Form NPORT-P SEASONS SERIES TRUST For: Mar 31

May 26, 2022 6:08 AM EDT

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    NPORT-P
    false
    
      
      
        
          0001003239
          XXXXXXXX
        
      
      
      
      
        S000008041
        C000109742
        C000021826
      
      
      
    
  
  
    
      SEASONS SERIES TRUST
      811-07725
      0001003239
      549300O318N6OBWGKN57
      21650 Oxnard Street
      Woodland Hills
      
      91367
      800-445-7862
      SA American Century Inflation Protection Portfolio
      S000008041
      HTUFSP9PEUEQNBLPPW58
      2022-03-31
      2022-03-31
      N
    
    
      739493855.98
      12578830.82
      726915025.16
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      9397051.73000000
      0.00000000
      0.00000000
      0.00000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        CLI Funding LLC
        N/A
        CLI Funding VIII LLC
        12565KAA5
        
          
        
        1783761.98000000
        PA
        USD
        1621146.75000000
        0.223017367077
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-02-18
          Fixed
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DNB BANK ASA
        549300GKFG0RYRRQ1414
        DNB Bank ASA
        25601B2D6
        
          
        
        1450000.00000000
        PA
        USD
        1449608.50000000
        0.199419251195
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2025-03-28
          Fixed
          2.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEF8
        
          
        
        520000.00000000
        PA
        USD
        445506.92000000
        0.061287345092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-16
          Fixed
          2.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCB0
        
          
        
        4235000.00000000
        PA
        USD
        3949383.38000000
        0.543307435299
        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
        
          
        
        680000.00000000
        PA
        USD
        675801.69000000
        0.092968458019
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2033-03-01
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828VM9
        
          
        
        18116700.00000000
        PA
        USD
        19026781.19000000
        2.617469791027
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-07-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS EDISON GROCERY
        549300WUPIVS6ZE0ZI51
        Phillips Edison Grocery Center Operating Partnership I LP
        71845JAA6
        
          
        
        355000.00000000
        PA
        USD
        312602.66000000
        0.043004016863
        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
        
          
        
        190000.00000000
        PA
        USD
        187109.98000000
        0.025740282360
        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
        
          
        
        11359012.50000000
        PA
        USD
        11982870.82000000
        1.648455514778
        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
        
          
        
        660000.00000000
        PA
        USD
        726947.58000000
        0.100004478493
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QORVO INC
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74736KAJ0
        
          
        
        505000.00000000
        PA
        USD
        462054.80000000
        0.063563798244
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MTN Commercial Mortgage Trust 2022-LPFL
        N/A
        MTN Commercial Mortgage Trust 2022-LPFL
        62475WAG0
        
          
        
        2973000.00000000
        PA
        USD
        2954529.94000000
        0.406447774187
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-03-15
          Floating
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83367TBG3
        
          
        
        1800000.00000000
        PA
        USD
        1835569.80000000
        0.252515044601
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-01-17
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominos Pizza Master Issuer LLC
        N/A
        Domino's Pizza Master Issuer LLC
        25755TAH3
        
          
        
        2735040.00000000
        PA
        USD
        2714436.94000000
        0.373418741675
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-07-25
          Fixed
          4.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A3C3
        
          
        
        535000.00000000
        PA
        USD
        470906.42000000
        0.064781494906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-19
          Fixed
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300EYS8N79JYSXL17
        Palmer Square CLO 2018-2 Ltd
        69688MAE5
        
          
        
        2000000.00000000
        PA
        USD
        1983132.00000000
        0.272814831357
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-16
          Floating
          1.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810SM1
        
          
        
        6339814.74000000
        PA
        USD
        6762716.71000000
        0.930331122060
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-02-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Discover Bank
        X05BVSK68TQ7YTOSNR22
        Discover Bank
        25466AAN1
        
          
        
        2400000.00000000
        PA
        USD
        2434930.54000000
        0.334967699899
        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
        
          
        
        634000.00000000
        PA
        USD
        632266.57000000
        0.086979433374
        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
        
          
        
        8788106.00000000
        PA
        USD
        9396293.29000000
        1.292626093116
        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
        
          
        
        3800000.00000000
        PA
        USD
        3689664.53000000
        0.507578520500
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-03-10
          Fixed
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128287D6
        
          
        
        32964600.00000000
        PA
        USD
        35267829.68000000
        4.851712849412
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-07-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ION MEDIA ESCROW
        N/A
        ION MEDIA ESCROW
        000000000
        
          
        
        233.00000000
        NS
        USD
        829.65000000
        0.000114133010
        Long
        EC
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBV0
        
          
        
        2450000.00000000
        PA
        USD
        2433853.77000000
        0.334819571168
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWAP CCPC BANK OF AMERICA COC
        N/A
        SWAP CCPC BANK OF AMERICA COC
        000000000
        
