NPORT-P
    false
    
      
      
        
          0001580353
          XXXXXXXX
        
      
      
      
      
        S000052667
        C000165353
        C000165351
      
      
    
  
  
    
      Forethought Variable Insurance Trust
      811-22865
      0001580353
      5493006EQMR1BNKF6A36
      10 West Market Street
      Suite 2300
      Indianapolis
      
      46204
      877-355-1820
      Global Atlantic Goldman Sachs Core Fixed Income Portfolio
      S000052667
      549300ZZC9C2QEZJA302
      2022-12-31
      2022-03-31
      N
    
    
      86052525.96
      12245782.09
      73806743.87
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      39926.00000000
      12002675.78000000
      0.00000000
      40810.11000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FIDELITY NATL INFO SERV
        N/A
        FIDELITY NATL INFO SERV
        000000000
        
          
        
        400000.00000000
        PA
        USD
        399914.67000000
        0.541840283191
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
          
        
        150000.00000000
        PA
        USD
        146796.66000000
        0.198893288475
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        160010.67000000
        PA
        USD
        169168.74000000
        0.229204990126
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
          
        
        75000.00000000
        PA
        USD
        76517.04000000
        0.103672152418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBJ9
        
          
          
        
        25000.00000000
        PA
        USD
        22267.12000000
        0.030169492423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHROP GRUMMAN CORP
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BH4
        
          
          
        
        50000.00000000
        PA
        USD
        56509.61000000
        0.076564290791
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKA9
        
          
          
        
        50000.00000000
        PA
        USD
        45424.80000000
        0.061545595453
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NOK
        000000000
        
          
        
        1.00000000
        NC
        
        2305.30000000
        0.003123427317
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2027-03-16
            1832.16000000
            USD
            0.00000000
            USD
            -520000.00000000
            NOK
            473.14000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHM4
        
          
          
        
        125000.00000000
        PA
        USD
        129195.48000000
        0.175045630284
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.27100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONSPIRIT HEALTH
        4SXHN5XW08IBO0UG2V58
        CommonSpirit Health
        20268JAG8
        
          
          
        
        110000.00000000
        PA
        USD
        104741.49000000
        0.141913170135
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-01
          Fixed
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGL8
        
          
          
        
        100000.00000000
        PA
        USD
        103815.68000000
        0.140658799665
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
          
        
        210000.00000000
        PA
        USD
        216825.00000000
        0.293773967839
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2028-03-04
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBE9
        
          
          
        
        50000.00000000
        PA
        USD
        50595.94000000
        0.068551919983
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-11
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CHF/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -210.11000000
        -0.00028467588
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -15971.33000000
            CHF
            17159.95000000
            USD
            2022-04-25
            -210.11000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFE9
        
          
          
        
        100000.00000000
        PA
        USD
        98390.01000000
        0.133307615051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-22
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
          
        
        225000.00000000
        PA
        USD
        230567.59000000
        0.312393662029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEYERHAEUSER CO
        08IRJODWFYBI7QWRGS31
        Weyerhaeuser Co
        962166CA0
        
          
          
        
        50000.00000000
        PA
        USD
        48704.47000000
        0.065989186687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        59022CAJ2
        
          
          
        
        100000.00000000
        PA
        USD
        119481.48000000
        0.161884231352
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-01-29
          Fixed
          6.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCH2
        
          
          
        
        3160000.00000000
        PA
        USD
        2942750.00000000
        3.987101781895
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-06-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAV1
        
          
          
        
        50000.00000000
        PA
        USD
        52162.17000000
        0.070673988940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BW9
        
          
          
        
        75000.00000000
        PA
        USD
        66779.44000000
        0.090478778087
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-08-12
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSJ5
        
          
        
        165202.63000000
        PA
        USD
        173281.30000000
        0.234777055475
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCU8
        
          
          
        
        150000.00000000
        PA
        USD
        141434.58000000
        0.191628261299
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-25
          Fixed
          2.96300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDEX CORP
        549300E707U7WNPZN687
        FedEx Corp
        31428XBP0
        
          
          
        
        25000.00000000
        PA
        USD
        25089.63000000
        0.033993682263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        SWOP IRS GBP
        000000000
        
          
        
        1040000.00000000
        NC
        
        36.67000000
        0.000049683806
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    IRS GBP
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                    US
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  GBP
                
              
            
            1040000.00000000
            USD
            0.28100000
            GBP
            2022-09-08
            XXXX
            -1946.90000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HQW3
        
          
          
        
        225000.00000000
        PA
        USD
        227042.48000000
        0.307617526658
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCE3
        
          
          
        
        125000.00000000
        PA
        USD
        114063.49000000
        0.154543452290
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-25
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        45685NAA4
        
          
          
        
        225000.00000000
        PA
        USD
        232804.80000000
        0.315424834904
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-01-06
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAN8
        
          
          
        
        200000.00000000
        PA
        USD
        180601.63000000
        0.244695295484
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-07-12
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESSEX PORTFOLIO LP
        5493003GN3O58H286O74
        Essex Portfolio LP
        29717PAU1
        
          
          
        
        75000.00000000
        PA
        USD
        71816.68000000
        0.097303682880
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAC7
        
          
          
        
        175000.00000000
        PA
        USD
        177395.01000000
        0.240350678946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CK4
        
          
          
        
        200000.00000000
        PA
        USD
        180083.99000000
        0.243993950359
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -10698.87000000
        -0.01449578919
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2027-03-16
            1284.07000000
            USD
            0.00000000
            USD
            1980000.00000000
            SEK
            -11982.94000000
          
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBD6
        
          
          
        
        75000.00000000
        PA
        USD
        75897.15000000
        0.102832269817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAD8
        
          
          
        
        200000.00000000
        PA
        USD
        216895.76000000
        0.293869839837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCS3
        
          
          
        
        25000.00000000
        PA
        USD
        27035.64000000
        0.036630311245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-17
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        83804.41000000
        PA
        USD
        88600.96000000
        0.120044531643
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
          
        
        75000.00000000
        PA
        USD
        69016.50000000
        0.093509747729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAF5
        
          
          
        
        100000.00000000
        PA
        USD
        96717.81000000
        0.131041968428
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        30000.00000000
        PA
        
        28499.15000000
        0.038613205928
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-07-16
          Fixed
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -31476.03000000
        -0.04264655009
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            USD
            -7249.99000000
            USD
            4150000.00000000
            NOK
            -24226.04000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAC1
        
          
          
        
        30000.00000000
        PA
        USD
        26487.77000000
        0.035888007804
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
          
        
        275000.00000000
        PA
        USD
        280193.65000000
        0.379631501551
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJZ6
        
          
          
        
        100000.00000000
        PA
        USD
        92162.57000000
        0.124870120489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RFW7
        
          
          
        
        50000.00000000
        PA
        USD
        55071.79000000
        0.074616203225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOS ANGELES CA MUNI IMPT CORPL
        549300ZJ0YLTZNSR8F57
        Municipal Improvement Corp of Los Angeles
        5445872W7
        
          
        
        35000.00000000
        PA
        USD
        31803.50000000
        0.043090235840
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-11-01
          Fixed
          1.64800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
          
        
        175000.00000000
        PA
        USD
        177500.11000000
        0.240493077858
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LZ2
        
          
          
        
        105000.00000000
        PA
        USD
        106388.20000000
        0.144144280619
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          4.04400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBL8
        
          
          
        
        200000.00000000
        PA
        USD
        194476.52000000
        0.263494241586
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-07
          Fixed
          2.85200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAJ0
        
          
          
        
        100000.00000000
        PA
        USD
        100720.48000000
        0.136465144943
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225433AR2
        
          
          
        
        255000.00000000
        PA
        USD
        259716.33000000
        0.351886990784
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-04-17
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKK4
        
          
          
        
        125000.00000000
        PA
        USD
        117293.05000000
        0.158919149998
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-04
          Fixed
          2.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -1962.58000000
        -0.00265907950
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-12-15
            0.00000000
            USD
            -346.44000000
            USD
            540000.00000000
            NZD
            -1616.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        NZD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -737.98000000
        -0.00099988153
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -60311.92000000
            NZD
            41156.61000000
            USD
            2022-06-15
            -737.98000000
          
        
        
          N
          N
          N
        
      
      
        CALIFORNIA ST
        N/A
        State of California
        13063BJC7
        
          
          
        
        175000.00000000
        PA
        USD
        266226.49000000
        0.360707539772
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-11-01
          Fixed
          7.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBH7
        
          
          
        
        50000.00000000
        PA
        USD
        46253.80000000
        0.062668799048
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CP2
        
          
          
        
        50000.00000000
        PA
        USD
        51422.82000000
        0.069672251211
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-04
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAH3
        
          
          
        
        290000.00000000
        PA
        USD
        279009.00000000
        0.378026431421
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2030-04-16
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272BD9
        
          
          
        
        75000.00000000
        PA
        USD
        69258.29000000
        0.093837346519
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-04-27
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWMONT CORP
        549300VSP3RIX7FGDZ51
        Newmont Corp
        651639AY2
        
          
          
        
        150000.00000000
        PA
        USD
        137108.54000000
        0.185766954089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBA3
        
          
          
        
        175000.00000000
        PA
        USD
        178831.19000000
        0.242296544493
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJF7
        
          
          
        
        100000.00000000
        PA
        USD
        87339.08000000
        0.118334823378
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-23
          Fixed
          1.89800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEF8
        
          
          
        
        125000.00000000
        PA
        USD
        107093.01000000
        0.145099220456
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-16
          Fixed
          2.48400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
          
        
        200000.00000000
        PA
        USD
        191070.00000000
        0.258878782590
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGC7
        
          
          
