.02000000
          
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust I LLC 2019-4
        03463UAC1
        
          
        
        93225.59000000
        PA
        USD
        93103.41000000
        0.018680892923
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-26
          Variable
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1765.15000000
        0.000354171540
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            90639.55000000
            USD
            115541.17000000
            CAD
            2022-06-15
            1765.15000000
          
        
        
          N
          N
          N
        
      
      
        AMEREN CORP
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AL6
        
          
        
        1470000.00000000
        PA
        USD
        1376533.20000000
        0.276196858036
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDJ5
        
          
        
        1200000.00000000
        PA
        USD
        1115752.42000000
        0.223872052450
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Residential Mortgage Trust
        N/A
        STAR 2021-1 Trust
        85573GAA0
        
          
        
        1269065.22000000
        PA
        USD
        1243081.24000000
        0.249420161295
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          1.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TJX4
        
          
        
        868000.00000000
        PA
        USD
        867966.22000000
        0.174154566592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-22
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300UP5H2PFBIITY41
        Palmer Square CLO 2014-1 Ltd
        69688XAS0
        
          
        
        1750000.00000000
        PA
        USD
        1740429.50000000
        0.349211453479
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-17
          Floating
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: SWT000113 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000113 IRS USD P F  2.53500 INFLATION
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        1179.17000000
        0.000236596581
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2023-05-28
            0.00000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            1179.17000000
          
        
        
          N
          N
          N
        
      
      
        Progress Residential Trust
        N/A
        Progress Residential 2021-SFR8 Trust
        74333TAJ8
        
          
        
        550000.00000000
        PA
        USD
        485203.95000000
        0.097354576334
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-10-17
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2020-NQM
        64830UAB1
        
          
        
        1383000.00000000
        PA
        USD
        1352432.38000000
        0.271361107790
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-05-24
          Variable
          2.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDK5
        
          
        
        395000.00000000
        PA
        USD
        413579.56000000
        0.082983378112
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-03-09
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CCA7
        
          
        
        4179903.00000000
        PA
        USD
        4368978.32000000
        0.876621126765
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-04-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300XSCWZTP19VRZ67
        Magnetite Xxix Ltd
        55955KAC8
        
          
        
        1650000.00000000
        PA
        USD
        1625301.40000000
        0.326111378964
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-15
          Floating
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage Trust
        N/A
        Deephaven Residential Mortgage Trust 2020-2
        24380NAC3
        
          
        
        1474000.00000000
        PA
        USD
        1465816.20000000
        0.294111198261
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Angel Oak Mortgage Trust
        N/A
        Angel Oak Mortgage Trust 2019-6
        03464VAC8
        
          
        
        380343.22000000
        PA
        USD
        379952.65000000
        0.076236249247
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDH2
        
          
        
        580000.00000000
        PA
        USD
        651776.50000000
        0.130776810499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2021-5
        81748XAD6
        
          
        
        1729928.37000000
        PA
        USD
        1660254.64000000
        0.333124631580
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        13533262.01000000
        NS
        USD
        13533262.01000000
        2.715404500340
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280DA4
        
          
        
        460000.00000000
        PA
        USD
        451010.28000000
        0.090493728940
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RL4
        
          
        
        11757058.50000000
        PA
        USD
        13483417.24000000
        2.705403311219
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-02-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDBANK AB
        M312WZV08Y7LYUC71685
        Swedbank AB
        87020PAQ0
        
          
        
        200000.00000000
        PA
        USD
        200616.40000000
        0.040253020668
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2025-04-04
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH AIR 21-1 A PPT
        N/A
        British Airways 2021-1 Class A Pass Through Trust
        11042CAA8
        
          
        
        404730.16000000
        PA
        USD
        371865.06000000
        0.074613500920
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2035-03-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810QP6
        
          
        
        3299852.79000000
        PA
        USD
        4660462.02000000
        0.935106372242
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-02-15
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-5
        92538KAC7
        
          
        
        1131786.07000000
        PA
        USD
        1041939.80000000
        0.209061793077
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-09-25
          Variable
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FR4
        
          
        
        820121.50000000
        PA
        USD
        910270.80000000
        0.182642841394
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESSENTIAL UTILITIES INC
        549300ILTEOF3E3QY357
        Essential Utilities Inc
        29670GAD4
        
          
        
        370000.00000000
        PA
        USD
        349058.21000000
        0.070037381498
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telefonica Emisiones SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        87938WAW3
        
          
        
        825000.00000000
        PA
        USD
        853054.96000000
        0.171162671328
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2048-03-06
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL6J44N59 IRS USD R V 12MUSCPI SL6J44N59_INF CCPINFLATIONZERO / Short: BL6J44N59 IRS USD P F  1.85750 SL6J44N59_FIX CCPINFLATIONZERO
        000000000
        
          
        
        12700000.00000000
        OU
        Notional Amount
        USD
        1442999.53000000
        0.289533108488
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-08-01
            0.00000000
            USD
            -281.48000000
            USD
            12700000.00000000
            USD
            1443281.01000000
          
        
        
          N
          N
          N
        
      
      
        REXFORD INDUSTRIAL REALT
        549300028US163ELJN70
        Rexford Industrial Realty LP
        76169XAB0
        
          
        
        529000.00000000
        PA
        USD
        459202.44000000
        0.092137458893
        Long
        DBT
        
        US
        N
        
        2
        
          2031-09-01
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE UNIVERSITY HEALTH
        SYIJ9BNVFR17R33OPQ57
        Duke University Health System Inc
        26443CAA1
        
          
        
        268000.00000000
        PA
        USD
        278796.22000000
        0.055939544354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-01
          Fixed
          3.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Firstkey Homes Trust
        N/A
        FirstKey Homes 2020-SFR2 Trust
        33767JAG7
        
          
        
        1300000.00000000
        PA
        USD
        1190080.45000000
        0.238785727144
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-10-19
          Fixed
          1.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAP6
        
          
        
        479000.00000000
        PA
        USD
        425965.74000000
        0.085468624381
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-21
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL3Y3QA14 IRS USD R V 12MUSCPI SL3Y3QA14 _INF CCPINFLATIONZER / Short: BL3Y3QA14 IRS USD P F  2.07250 SL3Y3QA14 _FIX CCPINFLATIONZER
        000000000
        
          
        
        3500000.00000000
        OU
        Notional Amount
        USD
        466907.77000000
        0.093683508009
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-08-29
            0.00000000
            USD
            0.00000000
            USD
            3500000.00000000
            USD
            466907.77000000
          
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AT2
        
          
        
        71000.00000000
        PA
        USD
        67923.47000000
        0.013628620799
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-13
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: SWT000119 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000119 IRS USD P F  2.38500 INFLATION
        000000000
        
          
        
        4000000.00000000
        OU
        Notional Amount
        USD
        173890.48000000
        0.034890552744
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-09-19
            0.00000000
            USD
            0.00000000
            USD
            4000000.00000000
            USD
            173890.48000000
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810PZ5
        
          
        
        936035.10000000
        PA
        USD
        1140152.91000000
        0.228767930496
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cologix Data Centers Issuer LLC
        N/A
        Cologix Canadian Issuer LP
        19521DAD3
        
          
        
        1950000.00000000
        PA
        
        1505172.58000000
        0.302007926433
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2052-01-25
          Fixed
          4.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AON CORP/AON GLOBAL HOLD
        N/A
        Aon Corp / Aon Global Holdings PLC
        03740LAD4
        
          
        
        625000.00000000
        PA
        USD
        611417.14000000
        0.122678837690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-28
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        Mosaic Solar Loan Trust 2021-1
        61947DAA7
        
          
        
        1282304.07000000
        PA
        USD
        1174911.36000000
        0.235742099139
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-12-20
          Fixed
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810SV1
        
          
        
        8798658.50000000
        PA
        USD
        8997659.43000000
        1.805350763969
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-02-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROTECTIVE LIFE GLOBAL
        635400EVYITCJYWL2I50
        Protective Life Global Funding
        74368CBL7
        
          
        
        155000.00000000
        PA
        USD
        154739.14000000
        0.031047899377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-28
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CADILLAC FAIRVIEW PRP TR
        N/A
        Ontario Teachers' Cadillac Fairview Properties Trust
        68327LAD8
        
          
        
        202000.00000000
        PA
        USD
        184867.25000000
        0.037093005532
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2031-10-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL AUSTRALIA BANK
        F8SB4JFBSYQFRQEH3Z21
        National Australia Bank Ltd
        632525AU5
        
          
        
        332000.00000000
        PA
        USD
        288802.45000000
        0.057947261485
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-08-21
          Fixed
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triton Container Finance LLC
        N/A
        Triton Container Finance VIII LLC
        89680HAA0
        
          
        
        1396000.00000000
        PA
        USD
        1286602.46000000
        0.258152550911
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2045-09-20
          Fixed
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHX0
        
          
        
        782000.00000000
        PA
        USD
        741556.67000000
        0.148790906249
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-22
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EX7
        
          
        
        280000.00000000
        PA
        USD
        248793.41000000
        0.049919579231
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2036-11-18
          Fixed
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828Y38
        
          
        
        1679610.00000000
        PA
        USD
        1836811.00000000
        0.368550084376
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-07-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CY3
        
          
        
        1240000.00000000
        PA
        USD
        1296175.22000000
        0.260073293712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-16
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Main Street Capital Corp
        5493001FS9QJLJNF3E20
        Main Street Capital Corp
        56035LAD6
        
          
        
        744000.00000000
        PA
        USD
        759225.36000000
        0.152336070770
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARAMOUNT GLOBAL
        5KYC8KF17ROCY24M3H09
        Paramount Global
        92553PAP7
        
          
        
        350000.00000000
        PA
        USD
        333112.50000000
        0.066837927245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-VOLT
        05609VAQ8
        
          
        
        1400000.00000000
        PA
        USD
        1350361.88000000
        0.270945668777
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-15
          Floating
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBU8
        
          
        
        510000.00000000
        PA
        USD
        473473.61000000
        0.095000922204
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-11-24
          Fixed
          2.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton Grand Vacations Trust
        N/A
        Hilton Grand Vacations Trust 2017-A
        43283AAA3
        
          
        
        535244.37000000
        PA
        USD
        534768.22000000
        0.107299484052
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-26
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBL HOLDINGS INC
        N/A
        SBL Holdings Inc
        78432MAA3
        
          
        
        350000.00000000
        PA
        USD
        353556.70000000
        0.070939988717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-13
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage Trust
        N/A
        Deephaven Residential Mortgage Trust 2021-3
        24381VAC4
        
          
        
        1116633.11000000
        PA
        USD
        1056952.76000000
        0.212074094111
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-08-25
          Variable
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FTBM8
        
          
        
        4000000.00000000
        PA
        USD
        3633532.80000000
        0.729056402659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-25
          Fixed
          1.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAA7
        
          
        
        1000000.00000000
        PA
        USD
        1033841.37000000
        0.207436869740
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-11-19
          Fixed
          5.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extended Stay America Trust
        N/A
        Extended Stay America Trust 2021-ESH
        30227FAL4
        
          
        
        1709478.99000000
        PA
        USD
        1680503.49000000
        0.337187496718
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAMMONS FINANCIAL GROUP
        N/A
        Sammons Financial Group Inc
        79588TAD2
        
          
        
        1565000.00000000
        PA
        USD
        1441674.02000000
        0.289267149268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-16
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2020-1
        92536PAE4
        
          
        
        1284335.78000000
        PA
        USD
        1277091.74000000
        0.256244256231
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FD5
        
          
        
        2606700.00000000
        PA
        USD
        3301497.56000000
        0.662434624088
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-04-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CP2
        
          
        