          
        
        6870002.29000000
        NS
        USD
        6870002.29000000
        0.945090148396
        Long
        STIV
        CORP
        US
        N
        
        N/A
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2019-INV2
        92537HAD3
        
          
        
        3253000.00000000
        PA
        USD
        3256338.55000000
        0.447966878836
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAE6
        
          
        
        1750000.00000000
        PA
        USD
        1837903.20000000
        0.252836044982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-2
        92538FAA2
        
          
        
        392114.95000000
        PA
        USD
        377475.26000000
        0.051928388729
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-02-25
          Variable
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2021-2
        85573HAA8
        
          
        
        148698.59000000
        PA
        USD
        145311.74000000
        0.019990196236
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Variable
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JBD9
        
          
        
        1135000.00000000
        PA
        USD
        1050767.55000000
        0.144551634459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BLFD0UPW7 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLFD0UPW7 IRS USD P F  3.12500 FIX CCPINFLATIONZERO
        000000000
        
          
        
        15000000.00000000
        OU
        Notional Amount
        USD
        -33870.60000000
        -0.00465949922
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2032-03-25
            660.73000000
            USD
            0.00000000
            USD
            15000000.00000000
            USD
            -34531.33000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL2I4KS13 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL2I4KS13 IRS USD P F  3.54000 FIX CCPINFLATIONZERO
        000000000
        
          
        
        50000000.00000000
        OU
        Notional Amount
        USD
        -68019.50000000
        -0.00935728354
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-03-16
            797.95000000
            USD
            0.00000000
            USD
            50000000.00000000
            USD
            -68817.45000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust 2019-OC11
        N/A
        BX Trust 2019-OC11
        05606FAA1
        
          
        
        2700000.00000000
        PA
        USD
        2609186.31000000
        0.358939658652
        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
        
          
        
        500000.00000000
        PA
        USD
        461275.57000000
        0.063456601395
        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
        
          
        
        505000.00000000
        PA
        USD
        464419.89000000
        0.063889158144
        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
        
          
        
        584000.00000000
        PA
        USD
        580127.51000000
        0.079806784826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-17
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAV0
        
          
        
        200000.00000000
        PA
        USD
        203187.41000000
        0.027952016806
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2023-06-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NBH7
        
          
        
        1980000.00000000
        PA
        USD
        1832487.01000000
        0.252090952391
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-10-04
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEMPRA ENERGY
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BN8
        
          
        
        726000.00000000
        PA
        USD
        726901.36000000
        0.099998120115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASSURED GUARANTY US HLDG
        5493007YCE0652G9TZ64
        Assured Guaranty US Holdings Inc
        04621WAE0
        
          
        
        465000.00000000
        PA
        USD
        400954.27000000
        0.055158341225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-09-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wingstop Funding LLC
        N/A
        Wingstop Funding LLC
        974153AB4
        
          
        
        203975.00000000
        PA
        USD
        189661.05000000
        0.026091227094
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-12-05
          Fixed
          2.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AV8
        
          
        
        1360000.00000000
        PA
        USD
        1471884.34000000
        0.202483686408
        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
        
          
        
        2675000.00000000
        PA
        USD
        2435303.50000000
        0.335019007134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-21
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XHT4
        
          
        
        1973001.86000000
        PA
        USD
        1956980.49000000
        0.269217229286
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-09-25
          Floating
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA3
        35565MAH7
        
          
        
        1493192.36000000
        PA
        USD
        1494961.94000000
        0.205658417869
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Floating
          4.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US BANCORP
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        91159HJB7
        
          
        
        1960000.00000000
        PA
        USD
        1756817.87000000
        0.241681325766
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-11-03
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROGERS COMMUNICATIONS IN
        54930030NVF3Y2OL0A78
        Rogers Communications Inc
        775109CA7
        
          
        
        400000.00000000
        PA
        USD
        397904.44000000
        0.054738783245
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300YG8OJES76WL398
        STACR Trust 2018-HRP2
        35564ABN0
        
          
        
        1950000.00000000
        PA
        USD
        1930048.19000000
        0.265512215760
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-25
          Floating
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMEREN CORP
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AL6
        
          
        
        2090000.00000000
        PA
        USD
        1959092.16000000
        0.269507726789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BSPRT 2018-FL4 Issuer, Ltd.
        N/A
        BSPRT 2018-FL4 Issuer Ltd
        05586AAJ7
        
          
        
        3000000.00000000
        PA
        USD
        2988966.00000000
        0.411185062427
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-09-15
          Floating
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDJ5
        
          
        
        1920000.00000000
        PA
        USD
        1787461.29000000
        0.245896869390
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TJX4
        
          
        
        1253000.00000000
        PA
        USD
        1253466.97000000
        0.172436519622
        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
        