        
        25000.00000000
        PA
        USD
        25523.69000000
        0.034581785703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        246474.90000000
        PA
        USD
        260582.19000000
        0.353060135614
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AS5
        
          
          
        
        100000.00000000
        PA
        USD
        105939.92000000
        0.143536910646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2020-HR8
        61692BBP4
        
          
        
        250000.00000000
        PA
        USD
        225422.50000000
        0.305422632377
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-07-15
          Fixed
          2.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        ZCS IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        6079.46000000
        0.008236997977
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-03-16
            5760.66000000
            USD
            0.00000000
            USD
            -28840000.00000000
            JPY
            318.80000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBK6
        
          
          
        
        150000.00000000
        PA
        USD
        140239.09000000
        0.190008504164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-04-15
          Fixed
          3.41900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAF0
        
          
          
        
        250000.00000000
        PA
        USD
        226302.64000000
        0.306615125033
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-10-19
          Fixed
          3.11600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.IG.37
        000000000
        
          
        
        1.00000000
        NC
        USD
        23098.63000000
        0.031296096791
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.IG.37.V1
                
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            22049.79000000
            USD
            0.00000000
            USD
            1325000.00000000
            USD
            1048.84000000
          
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AG1
        
          
          
        
        45000.00000000
        PA
        USD
        45907.63000000
        0.062199776867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CN8
        
          
          
        
        25000.00000000
        PA
        USD
        28248.80000000
        0.038274009282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-20
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TUCSON AZ COPS
        N/A
        City of Tucson AZ
        898735UQ6
        
          
        
        30000.00000000
        PA
        USD
        27399.56000000
        0.037123382719
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-07-01
          Fixed
          1.93200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133ELXH2
        
          
          
        
        540000.00000000
        PA
        USD
        469773.91000000
        0.636491850700
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2035-04-23
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        FEDERAL FARM CREDIT BANKS FUNDING CORP
        3133ENSY7
        
          
        
        370000.00000000
        PA
        USD
        372947.92000000
        0.505303310300
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2034-03-28
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARS INC
        54930073HKEO6GZBSS03
        Mars Inc
        571676AA3
        
          
          
        
        50000.00000000
        PA
        USD
        49610.59000000
        0.067216879378
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAK6
        
          
          
        
        25000.00000000
        PA
        USD
        23735.87000000
        0.032159486729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        7-Eleven Inc
        817826AD2
        
          
          
        
        100000.00000000
        PA
        USD
        87701.80000000
        0.118826268984
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-10
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGP9
        
          
          
        
        125000.00000000
        PA
        USD
        126779.41000000
        0.171772121831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-29
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIS NORTH AMERICA INC
        5493004KVU1HWZCP0C66
        Willis North America Inc
        970648AJ0
        
          
          
        
        50000.00000000
        PA
        USD
        46959.33000000
        0.063624714406
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AV6
        
          
          
        
        25000.00000000
        PA
        USD
        25529.30000000
        0.034589386635
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAY4
        
          
          
        
        100000.00000000
        PA
        USD
        99415.99000000
        0.134697704826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KMQE8
        
          
        
        964511.33000000
        PA
        USD
        923498.96000000
        1.251239265651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK LIFE INSURANCE
        TAE73CY392TBWJ3O3305
        New York Life Insurance Co
        64952GAT5
        
          
          
        
        50000.00000000
        PA
        USD
        48441.02000000
        0.065632240985
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -59596.64000000
        -0.08074687606
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            USD
            -37397.22000000
            USD
            990000.00000000
            CAD
            -22199.42000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WR34
        
          
        
        977656.40000000
        PA
        USD
        968772.73000000
        1.312580232107
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBW9
        
          
          
        
        80000.00000000
        PA
        USD
        73529.46000000
        0.099624310929
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        207162.16000000
        PA
        USD
        214766.90000000
        0.290985469265
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE ET CAISSE EPARGNE
        N/A
        BANQUE ET CAISSE EPARGNE
        000000000
        
          
        
        288000.00000000
        PA
        USD
        287623.19000000
        0.389697709069
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2022-06-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        167334.10000000
        PA
        USD
        173192.94000000
        0.234657337417
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAK6
        
          
          
        
        90000.00000000
        PA
        USD
        87321.24000000
        0.118310652145
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2027-02-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        522 Funding CLO LTD
        N/A
        ASSURANT CLO LTD
        04623TAA3
        
          
        
        1500000.00000000
        PA
        USD
        1488180.00000000
        2.016319813025
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.29400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAE9
        
          
          
        
        200000.00000000
        PA
        USD
        195120.65000000
        0.264366966714
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEU4
        
          
          
        
        25000.00000000
        PA
        USD
        25980.94000000
        0.035201309037
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-03
          Fixed
          4.01600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET TRANSPRTN AUTH NY REVENUE
        5493000TKYODLXADQD60
        Metropolitan Transportation Authority
        59261AG76
        
          
        
        160000.00000000
        PA
        USD
        183068.99000000
        0.248038296232
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-15
          Fixed
          5.17500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAC0
        
          
          
        
        25000.00000000
        PA
        USD
        26688.34000000
        0.036159758039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVANGRID INC
        549300OX0Q38NLSKPB49
        Avangrid Inc
        05351WAC7
        
          
          
        
        50000.00000000
        PA
        USD
        49901.24000000
        0.067610678080
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMEREN CORP
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AJ1
        
          
          
        
        25000.00000000
        PA
        USD
        24682.32000000
        0.033441822123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCS8
        
          
          
        
        125000.00000000
        PA
        USD
        129247.66000000
        0.175116328431
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAB1
        
          
          
        
        200000.00000000
        PA
        USD
        202116.81000000
        0.273845992116
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-04-11
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup Commercial Mortgage Trust 2015-GC29
        17323VAA3
        
          
        
        100000.00000000
        PA
        USD
        93243.00000000
        0.126333984011
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-04-10
          Fixed
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIKE INC
        787RXPR0UX0O0XUXPZ81
        NIKE Inc
        654106AM5
        
          
          
        
        50000.00000000
        PA
        USD
        49656.58000000
        0.067279190757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-27
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN PENERBIT SBSN
        254900G208H6Q0L5B953
        Perusahaan Penerbit SBSN Indonesia III
        71567RAF3
        
          
          
        
        520000.00000000
        PA
        USD
        550690.40000000
        0.746124772784
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-03-29
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW JERSEY ST TURNPIKE AUTH TU
        5493005YN67D71KSMI84
        New Jersey Turnpike Authority
        646139X83
        
          
          
        
        25000.00000000
        PA
        USD
        35470.80000000
        0.048059022983
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-01-01
          Fixed
          7.10200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        17327CAQ6
        
          
          
        
        125000.00000000
        PA
        USD
        117151.66000000
        0.158727582138
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-25
          Fixed
          3.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVITATION HOMES OP
        549300147YMUQB3GW319
        Invitation Homes Operating Partnership LP
        46188BAA0
        
          
          
        
        185000.00000000
        PA
        USD
        158008.26000000
        0.214083770282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GQ0
        
          
          
        
        100000.00000000
        PA
        USD
        103524.94000000
        0.140264879022
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 Year US Treasury Note
        000000000
        
          
          
        
        44.00000000
        NC
        USD
        -151372.80000000
        -0.20509345360
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            5557872.80000000
            USD
            -151372.80000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AU8
        
          
          
        
        75000.00000000
        PA
        USD
        76047.60000000
        0.103036112978
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRINCIPAL FINANCIAL GROU
        CUMYEZJOAF02RYZ1JJ85
        Principal Financial Group Inc
        74251VAM4
        
          
          
        
        75000.00000000
        PA
        USD
        73891.38000000
        0.100114672624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS THE BOEING COMPANY
        000000000
        
          
        
        1.00000000
        NC
        USD
        -16.04000000
        -0.00002173243
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                BOEING CO/THE
                BOEING CO/THE
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            1064.36000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            -1080.40000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        1323.27000000
        0.001792884946
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-03-14
            828.70000000
            USD
            0.00000000
            USD
            -420000.00000000
            USD
            494.57000000
          
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DU9
        
          
          
        
        50000.00000000
        PA
        USD
        48916.35000000
        0.066276260725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAY2
        
          
          
        
        125000.00000000
        PA
        USD
        127078.93000000
        0.172177938406
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AT5
        
          
          
        
        150000.00000000
        PA
        USD
        149413.79000000
        0.202439211060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABL8
        
          
          
        
        50000.00000000
        PA
        USD
        42308.12000000
        0.057322837699
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAZ3
        
          
          
        
        125000.00000000
        PA
        USD
        121730.48000000
        0.164931378377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CY4
        
          
          
        
        75000.00000000
        PA
        USD
        82028.72000000
        0.111139871099
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-25
          Fixed
          4.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UDR INC
        P3CH2EG5X6Z1XWU1OO74
        UDR Inc
        90265EAT7
        
          
          
        
        25000.00000000
        PA
        USD
        21549.46000000
        0.029197142252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUTTER HEALTH
        549300MJCC12LU768G81
        Sutter Health
        86944BAE3
        
          
          
        
        225000.00000000
        PA
        USD
        227984.57000000
        0.308893954733
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-08-15
          Fixed
          4.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7M1
        
          
        
        44984.47000000
        PA
        USD
        47504.69000000
        0.064363617074
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        NiSource Inc
        65473QBE2
        
          
          
        
        400000.00000000
        PA
        USD
        399328.76000000
        0.541046439744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BH6
        
          
          
        
        25000.00000000
        PA
        USD
        24971.43000000
        0.033833534295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        114661.32000000
        PA
        USD
        121223.89000000
        0.164245004783
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOS ANGELES CA MUNI IMPT CORPL
        549300ZJ0YLTZNSR8F57
        Municipal Improvement Corp of Los Angeles
        5445872Y3
        