        714000.00000000
        PA
        USD
        654321.33000000
        0.131287422266
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-11-16
          Fixed
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BLA11X4L8 IRS USD R V 12MUSCPI CCP LCH FLOATING / Short: BLA11X4L8 IRS USD P F  1.62875 CCP LCH FIXED
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        407434.16000000
        0.081750323819
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2030-06-25
            429.48000000
            USD
            0.00000000
            USD
            2000000.00000000
            USD
            407004.68000000
          
        
        
          N
          N
          N
        
      
      
        Golden State Tobacco Securitization Corp
        N/A
        GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT
        38122NB50
        
          
        
        740000.00000000
        PA
        USD
        672357.04000000
        0.134906228143
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2034-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRIGHTHSE FIN GL
        549300BLFX3KJ2IFOA78
        Brighthouse Financial Global Funding
        10921U2E7
        
          
        
        251000.00000000
        PA
        USD
        223393.34000000
        0.044823138747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Global SC Finance SRL
        N/A
        Global SC Finance VII Srl
        37959PAE7
        
          
        
        1504083.22000000
        PA
        USD
        1381756.58000000
        0.277244912049
        Long
        ABS-O
        CORP
        BB
        N
        
        2
        
          2041-04-17
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FS2
        
          
        
        3469543.00000000
        PA
        USD
        3887514.51000000
        0.780016997217
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAFEHOLD OPERATING PARTN
        54930012UY5Z4Q8NL108
        Safehold Operating Partnership LP
        78646UAB5
        
          
        
        533000.00000000
        PA
        USD
        469596.62000000
        0.094223016915
        Long
        DBT
        
        US
        N
        
        2
        
          2032-01-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL ATLANTIC FIN CO
        N/A
        Global Atlantic Fin Co
        37959GAB3
        
          
        
        265000.00000000
        PA
        USD
        237114.05000000
        0.047576154070
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ares Capital Corp
        WEQ82666OJYSI5GUAB47
        Ares Capital Corp
        04010LAU7
        
          
        
        1073000.00000000
        PA
        USD
        1078720.11000000
        0.216441641278
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust 2019-IMC1
        17328BAA2
        
          
        
        222517.90000000
        PA
        USD
        220252.87000000
        0.044193013773
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RA8
        
          
        
        8129824.50000000
        PA
        USD
        9063801.58000000
        1.818621968771
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-02-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2019-4
        81748JAG0
        
          
        
        2500266.55000000
        PA
        USD
        2427394.03000000
        0.487048626435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL0X06YO0 IRS USD R V 12MUSCPI SL0X06YO0_INF CCPINFLATIONZERO / Short: BL0X06YO0 IRS USD P F  1.86000 SL0X06YO0_FIX CCPINFLATIONZERO
        000000000
        
          
        
        7500000.00000000
        OU
        Notional Amount
        USD
        850782.22000000
        0.170706653524
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-07-30
            0.00000000
            USD
            -261.20000000
            USD
            7500000.00000000
            USD
            851043.42000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHD4
        
          
        
        939000.00000000
        PA
        USD
        929510.69000000
        0.186503262027
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-20
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: SWT000121 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000121 IRS USD P F  2.31000 INFLATION
        000000000
        
          
        
        1400000.00000000
        OU
        Notional Amount
        USD
        74360.33000000
        0.014920155582
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-09-30
            0.00000000
            USD
            0.00000000
            USD
            1400000.00000000
            USD
            74360.33000000
          
        
        
          N
          N
          N
        
      
      
        PG&E ENERGY RECOVERY FND
        N/A
        PG&E Energy Recovery Funding LLC
        71710TAC2
        
          
        
        900000.00000000
        PA
        USD
        805035.77000000
        0.161527778829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-07-15
          Fixed
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RR1
        
          
        
        4092528.00000000
        PA
        USD
        4976018.48000000
        0.998421737817
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-02-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates 2019-ICE4
        12653VAC0
        
          
        
        875000.00000000
        PA
        USD
        866187.70000000
        0.173797712405
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES CAPITAL CORP
        WEQ82666OJYSI5GUAB47
        Ares Capital Corp
        04010LAX1
        
          
        
        488000.00000000
        PA
        USD
        491527.45000000
        0.098623365806
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-10
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828Z37
        
          
        
        24634973.00000000
        PA
        USD
        26002406.40000000
        5.217297300980
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-01-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        06279JAB5
        
          
        
        377000.00000000
        PA
        USD
        341437.59000000
        0.068508329166
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-09-30
          Fixed
          2.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BXMT Ltd
        N/A
        BXMT 2020-FL2 LTD
        12434LAE4
        
          
        
        1600000.00000000
        PA
        USD
        1581055.04000000
        0.317233492392
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2038-02-15
          Floating
          1.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828V49
        
          
        
        12101232.00000000
        PA
        USD
        12825415.10000000
        2.573377346535
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-01-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: SWT000120 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000120 IRS USD P F  2.36300 INFLATION
        000000000
        
          
        
        3500000.00000000
        OU
        Notional Amount
        USD
        164056.76000000
        0.032917449177
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-09-29
            0.00000000
            USD
            0.00000000
            USD
            3500000.00000000
            USD
            164056.76000000
          
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co LLC
        N/A
        Sierra Timeshare 2019-3 Receivables Funding LLC
        82652NAB4
        
          
        
        1170259.43000000
        PA
        USD
        1144365.10000000
        0.229613092562
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-08-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust 2015-WIN1
        12649KAP2
        
          
        
        64572.04000000
        PA
        USD
        63416.21000000
        0.012724253908
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-12-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        5493004B26DRJNN0OV17
        GSK Consumer Healthcare Capital UK PLC
        36264NAA2
        
          
        
        1002000.00000000
        PA
        USD
        998882.18000000
        0.200422423276
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-03-24
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade RE 2021-3 Ltd
        078777AB5
        
          
        
        1475000.00000000
        PA
        USD
        1461489.15000000
        0.293242989914
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2031-09-25
          Floating
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810QV3
        
          
        
        9857907.50000000
        PA
        USD
        11255920.55000000
        2.258463428429
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-02-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAT2
        
          
        
        658000.00000000
        PA
        USD
        629863.20000000
        0.126379978944
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-29
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128282L3
        
          
        
        10628435.00000000
        PA
        USD
        11319906.00000000
        2.271301898471
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-07-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHJ4
        
          
        
        1035000.00000000
        PA
        USD
        1095256.26000000
        0.219759565375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL1T4R2O3 IRS USD R V 12MUSCPI SL1T4R2O3_INF CCPINFLATIONZERO / Short: BL1T4R2O3 IRS USD P F  1.61625 SL1T4R2O3_FIX CCPINFLATIONZERO
        000000000
        
          
        
        7500000.00000000
        OU
        Notional Amount
        USD
        969023.85000000
        0.194431447590
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-10-17
            0.00000000
            USD
            -285.44000000
            USD
            7500000.00000000
            USD
            969309.29000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGC7
        
          
        
        545000.00000000
        PA
        USD
        555652.95000000
        0.111489936420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAJ0
        
          
        
        400000.00000000
        PA
        USD
        356073.59000000
        0.071444994416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Fund LLC
        N/A
        Imperial Fund Mortgage Trust 2021-NQM1
        452764AC7
        
          
        
        456628.61000000
        PA
        USD
        429462.22000000
        0.086170181590
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2056-06-25
          Variable
          1.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000124 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000124 IRS USD P F  2.14000 INFLATION
        000000000
        
          
        
        2900000.00000000
        OU
        Notional Amount
        USD
        311096.80000000
        0.062420549468
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2025-07-02
            0.00000000
            USD
            0.00000000
            USD
            2900000.00000000
            USD
            311096.80000000
          
        
        
          N
          N
          N
        
      
      
        Stratus CLO
        N/A
        Stratus CLO 2021-1 Ltd
        863162AA1
        
          
        
        1250000.00000000
        PA
        USD
        1238246.65000000
        0.248450116716
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-12-29
          Floating
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAR2
        
          
        
        108000.00000000
        PA
        USD
        95402.17000000
        0.019142131554
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-11-18
          Fixed
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CD9
        
          
        
        765000.00000000
        PA
        USD
        747475.90000000
        0.149978580275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL0H02DX7 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL0H02DX7 IRS USD P F  2.69500 FIX CCPINFLATIONZERO
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        667576.80000000
        0.133947088713
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-08-27
            494.33000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            667082.47000000
          
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2017-7
        81746GAG8
        
          
        
        1243512.25000000
        PA
        USD
        1220912.53000000
        0.244972082564
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSPECT CAPITAL CORP
        549300FSD8T39P5Q0O47
        Prospect Capital Corp
        74348TAU6
        
          
        
        428000.00000000
        PA
        USD
        403436.66000000
        0.080948238595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-22
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAW5
        
          
        
        989000.00000000
        PA
        USD
        912043.09000000
        0.182998445552
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-10-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co LLC
        N/A
        Sierra Timeshare 2021-1 Receivables Funding LLC
        82652QAB7
        
          
        
        2145605.92000000
        PA
        USD
        2041547.04000000
        0.409629697258
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-11-20
          Fixed
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAR3
        
          
        
        305000.00000000
        PA
        USD
        272973.87000000
        0.054771308981
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corporation
        N/A
        Chase Mortgage Finance Corp
        46591HBX7
        
          
        
        420721.17000000
        PA
        USD
        411911.98000000
        0.082648783671
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STORE CAPITAL CORP
        5493004EA6C9IHDZ7N66
        STORE Capital Corp
        862121AD2
        
          
        
        242000.00000000
        PA
        USD
        214483.61000000
        0.043035430734
        Long
        DBT
        
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BLXC06HC5 IRS USD R V 12MUSCPI SLXC06HC5_INF CCPINFLATIONZERO / Short: BLXC06HC5 IRS USD P F  1.77700 SLXC06HC5_FIX CCPINFLATIONZERO
        000000000
        
          
        
        11000000.00000000
        OU
        Notional Amount
        USD
        1299663.31000000
        0.260773167495
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-06-06
            0.00000000
            USD
            -256.99000000
            USD
            11000000.00000000
            USD
            1299920.30000000
          
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAK1
        
          
        
        220000.00000000
        PA
        USD
        219178.94000000
        0.043977533252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCG5
        
          
        
        113000.00000000
        PA
        USD
        120124.50000000
        0.024102585737
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-06-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL6J45VQ1 IRS USD R V 12MUSCPI SL6J45VQ1_INF CCPINFLATIONZERO / Short: BL6J45VQ1 IRS USD P F  1.79300 SL6J45VQ1_FIX CCPINFLATIONZERO
        000000000
        
          
        
        3700000.00000000
        OU
        Notional Amount
        USD
        624746.37000000
        0.125353303838
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2029-10-16
            0.00000000
            USD
            -411.03000000
            USD
            3700000.00000000
            USD
            625157.40000000
          
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CM2
        
          
        
        552000.00000000
        PA
        USD
        550122.59000000
        0.110380287880
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: SWT000116 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000116 IRS USD P F  2.78400 INFLATION
        000000000
        
          
        
        1400000.00000000
        OU
        Notional Amount
        USD
        -102138.54000000
        -0.02049376203
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2044-07-02
            0.00000000
            USD
            0.00000000
            USD
            1400000.00000000
            USD
            -102138.54000000
          
        
        
          N
          N
          N
        
      
      
        LXP INDUSTRIAL TRUST
        549300S4MH2ICXDBFV43
        LXP Industrial Trust
        529537AA0
        
          
        
        630000.00000000
        PA
        USD
        558817.76000000
        0.112124945135
        Long
        DBT
        
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDA1
        
          
        