          
        
        3000000.00000000
        PA
        USD
        2985906.00000000
        0.410764105383
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-17
          Floating
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDK5
        
          
        
        590000.00000000
        PA
        USD
        616731.04000000
        0.084842246845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-03-09
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        74977RDN1
        
          
        
        109000.00000000
        PA
        USD
        108880.97000000
        0.014978500406
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-04-06
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage Trust
        N/A
        Deephaven Residential Mortgage Trust 2020-2
        24380NAC3
        
          
        
        2100000.00000000
        PA
        USD
        2088468.69000000
        0.287305753453
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-05-25
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDH2
        
          
        
        885000.00000000
        PA
        USD
        995758.71000000
        0.136984196987
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280DA4
        
          
        
        1500000.00000000
        PA
        USD
        1472287.38000000
        0.202539131678
        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
        
          
        
        14991741.60000000
        PA
        USD
        17410916.82000000
        2.395179108612
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-02-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL2I4KRY2 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL2I4KRY2 IRS USD P F  3.53750 FIX CCPINFLATIONZERO
        000000000
        
          
        
        50000000.00000000
        OU
        Notional Amount
        USD
        -61581.50000000
        -0.00847162293
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-03-16
            797.95000000
            USD
            0.00000000
            USD
            50000000.00000000
            USD
            -62379.45000000
          
        
        
          N
          N
          N
        
      
      
        SWEDBANK AB
        M312WZV08Y7LYUC71685
        Swedbank AB
        87020PAQ0
        
          
        
        200000.00000000
        PA
        USD
        200616.40000000
        0.027598328973
        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
        
          
        
        609593.57000000
        PA
        USD
        560662.77000000
        0.077129066066
        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
        
          
        
        16685370.00000000
        PA
        USD
        23832487.34000000
        3.278579547142
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-02-15
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESSENTIAL UTILITIES INC
        549300ILTEOF3E3QY357
        Essential Utilities Inc
        29670GAD4
        
          
        
        530000.00000000
        PA
        USD
        500485.81000000
        0.068850662412
        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
        
          
        
        1230000.00000000
        PA
        USD
        1271218.83000000
        0.174878601487
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2048-03-06
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REXFORD INDUSTRIAL REALT
        549300028US163ELJN70
        Rexford Industrial Realty LP
        76169XAB0
        
          
        
        865000.00000000
        PA
        USD
        750983.67000000
        0.103311067182
        Long
        DBT
        
        US
        N
        
        2
        
          2031-09-01
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAP6
        
          
        
        865000.00000000
        PA
        USD
        770566.07000000
        0.106004972153
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-21
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AON CORP/AON GLOBAL HOLD
        N/A
        Aon Corp / Aon Global Holdings PLC
        03740LAD4
        
          
        
        895000.00000000
        PA
        USD
        876910.84000000
        0.120634573457
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-28
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810SV1
        
          
        
        502009.35000000
        PA
        USD
        522534.21000000
        0.071883809236
        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
        
          
        
        261000.00000000
        PA
        USD
        260848.51000000
        0.035884319483
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-28
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KCU1
        
          
        
        1235358.53000000
        PA
        USD
        1226617.26000000
        0.168742867810
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-25
          Floating
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL AUSTRALIA BANK
        F8SB4JFBSYQFRQEH3Z21
        National Australia Bank Ltd
        632525AU5
        
          
        
        495000.00000000
        PA
        USD
        430652.35000000
        0.059243836637
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-08-21
          Fixed
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHX0
        
          
        
        1154000.00000000
        PA
        USD
        1094450.97000000
        0.150561060387
        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
        
          
        
        425000.00000000
        PA
        USD
        377711.91000000
        0.051960944116
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2036-11-18
          Fixed
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cologix Data Centers Issuer LLC
        N/A
        Cologix Data Centers US Issuer LLC
        19521UAA1
        
          
        
        2175000.00000000
        PA
        USD
        2093386.61000000
        0.287982300206
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-12-26
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Mortgage Residential Trust
        N/A
        Starwood Mortgage Residential Trust 2020-3
        85573MAA7
        
          
        
        1255281.84000000
        PA
        USD
        1236937.40000000
        0.170162585334
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828Y38
        
          
        
        14623804.40000000
        PA
        USD
        16028775.00000000
        2.205041090803
        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
        
          
        
        1720000.00000000
        PA
        USD
        1801213.05000000
        0.247788666853
        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
        
          
        
        1042000.00000000
        PA
        USD
        1064116.09000000
        0.146387961889
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARAMOUNT GLOBAL
        5KYC8KF17ROCY24M3H09
        Paramount Global
        92553PAP7
        
          
        
        520000.00000000
        PA
        USD
        495390.36000000
        0.068149693272
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBU8
        
          
        