          
        
        95000.00000000
        PA
        USD
        85167.37000000
        0.115392395781
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.07400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUTTER HEALTH
        549300MJCC12LU768G81
        Sutter Health
        86944BAG8
        
          
          
        
        25000.00000000
        PA
        USD
        22680.46000000
        0.030729522548
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.29400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADVENT HEALTH SYSTEM
        5493008YM33UCY5QPW83
        Adventist Health System/West
        007944AF8
        
          
          
        
        25000.00000000
        PA
        USD
        24333.80000000
        0.032969615951
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          2.95200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBS9
        
          
          
        
        1130000.00000000
        PA
        USD
        1055269.92000000
        1.429774387363
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-03-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7024.52000000
        0.009517450075
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -154000.55000000
            GBP
            209780.32000000
            USD
            2022-04-05
            7024.52000000
          
        
        
          N
          N
          N
        
      
      
        BCEE 0 07/01/2022
        N/A
        BCEE 0 07/01/2022
        000000000
        
          
        
        400000.00000000
        PA
        USD
        399059.56000000
        0.540681703426
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLLAR TREE INC
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AG3
        
          
          
        
        75000.00000000
        PA
        USD
        76807.19000000
        0.104065273676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCA5
        
          
          
        
        125000.00000000
        PA
        USD
        128164.94000000
        0.173649362212
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-11-21
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AD9
        
          
          
        
        75000.00000000
        PA
        USD
        74580.53000000
        0.101048394888
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STERIS PLC
        549300BRDKZ1HFI2J358
        STERIS Irish FinCo UnLtd Co
        85917PAA5
        
          
          
        
        75000.00000000
        PA
        USD
        68652.61000000
        0.093016716901
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2031-03-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        4999.19000000
        0.006773351238
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-03-16
            3951.85000000
            USD
            0.00000000
            USD
            -770000.00000000
            EUR
            1047.34000000
          
        
        
          N
          N
          N
        
      
      
        EXELON CORP
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAX9
        
          
          
        
        50000.00000000
        PA
        USD
        51618.00000000
        0.069936698590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -15063.94000000
        -0.02040997774
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            USD
            -14430.19000000
            USD
            340000.00000000
            GBP
            -633.75000000
          
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAD2
        
          
          
        
        25000.00000000
        PA
        USD
        28389.87000000
        0.038465143578
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-05-25
          Fixed
          5.08500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BL7
        
          
          
        
        75000.00000000
        PA
        USD
        70687.42000000
        0.095773660093
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-12-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JH1
        
          
          
        
        25000.00000000
        PA
        USD
        20479.46000000
        0.027747410231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSH OBLIGATED GROUP
        N/A
        Rush Obligated Group
        78200JAA0
        
          
          
        
        60000.00000000
        PA
        USD
        61400.06000000
        0.083190311319
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          3.92200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
          
        
        50000.00000000
        PA
        USD
        48704.00000000
        0.065988549888
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAL5
        
          
          
        
        25000.00000000
        PA
        USD
        24683.42000000
        0.033443312502
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JJ7
        
          
          
        
        50000.00000000
        PA
        USD
        39928.24000000
        0.054098362705
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        22862.29000000
        0.030975882150
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-03-16
            16188.18000000
            USD
            0.00000000
            USD
            -600000.00000000
            USD
            6674.11000000
          
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BF0
        
          
          
        
        75000.00000000
        PA
        USD
        79208.15000000
        0.107318309746
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAK1
        
          
          
        
        220000.00000000
        PA
        USD
        219391.25000000
        0.297250953634
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT US Long Bond
        000000000
        
          
          
        
        6.00000000
        NC
        USD
        -19446.50000000
        -0.02634786332
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            919821.50000000
            USD
            -19446.50000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RFU1
        
          
          
        
        25000.00000000
        PA
        USD
        28436.18000000
        0.038527888522
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        70000.00000000
        PA
        
        64633.28000000
        0.087570967923
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fidelity Government Portfolio
        N/A
        Fidelity Government Portfolio
        316175108
        
          
          
        
        3040431.57000000
        NS
        USD
        3040431.57000000
        4.119449538859
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFH7
        
          
          
        
        165000.00000000
        PA
        USD
        169156.42000000
        0.229188297885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-26
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABF1
        
          
          
        
        200000.00000000
        PA
        USD
        200792.19000000
        0.272051278069
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -218.55000000
        -0.00029611115
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            USD
            -166.61000000
            USD
            10000.00000000
            EUR
            -51.94000000
          
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        East Ohio Gas Co/The
        27409LAA1
        
          
          
        
        50000.00000000
        PA
        USD
        47207.81000000
        0.063961377409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NASDAQ INC
        549300L8X1Q78ERXFD06
        Nasdaq Inc
        63111XAB7
        
          
          
        
        25000.00000000
        PA
        USD
        21657.27000000
        0.029343212915
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-28
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAV7
        
          
          
        
        225000.00000000
        PA
        USD
        208064.53000000
        0.281904496920
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-29
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHA3
        
          
          
        
        25000.00000000
        PA
        USD
        28299.31000000
        0.038342444763
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-11-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BH9
        
          
          
        
        25000.00000000
        PA
        USD
        25912.78000000
        0.035108959752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABD3
        
          
          
        
        25000.00000000
        PA
        USD
        25197.70000000
        0.034140105197
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BY5
        
          
          
        
        175000.00000000
        PA
        USD
        178274.77000000
        0.241542656744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-23
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMDOCS LTD
        549300HQV672RJ7RQV66
        Amdocs Ltd
        02342TAE9
        
          
          
        
        75000.00000000
        PA
        USD
        68109.40000000
        0.092280727246
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2030-06-15
          Fixed
          2.53800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AL9
        
          
          
        
        75000.00000000
        PA
        USD
        66042.43000000
        0.089480210800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2D4
        
          
          
        
        25000.00000000
        PA
        USD
        25933.98000000
        0.035137683415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-24
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABZ7
        
          
          
        
        50000.00000000
        PA
        USD
        46696.07000000
        0.063268026133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        43466.17000000
        0.058891867762
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-03-16
            26528.38000000
            USD
            0.00000000
            USD
            -820000.00000000
            USD
            16937.79000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3628.42000000
        -0.00491610902
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -124197.76000000
            USD
            91576.88000000
            GBP
            2022-04-05
            -3628.42000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2021-6
        46653PAC1
        
          
        
        110276.25000000
        PA
        USD
        102252.38000000
        0.138540700535
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAB3
        
          
          
        
        50000.00000000
        PA
        USD
        53182.98000000
        0.072057073935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LP4
        
          
          
        
        50000.00000000
        PA
        USD
        50089.42000000
        0.067865641232
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-24
          Fixed
          3.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABB0
        
          
          
        
        125000.00000000
        PA
        USD
        125964.12000000
        0.170667493775
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAXTER INTERNATIONAL INC
        J5OIVXX3P24RJRW5CK77
        Baxter International Inc
        071813CM9
        
          
          
        
        75000.00000000
        PA
        USD
        69618.20000000
        0.094324984885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          2.27200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAG8
        
          
          
        
        225000.00000000
        PA
        USD
        216523.35000000
        0.293365265349
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XLIT LTD
        635400XCGXK8NVDIVE95
        XLIT Ltd
        98420EAC9
        
          
          
        
        50000.00000000
        PA
        USD
        51443.50000000
        0.069700270331
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-03-31
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRINCIPAL FINANCIAL GRP
        CUMYEZJOAF02RYZ1JJ85
        Principal Financial Group Inc
        74251VAS1
        
          
          
        
        100000.00000000
        PA
        USD
        90464.12000000
        0.122568908011
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS GBP
        000000000
        
          
        
        1.00000000
        NC
        
        97111.25000000
        0.131575036247
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-03-16
            74942.45000000
            USD
            0.00000000
            USD
            -900000.00000000
            GBP
            22168.80000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QB7
        
          
          
        
        440000.00000000
        PA
        USD
        550945.31000000
        0.746470147728
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBX2
        
          
          
        
        75000.00000000
        PA
        USD
        62207.29000000
        0.084284018963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AZ7
        
          
          
        
        25000.00000000
        PA
        USD
        23390.24000000
        0.031691196188
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F032641
        
          
        
        4000000.00000000
        PA
        USD
        4008750.00000000
        5.431414244558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAG0
        
          
        
        150000.00000000
        PA
        USD
        146791.50000000
        0.198886297244
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.04300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUPONT DE NEMOURS INC
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAB6
        
          
          
        
        175000.00000000
        PA
        USD
        179175.50000000
        0.242763046579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QY7
        
          
          
        
        490000.00000000
        PA
        USD
        498441.01000000
        0.675332610361
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BG7
        
          
          
        
        100000.00000000
        PA
        USD
        91282.27000000
        0.123677411051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLP Trust
        N/A
        DOLP Trust 2021-NYC
        23345LAA7
        
          
        
        200000.00000000
        PA
        USD
        187530.00000000
        0.254082472911
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-05-10
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAG0
        
          
          
        
        75000.00000000
        PA
        USD
        76615.81000000
        0.103805974878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CK6
        
          
          
        
        25000.00000000
        PA
        USD
        22769.26000000
        0.030849836757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2018-B1 Mortgage Trust
        08162PAG6
        
          
        
        100000.00000000
        PA
        USD
        78017.00000000
        0.105704432832
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-01-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMORY UNIVERSITY
        95MD72NUUVZ3P8PQ6919
        Emory University
        29157TAD8
        
          
          
        
        160000.00000000
        PA
        USD
        149975.80000000
        0.203200672643
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          2.14300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KPU7
        
          
        
        75000.00000000
        PA
        USD
        74021.40000000
        0.100290835388
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHD4
        
          
          