        1530000.00000000
        PA
        USD
        1439469.30000000
        0.288824779453
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-20
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vanguard Short-Term Corporate Bond ETF
        GW69FWO1NUHCKLV98X51
        Vanguard Short-Term Corporate Bond ETF
        92206C409
        
          
        
        52100.00000000
        NS
        USD
        4068489.00000000
        0.816328933262
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RW0
        
          
        
        3318483.00000000
        PA
        USD
        3968439.02000000
        0.796254233921
        Long
        DBT
        UST
        US
        N
        
        2
        
          2047-02-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        706000.00000000
        PA
        USD
        747608.17000000
        0.150005119815
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000135 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000135 IRS USD P F  2.23500 INFLATION
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        218569.90000000
        0.043855331379
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-04-28
            0.00000000
            USD
            0.00000000
            USD
            2000000.00000000
            USD
            218569.90000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP / CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAH2
        
          
        
        322000.00000000
        PA
        USD
        324152.56000000
        0.065040144761
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2027-01-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAQ8
        
          
        
        200000.00000000
        PA
        USD
        201014.39000000
        0.040332876052
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2028-03-24
          Fixed
          4.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL0H02DO7 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL0H02DO7 IRS USD P F  2.51250 FIX CCPINFLATIONZERO
        000000000
        
          
        
        5000000.00000000
        OU
        Notional Amount
        USD
        424538.60000000
        0.085182273435
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2031-08-27
            521.08000000
            USD
            0.00000000
            USD
            5000000.00000000
            USD
            424017.52000000
          
        
        
          N
          N
          N
        
      
      
        SLG Office Trust
        N/A
        SLG Office Trust 2021-OVA
        78449RAG0
        
          
        
        1850000.00000000
        PA
        USD
        1646185.87000000
        0.330301779163
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-07-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goodgreen Trust
        N/A
        Goodgreen 2020-1 Trust
        38217TAA3
        
          
        
        769670.27000000
        PA
        USD
        723340.20000000
        0.145135831472
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-04-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL0X0ISZ6 IRS USD R V 12MUSCPI SL0X0ISZ6_FLO CCPINFLATIONZERO / Short: BL0X0ISZ6 IRS USD P F  2.24300 SL0X0ISZ6_FIX CCPINFLATIONZERO
        000000000
        
          
        
        6000000.00000000
        OU
        Notional Amount
        USD
        687018.42000000
        0.137847985807
        N/A
        DO
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-01-12
            406.13000000
            USD
            0.00000000
            USD
            6000000.00000000
            USD
            686612.29000000
          
        
        
          N
          N
          N
        
      
      
        FARM 2021-1 Mortgage Trust
        N/A
        FARM 21-1 Mortgage Trust
        30768WAA6
        
          
        
        2226796.59000000
        PA
        USD
        2065001.78000000
        0.414335813677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Variable
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FS KKR CAPITAL CORP
        549300TYRSI1T21B1360
        FS KKR Capital Corp
        302635AK3
        
          
        
        226000.00000000
        PA
        USD
        201473.04000000
        0.040424902666
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-12
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CBF7
        
          
        
        14036490.00000000
        PA
        USD
        14854280.05000000
        2.980462424157
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-01-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DBH1
        
          
        
        285000.00000000
        PA
        USD
        276231.63000000
        0.055424967807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW 2019-2 LLC
        55400DAA9
        
          
        
        633445.18000000
        PA
        USD
        615670.71000000
        0.123532302517
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-10-20
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL4G4P857 IRS USD R V 12MUSCPI SL4G4P857_FLO CCPINFLATIONZERO / Short: BL4G4P857 IRS USD P F  2.21000 SL4G4P857_FIX CCPINFLATIONZERO
        000000000
        
          
        
        8000000.00000000
        OU
        Notional Amount
        USD
        793773.36000000
        0.159268013314
        N/A
        DO
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-01-19
            316.80000000
            USD
            0.00000000
            USD
            8000000.00000000
            USD
            793456.56000000
          
        
        
          N
          N
          N
        
      
      
        QORVO INC
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74736KAH4
        
          
        
        478000.00000000
        PA
        USD
        478160.13000000
        0.095941257024
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vista Point Securitization Trust
        N/A
        Vista Point Securitization Trust 2020-2
        92838TAC5
        
          
        
        530289.88000000
        PA
        USD
        515847.01000000
        0.103503005513
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCW4
        
          
        
        313000.00000000
        PA
        USD
        305449.26000000
        0.061287389146
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-24
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BA6
        
          
        
        250000.00000000
        PA
        USD
        246432.18000000
        0.049445806200
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoldenTree Loan Opportunities X, Limited
        549300IGEA8MXF2YEF61
        Goldentree Loan Opportunities X Ltd
        38137PAQ3
        
          
        
        1125000.00000000
        PA
        USD
        1122072.75000000
        0.225140205872
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-07-20
          Floating
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AH1
        
          
        
        480000.00000000
        PA
        USD
        435692.31000000
        0.087420228653
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-08-10
          Fixed
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AG4
        
          
        
        1605000.00000000
        PA
        USD
        1703482.80000000
        0.341798219671
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-12-04
          Fixed
          7.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300NJNSVWVLHGRY73
        Magnetite VIII Ltd
        55952YAP2
        
          
        
        1750000.00000000
        PA
        USD
        1740641.07000000
        0.349253904303
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ServiceMaster Brands
        N/A
        ServiceMaster Funding LLC
        81761TAA3
        
          
        
        1237500.00000000
        PA
        USD
        1120524.08000000
        0.224829470331
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-01-30
          Fixed
          2.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        Walmart Inc
        93114FDJ0
        
          
        
        10000000.00000000
        PA
        USD
        9998450.00000000
        2.006156099421
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2022-04-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARAMOUNT GLOBAL
        5KYC8KF17ROCY24M3H09
        Paramount Global
        124857AZ6
        
          
        
        330000.00000000
        PA
        USD
        333751.06000000
        0.066966052208
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDQ2
        
          
        
        1205000.00000000
        PA
        USD
        1259738.06000000
        0.252762297430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CB3
        
          
        
        1175000.00000000
        PA
        USD
        1174108.94000000
        0.235581096206
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-11-26
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
        
        621000.00000000
        PA
        USD
        655076.79000000
        0.131439002830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
        
        776000.00000000
        PA
        USD
        748974.64000000
        0.150279297525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810PV4
        
          
        
        1469117.70000000
        PA
        USD
        1681852.83000000
        0.337458237350
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-01-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000134 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000134 IRS USD P F  2.21750 INFLATION
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        221729.44000000
        0.044489282686
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-04-13
            0.00000000
            USD
            0.00000000
            USD
            2000000.00000000
            USD
            221729.44000000
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RF7
        
          
        
        9262156.80000000
        PA
        USD
        11862796.76000000
        2.380231143453
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-02-15
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton Grand Vacations Trust
        N/A
        Hilton Grand Vacations Trust 2019-A
        43284HAB5
        
          
        
        864247.86000000
        PA
        USD
        844832.27000000
        0.169512815631
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-07-25
          Fixed
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bean Creek CLO LTD
        635400STD6UUTEW5KM07
        Bean Creek CLO Ltd
        07378WAQ1
        
          
        
        1500000.00000000
        PA
        USD
        1484489.63000000
        0.297857960559
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000136 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000136 IRS USD P F  2.23500 INFLATION
        000000000
        
          
        
        5000000.00000000
        OU
        Notional Amount
        USD
        548294.50000000
        0.110013487635
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-05-03
            0.00000000
            USD
            0.00000000
            USD
            5000000.00000000
            USD
            548294.50000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWV2
        
          
        
        363000.00000000
        PA
        USD
        365631.97000000
        0.073362851917
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-23
          Fixed
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goodgreen Trust
        N/A
        Goodgreen 2021-1 Trust
        38217UAA0
        
          
        
        530436.81000000
        PA
        USD
        497443.32000000
        0.099810365660
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-10-15
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OWL ROCK CAPITAL CORP
        2549000BD79OOCPF2L94
        Owl Rock Capital Corp
        69121KAE4
        
          
        
        1850000.00000000
        PA
        USD
        1737044.59000000
        0.348532282423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDR0
        
          
        
        568000.00000000
        PA
        USD
        645646.51000000
        0.129546848172
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aligned Data Centers Issuer LLC
        N/A
        Aligned Data Centers Issuer LLC
        01627AAB4
        
          
        
        2350000.00000000
        PA
        USD
        2162365.43000000
        0.433871509741
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-08-15
          Fixed
          2.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Financial CLO Ltd
        549300GKHET0CQ690V42
        KKR CLO Ltd 22
        48252WAA1
        
          
        
        1500000.00000000
        PA
        USD
        1492631.87000000
        0.299491674228
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GVR2
        
          
        
        925000.00000000
        PA
        USD
        947425.30000000
        0.190097769588
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -47873.70000000
        -0.00960570040
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            2009251.94000000
            CAD
            1559036.86000000
            USD
            2022-06-15
            -47873.70000000
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128283R9
        
          
        
        8546175.00000000
        PA
        USD
        9141402.76000000
        1.834192390244
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-01-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128285W6
        
          
        
        3339450.00000000
        PA
        USD
        3686896.30000000
        0.739763613377
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-01-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: SWT000132 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000132 IRS USD P F  2.28000 INFLATION
        000000000
        
          
        
        4000000.00000000
        OU
        Notional Amount
        USD
        433981.68000000
        0.087076996371
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-11-21
            0.00000000
            USD
            0.00000000
            USD
            4000000.00000000
            USD
            433981.68000000
          
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAG6
        
          
        
        275000.00000000
        PA
        USD
        274928.46000000
        0.055163491034
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CDC2
        
          
        
        10286000.00000000
        PA
        USD
        10811952.08000000
        2.169382615499
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-10-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM2
        12662EAC7
        
          
        
        389837.82000000
        PA
        USD
        375630.84000000
        0.075369092288
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-02-25
          Variable
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAH7
        
          
        
        333848.03000000
        PA
        USD
        333454.62000000
        0.066906572498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-25
          Floating
          3.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIEDMONT OPERATING PARTN
        549300WKGDPAS39FBD10
        Piedmont Operating Partnership LP
        720198AF7
        
          
        
        428000.00000000
        PA
        USD
        381368.44000000
        0.076520322853
        Long
        DBT
        
        US
        N
        
        2
        
          2032-04-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLUB CAPITAL BDC
        2549005WE0QLGK9APF78
        Golub Capital BDC Inc
        38173MAB8
        
          
        
        181000.00000000
        PA
        USD
        166279.78000000
        0.033363490826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-24
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810SB5
        
          
        
        1310781.50000000
        PA
        USD
        1625394.66000000
        0.326130091276
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-02-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        549300LK2ZDVY7I44B84
        Agate Bay Mortgage Trust 2015-7
        00842CAC9
        
          
        
        186283.80000000
        PA
        USD
        185881.13000000
        0.037296437219
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US CAPITAL LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBY0
        
          
        
        658000.00000000
        PA
        USD
        660601.97000000
        0.132547612020
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-04-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000061 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000061 IRS USD P F  2.67000 INFLATION
        000000000
        
          
        
        3000000.00000000
        OU
        Notional Amount
        USD
        -223247.16000000
        -0.04479380821
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2022-04-01
            0.00000000
            USD
            0.00000000
            USD
            3000000.00000000
            USD
            -223247.16000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYM0
        
          
        
        170000.00000000
        PA
        USD
        157989.29000000
        0.031700031282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-21
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PRIVATE CRE
        549300ORP3TTCNXSYO43
        Blackstone Private Credit Fund
        09261HAJ6
        
          
        
        526000.00000000
        PA
        USD
        482061.78000000
        0.096724110261
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Progress Residential Trust
        N/A
        Progress Residential 2021-SFR1
        74331FAG6
        
          
        