        1970000.00000000
        PA
        USD
        1831503.48000000
        0.251955650469
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-11-24
          Fixed
          2.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBL HOLDINGS INC
        N/A
        SBL Holdings Inc
        78432MAA3
        
          
        
        540000.00000000
        PA
        USD
        546190.58000000
        0.075138160733
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-13
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAA7
        
          
        
        1400000.00000000
        PA
        USD
        1448149.75000000
        0.199218574369
        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
        
          
        
        2453897.46000000
        PA
        USD
        2412304.14000000
        0.331855038966
        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
        
          
        
        2300000.00000000
        PA
        USD
        2119048.88000000
        0.291512598674
        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
        
          
        
        3335937.10000000
        PA
        USD
        3317224.16000000
        0.456342769812
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-25
          Variable
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTARES HOLDINGS
        5493008EAIGV4283RM42
        Antares Holdings LP
        03666HAC5
        
          
        
        1500000.00000000
        PA
        USD
        1399983.17000000
        0.192592410604
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-07-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CP2
        
          
        
        1100000.00000000
        PA
        USD
        1009478.32000000
        0.138871571650
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-11-16
          Fixed
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        23914665.69000000
        NS
        USD
        23914665.69000000
        3.289884630564
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BRIGHTHSE FIN GL
        549300BLFX3KJ2IFOA78
        Brighthouse Financial Global Funding
        10921U2E7
        
          
        
        360000.00000000
        PA
        USD
        321008.50000000
        0.044160388613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAFEHOLD OPERATING PARTN
        54930012UY5Z4Q8NL108
        Safehold Operating Partnership LP
        78646UAB5
        
          
        
        815000.00000000
        PA
        USD
        718160.03000000
        0.098795595790
        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
        
          
        
        385000.00000000
        PA
        USD
        343985.83000000
        0.047321326165
        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
        
          
        
        1490000.00000000
        PA
        USD
        1498015.19000000
        0.206078446331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007222WHFWMBOC78
        Freddie Mac STACR Trust 2019-DNA1
        35563KAH3
        
          
        
        3184164.81000000
        PA
        USD
        3200143.27000000
        0.440236225588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-25
          Floating
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RA8
        
          
        
        12225300.00000000
        PA
        USD
        13789756.36000000
        1.897024532814
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-02-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BL7M00T40 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL7M00T40 IRS USD P F  3.71000 FIX CCPINFLATIONZERO
        000000000
        
          
        
        25000000.00000000
        OU
        Notional Amount
        USD
        -300567.25000000
        -0.04134833365
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-03-28
            651.07000000
            USD
            0.00000000
            USD
            25000000.00000000
            USD
            -301218.32000000
          
        
        
          N
          N
          N
        
      
      
        Stonepeak
        N/A
        Stonepeak 2021-1 ABS
        78433XAA8
        
          
        
        1840418.40000000
        PA
        USD
        1734411.22000000
        0.238598895327
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-02-28
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHD4
        
          
        
        1406000.00000000
        PA
        USD
        1394135.68000000
        0.191787985080
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-20
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RR1
        
          
        
        11862400.00000000
        PA
        USD
        14611449.40000000
        2.010062922661
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-02-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES CAPITAL CORP
        WEQ82666OJYSI5GUAB47
        Ares Capital Corp
        04010LAX1
        
          
        
        690000.00000000
        PA
        USD
        695516.03000000
        0.095680513667
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-10
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Traingle Re 2021-1 Ltd
        89600FAC7
        
          
        
        3000000.00000000
        PA
        USD
        3002276.40000000
        0.413016143027
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2033-08-25
          Floating
          3.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        06279JAB5
        
          
        
        600000.00000000
        PA
        USD
        543402.00000000
        0.074754542304
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-09-30
          Fixed
          2.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square Loan Funding Ltd
        N/A
        Palmer Square Loan Funding 2019-3 Ltd
        69689LAE6
        
          
        
        2500000.00000000
        PA
        USD
        2497300.00000000
        0.343547720650
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-08-20
          Floating
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        5493004B26DRJNN0OV17
        GSK Consumer Healthcare Capital UK PLC
        36264NAA2
        
          
        
        1444000.00000000
        PA
        USD
        1441435.38000000
        0.198294894191
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-03-24
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deephaven Residential Mortgage Trust
        N/A
        Deephaven Residential Mortgage Trust 2022-2
        24380XAA5
        
          
        
        3250000.00000000
        PA
        USD
        3250913.25000000
        0.447220533003
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-03-25
          Variable
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810QV3
        
          
        
        18658500.00000000
        PA
        USD
        21548866.78000000
        2.964427207328
        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
        
          
        
        926000.00000000
        PA
        USD
        886919.95000000
        0.122011503312
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-29
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square Loan Funding Ltd
        N/A
        Palmer Square Loan Funding 2019-4 Ltd
        69689HAE5
        