        
        108000.00000000
        PA
        USD
        107088.66000000
        0.145093326686
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-20
          Fixed
          3.41900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
          
        
        375000.00000000
        PA
        USD
        346007.55000000
        0.468802079400
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFH2
        
          
          
        
        25000.00000000
        PA
        USD
        26895.60000000
        0.036440572486
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AP4
        
          
          
        
        75000.00000000
        PA
        USD
        76420.45000000
        0.103541283618
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 2 Year US Treasury Note
        000000000
        
          
          
        
        26.00000000
        NC
        USD
        -69943.80000000
        -0.09476613698
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            5579912.55000000
            USD
            -69943.80000000
          
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.IG.34.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        8903.92000000
        0.012063829852
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.IG.34
                
                  
                  
                
              
            
            Y
            
            Default Event
            2025-06-20
            5744.76000000
            USD
            0.00000000
            USD
            625000.00000000
            USD
            3159.16000000
          
        
        
          N
          N
          N
        
      
      
        Arbor Realty Collateralized Lo
        N/A
        Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
        03880XAA4
        
          
        
        200000.00000000
        PA
        USD
        198953.22000000
        0.269559676484
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2037-01-15
          Floating
          1.49967000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KILROY REALTY LP
        5493008CT3N3JR7P1552
        Kilroy Realty LP
        49427RAN2
        
          
          
        
        100000.00000000
        PA
        USD
        104995.91000000
        0.142257881183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAG6
        
          
        
        50000.00000000
        PA
        USD
        50098.86000000
        0.067878431391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUQUESNE LIGHT HOLDINGS
        4CUJ1D8WDXK9X7QI6B93
        Duquesne Light Holdings Inc
        266233AH8
        
          
          
        
        100000.00000000
        PA
        USD
        89711.30000000
        0.121548919917
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.53200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAN0
        
          
          
        
        200000.00000000
        PA
        USD
        162222.00000000
        0.219792923375
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2061-05-24
          Fixed
          3.77100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-C42
        95001GAU7
        
          
        
        100000.00000000
        PA
        USD
        84191.00000000
        0.114069522086
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-15
          Variable
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        656.44000000
        0.000889403820
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -29321.47000000
            USD
            26862.92000000
            EUR
            2022-06-15
            656.44000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DR0
        
          
          
        
        20000.00000000
        PA
        USD
        15187.80000000
        0.020577794390
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2121-07-28
          Fixed
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAY5
        
          
          
        
        60000.00000000
        PA
        USD
        70614.25000000
        0.095674522811
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BL3
        
          
          
        
        30000.00000000
        PA
        USD
        29034.64000000
        0.039338735835
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -6767.56000000
        -0.00916929760
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2051-12-15
            0.00000000
            USD
            -2955.81000000
            USD
            70000.00000000
            CAD
            -3811.75000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468J1
        
          
          
        
        75000.00000000
        PA
        USD
        74310.39000000
        0.100682384974
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-22
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AK1
        
          
          
        
        25000.00000000
        PA
        USD
        22215.56000000
        0.030099634308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        1679.76000000
        0.002275889589
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF INDONESIA
                REPUBLIC OF INDONESIA
                
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            267.77000000
            USD
            0.00000000
            USD
            110000.00000000
            USD
            1411.99000000
          
        
        
          N
          N
          N
        
      
      
        NRG ENERGY INC
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CK6
        
          
          
        
        150000.00000000
        PA
        USD
        149561.79000000
        0.202639734742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VAM6
        
          
          
        
        50000.00000000
        PA
        USD
        49853.81000000
        0.067546415660
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-22
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY CORP
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364GAJ2
        
          
          
        
        175000.00000000
        PA
        USD
        172306.60000000
        0.233456444445
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBT7
        
          
          
        
        580000.00000000
        PA
        USD
        541507.03000000
        0.733682318994
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-03-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAH5
        
          
          
        
        100000.00000000
        PA
        USD
        98675.88000000
        0.133694937381
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAT7
        
          
          
        
        200000.00000000
        PA
        USD
        200792.23000000
        0.272051332265
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAP9
        
          
          
        
        225000.00000000
        PA
        USD
        214722.56000000
        0.290925393454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687CZ7
        
          
          
        
        200000.00000000
        PA
        USD
        204442.96000000
        0.276997668885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAG8
        
          
          
        
        100000.00000000
        PA
        USD
        106721.75000000
        0.144596204092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAR9
        
          
          
        
        75000.00000000
        PA
        USD
        68528.96000000
        0.092849184785
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-01-12
          Fixed
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -68064.29000000
        -0.09221960817
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            USD
            -18563.23000000
            USD
            1160000.00000000
            AUD
            -49501.06000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
          
        
        40000.00000000
        PA
        USD
        40387.34000000
        0.054720392585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2017-COR2 Mortgage Trust
        12595EAN5
        
          
        
        100000.00000000
        PA
        USD
        83516.00000000
        0.113154971511
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -14215.12000000
        -0.01925992023
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            USD
            -11422.90000000
            USD
            8250000.00000000
            SEK
            -2792.22000000
          
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAH4
        
          
        
        50000.00000000
        PA
        USD
        50060.75000000
        0.067826796543
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        317824.20000000
        PA
        USD
        341715.94000000
        0.462987421043
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AU4
        
          
          
        
        150000.00000000
        PA
        USD
        148534.66000000
        0.201248086843
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746SH5
        
          
          
        
        325000.00000000
        PA
        USD
        320921.80000000
        0.434813654108
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-23
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468U6
        
          
          
        
        125000.00000000
        PA
        USD
        107506.45000000
        0.145659386070
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-13
          Fixed
          1.79400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AD8
        
          
          
        
        100000.00000000
        PA
        USD
        102319.76000000
        0.138631993006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Variable
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CAD
        000000000
        
          
        
        1.00000000
        NC
        
        11932.91000000
        0.016167777325
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2028-12-18
            4012.33000000
            USD
            0.00000000
            USD
            -370000.00000000
            CAD
            7920.58000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -4690.30000000
        -0.00635483934
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2033-12-18
            314.04000000
            USD
            0.00000000
            USD
            80000.00000000
            CAD
            -5004.34000000
          
        
        
          N
          N
          N
        
      
      
        REGENCY CENTERS LP
        5493008PTR2GAOYBXW28
        Regency Centers LP
        75884RAZ6
        
          
          
        
        125000.00000000
        PA
        USD
        119097.59000000
        0.161364102729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCR0
        
          
          
        
        150000.00000000
        PA
        USD
        153234.92000000
        0.207616420892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KN0
        
          
          
        
        200000.00000000
        PA
        USD
        201033.50000000
        0.272378226512
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVITATION HOMES OP
        549300147YMUQB3GW319
        Invitation Homes Operating Partnership LP
        46188BAB8
        
          
          
        
        50000.00000000
        PA
        USD
        45321.29000000
        0.061405350817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJX1
        
          
          
        
        125000.00000000
        PA
        USD
        119074.44000000
        0.161332737032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBP4
        
          
          
        
        100000.00000000
        PA
        USD
        90322.87000000
        0.122377529835
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-02
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKANDINAVISKA ENSKILDA BANKEN 0% CP 02/08/2022
        N/A
        SKANDINAVISKA ENSKILDA BANKEN 0% CP 02/08/2022
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        996218.00000000
        1.349765546837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        59562VAM9
        
          
          
        
        74000.00000000
        PA
        USD
        91145.96000000
        0.123492726031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BE3
        
          
          
        
        200000.00000000
        PA
        USD
        209546.08000000
        0.283911833814
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAA4
        
          
          
        
        50000.00000000
        PA
        USD
        50575.93000000
        0.068524808639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAQ7
        
          
          
        
        75000.00000000
        PA
        USD
        70500.09000000
        0.095519848598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.72200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW JERSEY ST TURNPIKE AUTH TU
        5493005YN67D71KSMI84
        New Jersey Turnpike Authority
        646140DR1
        
          
        
        5000.00000000
        PA
        USD
        4564.52000000
        0.006184421315
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-01-01
          Fixed
          1.48300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CY4
        
          
          
        
        85000.00000000
        PA
        USD
        83155.56000000
        0.112666615054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-28
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDK9
        
          
          
        
        125000.00000000
        PA
        USD
        114399.90000000
        0.154999250748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-10
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAG3
        
          
          
        
        125000.00000000
        PA
        USD
        113046.44000000
        0.153165461680
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2031-05-11
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F022642
        
          
        
        2000000.00000000
        PA
        USD
        1909687.60000000
        2.587416135527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHZ5
        
          
          
        
        25000.00000000
        PA
        USD
        22982.19000000
        0.031138333429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-13
          Fixed
          2.49600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAS9
        
          
          
        
        50000.00000000
        PA
        USD
        53311.26000000
        0.072230879191
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CUBESMART LP
        549300MPHKO3I3FJRA97
        CubeSmart LP
        22966RAJ5
        
          
          
        
        100000.00000000
        PA
        USD
        89655.02000000
        0.121472666722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
          
        
        200000.00000000
        PA
        USD
        217000.77000000
        0.294012116809
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBR5
        
          
          
        
        150000.00000000
        PA
        USD
        134832.53000000
        0.182683211492
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        549300N8C3A3L0UVQB07
        GSK Consumer Healthcare Capital US LLC
        36264FAB7
        
          
          
        
        250000.00000000
        PA
        USD
        250460.00000000
        0.339345684238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-24
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 5 Year US Treasury Note
        000000000
        
          
          
        
        -44.00000000
        NC
        USD
        132918.86000000
        0.180090399644
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            -5179168.86000000
            USD
            132918.86000000
          
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDB2
        
          
          
        
        175000.00000000
        PA
        USD
        174790.15000000
        0.236821380859
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Variable
          3.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837BB8
        