        1000000.00000000
        PA
        USD
        884445.90000000
        0.177461160169
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-04-17
          Fixed
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES CLO LTD
        5493005YAOTYJUJV3S58
        Ares XXXIX CLO Ltd
        04015WBE3
        
          
        
        2000000.00000000
        PA
        USD
        1976381.08000000
        0.396554361768
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-18
          Floating
          1.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIATRIS INC
        254900ZZTSW7NL773X71
        Viatris Inc
        92556VAF3
        
          
        
        92000.00000000
        PA
        USD
        77287.03000000
        0.015507388309
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-22
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: SWT000019 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000019 IRS USD P F  2.89500 INFLATION
        000000000
        
          
        
        1700000.00000000
        OU
        Notional Amount
        USD
        -211222.18000000
        -0.04238103553
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-12-21
            0.00000000
            USD
            0.00000000
            USD
            1700000.00000000
            USD
            -211222.18000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL0W0QJZ0 IRS USD R V 12MUSCPI SL0W0QJZ0_FLO CCPINFLATIONZERO / Short: BL0W0QJZ0 IRS USD P F  2.26000 SL0W0QJZ0_FIX CCPINFLATIONZERO
        000000000
        
          
        
        8000000.00000000
        OU
        Notional Amount
        USD
        855982.56000000
        0.171750084637
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2025-02-01
            389.53000000
            USD
            0.00000000
            USD
            8000000.00000000
            USD
            855593.03000000
          
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63859WAF6
        
          
        
        650000.00000000
        PA
        USD
        640116.55000000
        0.128437279890
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-10-18
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADSTONE NET LEASE LLC
        54930089IBT6J4WBTI50
        Broadstone Net Lease LLC
        11135EAA2
        
          
        
        247000.00000000
        PA
        USD
        219942.38000000
        0.044130714976
        Long
        DBT
        
        US
        N
        
        2
        
          2031-09-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GZH0
        
          
        
        1040000.00000000
        PA
        USD
        1013898.40000000
        0.203435378418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-24
          Fixed
          1.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468W2
        
          
        
        1288000.00000000
        PA
        USD
        1267044.85000000
        0.254228380805
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          0.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
        
        500000.00000000
        PA
        USD
        528649.24000000
        0.106071730846
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lennar Corp
        529900G61XVRLX5TJX09
        Lennar Corp
        526057BV5
        
          
        
        870000.00000000
        PA
        USD
        900982.54000000
        0.180779182582
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-30
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL474BO35 IRS USD R V 12MUSCPI SL474BO35_INF CCPINFLATIONZERO / Short: BL474BO35 IRS USD P F  1.80000 SL474BO35_FIX CCPINFLATIONZERO
        000000000
        
          
        
        3700000.00000000
        OU
        Notional Amount
        USD
        623512.68000000
        0.125105767998
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2029-10-21
            0.00000000
            USD
            -407.97000000
            USD
            3700000.00000000
            USD
            623920.65000000
          
        
        
          N
          N
          N
        
      
      
        Santa Clara Valley Transportation Authority
        549300R6Q7T4MD3V9H68
        SANTA CLARA VLY CA TRANSPRTN AUTH SALES TAX REVENUE
        80168NEP0
        
          
        
        50000.00000000
        PA
        USD
        56659.21000000
        0.011368484088
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-04-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Global SC Finance SRL
        N/A
        Global SC Finance VII Srl
        37959PAA5
        
          
        
        980205.10000000
        PA
        USD
        930572.81000000
        0.186716372911
        Long
        ABS-O
        CORP
        BB
        N
        
        2
        
          2040-10-17
          Fixed
          2.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: SWT000117 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000117 IRS USD P F  2.58900 INFLATION
        000000000
        
          
        
        1400000.00000000
        OU
        Notional Amount
        USD
        24188.09000000
        0.004853260684
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-07-23
            0.00000000
            USD
            0.00000000
            USD
            1400000.00000000
            USD
            24188.09000000
          
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-1
        92537QAF8
        
          
        
        993552.83000000
        PA
        USD
        955423.35000000
        0.191702552008
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-01-25
          Variable
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CT4
        
          
        
        280000.00000000
        PA
        USD
        254419.05000000
        0.051048345390
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-05-24
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BY0
        
          
        
        174000.00000000
        PA
        USD
        168914.40000000
        0.033892118662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-03
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL9K0IAE1 IRS USD R V 12MUSCPI SL9K0IAE1_FLO CCPINFLATIONZERO / Short: BL9K0IAE1 IRS USD P F  2.27250 SL9K0IAE1_FIX CCPINFLATIONZERO
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        974376.90000000
        0.195505519462
        N/A
        DO
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-01-26
            324.30000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            974052.60000000
          
        
        
          N
          N
          N
        
      
      
        HONDA MOTOR CO LTD
        549300P7ZYCQJ36CCS16
        Honda Motor Co Ltd
        438127AA0
        
          
        
        1550000.00000000
        PA
        USD
        1523619.73000000
        0.305709286393
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-03-10
          Fixed
          2.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PRIVATE CRE
        549300ORP3TTCNXSYO43
        Blackstone Private Credit Fund
        09261HAC1
        
          
        
        105000.00000000
        PA
        USD
        94495.96000000
        0.018960303499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAE3
        
          
        
        409000.00000000
        PA
        USD
        411485.04000000
        0.082563119565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810SG4
        
          
        
        2735484.02000000
        PA
        USD
        3417057.66000000
        0.685621377981
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-02-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAIN STREET CAPITAL CORP
        5493001FS9QJLJNF3E20
        Main Street Capital Corp
        56035LAE4
        
          
        
        309000.00000000
        PA
        USD
        286485.18000000
        0.057482308882
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBV1
        
          
        
        272000.00000000
        PA
        USD
        271273.09000000
        0.054430053069
        Long
        DBT
        
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BLWS0QPF1 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLWS0QPF1 IRS USD P F  2.49750 FIX CCPINFLATIONZERO
        000000000
        
          
        
        7000000.00000000
        OU
        Notional Amount
        USD
        593902.82000000
        0.119164647000
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2031-09-03
            542.50000000
            USD
            0.00000000
            USD
            7000000.00000000
            USD
            593360.32000000
          
        
        
          N
          N
          N
        
      
      
        FNB CORP
        PCYSKIGYNYFDTBLVZU83
        FNB Corp/PA
        30260NAA9
        
          
        
        2505000.00000000
        PA
        USD
        2490044.80000000
        0.499619297326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-24
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        195.29000000
        0.000039184296
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            23601.72000000
            USD
            29755.35000000
            CAD
            2022-06-15
            195.29000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: SWT000131 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000131 IRS USD P F  2.28000 INFLATION
        000000000
        
          
        
        3000000.00000000
        OU
        Notional Amount
        USD
        326049.57000000
        0.065420773576
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-11-16
            0.00000000
            USD
            0.00000000
            USD
            3000000.00000000
            USD
            326049.57000000
          
        
        
          N
          N
          N
        
      
      
        OMNICOM GROUP INC
        HKUPACFHSSASQK8HLS17
        Omnicom Group Inc
        681919BD7
        
          
        
        395000.00000000
        PA
        USD
        365146.50000000
        0.073265443959
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        MSFSBD3QN1GSN7Q6C537
        Commonwealth Bank of Australia
        202712BK0
        
          
        
        505000.00000000
        PA
        USD
        484793.90000000
        0.097272301151
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-09-12
          Fixed
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CW7
        
          
        
        528000.00000000
        PA
        USD
        509815.72000000
        0.102292847017
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-11-22
          Fixed
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LS8
        
          
        
        399000.00000000
        PA
        USD
        395248.84000000
        0.079305379449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-27
          Fixed
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBL9
        
          
        
        435000.00000000
        PA
        USD
        403253.23000000
        0.080911433969
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-22
          Fixed
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOC AVIATION USA CORP
        254900QKLTY6MF4Y3P65
        BOC Aviation USA Corp
        66980P2A6
        
          
        
        696000.00000000
        PA
        USD
        668542.80000000
        0.134140913435
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-29
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CDX6
        
          
        
        9581922.00000000
        PA
        USD
        10189962.31000000
        2.044582414381
        Long
        DBT
        UST
        US
        N
        
        2
        
          2032-01-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAU4
        
          
        
        100000.00000000
        PA
        USD
        100133.44000000
        0.020091445315
        Long
        DBT
        
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828N71
        
          
        
        18512541.50000000
        PA
        USD
        19735743.24000000
        3.959911954106
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-01-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL0Y0L939 IRS USD R V 12MUSCPI SL0Y0L939_FLO CCPINFLATIONZERO / Short: BL0Y0L939 IRS USD P F  2.33300 SL0Y0L939_FIX CCPINFLATIONZERO
        000000000
        
          
        
        13000000.00000000
        OU
        Notional Amount
        USD
        1433805.10000000
        0.287688276357
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2026-02-02
            445.10000000
            USD
            0.00000000
            USD
            13000000.00000000
            USD
            1433360.00000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828H45
        
          
        
        3014192.60000000
        PA
        USD
        3160840.12000000
        0.634212171489
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL2I4BCO0 IRS USD R V 12MUSCPI SL2I4BCO0_INF CCPINFLATIONZERO / Short: BL2I4BCO0 IRS USD P F  1.07750 SL2I4BCO0_FIX CCPINFLATIONZERO
        000000000
        
          
        
        3000000.00000000
        OU
        Notional Amount
        USD
        501972.24000000
        0.100719078558
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2025-06-04
            329.26000000
            USD
            0.00000000
            USD
            3000000.00000000
            USD
            501642.98000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
        46649XAA5
        
          
        
        2020000.00000000
        PA
        USD
        2036505.82000000
        0.408618193049
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-07-05
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenwood Park CLO, Ltd
        N/A
        Greenwood Park CLO Ltd
        39729RAA6
        
          
        
        1500000.00000000
        PA
        USD
        1485433.88000000
        0.298047421215
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-04-15
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COINBASE GLOBAL INC
        5493004G3J2SC154DU06
        Coinbase Global Inc
        19260QAC1
        
          
        
        114000.00000000
        PA
        USD
        100710.45000000
        0.020207220473
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agate Bay Mortgage Loan Trust
        549300SCHQRABPDKYY47
        Agate Bay Mortgage Trust 2016-1
        00842TAC2
        
          
        
        130443.88000000
        PA
        USD
        130224.73000000
        0.026129163658
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arroyo Mortgage Trust
        N/A
        Arroyo Mortgage Trust 2021-1R
        042853AC5
        
          
        
        346009.02000000
        PA
        USD
        329982.99000000
        0.066210001359
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2014-5
        46643KAA9
        
          
        
        446766.14000000
        PA
        USD
        439866.51000000
        0.088257768150
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-10-25
          Variable
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCJ3
        
          
        
        1387000.00000000
        PA
        USD
        1278196.98000000
        0.256466019001
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          2.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates 2019-ICE4
        12653VAG1
        
          
        
        2155000.00000000
        PA
        USD
        2130695.69000000
        0.427517080597
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BLYP0FI75 IRS USD R V 12MUSCPI SLYP0FI75_INF CCPINFLATIONZERO / Short: BLYP0FI75 IRS USD P F  1.29100 SLYP0FI75_FIX CCPINFLATIONZERO
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        445620.52000000
        0.089412291327
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2030-05-19
            424.20000000
            USD
            0.00000000
            USD
            2000000.00000000
            USD
            445196.32000000
          
        
        
          N
          N
          N
        
      
      
        Progress Residential Trust
        N/A
        Progress Residential 2021-SFR2 Trust
        74333DAE4
        
          
        
        5050000.00000000
        PA
        USD
        4631605.99000000
        0.929316504753
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-04-19
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENN VALLEY AUTHORITY
        549300HE1ISW43LNKM54
        Tennessee Valley Authority
        880591DV1
        