          
        
        2000000.00000000
        PA
        USD
        1975330.00000000
        0.271741528463
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-10-24
          Floating
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHJ4
        
          
        
        2935000.00000000
        PA
        USD
        3100662.99000000
        0.426550956120
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-CCRE23 Mortgage Trust
        12593AAY1
        
          
        
        2546240.22000000
        PA
        USD
        2562950.94000000
        0.352579166930
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-10
          Fixed
          3.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGC7
        
          
        
        7000000.00000000
        PA
        USD
        7146631.80000000
        0.983145423143
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFRA Trust
        N/A
        MFA 2021-NQM1 Trust
        55283FAA6
        
          
        
        453371.47000000
        PA
        USD
        445499.67000000
        0.061286347727
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-04-25
          Variable
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAJ0
        
          
        
        600000.00000000
        PA
        USD
        531712.85000000
        0.073146493275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2021-R1
        89179TAA2
        
          
        
        7077.40000000
        PA
        USD
        6885.82000000
        0.000947266153
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-11-30
          Variable
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stratus CLO
        N/A
        Stratus CLO 2021-1 Ltd
        863162AA1
        
          
        
        2350000.00000000
        PA
        USD
        2329747.70000000
        0.320497942587
        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
        
          
        
        1050000.00000000
        PA
        USD
        929077.73000000
        0.127811050513
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-11-18
          Fixed
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CD9
        
          
        
        2097000.00000000
        PA
        USD
        2052007.56000000
        0.282289881069
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Caterpillar Financial Services Corp
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp
        14912EER4
        
          
        
        10800000.00000000
        PA
        USD
        10790545.46000000
        1.484430103453
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2022-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAW5
        
          
        
        1315000.00000000
        PA
        USD
        1209739.55000000
        0.166421040717
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-10-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BLA128I45 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BLA128I45 IRS USD P F  3.04000 FIX CCPINFLATIONZERO
        000000000
        
          
        
        20000000.00000000
        OU
        Notional Amount
        USD
        162038.00000000
        0.022291188707
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2032-03-17
            713.06000000
            USD
            0.00000000
            USD
            20000000.00000000
            USD
            161324.94000000
          
        
        
          N
          N
          N
        
      
      
        STORE CAPITAL CORP
        5493004EA6C9IHDZ7N66
        STORE Capital Corp
        862121AD2
        
          
        
        365000.00000000
        PA
        USD
        321875.14000000
        0.044279610251
        Long
        DBT
        
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828WU0
        
          
        
        14796625.00000000
        PA
        USD
        15542525.23000000
        2.138148847119
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WENDYS FUNDING LLC
        5493009DRVSTWJOXUL48
        Wendy's Funding LLC
        95058XAM0
        
          
        
        3175000.00000000
        PA
        USD
        3156124.63000000
        0.434180684228
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          4.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKM0
        
          
        
        720000.00000000
        PA
        USD
        719848.80000000
        0.099027915930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-02
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAK1
        
          
        
        315000.00000000
        PA
        USD
        314128.38000000
        0.043213906595
        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
        
          
        
        165000.00000000
        PA
        USD
        175492.71000000
        0.024142121695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-06-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A3L3
        
          
        
        2270000.00000000
        PA
        USD
        2188449.50000000
        0.301059879663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-08
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300NKHCH87PYOHD44
        Freddie Mac STACR Trust 2019-HQA2
        35564MAH8
        
          
        
        3656435.53000000
        PA
        USD
        3654282.26000000
        0.502711064363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-25
          Floating
          2.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2022-3
        92538UAA9
        
          
        
        3600000.00000000
        PA
        USD
        3588876.00000000
        0.493713278138
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-02-25
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CM2
        
          
        
        800000.00000000
        PA
        USD
        799367.48000000
        0.109967114770
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LXP INDUSTRIAL TRUST
        549300S4MH2ICXDBFV43
        LXP Industrial Trust
        529537AA0
        
          
        
        950000.00000000
        PA
        USD
        842789.38000000
        0.115940564003
        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
        
          
        
        2490000.00000000
        PA
        USD
        2346451.05000000
        0.322795783383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-20
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RW0
        
          
        
        11969826.40000000
        PA
        USD
        14517155.08000000
        1.997091073582
        Long
        DBT
        UST
        US
        N
        
        2
        
          2047-02-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust
        465976AC2
        
          
        
        2647029.98000000
        PA
        USD
        2516284.70000000
        0.346159401430
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-07-25
          Variable
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2020-BNK29
        06541TBL2
        
          
        
        7151751.32000000
        PA
        USD
        633734.56000000
        0.087181381325
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-11-15
          Variable
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        980000.00000000
        PA
        USD
        1038827.02000000
        0.142909003672
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP / CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAH2
        