          
          
        
        200000.00000000
        PA
        USD
        201394.36000000
        0.272867152024
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-03-28
          Fixed
          4.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -2769.63000000
        -0.00375254327
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-03-16
            35.60000000
            USD
            0.00000000
            USD
            1620000.00000000
            NOK
            -2805.23000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGH1
        
          
          
        
        225000.00000000
        PA
        USD
        210096.65000000
        0.284657795458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-22
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMERICA BANK
        70WY0ID1N53Q4254VH70
        Comerica Bank
        20034DJA8
        
          
          
        
        300000.00000000
        PA
        USD
        296744.61000000
        0.402056227439
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
          
        
        65000.00000000
        PA
        USD
        65412.91000000
        0.088627280611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KU4
        
          
          
        
        100000.00000000
        PA
        USD
        101596.40000000
        0.137651919964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-25
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBP5
        
          
          
        
        450000.00000000
        PA
        USD
        417761.72000000
        0.566021068123
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-02-29
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAH6
        
          
          
        
        100000.00000000
        PA
        USD
        92105.10000000
        0.124792254976
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-09-02
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDH1
        
          
          
        
        25000.00000000
        PA
        USD
        25148.00000000
        0.034072767177
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AC1
        
          
          
        
        50000.00000000
        PA
        USD
        50094.59000000
        0.067872646012
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHX0
        
          
          
        
        100000.00000000
        PA
        USD
        94839.77000000
        0.128497431301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-22
          Fixed
          2.88400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAA0
        
          
          
        
        75000.00000000
        PA
        USD
        73463.84000000
        0.099535403064
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAXTER INTERNATIONAL INC
        J5OIVXX3P24RJRW5CK77
        Baxter International Inc
        071813CQ0
        
          
          
        
        75000.00000000
        PA
        USD
        68496.04000000
        0.092804581815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.53900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIA GROUP LTD
        ZP5ILWVSYE4LJGMMVD57
        AIA Group Ltd
        00131LAB1
        
          
          
        
        200000.00000000
        PA
        USD
        201345.88000000
        0.272801466969
        Long
        DBT
        CORP
        HK
        N
        
        2
        
          2025-03-11
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBB3
        
          
          
        
        200000.00000000
        PA
        USD
        206630.05000000
        0.279960934686
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DD8
        
          
          
        
        275000.00000000
        PA
        USD
        283858.97000000
        0.384597606012
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-16
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACA1
        
          
          
        
        200000.00000000
        PA
        USD
        182988.15000000
        0.247928766946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGJ7
        
          
          
        
        150000.00000000
        PA
        USD
        139192.94000000
        0.188591086263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-21
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
          
        
        150000.00000000
        PA
        USD
        144179.45000000
        0.195347257499
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816BK4
        
          
          
        
        175000.00000000
        PA
        USD
        178534.16000000
        0.241894101593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHROP GRUMMAN CORP
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BN1
        
          
          
        
        300000.00000000
        PA
        USD
        300527.93000000
        0.407182208890
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AD3L0
        
          
        
        338079.28000000
        PA
        USD
        350513.29000000
        0.474906860296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        Galaxy Pipeline Assets Bidco Ltd
        000000000
        
          
          
        
        200000.00000000
        PA
        USD
        180334.55000000
        0.244333431532
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2040-09-30
          Fixed
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CL2
        
          
          
        
        25000.00000000
        PA
        USD
        25531.40000000
        0.034592231903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TICP CLO Ltd
        N/A
        TICP CLO X Ltd
        87249CAA9
        
          
        
        1550000.00000000
        PA
        USD
        1539774.65000000
        2.086224874941
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.25400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        2356.22000000
        0.003192418302
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2052-03-16
            0.00000000
            USD
            -812.85000000
            USD
            -50000.00000000
            USD
            3169.07000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CG2
        
          
          
        
        35000.00000000
        PA
        USD
        34855.09000000
        0.047224803821
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CME Ultra Long Term US Treasury Bond
        000000000
        
          
          
        
        18.00000000
        NC
        USD
        -111309.76000000
        -0.15081245176
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            3299559.76000000
            USD
            -111309.76000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468L6
        
          
          
        
        75000.00000000
        PA
        USD
        70386.36000000
        0.095365756988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        7053.13000000
        PA
        USD
        7300.08000000
        0.009890803491
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        NiSource Inc
        65473PAJ4
        
          
          
        
        25000.00000000
        PA
        USD
        24795.63000000
        0.033595344679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBD0
        
          
          
        
        25000.00000000
        PA
        USD
        28241.19000000
        0.038263698571
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-14
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JZN2
        
          
          
        
        75000.00000000
        PA
        USD
        76325.06000000
        0.103412040686
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JF5
        
          
          
        
        25000.00000000
        PA
        USD
        22499.91000000
        0.030484897206
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAG5
        
          
          
        
        50000.00000000
        PA
        USD
        50518.40000000
        0.068446861832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
          
        
        30000.00000000
        PA
        USD
        29926.99000000
        0.040547771695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST ABU DHABI BK PJSC
        N/A
        FIRST ABU DHABI BANK PJSC
        000000000
        
          
        
        725000.00000000
        PA
        USD
        725000.00000000
        0.982295061379
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2022-07-01
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAQ1
        
          
          
        
        50000.00000000
        PA
        USD
        50514.63000000
        0.068441753898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -64445.89000000
        -0.08731707513
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            USD
            -42988.21000000
            USD
            650000.00000000
            EUR
            -21457.68000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -46541.53000000
        -0.06305864147
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            USD
            -24189.69000000
            USD
            710000.00000000
            CHF
            -22351.84000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CYN8
        
          
        
        440882.52000000
        PA
        USD
        457598.14000000
        0.619995024853
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S2P1
        
          
        
        234500.57000000
        PA
        USD
        238082.87000000
        0.322576037793
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDELSBANKEN AB
        N/A
        SVENSKA HANDELSBANKEN AB
        000000000
        
          
        
        250000.00000000
        PA
        USD
        249469.08000000
        0.338003096897
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2022-07-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AR9
        
          
          
        
        100000.00000000
        PA
        USD
        103266.06000000
        0.139914125167
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAL8
        
          
          
        
        50000.00000000
        PA
        USD
        43853.66000000
        0.059416873988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAG4
        
          
          
        
        25000.00000000
        PA
        USD
        22532.93000000
        0.030529635665
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAMDEN PROPERTY TRUST
        5493002MYX22OHYJBD89
        Camden Property Trust
        133131AZ5
        
          
          
        
        75000.00000000
        PA
        USD
        72090.19000000
        0.097674258773
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        SWOP IRS GBP
        000000000
        
          
        
        -110000.00000000
        NC
        
        -124.34000000
        -0.00016846699
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    IRS GBP
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                    US
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  GBP
                
              
            
            -110000.00000000
            USD
            0.36300000
            GBP
            2022-09-08
            XXXX
            1908.60000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BJ9
        
          
          
        
        300000.00000000
        PA
        USD
        304655.76000000
        0.412774963405
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.51900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AH1
        
          
          
        
        250000.00000000
        PA
        USD
        256142.50000000
        0.347044845185
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-29
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BN6
        
          
          
        
        25000.00000000
        PA
        USD
        33584.38000000
        0.045503131880
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        842587CV7
        
          
          
        
        350000.00000000
        PA
        USD
        350056.24000000
        0.474287607940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DVLL7
        
          
        
        750873.68000000
        PA
        USD
        741678.86000000
        1.004893077665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDK4
        
          
          
        
        125000.00000000
        PA
        USD
        126648.73000000
        0.171595064839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CORP
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        26441CAX3
        
          
          
        
        200000.00000000
        PA
        USD
        198133.99000000
        0.268449710163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EF6
        
          
          
        
        75000.00000000
        PA
        USD
        73964.60000000
        0.100213877650
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-07-24
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QT8
        
          
          
        
        420000.00000000
        PA
        USD
        453567.19000000
        0.614533532056
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-11-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
          
        
        175000.00000000
        PA
        USD
        179608.86000000
        0.243350201597
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JG3
        
          
          
        
        50000.00000000
        PA
        USD
        43105.84000000
        0.058403660342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKC2
        
          
          
        
        75000.00000000
        PA
        USD
        64492.54000000
        0.087380280741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-21
          Fixed
          2.48200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
          
        
        50000.00000000
        PA
        USD
        52418.35000000
        0.071021084594
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Variable
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAB9
        
          
        
        34000.00000000
        PA
        USD
        33049.09000000
        0.044777872951
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAY6
        
          
          
        
        75000.00000000
        PA
        USD
        74286.87000000
        0.100650517967
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585AAG7
        
          
          
        
        50000.00000000
        PA
        USD
        50407.06000000
        0.068296008409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAN FRANCISCO CA MUNI TRANSPRT
        N/A
        San Francisco Municipal Transportation Agency
        797686EQ1
        
          
        
        25000.00000000
        PA
        USD
        22574.64000000
        0.030586148116
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-03-01
          Fixed
          1.30200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae or Freddie Mac
        01F030645
        
          
        
        2000000.00000000
        PA
        USD
        1957812.40000000
        2.652619933279
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBQ2
        
          
          
        
        125000.00000000
        PA
        USD
        114518.98000000
        0.155160591018
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDE3
        
          
          
        
        125000.00000000
        PA
        USD
        108175.25000000
        0.146565536328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-08
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417Y2J5
        
          
        
        339147.56000000
        PA
        USD
        354460.92000000
        0.480255463680
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTN NORTH SANTA FE
        N/A
        Burlington Northern Santa Fe LLC
        12189LBA8
        
          
          
        
        75000.00000000
        PA
        USD
        76211.21000000
        0.103257786489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -863.00000000
        -0.00116926984
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            USD
            -880.10000000
            USD
            10000.00000000
            GBP
            17.10000000
          