          
        
        1658000.00000000
        PA
        USD
        1940900.28000000
        0.389435255973
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.G. Wentworth XLI LLC
        N/A
        J.G. Wentworth XLI LLC
        46651TAB7
        
          
        
        400000.00000000
        PA
        USD
        422081.32000000
        0.084689228287
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2074-10-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUE OWL FINANCE LLC
        254900OF2NO2GYFV5T41
        Blue Owl Finance LLC
        09581JAA4
        
          
        
        85000.00000000
        PA
        USD
        72347.56000000
        0.014516299903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-10
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837BA0
        
          
        
        611000.00000000
        PA
        USD
        613962.87000000
        0.123189630039
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-03-28
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2022-3
        92538UAC5
        
          
        
        2458000.00000000
        PA
        USD
        2419867.08000000
        0.485538368680
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-02-25
          Variable
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828ZZ6
        
          
        
        15347640.00000000
        PA
        USD
        16275093.13000000
        3.265543894443
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QBG6
        
          
        
        130000.00000000
        PA
        USD
        130032.50000000
        0.026090593341
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2023-01-30
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AP8
        
          
        
        260000.00000000
        PA
        USD
        253556.46000000
        0.050875269544
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661EG8
        
          
        
        897000.00000000
        PA
        USD
        902244.36000000
        0.181032362614
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN IMPERIAL BANK
        2IGI19DL77OX0HC3ZE78
        Canadian Imperial Bank of Commerce
        13607HR46
        
          
        
        750000.00000000
        PA
        USD
        749339.12000000
        0.150352429238
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-04-07
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY PROGRESS LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        26442UAL8
        
          
        
        780000.00000000
        PA
        USD
        697932.72000000
        0.140037904196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: SWT000118 IRS USD R V 00MCPI INFLATION CPURNSA / Short: SWT000118 IRS USD P F  2.52750 INFLATION
        000000000
        
          
        
        2750000.00000000
        OU
        Notional Amount
        USD
        68434.66000000
        0.013731189391
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2024-08-19
            0.00000000
            USD
            0.00000000
            USD
            2750000.00000000
            USD
            68434.66000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828XL9
        
          
        
        4622436.00000000
        PA
        USD
        4888316.35000000
        0.980824593957
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-07-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFR0
        
          
        
        10000.00000000
        PA
        USD
        8718.70000000
        0.001749378472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-20
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tricon American Homes
        N/A
        Tricon American Homes 2020-SFR2 Trust
        89613JAC4
        
          
        
        1400000.00000000
        PA
        USD
        1249862.18000000
        0.250780734598
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-11-17
          Fixed
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAG8
        
          
        
        314000.00000000
        PA
        USD
        313428.44000000
        0.062888385363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OFFICE PPTY INCOME TRST
        N/A
        Office Properties Income Trust
        67623CAE9
        
          
        
        392000.00000000
        PA
        USD
        348669.32000000
        0.069959351999
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL1S54L30 IRS USD R V 12MUSCPI SL1S54L30_INF CCPINFLATIONZERO / Short: BL1S54L30 IRS USD P F  1.88400 SL1S54L30_FIX CCPINFLATIONZERO
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        323038.24000000
        0.064816560119
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2029-11-21
            0.00000000
            USD
            -398.52000000
            USD
            2000000.00000000
            USD
            323436.76000000
          
        
        
          N
          N
          N
        
      
      
        FIRST-CITIZENS BANK/TRST
        L9VVX1KT5TFTKS0MLF66
        First-Citizens Bank & Trust Co
        125581HA9
        
          
        
        1710000.00000000
        PA
        USD
        1727278.37000000
        0.346572722509
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-19
          Fixed
          3.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828S50
        
          
        
        5335284.50000000
        PA
        USD
        5607675.80000000
        1.125161701038
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2019-4
        92537KAC8
        
          
        
        758630.94000000
        PA
        USD
        757492.39000000
        0.151988356041
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-11-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2016-1
        46646BAG3
        
          
        
        717649.17000000
        PA
        USD
        709209.97000000
        0.142300647308
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-05-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
        
        1416000.00000000
        PA
        USD
        1451645.02000000
        0.291267797615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BLP71H6D0 IRS USD R V 12MUSCPI SLP71H6D0_INF CCPINFLATIONZERO / Short: BLP71H6D0 IRS USD P F  2.14500 SLP71H6D0_FIX CCPINFLATIONZERO
        000000000
        
          
        
        5000000.00000000
        OU
        Notional Amount
        USD
        629689.00000000
        0.126345026287
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-11-20
            0.00000000
            USD
            -554.00000000
            USD
            5000000.00000000
            USD
            630243.00000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-VIV2
        05605NAA5
        
          
        
        1899000.00000000
        PA
        USD
        1736313.05000000
        0.348385501328
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-09
          Variable
          3.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-27
      NORTHWESTERN MUTUAL SERIES FUND INC
      Phillip Rinzel
      Phillip Rinzel
      Controller and Chief Accounting Officer
    
  
  XXXX



Inflation Protection Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2022 (unaudited)

 

Corporate Bonds (16.2%)    Shares/ Par +      Value
$ (000’s) 
 

Communications (1.7%)

     

AT&T, Inc.

     

4.250%, 3/1/27

     1,205,000        1,260  

4.350%, 3/1/29

     1,035,000        1,095  

4.550%, 3/9/49

     395,000        414  

4.800%, 6/15/44

     113,000        120  

4.900%, 8/15/37

     450,000        495  

5.150%, 3/15/42

     580,000        652  

5.250%, 3/1/37

     568,000        646  

Discovery Communications LLC
4.650%, 5/15/50

     285,000        276  

Omnicom Group, Inc.
2.600%, 8/1/31

     395,000        365  

Paramount Global

     

4.200%, 6/1/29

     330,000        334  

4.375%, 3/15/43

     350,000        333  

Telefonica Emisiones SAU
4.895%, 3/6/48

     825,000        853  

Time Warner Cable LLC
4.500%, 9/15/42

     745,000        689  

Verizon Communications, Inc.

     

1.750%, 1/20/31

     10,000        9  

4.329%, 9/21/28

     621,000        655  
     

 

 

 

Total

        8,196  
     

 

 

 

Consumer, Cyclical (1.7%)

     

AutoNation, Inc.
1.950%, 8/1/28

     305,000        273  

BMW US Capital LLC
3.250%, 4/1/25 144A

     658,000        661  

British Airways Pass-Through Trust, Series
2020-1, Class A
2.900%, 9/15/36 144A

     404,730        372  

Ford Motor Credit Co. LLC
4.389%, 1/8/26

     300,000        299  

General Motors Financial Co., Inc.
2.700%, 8/20/27

     1,530,000        1,439  

The Home Depot, Inc.
2.700%, 4/15/25

     552,000        550  

Honda Motor Co., Ltd.
2.271%, 3/10/25

     1,550,000        1,524  

Lennar Corp.
4.750%, 5/30/25

     870,000        901  

Lowe’s Companies, Inc.
3.350%, 4/1/27

     897,000        902  

Magallanes, Inc.

     

3.638%, 3/15/25 144A

     409,000        412  

3.755%, 3/15/27 144A

     314,000        313  

Toyota Motor Credit Corp.
2.500%, 3/22/24

     868,000        868  
     

 

 

 

Total

        8,514  
     

 

 

 

Consumer, Non-cyclical (1.2%)

     

AbbVie, Inc.
2.950%, 11/21/26

     800,000        792  

Block Financial LLC
3.875%, 8/15/30

     530,000        521  
Corporate Bonds (16.2%)    Shares/ Par +      Value
$ (000’s) 
 

Consumer, Non-cyclical continued

     

CVS Health Corp.
1.300%, 8/21/27

     805,000        732  

Duke University Health System, Inc.
3.920%, 6/1/47

     268,000        279  

Global Payments, Inc.
3.750%, 6/1/23

     212,000        214  

GSK Consumer Healthcare Capital UK PLC
3.125%, 3/24/25 144A

     1,002,000        999  

HCA, Inc.
3.125%, 3/15/27 144A

     765,000        747  

Mondelez International, Inc.

     

2.125%, 3/17/24

     204,000        202  

2.750%, 4/13/30

     71,000        68  

Roche Holdings, Inc.
1.000%, 3/10/27 144A

     1,270,000        1,233  

Viatris, Inc.
4.000%, 6/22/50

     92,000        77  
     

 

 

 

Total

        5,864  
     

 

 

 

Energy (0.5%)

     

Enbridge, Inc.
1.600%, 10/4/26

     1,150,000        1,063  

Petroleos Mexicanos

     

3.500%, 1/30/23

     130,000        130  

6.700%, 2/16/32

     243,000        231  

Sabine Pass Liquefaction LLC

     

5.625%, 3/1/25

     500,000        529  

5.875%, 6/30/26

     470,000        508  

Transcontinental Gas Pipe Line Co. LLC
3.250%, 5/15/30

     260,000        253  
     

 

 

 

Total

        2,714  
     

 

 

 

Financial (9.1%)

     

AerCap Ireland Capital DAC / AerCap Global
Aviation Trust

     

1.150%, 10/29/23

     658,000        630  

3.000%, 10/29/28

     989,000        912  

6.500%, 7/15/25

     706,000        748  

Air Lease Corp.
2.875%, 1/15/26

     776,000        749  

American International Group, Inc.
3.900%, 4/1/26

     1,416,000        1,452  

American Tower Corp.

     

3.650%, 3/15/27

     272,000        271  

3.950%, 3/15/29

     100,000        100  

Aon Corp / Aon Global Holdings PLC
2.850%, 5/28/27

     625,000        611  

Ares Capital Corp.
4.200%, 6/10/24

     488,000        492  

Assured Guaranty US Holdings, Inc.
3.600%, 9/15/51

     305,000        263  

Athene Global Funding
1.985%, 8/19/28 144A

     364,000        320  

Avolon Holdings Funding, Ltd.

     

2.528%, 11/18/27 144A

     108,000        95  

2.750%, 2/21/28 144A

     479,000        426  
 


Inflation Protection Portfolio

 

Corporate Bonds (16.2%)    Shares/ Par +      Value
$ (000’s) 
 

Financial continued

     

Banco Santander SA
4.175%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.000%), 3/24/28

     200,000        201  

5.179%, 11/19/25

     1,000,000        1,034  

Bank of America Corp.