          
        
        463000.00000000
        PA
        USD
        466724.69000000
        0.064206224090
        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
        
          
        
        400000.00000000
        PA
        USD
        402636.22000000
        0.055389723153
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2028-03-24
          Fixed
          4.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CS9
        
          
        
        4000000.00000000
        PA
        USD
        3850176.08000000
        0.529659719050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-18
          Fixed
          1.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        DBJPM 16-C1 Mortgage Trust
        23312LAT5
        
          
        
        2961000.00000000
        PA
        USD
        2936756.52000000
        0.404002726364
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-10
          Fixed
          3.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DBH1
        
          
        
        420000.00000000
        PA
        USD
        406875.58000000
        0.055972921994
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QORVO INC
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74736KAH4
        
          
        
        2000000.00000000
        PA
        USD
        2000670.00000000
        0.275227493001
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCW4
        
          
        
        490000.00000000
        PA
        USD
        478885.20000000
        0.065879117011
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-24
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BA6
        
          
        
        330000.00000000
        PA
        USD
        325795.29000000
        0.044818896119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AH1
        
          
        
        2300000.00000000
        PA
        USD
        2090524.42000000
        0.287588555421
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-08-10
          Fixed
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AG4
        
          
        
        2375000.00000000
        PA
        USD
        2520730.00000000
        0.346770930955
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-12-04
          Fixed
          7.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARAMOUNT GLOBAL
        5KYC8KF17ROCY24M3H09
        Paramount Global
        124857AZ6
        
          
        
        500000.00000000
        PA
        USD
        506426.62000000
        0.069667925750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CB3
        
          
        
        3000000.00000000
        PA
        USD
        3000568.53000000
        0.412781195345
        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
        
          
        
        920000.00000000
        PA
        USD
        972276.33000000
        0.133753780888
        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
        
          
        
        1078000.00000000
        PA
        USD
        1041158.26000000
        0.143229706907
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        InTown Hotel Portfolio Trust
        N/A
        InTown Hotel Portfolio Trust 2018-STAY
        46117MAL8
        
          
        
        1740000.00000000
        PA
        USD
        1731678.10000000
        0.238222906400
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-01-15
          Floating
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bean Creek CLO LTD
        635400STD6UUTEW5KM07
        Bean Creek CLO Ltd
        07378WAQ1
        
          
        
        2770000.00000000
        PA
        USD
        2748834.43000000
        0.378150723930
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWV2
        
          
        
        550000.00000000
        PA
        USD
        554961.79000000
        0.076344795580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-23
          Fixed
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OWL ROCK CAPITAL CORP
        2549000BD79OOCPF2L94
        Owl Rock Capital Corp
        69121KAE4
        
          
        
        2750000.00000000
        PA
        USD
        2583901.65000000
        0.355461307108
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NG2
        
          
        
        380000.00000000
        PA
        USD
        370947.87000000
        0.051030430952
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-24
          Fixed
          3.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDR0
        
          
        
        820000.00000000
        PA
        USD
        932271.28000000
        0.128250379718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XYX6
        
          
        
        2197782.05000000
        PA
        USD
        2214334.43000000
        0.304620808947
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-25
          Floating
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aligned Data Centers Issuer LLC
        N/A
        Aligned Data Centers Issuer LLC
        01627AAB4
        
          
        
        2500000.00000000
        PA
        USD
        2303143.00000000
        0.316837996228
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-08-15
          Fixed
          2.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GVR2
        
          
        
        1355000.00000000
        PA
        USD
        1389629.50000000
        0.191168080436
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DB Master Finance LLC
        549300F17UZJL70BPB08
        DB Master Finance LLC
        233046AK7
        
          
        
        2113800.00000000
        PA
        USD
        2118323.53000000
        0.291412813971
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128283R9
        
          
        
        3897055.80000000
        PA
        USD
        4178374.52000000
        0.574809210895
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-01-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vista Point Securitization Trust
        N/A
        Vista Point Securitization Trust 2020-1
        92838WAB0
        
          
        
        3500000.00000000
        PA
        USD
        3473987.65000000
        0.477908356514
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2065-03-25
          Variable
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XEX8
        
          
        
        2204534.70000000
        PA
        USD
        2188487.23000000
        0.301065070091
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-25
          Floating
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128285W6
        
          
        
        37963980.75000000
        PA
        USD
        42016932.19000000
        5.780171097818
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-01-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAG6
        
          
        
        395000.00000000
        PA
        USD
        395780.98000000
        0.054446663819
        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
        
          
        
        30858000.00000000
        PA
        USD
        32473826.09000000
        4.467348309776
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-10-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rockford Tower CLO Ltd
        549300G18KVCW7VUKI86
        Rockford Tower CLO 2017-2 Ltd
        77340GAL5
        