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBE7
        
          
          
        
        125000.00000000
        PA
        USD
        120553.23000000
        0.163336334430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
          
        
        252000.00000000
        PA
        USD
        250979.03000000
        0.340048912660
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON BANCSHARES
        549300XTVCVV9I7B5T19
        Huntington Bancshares Inc/OH
        446150AM6
        
          
          
        
        150000.00000000
        PA
        USD
        152965.74000000
        0.207251711672
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAU8
        
          
          
        
        25000.00000000
        PA
        USD
        25660.84000000
        0.034767608831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661ED5
        
          
          
        
        75000.00000000
        PA
        USD
        68011.16000000
        0.092147622878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAF6
        
          
          
        
        75000.00000000
        PA
        USD
        75864.26000000
        0.102787707494
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.IG.28.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        4574.38000000
        0.006197780528
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.IG.28.V1
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            3365.36000000
            USD
            0.00000000
            USD
            2225000.00000000
            USD
            1209.02000000
          
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAD4
        
          
          
        
        100000.00000000
        PA
        USD
        101347.38000000
        0.137314525321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-14
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AS7
        
          
          
        
        150000.00000000
        PA
        USD
        149661.27000000
        0.202774519173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARBUCKS CORP
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244AQ2
        
          
          
        
        150000.00000000
        PA
        USD
        153362.38000000
        0.207789115138
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL REALTY INVESTMEN
        549300LI6XZ51GOCJ427
        Federal Realty Investment Trust
        313747AY3
        
          
          
        
        150000.00000000
        PA
        USD
        147810.04000000
        0.200266306640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        160890.51000000
        PA
        USD
        166523.42000000
        0.225620873200
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
          
        
        55000.00000000
        PA
        USD
        56039.91000000
        0.075927899080
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDG1
        
          
          
        
        50000.00000000
        PA
        USD
        49365.28000000
        0.066884511376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAH1
        
          
          
        
        75000.00000000
        PA
        USD
        67606.69000000
        0.091599610625
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2032-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBAM CLO Management
        25490038OT2B8HTRW786
        CBAM 2018-5 Ltd
        12481QAC9
        
          
        
        350000.00000000
        PA
        USD
        346978.10000000
        0.470117067637
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-17
          Floating
          1.26129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96949LAB1
        
          
          
        
        175000.00000000
        PA
        USD
        178236.77000000
        0.241491170934
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        2531.82000000
        0.003430336941
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-03-24
            1719.28000000
            USD
            0.00000000
            USD
            -630000.00000000
            USD
            812.54000000
          
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES CORP
        5493003QENHHS261UR94
        Targa Resources Corp
        87612GAA9
        
          
          
        
        40000.00000000
        PA
        USD
        40401.60000000
        0.054739713312
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
          
        
        225000.00000000
        PA
        USD
        208854.10000000
        0.282974277212
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILLINOIS ST
        54930048FV8RWPR02D67
        State of Illinois
        452151LF8
        
          
          
        
        265000.00000000
        PA
        USD
        281802.96000000
        0.381811939158
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAF9
        
          
          
        
        250000.00000000
        PA
        USD
        253343.00000000
        0.343251831358
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCHER-DANIELS-MIDLAND C
        549300LO13MQ9HYSTR83
        Archer-Daniels-Midland Co
        039482AD6
        
          
          
        
        50000.00000000
        PA
        USD
        48939.30000000
        0.066307355444
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        GBP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -115.97000000
        -0.00015712656
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -83654.60000000
            USD
            63450.69000000
            GBP
            2022-04-05
            -115.97000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMM1
        
          
          
        
        175000.00000000
        PA
        USD
        155333.04000000
        0.210459142153
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBL2
        
          
          
        
        25000.00000000
        PA
        USD
        25685.77000000
        0.034801386232
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYLOR SCOTT & WHITE HOL
        549300JQDKSBWYRGGV95
        Baylor Scott & White Holdings
        072863AH6
        
          
          
        
        50000.00000000
        PA
        USD
        44207.80000000
        0.059896694640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          1.77700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        254900A99ZMAJM1OOV76
        Wellfleet CLO X LTD
        94949WAM8
        
          
        
        375000.00000000
        PA
        USD
        370830.75000000
        0.502434778389
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Floating
          1.42400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AP2
        
          
          
        
        50000.00000000
        PA
        USD
        44375.00000000
        0.060123232205
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHK1
        
          
          
        
        85000.00000000
        PA
        USD
        92584.28000000
        0.125441491041
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cathedral Lake LTD
        N/A
        Cathedral Lake VIII Ltd
        14919GAG0
        
          
        
        150000.00000000
        PA
        USD
        144635.10000000
        0.195964613009
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-20
          Floating
          2.72388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
          
        
        313000.00000000
        PA
        USD
        330785.32000000
        0.448177636155
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UZS4
        
          
        
        843631.10000000
        PA
        USD
        837496.64000000
        1.134715604681
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALIMENTATION COUCHE-TARD
        549300OSW32RVX8CCZ87
        Alimentation Couche-Tard Inc
        01626PAH9
        
          
          
        
        50000.00000000
        PA
        USD
        49873.80000000
        0.067573499906
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-07-26
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education
        N/A
        PHEAA Student Loan Trust 2012-1
        69338YAA1
        
          
        
        197564.16000000
        PA
        USD
        194823.75000000
        0.263964699950
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-05-25
          Floating
          1.00657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDR0
        
          
          
        
        125000.00000000
        PA
        USD
        142114.52000000
        0.192549505029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        17308CC53
        
          
          
        
        100000.00000000
        PA
        USD
        95199.17000000
        0.128984378673
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-05
          Fixed
          2.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGET CORP
        8WDDFXB5T1Z6J0XC1L66
        Target Corp
        87612EBN5
        
          
          
        
        50000.00000000
        PA
        USD
        46053.16000000
        0.062396953970
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-01-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWCREST FINANCE PTY LTD
        549300I0XDZ4K7PDSS04
        Newcrest Finance Pty Ltd
        65120FAD6
        
          
          
        
        25000.00000000
        PA
        USD
        23910.84000000
        0.032396551786
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-05-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        Eurex 5 Year Euro BOBL
        000000000
        
          
          
        
        -1.00000000
        NC
        
        778.85000000
        0.001055255873
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESREPUB. DEUTSCHLAND
                Bundesrepublik Deutschland Bundesanleihe
                
                  
                  
                  
                
              
            
            2022-06-08
            -142613.17000000
            USD
            778.85000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KA8
        
          
          
        
        125000.00000000
        PA
        USD
        129134.23000000
        0.174962643288
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-29
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        7827.77000000
        0.010605765258
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.00000000
            USD
            -1669.20000000
            USD
            -210000.00000000
            NZD
            9496.97000000
          
        
        
          N
          N
          N
        
      
      
        BAY AREA CA TOLL AUTH TOLL BRI
        5493001FUZGUQMIP5D78
        Bay Area Toll Authority
        072024XE7
        
          
        
        10000.00000000
        PA
        USD
        9155.98000000
        0.012405343360
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-04-01
          Fixed
          1.63300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAR3
        
          
          
        
        25000.00000000
        PA
        USD
        22417.76000000
        0.030373593014
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAB8
        
          
          
        
        175000.00000000
        PA
        USD
        174086.84000000
        0.235868473356
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBL4
        
          
          
        
        165000.00000000
        PA
        USD
        152835.01000000
        0.207074586936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-04-15
          Fixed
          3.46900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -13270.27000000
        -0.01797975266
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-03-16
            133.64000000
            USD
            0.00000000
            USD
            190000.00000000
            AUD
            -13403.91000000
          
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBW4
        
          
          
        
        75000.00000000
        PA
        USD
        65121.27000000
        0.088232140567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHL6
        
          
          
        
        50000.00000000
        PA
        USD
        50619.42000000
        0.068583732794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.86400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        GBP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1686.70000000
        -0.00228529252
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -50371.64000000
            USD
            36978.02000000
            GBP
            2022-04-05
            -1686.70000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
          
        
        50000.00000000
        PA
        USD
        46790.88000000
        0.063396483229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKJ0
        
          
          
        
        25000.00000000
        PA
        USD
        21956.44000000
        0.029748555279
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAC3
        
          
          
        
        30000.00000000
        PA
        USD
        30667.46000000
        0.041551026900
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAH4
        
          
          
        
        75000.00000000
        PA
        USD
        74574.25000000
        0.101039886180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS PRU
        000000000
        
          
        
        1.00000000
        NC
        USD
        2821.96000000
        0.003823444650
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                PRUDENTIAL FINANCIAL INC
                Prudential Financial Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            1399.73000000
            USD
            0.00000000
            USD
            175000.00000000
            USD
            1422.23000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AR5
        
          
          
        
        150000.00000000
        PA
        USD
        152594.48000000
        0.206748695307
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2020-L4
        61770KAX3
        
          
        
        500000.00000000
        PA
        USD
        474540.00000000
        0.642949377140
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-02-15
          Fixed
          2.69800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAG0
        
          
          
        
        125000.00000000
        PA
        USD
        122559.98000000
        0.166055259416
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASCO CORP
        5GCSNMQXHEYA1JO8QN11
        Masco Corp
        574599BS4
        
          
          
        
        50000.00000000
        PA
        USD
        44083.90000000
        0.059728823801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAP8
        
          
          
        
        100000.00000000
        PA
        USD
        97927.88000000
        0.132681479855
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Se
        N/A
        Wells Fargo Mortgage Backed Securities 2019-3 Trust
        949831AA9
        
          
        