     

2.884%, (ICE LIBOR USD 3 Month plus 1.190%), 10/22/30

     782,000        742  

3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28

     939,000        930  

4.183%, 11/25/27

     545,000        556  

Bank of Ireland Group PLC
2.029%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus
1.100%), 9/30/27 144A

     377,000        341  

Barclays PLC
1.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.050%), 11/24/27

     510,000        473  

Blackstone Private Credit Fund

     

2.625%, 12/15/26 144A

     105,000        95  

3.250%, 3/15/27 144A

     526,000        482  

Blue Owl Finance LLC
3.125%, 6/10/31 144A

     85,000        72  

BNP Paribas SA
4.375%, (USD 5 Year Swap Rate plus
1.483%), 3/1/33 144A

     460,000        456  

BOC Aviation USA Corp.
1.625%, 4/29/24 144A

     696,000        669  

Brighthouse Financial Global Funding
2.000%, 6/28/28 144A

     251,000        223  

Broadstone Net Lease LLC
2.600%, 9/15/31

     247,000        220  

Canadian Imperial Bank of Commerce
3.300%, 4/7/25

     750,000        749  

The Charles Schwab Corp.
2.450%, 3/3/27

     174,000        169  

Citigroup, Inc.
3.520%, (ICE LIBOR USD 3 Month plus 1.151%), 10/27/28

     399,000        395  

Coinbase Global, Inc.
3.375%, 10/1/28 144A

     114,000        101  

Commonwealth Bank of Australia
3.610%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus
2.050%), 9/12/34 144A

     505,000        485  

Corebridge Financial, Inc.
3.850%, 4/5/29 144A

     376,000        376  

Deutsche Bank AG

     

2.311%, (US SOFR plus 1.219%), 11/16/27

     714,000        654  

3.961%, (US SOFR plus 2.581%), 11/26/25

     1,175,000        1,174  

Discover Bank
4.682%, (USD 5 Year Swap Rate plus 1.730%), 8/9/28

     1,705,000        1,729  

DNB Bank ASA
2.968%, (US SOFR Index plus 0.810%), 3/28/25 144A

     1,010,000        1,009  

First-Citizens Bank & Trust Company
3.929%, (US SOFR plus 3.827%), 6/19/24

     1,710,000        1,727  

FS KKR Capital Corp.
3.125%, 10/12/28

     226,000        201  
Corporate Bonds (16.2%)    Shares/ Par +      Value
$ (000’s) 
 

Financial continued

     

4.250%, 2/14/25 144A

     128,000        126  

Global Atlantic Finance Co.
3.125%, 6/15/31 144A

     265,000        237  

The Goldman Sachs Group, Inc.

     

1.757%, (US SOFR plus 0.730%), 1/24/25

     1,040,000        1,014  

1.948%, (US SOFR plus 0.913%), 10/21/27

     170,000        158  

3.814%, (ICE LIBOR USD 3 Month plus 1.158%), 4/23/29

     363,000        366  

4.250%, 10/21/25

     925,000        947  

Golub Capital BDC, Inc.
2.500%, 8/24/26

     181,000        166  

Hercules Capital, Inc.
2.625%, 9/16/26

     345,000        317  

HSBC Holdings PLC

     

1.162%, (US SOFR plus 0.580%), 11/22/24

     528,000        510  

2.804%, (US SOFR plus 1.187%), 5/24/32

     280,000        254  

2.999%, (US SOFR plus 1.430%), 3/10/26

     460,000        451  

ING Groep NV
3.869%, (US SOFR plus 1.640%), 3/28/26

     611,000        614  

JPMorgan Chase & Co.

     

1.578%, (US SOFR plus 0.885%), 4/22/27

     330,000        307  

2.069%, (US SOFR plus 1.015%), 6/1/29

     1,387,000        1,278  

2.522%, (US SOFR plus 2.040%), 4/22/31

     435,000        403  

2.947%, (US SOFR plus 1.170%), 2/24/28

     313,000        305  

Lexington Realty Trust
2.375%, 10/1/31

     630,000        559  

Main Street Capital Corp.

     

3.000%, 7/14/26

     309,000        287  

5.200%, 5/1/24

     744,000        759  

Morgan Stanley

     

0.529%, (US SOFR plus 0.455%), 1/25/24

     1,288,000        1,267  

2.484%, (US SOFR plus 1.360%), 9/16/36

     352,000        302  

National Australia Bank, Ltd.
2.332%, 8/21/30 144A

     332,000        289  

Nationwide Building Society
4.125%, (USD ICE SWAP Rate plus
1.849%), 10/18/32 144A

     650,000        640  

Office Properties Income Trust
2.400%, 2/1/27

     392,000        349  

Ontario Teachers’ Cadillac Fairview Properties Trust
2.500%, 10/15/31 144A

     202,000        185  

Owl Rock Capital Corp.
3.400%, 7/15/26

     1,850,000        1,737  

Phillips Edison Grocery Center Operating Partnership I, LP
2.625%, 11/15/31

     240,000        212  

Piedmont Operating Partnership LP
2.750%, 4/1/32

     428,000        381  

Prospect Capital Corp.

     

3.437%, 10/15/28

     159,000        136  

3.706%, 1/22/26

     428,000        403  

Protective Life Global Funding
3.218%, 3/28/25 144A

     155,000        155  

Rexford Industrial Realty, Inc.
2.150%, 9/1/31

     529,000        459  

Safehold Operating Partnership LP
2.850%, 1/15/32

     533,000        470  

Sammons Financial Group, Inc.
3.350%, 4/16/31 144A

     1,565,000        1,442  
 


Inflation Protection Portfolio

 

Corporate Bonds (16.2%)    Shares/ Par +     

Value

$ (000’s) 

 

Financial continued

     

SBL Holdings, LLC
5.125%, 11/13/26 144A

     350,000        354  

SLM Corp.
3.125%, 11/2/26

     521,000        483  

Societe Generale SA
5.000%, 1/17/24 144A

     1,180,000        1,203  

Store Capital Corp.
2.700%, 12/1/31

     242,000        214  

Swedbank AB
3.356%, 4/4/25 144A

     200,000        201  

UBS Group AG

     

1.494%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus
0.850%), 8/10/27 144A

     480,000        436  

UniCredit SpA
7.830%, 12/4/23 144A

     1,605,000        1,703  

US Bancorp

     

2.491%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus
0.950%), 11/3/36

     495,000        444  

Wells Fargo & Co.

     

3.526%, (US SOFR plus
1.510%), 3/24/28

     437,000        436  

Westpac Banking Corp.

     

3.020%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus
1.530%), 11/18/36

     280,000        249  
     

 

 

 

Total

        45,540  
     

 

 

 

Industrial (0.3%)

     

DAE Funding LLC
1.550%, 8/1/24 144A

     316,000        299  

Raytheon Technologies Corp.
4.125%, 11/16/28

     1,240,000        1,296  
     

 

 

 

Total

        1,595  
     

 

 

 

Technology (0.5%)

     

Broadcom Corp. / Broadcom Cayman Finance, Ltd.
3.875%, 1/15/27

     322,000        324  

Broadcom, Inc.
4.000%, 4/15/29 144A

     238,000        238  

Dell International LLC / EMC Corp.
4.900%, 10/1/26

     440,000        461  

HP, Inc.
4.000%, 4/15/29

     220,000        219  

Qorvo, Inc.

     

3.375%, 4/1/31 144A

     335,000        305  

4.375%, 10/15/29

     478,000        478  

Workday, Inc.
3.500%, 4/1/27

     275,000        275  
     

 

 

 

Total

        2,300  
     

 

 

 

Utilities (1.2%)

     

Ameren Corp.
1.950%, 3/15/27

     1,470,000        1,377  

CenterPoint Energy, Inc.
2.650%, 6/1/31

     370,000        341  

Dominion Energy, Inc.
1.450%, 4/15/26

     1,200,000        1,116  

Duke Energy Florida LLC
1.750%, 6/15/30

     400,000        356  
Corporate Bonds (16.2%)    Shares/ Par +     

Value

$ (000’s) 

 

Utilities continued

     

Duke Energy Progress LLC
2.000%, 8/15/31

     780,000        698  

Essential Utilities, Inc.
2.704%, 4/15/30

     370,000        349  

PG&E Energy Recovery Funding LLC
2.822%, 7/15/46

     900,000        805  

Sempra Energy

     

3.250%, 6/15/27

     250,000        246  

3.300%, 4/1/25

     507,000        508  
     

 

 

 

Total

        5,796  
     

 

 

 

Total Corporate Bonds (Cost: $84,327)

        80,519  
     

 

 

 
Investment Companies (2.4%)                

Investment Companies (2.4%)

     

Vanguard Intermediate-Term Corporate Bond ETF

     94,300        8,114  

Vanguard Short-Term Corporate Bond ETF

     52,100        4,068  
     

 

 

 

Total

        12,182  
     

 

 

 

Total Investment Companies (Cost: $13,076)

 

     12,182  
     

 

 

 
Governments (53.0%)                

Governments (53.0%)

     

Tennessee Valley Authority
4.700%, 7/15/33

     1,658,000        1,941  

US Treasury Inflation Index Bond

     

0.125%, 1/15/30

     24,634,973        26,002  

0.125%, 7/15/30

     15,347,640        16,275  

0.125%, 1/15/31

     14,036,490        14,854  

0.125%, 7/15/31

     5,767,850        6,134  

0.125%, 1/15/32

     9,581,922        10,190  

0.125%, 2/15/51

     8,798,659        8,998  

0.125%, 2/15/52

     851,207        882  

0.125%, 10/15/25

     7,312,005        7,664  

0.125%, 4/15/26

     4,179,903        4,369  

0.125%, 7/15/26

     5,335,285        5,608  

0.125%, 10/15/26

     10,286,000        10,812  

0.250%, 2/15/50

     6,034,795        6,330  

0.250%, 1/15/25

     2,610,609        2,738  

0.250%, 7/15/29

     2,087,758        2,229  

0.375%, 7/15/25

     4,622,436        4,888  

0.375%, 1/15/27

     12,101,232        12,825  

0.375%, 7/15/27

     10,628,435        11,320  

0.500%, 1/15/28

     8,546,175        9,141  

0.625%, 2/15/43

     8,129,825        9,064  

0.625%, 1/15/26

     18,512,542        19,736  

0.750%, 2/15/42

     9,857,908        11,256  

0.750%, 2/15/45

     11,757,059        13,483  

0.750%, 7/15/28

     1,679,610        1,837  

0.875%, 2/15/47

     3,318,483        3,968  

0.875%, 1/15/29

     3,339,450        3,687  

1.000%, 2/15/46 b

     4,092,528        4,976  

1.000%, 2/15/48

     1,310,782        1,625  

1.000%, 2/15/49

     2,735,484        3,417  

1.375%, 2/15/44

     9,262,157        11,863  

1.750%, 1/15/28

     1,469,118        1,682  

2.000%, 1/15/26

     3,469,543        3,888  

2.125%, 2/15/41

     3,299,853        4,660  

2.375%, 1/15/25

     372,663        414  

2.375%, 1/15/27

     801,412        930  
 


Inflation Protection Portfolio

 

Governments (53.0%)    Shares/ Par +     

Value

$ (000’s) 

 

Governments continued

     

2.500%, 1/15/29

     936,035        1,140  

3.625%, 4/15/28

     2,606,700        3,301  
     

 

 

 

Total

        264,127  
     

 

 

 

Total Governments (Cost: $256,737)

        264,127  
     

 

 

 
Municipal Bonds (0.2%)                

Municipal Bonds (0.2%)

     

Golden State Tobacco Securitization Corp.
2.746%, 6/1/34 RB

     740,000        672  

Santa Clara Valley Transportation Authority
5.876%, 4/1/32 RB

     50,000        57  
     

 

 

 

Total Municipal Bonds (Cost: $802)

        729  
     

 

 

 
Structured Products (21.1%)                

Asset Backed Securities (9.7%)

     

Aligned Data Centers Issuer LLC, Series 2021-1A, Class B
2.482%, 8/15/46 144A

     2,350,000        2,162  

Ares XXXIX CLO, Ltd., Series 2016-39A, Class BR2

     

1.841%, (ICE LIBOR USD 3 Month plus 1.600%), 4/18/31 144A

     2,000,000        1,976  

Bean Creek CLO, Ltd., Series 2018-1A, Class AR

     

1.274%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/31 144A

     1,500,000        1,485  

Blackbird Capital Aircraft, Series 2021-1A, Class A
2.443%, 7/15/46 144A

     956,845        874  

BRE Grand Islander Timeshare Issuer,
Series 2017-1A, Class A
2.940%, 5/25/29 144A

     144,058        143  

Cologix Canadian Issuer LP, Series 2022- 1CAN, Class A2
4.940%, 1/25/52 144A CAD

     1,950,000        1,505  

Dryden Senior Loan Fund, Series 2016- 43A, Class B2R2
3.093%, 4/20/34 144A

     2,000,000        1,914  

FirstKey Homes Trust, Series 2020-SFR2, Class D
1.968%, 10/19/37 144A

     1,300,000        1,190  

Global SC Finance SRL, Series 2021-1A, Class A

     