          
        
        3053000.00000000
        PA
        USD
        3038589.84000000
        0.418011698042
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-15
          Floating
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIEDMONT OPERATING PARTN
        549300WKGDPAS39FBD10
        Piedmont Operating Partnership LP
        720198AF7
        
          
        
        635000.00000000
        PA
        USD
        565903.31000000
        0.077849994898
        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
        
          
        
        265000.00000000
        PA
        USD
        243773.67000000
        0.033535373676
        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
        
          
        
        6838860.00000000
        PA
        USD
        8596304.57000000
        1.182573515811
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-02-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US CAPITAL LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBY0
        
          
        
        947000.00000000
        PA
        USD
        951798.19000000
        0.130936651060
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-04-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Babson CLO Ltd
        549300TE5WUQQTRVZ282
        Barings CLO Ltd 2017-I
        06760BAJ1
        
          
        
        3000000.00000000
        PA
        USD
        2980476.00000000
        0.410017112982
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-18
          Floating
          2.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYM0
        
          
        
        3770000.00000000
        PA
        USD
        3508565.32000000
        0.482665125710
        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
        
          
        
        800000.00000000
        PA
        USD
        736748.69000000
        0.101352794274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLI Funding LLC
        549300NQLBWJD5AREU05
        CLI Funding VI LLC
        12563LAS6
        
          
        
        3102297.50000000
        PA
        USD
        2883740.33000000
        0.396709413093
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-10-18
          Fixed
          2.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63859WAF6
        
          
        
        2160000.00000000
        PA
        USD
        2130567.45000000
        0.293097181411
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-10-18
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R03
        20753MAF5
        
          
        
        79655.47000000
        PA
        USD
        79655.41000000
        0.010958008466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-25
          Floating
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADSTONE NET LEASE LLC
        54930089IBT6J4WBTI50
        Broadstone Net Lease LLC
        11135EAA2
        
          
        
        365000.00000000
        PA
        USD
        325064.58000000
        0.044718374053
        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
        
          
        
        1495000.00000000
        PA
        USD
        1458455.28000000
        0.200636282030
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-24
          Fixed
          1.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468W2
        
          
        
        1835000.00000000
        PA
        USD
        1805694.13000000
        0.248405118549
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          0.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners XXI Ltd
        549300XIS9D4AHDX5A35
        Octagon Investment Partners XXI Ltd
        67590QBM8
        
          
        
        2000000.00000000
        PA
        USD
        1963290.00000000
        0.270085213820
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-14
          Floating
          1.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
        
        235000.00000000
        PA
        USD
        248705.20000000
        0.034213792725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lennar Corp
        529900G61XVRLX5TJX09
        Lennar Corp
        526057BV5
        
          
        
        1250000.00000000
        PA
        USD
        1295882.86000000
        0.178271574413
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-30
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CT4
        
          
        
        425000.00000000
        PA
        USD
        387232.78000000
        0.053270707936
        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
        
          
        
        250000.00000000
        PA
        USD
        243032.50000000
        0.033433412653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-03
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co LLC
        N/A
        Sierra Timeshare 2022-1 Receivables Funding LLC
        82652TAC9
        
          
        
        1400000.00000000
        PA
        USD
        1384401.62000000
        0.190448893210
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-10-20
          Fixed
          3.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HONDA MOTOR CO LTD
        549300P7ZYCQJ36CCS16
        Honda Motor Co Ltd
        438127AA0
        
          
        
        2130000.00000000
        PA
        USD
        2096053.55000000
        0.288349184904
        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
        
          
        
        160000.00000000
        PA
        USD
        144197.92000000
        0.019836970623
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2017-1 Ltd
        078767AB6
        
          
        
        2074952.68000000
        PA
        USD
        2083464.97000000
        0.286617403394
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2027-10-25
          Floating
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAE3
        
          
        
        589000.00000000
        PA
        USD
        592674.15000000
        0.081532796748
        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
        
          
        
        653433.30000000
        PA
        USD
        828575.54000000
        0.113985199276
        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
        
          
        
        450000.00000000
        PA
        USD
        417749.83000000
        0.057468867135
        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
        
          
        
        393000.00000000
        PA
        USD
        392952.84000000
        0.054057603213
        Long
        DBT
        
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bean Creek CLO LTD
        635400STD6UUTEW5KM07
        Bean Creek CLO Ltd
        07378WAS7
        
          
        
        3115000.00000000
        PA
        USD
        3073311.96000000
        0.422788338887
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applebees/IHOP Funding LLC
        N/A
        Applebee's Funding LLC / IHOP Funding LLC
        03789XAD0
        
          
        
        2128500.00000000
        PA
        USD
        2113543.03000000
        0.290755171766
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-06-05
          Fixed
          4.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMNICOM GROUP INC
        HKUPACFHSSASQK8HLS17
        Omnicom Group Inc
        681919BD7
        