        8892.01000000
        PA
        USD
        8943.76000000
        0.012117808659
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cathedral Lake LTD
        N/A
        Cathedral Lake VI Ltd
        14919LAG9
        
          
        
        350000.00000000
        PA
        USD
        344412.25000000
        0.466640623798
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-25
          Floating
          2.20771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818FX1
        
          
          
        
        100000.00000000
        PA
        USD
        96027.39000000
        0.130106525454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-14
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
          
        
        50000.00000000
        PA
        USD
        50593.42000000
        0.068548505661
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DENTSPLY SIRONA INC
        9NHEHR1SOZCYXDO8HO28
        DENTSPLY SIRONA Inc
        24906PAA7
        
          
          
        
        50000.00000000
        PA
        USD
        48184.69000000
        0.065284942098
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        SWOP IRS GBP
        000000000
        
          
        
        -140000.00000000
        NC
        
        -176.87000000
        -0.00023963934
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    IRS GBP
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                    US
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  GBP
                
              
            
            -140000.00000000
            USD
            0.40100000
            GBP
            2022-09-08
            XXXX
            2459.21000000
          
        
        
          N
          N
          N
        
      
      
        TUCSON AZ COPS
        N/A
        City of Tucson AZ
        898735UM5
        
          
        
        5000.00000000
        PA
        USD
        4623.03000000
        0.006263695913
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2028-07-01
          Fixed
          1.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALIFORNIA STWD CMNTYS DEV AUT
        549300KTNI2GCJNX2U48
        California Statewide Communities Development Authority
        13080SZS6
        
          
        
        30000.00000000
        PA
        USD
        26840.20000000
        0.036365511595
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2031-02-01
          Fixed
          1.87700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
          
        
        75000.00000000
        PA
        USD
        74818.63000000
        0.101370994135
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENNAR CORP
        529900G61XVRLX5TJX09
        Lennar Corp
        526057CD4
        
          
          
        
        45000.00000000
        PA
        USD
        46947.90000000
        0.063609228016
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-29
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
          
        
        75000.00000000
        PA
        USD
        72436.80000000
        0.098143877106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AP6
        
          
          
        
        100000.00000000
        PA
        USD
        91051.78000000
        0.123365122515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TYSON FOODS INC
        WD6L6041MNRW1JE49D58
        Tyson Foods Inc
        902494BG7
        
          
          
        
        125000.00000000
        PA
        USD
        126681.34000000
        0.171639247794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-28
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
          
        
        300000.00000000
        PA
        USD
        333488.55000000
        0.451840214747
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAA7
        
          
          
        
        25000.00000000
        PA
        USD
        25657.74000000
        0.034763408673
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        204962.91000000
        PA
        USD
        212139.15000000
        0.287425157752
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAA4
        
          
          
        
        54000.00000000
        PA
        USD
        55649.00000000
        0.075398259132
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBF2
        
          
          
        
        150000.00000000
        PA
        USD
        147044.31000000
        0.199228826919
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.30100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468G7
        
          
          
        
        50000.00000000
        PA
        USD
        52284.82000000
        0.070840166167
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-23
          Fixed
          4.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        3650R Commercial Mortgage Trus
        N/A
        3650R 2021-PF1 Commercial Mortgage Trust
        88581EAH4
        
          
        
        150000.00000000
        PA
        USD
        137182.50000000
        0.185867161734
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-11-15
          Fixed
          2.77800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA
        000000000
        
          
          
        
        -19.00000000
        NC
        USD
        82867.89000000
        0.112276853922
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -2656774.14000000
            USD
            82867.89000000
          
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135CB0
        
          
          
        
        50000.00000000
        PA
        USD
        46896.18000000
        0.063539153119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-05-12
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS GENERAL ELECTRIC COMPANY
        000000000
        
          
        
        1.00000000
        NC
        USD
        3862.49000000
        0.005233248071
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                General Electric Co
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-06-20
            3727.40000000
            USD
            0.00000000
            USD
            325000.00000000
            USD
            135.09000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BK9
        
          
          
        
        225000.00000000
        PA
        USD
        221180.79000000
        0.299675583019
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2039-07-18
          Fixed
          3.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEMPRA ENERGY
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BG3
        
          
          
        
        125000.00000000
        PA
        USD
        124903.85000000
        0.169230944830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMGEN INC
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162BY5
        
          
          
        
        175000.00000000
        PA
        USD
        176839.56000000
        0.239598105440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEB4
        
          
        
        255413.61000000
        PA
        USD
        270031.98000000
        0.365863559128
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBH5
        
          
          
        
        300000.00000000
        PA
        USD
        304175.56000000
        0.412124345352
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KHE2
        
          
        
        30000.00000000
        PA
        USD
        29565.15000000
        0.040057518391
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANFORD HEALTH CARE
        5493005311WCPXQGDG42
        Stanford Health Care
        85434VAB4
        
          
          
        
        35000.00000000
        PA
        USD
        35059.50000000
        0.047501756833
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          3.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -82.34000000
        -0.00011156162
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -6997.13000000
            EUR
            7711.63000000
            USD
            2022-05-05
            -82.34000000
          
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAJ2
        
          
          
        
        275000.00000000
        PA
        USD
        276631.85000000
        0.374805655276
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -2661.14000000
        -0.00360555128
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-03-14
            0.00000000
            USD
            0.00000000
            USD
            580000.00000000
            AUD
            -2661.14000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        713117.31000000
        PA
        USD
        740890.45000000
        1.003824869045
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BEF9
        
          
          
        
        400000.00000000
        PA
        USD
        404016.29000000
        0.547397526046
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-20
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XAZ9
        
          
          
        
        125000.00000000
        PA
        USD
        127002.57000000
        0.172074479025
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICRON TECHNOLOGY INC
        B3DXGBC8GAIYWI2Z0172
        Micron Technology Inc
        595112BS1
        
          
          
        
        50000.00000000
        PA
        USD
        45265.50000000
        0.061329761518
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-15
          Fixed
          2.70300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TNR2
        
          
        
        291470.39000000
        PA
        USD
        295913.04000000
        0.400929541779
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
          
        
        275000.00000000
        PA
        USD
        291038.00000000
        0.394324400101
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        918.52000000
        0.001244493323
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            664.51000000
            USD
            0.00000000
            USD
            3160000.00000000
            USD
            254.01000000
          
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAE7
        
          
          
        
        200000.00000000
        PA
        USD
        199420.00000000
        0.270192111917
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-18
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030641
        
          
        
        2000000.00000000
        PA
        USD
        1977812.40000000
        2.679717728075
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CJ6
        
          
          
        
        225000.00000000
        PA
        USD
        211958.09000000
        0.287179841415
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-18
          Fixed
          1.64500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLLAR TREE INC
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AH1
        
          
          
        
        125000.00000000
        PA
        USD
        129438.42000000
        0.175374787198
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        SWOP IRS GBP
        000000000
        
          
        
        1360000.00000000
        NC
        
        50.29000000
        0.000068137405
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    IRS GBP
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                    US
                  
                  
                    
                      
                    
                  
                  
                  2023-09-08
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  GBP
                
              
            
            1360000.00000000
            USD
            0.30000000
            GBP
            2022-09-08
            XXXX
            -2592.26000000
          
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AL1
        
          
          
        
        150000.00000000
        PA
        USD
        136184.25000000
        0.184514643051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TREASURY BILL
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796U49
        
          
          
        
        2925000.00000000
        PA
        USD
        2912424.02000000
        3.946013422743
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-09-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        Lukoil Securities BV
        000000000
        
          
          
        
        200000.00000000
        PA
        USD
        106214.00000000
        0.143908258826
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CA1
        
          
          
        
        100000.00000000
        PA
        USD
        96224.43000000
        0.130373492928
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEF4
        
          
          
        
        1040000.00000000
        PA
        USD
        1043900.00000000
        1.414369399412
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-03-31
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL BANK OF CANADA
        N/A
        NATIONAL BANK OF CANADA
        000000000
        
          
        
        550000.00000000
        PA
        USD
        547737.30000000
        0.742123647894
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-08-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BP9
        
          
          
        
        150000.00000000
        PA
        USD
        145516.99000000
        0.197159476722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-30
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAF9
        
          
          
        
        175000.00000000
        PA
        USD
        168439.70000000
        0.228217221310
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RBF0
        
          
          
        
        50000.00000000
        PA
        USD
        46370.26000000
        0.062826589507
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2031-12-02
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAM8
        
          
          
        
        125000.00000000
        PA
        USD
        124634.99000000
        0.168866669175
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-23
          Fixed
          3.50900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABD6
        
          
          
        
        200000.00000000
        PA
        USD
        201363.39000000
        0.272825191089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KJ9
        
          
          
        
        75000.00000000
        PA
        USD
        77861.05000000
        0.105493137777
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-09
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USU7
        
          
        
        185040.19000000
        PA
        USD
        188891.21000000
        0.255926762373
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QX9
        
          
          
        
        780000.00000000
        PA
        USD
        794228.91000000
        1.076092601238
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-08-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SK5
        
          
          
        
        3390000.00000000
        PA
        USD
        3317300.40000000
        4.494576275906
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-11-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -5983.81000000
        -0.00810740277
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2025-12-18
            0.00000000
            USD
            -1676.63000000
            USD
            460000.00000000
            CAD
            -4307.18000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS SEK
        000000000
        
          
        
        1.00000000
        NC
        
        41819.79000000
        0.056661204393
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-03-16
            30903.21000000
            USD
            0.00000000
            USD
            -4710000.00000000
            SEK
            10916.58000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN ELECTRIC POWER
        1B4S6S7G0TW5EE83BO58
        American Electric Power Co Inc
        025537AN1
        
          
          