1.860%, 4/17/41 144A

     1,504,083        1,382  

2.170%, 10/17/40 144A

     980,205        931  

Global SC Finance SRL, Series 2021-2A, Class A
1.950%, 8/17/41 144A

     773,231        721  

Goldentree Loan Opportunities X, Ltd.,
Series 2015-10A, Class AR

     

1.374%, (ICE LIBOR USD 3 Month plus 1.120%), 7/20/31 144A

     1,125,000        1,122  

Goodgreen Trust, Series 2020-1A, Class A
2.630%, 4/15/55 144A

     769,670        723  

Goodgreen Trust, Series 2021-1A, Class A
2.660%, 10/20/56 144A

     530,437        497  

Greenwood Park CLO, Ltd., Series 2018-1A, Class A1

     

1.271%, (ICE LIBOR USD 3 Month plus 1.030%), 4/15/31 144A

     1,500,000        1,485  
Structured Products (21.1%)    Shares/ Par +     

Value

$ (000’s) 

 

Asset Backed Securities continued

     

Hilton Grand Vacations Trust, Series 2017-AA, Class A
2.660%, 12/26/28 144A

     535,244        535  

Hilton Grand Vacations Trust, Series 2019-AA, Class B
2.540%, 7/25/33 144A

     864,248        845  

J.G. Wentworth XLI LLC, Series 2018-1A, Class B
4.700%, 10/15/74 144A

     400,000        422  

KKR Financial CLO, Ltd., Series 2018-22A, Class A

     

1.404%, (ICE LIBOR USD 3 Month plus 1.150%), 7/20/31 144A

     1,500,000        1,493  

Magnetite CLO, Ltd., Series 2014-8A, Class AR2

     

1.221%, (ICE LIBOR USD 3 Month plus 0.980%), 4/15/31 144A

     1,750,000        1,741  

Magnetite CLO, Ltd., Series 2021-29A, Class B

     

1.641%, (ICE LIBOR USD 3 Month plus 1.400%), 1/15/34 144A

     1,650,000        1,625  

Mosaic Solar Loans LLC, Series 2021-1, Class A
1.510%, 12/20/46 144A

     1,282,304        1,175  

MVW Owner Trust, Series 2019-2A, Class A
2.220%, 10/20/38 144A

     633,445        616  

Palmer Square CLO, Ltd., Series 2018-1A, Class A1R2

     

1.371%, (ICE LIBOR USD 3 Month plus 1.130%), 1/17/31 144A

     1,750,000        1,740  

Progress Residential Trust, Series 2021-SFR1, Class D
1.805%, 4/17/38 144A

     1,000,000        884  

Progress Residential Trust, Series 2021-SFR2, Class C
1.997%, 4/19/38 144A

     5,050,000        4,632  

Progress Residential Trust, Series 2021-SFR8, Class E1
2.382%, 10/17/38 144A

     550,000        485  

Rockford Tower CLO, Ltd., Series 2020-1A, Class B

     

2.054%, (ICE LIBOR USD 3 Month plus 1.800%), 1/20/32 144A

     1,350,000        1,346  

ServiceMaster Brands, Series 2020-1,
Class A2I
2.841%, 1/30/51 144A

     1,237,500        1,121  

Sierra Receivables Funding Co. LLC, Series 2019-3A, Class B
2.750%, 7/15/38 144A

     1,170,259        1,144  

Sierra Receivables Funding Co. LLC, Series 2021-A1, Class B
1.340%, 11/20/37 144A

     2,145,606        2,042  

Stratus CLO, Ltd. Series 2021-1A, Class A

     

0.891%, (ICE LIBOR USD 3 Month plus 0.800%), 12/29/29 144A

     1,250,000        1,238  

Taco Bell Funding LLC, Series 2021-1A,
Class A23
2.542%, 8/25/51 144A

     748,125        648  
 


Inflation Protection Portfolio

 

Structured Products (21.1%)    Shares/ Par +     

Value

$ (000’s)

 

Asset Backed Securities continued

     

Treman Park CLO, Ltd., Series 2015-1A,
Class ARR

     

1.324%, (ICE LIBOR USD 3 Month plus 1.070%), 10/20/28 144A

     736,847        735  

Tricon American Homes, Series 2020-SFR2,
Class B
1.832%, 11/17/39 144A

     1,400,000        1,250  

Triton Container Finance VIII LLC, Series 2020-1A, Class A
2.110%, 9/20/45 144A

     1,396,000        1,287  

Wendys Funding LLC, Series 2021-1A, Class A2II
2.775%, 6/15/51 144A

     3,399,313        3,004  
     

 

 

 

Total

        48,118  
     

 

 

 

Mortgage Securities (11.4%)

     

Agate Bay Mortgage Trust, Series 2015-7,
Class A3
3.500%, (AFC), 10/25/45 144A

     186,284        186  

Agate Bay Mortgage Trust, Series 2016-1,
Class A3
3.500%, (AFC), 12/25/45 144A

     130,444        130  

Angel Oak Mortgage Trust, Series 2019-4,
Class A
3.301%, (AFC), 7/26/49 144A

     93,226        93  

Angel Oak Mortgage Trust, Series 2019-6,
Class A3
2.927%, (AFC), 11/25/59 144A

     380,343        380  

Arroyo Mortgage Trust, Series 2021-1R,
Class A2
1.483%, (CSTR, AFC), 10/25/48 144A

     449,812        428  

Arroyo Mortgage Trust, Series 2021-1R,
Class A3
1.637%, (CSTR, AFC), 10/25/48 144A

     346,009        330  

Bellemeade Re, Ltd., Series 2021-3A, Class M1A

     

1.049%, (US 30 Day Average SOFR plus 1.000%), 9/25/31 144A

     1,475,000        1,462  

Bellemeade Re, Ltd., Series 2021-2A, Class M1C

     

1.899%, (US 30 Day Average SOFR plus 1.850%), 6/25/31 144A

     2,108,000        2,052  

BX Commercial Mortgage Trust, Series 2020- VIV2, Class C
3.542%, (CSTR), 3/9/44 144A

     1,899,000        1,736  

BX Commercial Mortgage Trust, Series 2021- VOLT, Class E

     

2.397%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/36 144A

     1,200,000        1,154  

BX Commercial Mortgage Trust, Series 2021- VOLT, Class F

     

2.797%, (ICE LIBOR USD 1 Month plus 2.400%), 9/15/36 144A

     1,400,000        1,350  

BX Trust, Series 2019-OC11, Class A
3.202%, 12/9/41 144A

     1,850,000        1,786  

BX Trust, Series 2019-OC11, Class C
3.856%, 12/9/41 144A

     1,350,000        1,279  

BX Trust, Series 2020-VIVA, Class D
3.667%, (CSTR), 3/11/44 144A

     2,014,962        1,807  
Structured Products (21.1%)    Shares/ Par +     

Value

$ (000’s) 

 

Mortgage Securities continued

     

BXMT, Ltd., Series 2020-FL2, Class B
1.564%, (US 30 Day Average SOFR plus 1.514%), 2/15/38 144A

     1,600,000        1,581  

Chase Mortgage Finance Corp., Series 2021- CL1, Class M1

     

1.249%, (US 30 Day Average SOFR plus 1.200%), 2/25/50 144A

     420,721        412  

Citigroup Mortgage Loan Trust, Series 2019- IMC1, Class A1
2.720%, (AFC), 7/25/49 144A

     222,518        220  

Credit Suisse Mortgage Trust, Series 2015- WIN1, Class A10
3.500%, (AFC), 12/25/44 144A

     64,572        63  

Credit Suisse Mortgage Trust, Series 2019- ICE4, Class B

     

1.627%, (ICE LIBOR USD 1 Month plus 1.230%), 5/15/36 144A

     875,000        866  

Credit Suisse Mortgage Trust, Series 2019- ICE4, Class D

     

1.997%, (ICE LIBOR USD 1 Month plus 1.600%), 5/15/36 144A

     2,155,000        2,131  

Credit Suisse Mortgage Trust, Series 2021- NQM2, Class A3
1.538%, (AFC), 2/25/66 144A

     389,838        376  

Deephaven Residential Mortgage Trust, Series 2020-2, Class A3
2.856%, 5/25/65 144A

     1,474,000        1,466  

Deephaven Residential Mortgage Trust, Series 2021-3, Class A3
1.554%, (AFC), 8/25/66 144A

     1,116,633        1,057  

Extended Stay America Trust, Series 2021- ESH, Class E

     

3.247%, (ICE LIBOR USD 1 Month plus 2.850%), 7/15/38 144A

     1,709,479        1,681  

FARM 2021-1 Mortgage Trust, Series 2021-1, Class A
1.000%, (CSTR), 1/25/51 144A

     2,226,797        2,065  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series 2019-K088, Class A2
3.690%, 1/25/29

     3,000,000        3,154  

Federal Home Loan Mortgage Corp., Series K108, Class A2
1.517%, 3/25/30

     4,000,000        3,634  

Federal National Mortgage Association, Series 2018-C03, Class 1EB2

     

2.787%, (ICE LIBOR USD 1 Month plus 2.600%), 5/25/24

     333,848        333  

Imperial Fund Mortgage Trust, Series 2021- NQM1, Class A3
1.617%, (AFC), 6/25/56 144A

     456,629        430  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A
4.128%, 7/5/31 144A

     2,020,000        2,037  

JP Morgan Mortgage Trust, Series 2014-5, Class A1
2.858%, (AFC), 10/25/29 144A

     446,766        440  

JP Morgan Mortgage Trust, Series 2016-1, Class A7
3.500%, 5/25/46 144A

     717,649        709  
 


Inflation Protection Portfolio

 

Structured Products (21.1%)    Shares/ Par +     

Value

$ (000’s) 

 

Mortgage Securities continued

     

JP Morgan Mortgage Trust, Series 2017-1,
Class A2
3.464%, (AFC), 1/25/47 144A

     338,150        330  

New Residential Mortgage Loan Trust, Series 2020-NQM2, Class A2
2.891%, (AFC), 5/24/60 144A

     1,383,000        1,352  

Sequoia Mortgage Trust, Series 2017-7,
Class A7
3.500%, (AFC), 10/25/47 144A

     1,243,512        1,221  

Sequoia Mortgage Trust, Series 2019-4,
Class A7
3.500%, (AFC), 11/25/49 144A

     2,500,267        2,427  

Sequoia Mortgage Trust, Series 2021-5,
Class A4
2.500%, (AFC), 7/25/51 144A

     1,729,928        1,660  

SG Residential Mortgage Trust, Series 2021-1,
Class A3
1.560%, (AFC), 7/25/61 144A

     946,777        897  

SLG Office Trust, Series 2021-OVA, Class C
2.850%, 7/15/41 144A

     1,850,000        1,646  

Starwood Mortgage Residential Trust, Series 2020-2, Class B1E
3.000%, (AFC), 4/25/60 144A

     2,503,000        2,509  

Starwood Mortgage Residential Trust, Series 2021-1, Class A1
1.219%, (AFC), 5/25/65 144A

     1,269,065        1,243  

Verus Securitization Trust, Series 2019-4, Class A3
3.000%, (AFC), 11/25/59 144A

     758,631        758  

Verus Securitization Trust, Series 2020-1,
Class A3
2.724%, (AFC), 1/25/60 144A

     1,284,336        1,277  

Verus Securitization Trust, Series 2021-1,
Class A3
1.155%, (AFC), 1/25/66 144A

     993,553        955  

Verus Securitization Trust, Series 2021-5,
Class A3
1.373%, (AFC), 9/25/66 144A

     1,131,786        1,042  

Verus Securitization Trust, Series 2022-3,
Class A3
4.130%, (CSTR), 2/25/67 144A

     2,458,000        2,420  
Structured Products (21.1%)    Shares/ Par +     

Value

$ (000’s) 