          
        
        1765000.00000000
        PA
        USD
        1631846.02000000
        0.224489240629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FS Rialto 2019-FL1 Issuer, Ltd.
        N/A
        FS Rialto 2019-FL1
        30312UAE3
        
          
        
        2000000.00000000
        PA
        USD
        1969728.00000000
        0.270970874424
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-12-16
          Floating
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        MSFSBD3QN1GSN7Q6C537
        Commonwealth Bank of Australia
        202712BK0
        
          
        
        740000.00000000
        PA
        USD
        710474.26000000
        0.097738282386
        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
        
          
        
        3000000.00000000
        PA
        USD
        2898442.53000000
        0.398731960363
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-11-22
          Fixed
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LS8
        
          
        
        600000.00000000
        PA
        USD
        595333.95000000
        0.081898699214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-27
          Fixed
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BL9K100S9 IRS USD R V 12MUSCPI INF CCPINFLATIONZERO / Short: BL9K100S9 IRS USD P F  3.06000 FIX CCPINFLATIONZERO
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        53244.90000000
        0.007324776370
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2032-03-21
            606.17000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            52638.73000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBL9
        
          
        
        685000.00000000
        PA
        USD
        635090.90000000
        0.087367969847
        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
        
          
        
        1968000.00000000
        PA
        USD
        1891661.28000000
        0.260231418326
        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
        
          
        
        27376920.00000000
        PA
        USD
        29292591.51000000
        4.029713308450
        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
        
          
        
        145000.00000000
        PA
        USD
        145329.60000000
        0.019992653194
        Long
        DBT
        
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tricon Residential
        549300Z2X1L1L3MID765
        Tricon Residential 2022-SFR1 Trust
        89616QAD3
        
          
        
        3000000.00000000
        PA
        USD
        3003780.00000000
        0.413222989762
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-04-17
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XVK7
        
          
        
        1866518.08000000
        PA
        USD
        1853534.95000000
        0.254986468272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-25
          Floating
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
        46649XAA5
        
          
        
        2899000.00000000
        PA
        USD
        2922848.62000000
        0.402089449087
        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
        
          
        
        3000000.00000000
        PA
        USD
        2985555.00000000
        0.410715819134
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-04-15
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCJ3
        
          
        
        2180000.00000000
        PA
        USD
        2012739.91000000
        0.276887922292
        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
        
          
        
        3000000.00000000
        PA
        USD
        2966165.70000000
        0.408048478478
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828YL8
        
          
        
        32865600.00000000
        PA
        USD
        34432493.12000000
        4.736797552426
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-10-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837BA0
        
          
        
        794000.00000000
        PA
        USD
        798224.83000000
        0.109809923082
        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
        
          
        
        3525000.00000000
        PA
        USD
        3481300.58000000
        0.478914379192
        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
        
          
        
        23377744.50000000
        PA
        USD
        24900341.91000000
        3.425481802982
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triton Container Finance LLC
        N/A
        Triton Container Finance VIII LLC
        89680HAE2
        
          
        
        1830000.00000000
        PA
        USD
        1657776.32000000
        0.228056411357
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-03-20
          Fixed
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AP8
        
          
        
        400000.00000000
        PA
        USD
        390683.26000000
        0.053745382400
        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
        
          
        
        1289000.00000000
        PA
        USD
        1297788.87000000
        0.178533779751
        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
        
          
        
        1080000.00000000
        PA
        USD
        1079519.22000000
        0.148506934460
        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
        
          
        
        1150000.00000000
        PA
        USD
        1029160.58000000
        0.141579214128
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Babson CLO Ltd
        5493000D71NBEM2WZE67
        Barings CLO Ltd 2018-III
        06760PAG6
        
          
        
        3000000.00000000
        PA
        USD
        2963460.00000000
        0.407676261657
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-20
          Floating
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAG8
        
          
        
        449000.00000000
        PA
        USD
        448147.97000000
        0.061650668164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST-CITIZENS BANK/TRST
        L9VVX1KT5TFTKS0MLF66
        First-Citizens Bank & Trust Co
        125581HA9
        
          
        
        3000000.00000000
        PA
        USD
        3031670.25000000
        0.417059786229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-19
          Fixed
          3.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2022-NQM2 Trust
        12664VAE3
        
          
        
        3600650.00000000
        PA
        USD
        3508044.88000000
        0.482593529997
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-02-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-VIV2
        05605NAA5
        
          
        
        2728000.00000000
        PA
        USD
        2496708.16000000
        0.343466302605
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-09
          Variable
          3.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-04-18
      SEASONS SERIES TRUST
      Donna McManus
      Donna McManus
      Assistant Treasurer
    
  





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