 

Mortgage Securities continued

     

Vista Point Securitization Trust, Series 2020-2,
Class A3
2.496%, (AFC), 4/25/65 144A

     530,290        516  
     

 

 

 

Total

        57,081  
     

 

 

 

Total Structured Products (Cost: $110,420)

 

     105,199  
     

 

 

 
Short-Term Investments (7.0%)                

Commercial Paper (3.6%)

     

BNP Paribas SA
0.000%, 4/29/22

     8,000,000        7,997  

Wal-Mart Stores, Inc.
0.000%, 4/18/22

     10,000,000        9,998  
     

 

 

 

Total

        17,995  
     

 

 

 

Financial (0.7%)

     

Ares Capital Corp.
3.500%, 2/10/23

     1,073,000        1,079  

FNB Corp.
2.200%, 2/24/23

     2,505,000        2,490  
     

 

 

 

Total

        3,569  
     

 

 

 

Money Market Funds (2.7%)

     

State Street Institutional U.S. Government
Money Market Fund - Premier Class
0.250%#

     13,533,262        13,533  
     

 

 

 

Total

        13,533  
     

 

 

 

Total Short-Term Investments (Cost: $35,121)

 

     35,097  
     

 

 

 

Total Investments (99.9%) (Cost: $500,483)@

 

     497,853  
     

 

 

 

Other Assets, Less Liabilities (0.1%)

        502  
     

 

 

 

Net Assets (100.0%)

        498,355  
     

 

 

 
 


Inflation Protection Portfolio

 

Exchange Traded or Centrally Cleared Derivatives

Total Return Swaps - Receive Floating Rate

 

Floating Rate Index    Fixed
Rate
    Expiration
Date
     Notional
Amount
(000’s)
     Currency     

Upfront

Premium Paid/
(Received)
(000’s)

  Unrealized
Appreciation/
(Depreciation)
(000’s)
  Market Value
(000’s)
  Variation
Margin(000’s)
 

CPURNSA

     1.777%       6/24        11,000          USD      $         –     $             1,297     $             1,297     $ (25

CPURNSA

     1.715%       6/24        7,400          USD              890       890       (18

CPURNSA

     1.860%       7/24        7,500          USD              847       847       (19

CPURNSA

     1.858%       8/24        12,700          USD              1,437       1,437       (33

CPURNSA

     1.616%       10/24        7,500          USD              965       965       (20

CPURNSA

     2.073%       8/27        3,500          USD              467       467       (22

CPURNSA

     2.145%       11/27        5,000          USD        (1     644       644       (6

CPURNSA

     1.793%       10/29        3,700          USD              638       638       3  

CPURNSA

     1.800%       10/29        3,700          USD              636       636       3  

CPURNSA

     1.884%       11/29        2,000          USD              330       330       1  

CPURNSA

     2.695%       8/26        10,000          USD              673       673       (19

CPURNSA

     2.513%       8/31        5,000          USD        1       445       446       8  

CPURNSA

     2.498%       9/31        7,000          USD        1       623       624       10  

CPURNSA

     2.333%       2/26        13,000          USD              1,421       1,421       (30

CPURNSA

     2.210%       1/24        8,000          USD              789       788       (23

CPURNSA

     2.273%       1/24        10,000          USD              968       968       (28

CPURNSA

     2.260%       2/25        8,000          USD              851       851       (23

CPURNSA

     2.243%       1/26        6,000          USD              683       683       (12

CPURNSA

     1.078%       6/25        3,000          USD              502       502       (6

CPURNSA

     1.291%       5/30        2,000          USD              454       454       4  

CPURNSA

     1.629%       6/30        2,000          USD                  415       415       3  
             

 

 

 

              $     1     $         15,975       $         15,976       $ (252 )  
             

 

 

 

 

     Financial Derivative Assets      Financial Derivative Liabilities  
     Variation Margin (000’s)      Variation Margin (000’s)      Market Value
(000’s)
 
     Swaps      Futures      Total      Swaps      Futures      Total      Options  
  

 

 

 

Total Exchange-Traded or

Centrally Cleared Derivatives

    $         32      $         –      $             32      $         (284)      $                 –      $         (284)      $             –  
  

 

 

 

Over the Counter Derivatives

Forward Foreign Currency Contracts

 

Type   Counterparty   Currency  

Foreign Principal
Amount

Covered by

Contract (000s)

 

USD Principal

Amount

Covered by
Contract (000’s)

  Settlement
Date
  Unrealized
Appreciation
(000’s)
  Unrealized
(Depreciation)
(000’s)
  Net
Unrealized
Appreciation/
(Depreciation)
(000’s)

Buy

  Morgan Stanley Capital Services, Inc.  

CAD

 

     

 

145

 

 

     

 

116

 

 

     

 

6/15/2022

 

 

    $

 

2

 

 

    $

 

 

 

    $

 

2  

 

 

Sell

  Morgan Stanley Capital Services, Inc.  

CAD

 

     

 

2,009

 

 

     

 

1,607

 

 

     

 

6/15/2022

 

 

     

 

 

 

     

 

(48

 

)

 

     

 

(48)  

 

 

 

                         
                    $                 2     $         (48     $             (46)    
                         


Inflation Protection Portfolio

 

Total Return Swaps

 

Reference Entity   Counterparty  

Payment made

by the Fund

    Expiration
Date
    Notional
Amount (000’s)
    Unrealized
Appreciation/
(Depreciation)
(000’s)
  Market Value
(000’s)
 

CPURNSA

  Bank of America NA     2.670%       4/22       3,000       $ (223   $ (223

CPURNSA

  Bank of America NA     2.763%       3/23       700         (19     (19 )  

CPURNSA

  Bank of America NA     2.528%       8/24       2,750         68       68  

CPURNSA

  Bank of America NA     2.140%       7/25       2,900         311       311  

CPURNSA

  Bank of America NA     1.790%       8/25       1,500         213       213  

CPURNSA

  Bank of America NA     2.240%       4/27       3,500        379       379  

CPURNSA

  Bank of America NA     2.218%       4/27       2,000         222       222  

CPURNSA

  Bank of America NA     2.235%       4/27       2,000         219       219  

CPURNSA

  Bank of America NA     2.235%       5/27       5,000         548       548  

CPURNSA

  Barclays Bank PLC     2.526%       5/23       5,500          9       9  

CPURNSA

  Barclays Bank PLC     2.535%       5/23       1,000         1       1  

CPURNSA

  Barclays Bank PLC     2.589%       7/24       1,400         24       24  

CPURNSA

  Barclays Bank PLC     2.385%       9/24       4,000         174       174  

CPURNSA

  Barclays Bank PLC     2.363%       9/24       3,500         164       164  

CPURNSA

  Barclays Bank PLC     2.310%       9/24       1,400         74       74  

CPURNSA

  Barclays Bank PLC     2.895%       12/27       1,700         (211     (211

CPURNSA

  Barclays Bank PLC     2.784%       7/44       1,400         (102     (102

CPURNSA

  Goldman Sachs International     1.870%       5/26       8,500         1,319       1,319  

CPURNSA

  Goldman Sachs International     1.920%       5/26       7,000         1,049       1,049  

CPURNSA

  Goldman Sachs International     1.770%       6/26       6,000         991       991  

CPURNSA

  Goldman Sachs International     2.245%       11/26       3,000         338       338  

CPURNSA

  Goldman Sachs International     2.280%       11/26       3,000         326       326  

CPURNSA

  Goldman Sachs International     2.280%       11/26       4,000         434       434  
         

 

 

 

          $         6,308     $         6,308  
         

 

 

 

 

         Financial Derivative Assets (000’s)    Financial Derivative Liabilities (000’s)    
     Forward
Foreign
Currency
Contracts
   Swaps    Total    Forward
Foreign
Currency
Contracts
    Options    Swaps   Total
  

 

Total Over the Counter

Derivatives

    $        2    $        6,863    $        6,865    $ (48      $        (555)   $        (603)
  

 

 

+

All par is stated in U.S. Dollar unless otherwise noted.

144A

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022 the value of these securities (in thousands) was $115,778 representing 23.3% of the net assets.

b

Cash or securities with an aggregate value of $4,976 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 3/31/2022.

Foreign Bond — par value is foreign denominated.

#

7-Day yield as of 3/31/2022.

@

At March 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $500,484 and the net unrealized appreciation of investments based on that cost was $19,607 which is comprised of $33,942 aggregate gross unrealized appreciation and $14,335 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.


Inflation Protection Portfolio

 

The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

Level 2 - fair value is determined by other significant observable inputs

Level 3 - fair value is determined by significant unobservable inputs

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at March 31, 2022.

 

            Valuation Inputs                 
Description                 Level 1 - Quoted
Prices
                  

Level 2 - Other
Significant

Observable Inputs

                  

Level 3

- Significant
Unobservable

Inputs

 
                   (Amounts in thousands)               

Assets:

                  

Municipal Bonds

     $ —           $ 729           $ —      

Corporate Bonds

       —             80,519             —      

Governments

       —             264,127             —      

Structured Products

       —             105,199             —      

Investment Companies

       12,182             —             —      

Short-Term Investments

                                       

Money Market Funds

       13,533             —             —      

All Others

       —             21,564             —      

Other Financial Instruments^

                                       

Forward Foreign Currency Contracts

       —             2             —      

Total Return Swaps

       —             22,839             —      
    

 

 

 

Total Assets:

     $             25,715           $             494,979           $                 —      
    

 

 

 

Liabilities:

                  

Other Financial Instruments^

                  

Forward Foreign Currency Contracts

       —             (48)              —      

Total Return Swaps

       —             (555)              —      
    

 

 

 

Total Liabilities:

     $ —           $ (603)            $ —      
    

 

 

 

^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.


Abbreviations

Abbreviations that may be used in the preceding statements

 

ADR

   American Depositary Receipt

AFC

   Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.

CSTR

   Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.

EXE

   Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.

IO

   Interest Only Security

PO

   Principal Only Security

GDR

   Global Depositary Receipt

GO

   General Obligation

RB

   Revenue Bond

CPURNSA

   U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted

LIBOR

   London Interbank Offered Rate

SOFR

   Secured Overnight Financing Rate

ICE

   Intercontinental Exchange

SONIO

   Sterling Overnight Interbank Average Rate

DAC

   Designated Activity Company

TBA

   To Be Announced

OIS

   Overnight Index Swaps

DIFC

   Dubai International Financial Centre

EURIBOR

   Euro Interbank Offered Rate

SDR

   Swedish Depository Receipt

ETF

   Exchange Traded Fund
Currency Abbreviations

ARS

   Argentine Peso

AUD

   Australian Dollar

BRL

   Brazilian Real

CAD

   Canadian Dollar

CHF

   Swiss Franc

CNH

   Chinese Yuan Renminbi - Offshore

CNY

   Chinese Yuan Renminbi

DKK

   Danish Krone

EUR

   Euro

GBP

   British Pound

HKD

   Hong Kong Dollar

IDR

   Indonesian Rupiah

INR

   Indian Rupee

JPY

   Japanese Yen

KES

   Kenyan Shilling

KRW

   South Korean Won

MXN

   Mexican New Peso

NOK

   Norwegian Krone

NZD

   New Zealand Dollar

PHP

   Philippines Peso

PLN

   Polish Zloty

RUB

   Russian Ruble

SEK

   Swedish Krona

THB

   Thai Baht

TWD

   Taiwan Dollar

USD

   United States Dollar

ZAR

   South African Rand


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