        
        50000.00000000
        PA
        USD
        45598.50000000
        0.061780939801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        3520.19000000
        0.004769469313
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF INDONESIA
                Indonesia Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2027-06-20
            838.31000000
            USD
            0.00000000
            USD
            440000.00000000
            USD
            2681.88000000
          
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAJ0
        
          
        
        25000.00000000
        PA
        USD
        25031.03000000
        0.033914285724
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962GXZ2
        
          
          
        
        50000.00000000
        PA
        USD
        62995.92000000
        0.085352525659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2N3
        
          
          
        
        225000.00000000
        PA
        USD
        205120.58000000
        0.277915769270
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-13
          Fixed
          1.32300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOST HOTELS & RESORTS LP
        FXB7X4WXVA8QPMNOGS12
        Host Hotels & Resorts LP
        44107TBA3
        
          
          
        
        75000.00000000
        PA
        USD
        67115.10000000
        0.090933560377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-12-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
          
        
        41810.06000000
        PA
        
        55095.29000000
        0.074648043134
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.95175000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBK0
        
          
          
        
        25000.00000000
        PA
        USD
        22985.86000000
        0.031143305875
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-09-06
          Fixed
          4.75800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -3194.79000000
        -0.00432858819
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-03-22
            0.00000000
            USD
            -893.90000000
            USD
            1040000.00000000
            CAD
            -2300.89000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        64601.59000000
        0.087528031467
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2027-03-16
            55696.42000000
            USD
            0.00000000
            USD
            -1150000.00000000
            USD
            8905.17000000
          
        
        
          N
          N
          N
        
      
      
        MET TRANSPRTN AUTH NY DEDICATE
        5493000TKYODLXADQD60
        Metropolitan Transportation Authority
        59259NZM8
        
          
        
        25000.00000000
        PA
        USD
        28995.84000000
        0.039286166113
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-11-15
          Fixed
          5.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANNER HEALTH
        PLD0E0WJKFN8IZJ2WD85
        Banner Health
        06654DAB3
        
          
          
        
        145000.00000000
        PA
        USD
        134803.43000000
        0.182643784201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-01
          Fixed
          2.33800000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      2022-05-20
      Forethought Variable Insurance Trust
      Cameron Jeffreys, CFA
      Cameron Jeffreys, CFA
      Senior Vice President
    
  
  XXXX




 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio
Portfolio of Investments (Unaudited)

March 31, 2022

 

    Shares/
Principal
  Fair Value  
Corporate Bonds and Notes - 45.8%        
Aerospace & Defense - 1.3%        
Boeing Co. (The)        
2.60%, 10/30/25   $150,000   $145,517  
3.45%, 11/1/28    100,000    96,224  
Northrop Grumman Corp.        
3.25%, 1/15/28    300,000    300,528  
4.75%, 6/1/43    50,000    56,510  
Raytheon Technologies Corp.        
3.95%, 8/16/25    275,000    283,859  
4.05%, 5/4/47    50,000    51,423  
         934,061  
Agriculture - 0.3%        
Archer-Daniels-Midland Co., 2.90%, 3/1/32   $50,000    48,939  
BAT Capital Corp.        
2.26%, 3/25/28    150,000    134,833  
4.76%, 9/6/49    25,000    22,986  
         206,758  
Apparel - 0.1%        
NIKE, Inc., 3.38%, 3/27/50    50,000    49,657  
Auto Manufacturers - 0.6%        
General Motors Co., 4.00%, 4/1/25    50,000    50,519  
General Motors Financial Co., Inc.        
4.30%, 7/13/25    125,000    127,002  
1.50%, 6/10/26    125,000    114,400  
5.65%, 1/17/29    25,000    27,036  
2.35%, 1/8/31    125,000    108,175  
         427,132  
Banks - 12.4%        
Banco Santander SA        
2.75%, 5/28/25    200,000    195,120  
4.25%, 4/11/27    200,000    202,117  
Bank of America Corp.        
3.86%, (3 Month US Libor + 0.94%), 7/23/24(a)    50,000    50,619  
4.20%, 8/26/24    165,000    169,156  
4.18%, 11/25/27    25,000    25,524  
3.42%, (3 Month US Libor + 1.04%), 12/20/28(a)    108,000    107,089  
4.27%, (3 Month US Libor + 1.31%), 7/23/29(a)    125,000    129,195  
2.88%, (3 Month US Libor + 1.19%), 10/22/30(a)    100,000    94,840  
2.50%, (3 Month US Libor + 0.99%), 2/13/31(a)    25,000    22,982  
2.59%, (SOFR + 2.15%), 4/29/31(a)    375,000    346,008  
1.90%, (SOFR + 1.53%), 7/23/31(a)    100,000    87,339  
2.97%, (SOFR + 1.33%), 2/4/33(a)    125,000    117,293  
2.48%, (US 5 Year CMT T-Note + 1.20%), 9/21/36(a)    75,000    64,493  
6.11%, 1/29/37    100,000    119,481  

    Shares/
Principal
  Fair Value  
         
Banks (continued)        
Barclays PLC, 2.85%, (SOFR + 2.71%), 5/7/26(a)   $200,000   $194,476  
BNP Paribas SA        
3.38%, 1/9/25(b)    252,000    250,979  
1.32%, (SOFR + 1.00%), 1/13/27(a),(b)    225,000    205,121  
BPCE SA        
4.00%, 9/12/23(b)    250,000    253,343  
3.12%, (SOFR + 1.73%), 10/19/32(a),(b)    250,000    226,303  
Citigroup, Inc.        
4.04%, (3 Month US Libor + 1.02%), 6/1/24(a)    105,000    106,388  
4.60%, 3/9/26    75,000    77,861  
3.40%, 5/1/26    200,000    201,034  
4.45%, 9/29/27    125,000    129,134  
3.67%, (3 Month US Libor + 1.39%), 7/24/28(a)    50,000    50,090  
4.13%, 7/25/28    100,000    101,596  
2.98%, (SOFR + 1.42%), 11/5/30(a)    100,000    95,199  
3.06%, (SOFR + 1.35%), 1/25/33(a)    125,000    117,152  
Comerica Bank, 2.50%, 7/23/24    300,000    296,745  
Credit Suisse Group AG, 4.55%, 4/17/26    255,000    259,716  
Deutsche Bank AG        
2.22%, (SOFR + 2.16%), 9/18/24(a)    150,000    146,797  
2.13%, (SOFR + 1.87%), 11/24/26(a)    225,000    208,854  
Fifth Third Bancorp, 2.38%, 1/28/25    85,000    83,155  
HSBC Holdings PLC, 1.65%, (SOFR + 1.54%), 4/18/26(a)    225,000    211,958  
Huntington Bancshares, Inc., 4.00%, 5/15/25    150,000    152,966  
ING Groep NV        
4.63%, 1/6/26(b)    225,000    232,805  
4.02%, (SOFR + 1.83%), 3/28/28(a)    200,000    201,394  
JPMorgan Chase & Co.        
3.56%, (3 Month US Libor + 0.73%), 4/23/24(a)    40,000    40,387  
3.80%, (3 Month US Libor + 0.89%), 7/23/24(a)    50,000    50,593  
4.02%, (3 Month US Libor + 1.00%), 12/5/24(a)    125,000    127,079  
2.30%, (SOFR + 1.16%), 10/15/25(a)    150,000    147,044  
3.30%, 4/1/26    225,000    227,043  
3.96%, (3 Month US Libor + 1.25%), 1/29/27(a)    175,000    178,831  
3.51%, (3 Month US Libor + 0.95%), 1/23/29(a)    125,000    124,635  

 

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

    Shares/
Principal
  Fair Value  
         
Banks (continued)        
2.96%, (SOFR + 2.52%), 5/13/31(a)   $50,000   $46,791  
2.96%, (SOFR + 1.26%), 1/25/33(a)    150,000    141,435  
Macquarie Group Ltd., 1.34%, (SOFR + 1.07%), 1/12/27(a),(b)    75,000    68,529  
Mitsubishi UFJ Financial Group, Inc., 3.75%, 7/18/39    225,000    221,181  
Morgan Stanley        
3.74%, (3 Month US Libor + 0.85%), 4/24/24(a)    50,000    50,515  
3.70%, 10/23/24    275,000    280,194  
2.72%, (SOFR + 1.15%), 7/22/25(a)    75,000    74,310  
3.63%, 1/20/27    400,000    404,016  
3.95%, 4/23/27    75,000    76,325  
4.43%, (3 Month US Libor + 1.63%), 1/23/30(a)    50,000    52,285  
2.70%, (SOFR + 1.14%), 1/22/31(a)    75,000    70,386  
1.79%, (SOFR + 1.03%), 2/13/32(a)    125,000    107,507  
2.48%, (SOFR + 1.36%), 9/16/36(a)    125,000    107,093  
NatWest Group PLC, 4.52%, (3 Month US Libor + 1.55%), 6/25/24(a)    300,000    304,656  
Wells Fargo & Co.        
3.75%, 1/24/24    55,000    56,040  
3.55%, 9/29/25    125,000    126,779  
3.00%, 10/23/26    325,000    320,922  
4.30%, 7/22/27    100,000    103,816  
4.15%, 1/24/29    25,000    25,934  
Westpac Banking Corp., 4.11%, (US 5 Year CMT T-Note + 2.00%), 7/24/34(a)    75,000    73,964  
         9,142,612  
Beverages - 1.4%        
Anheuser-Busch Cos., LLC / Anheuser-Busch InBev Worldwide, Inc.        
4.70%, 2/1/36    200,000    217,001  
4.90%, 2/1/46    300,000    333,488  
Constellation Brands, Inc.        
4.40%, 11/15/25    200,000    206,630  
3.60%, 2/15/28    100,000    99,416  
3.15%, 8/1/29    125,000    120,553  
Keurig Dr Pepper, Inc.        
5.09%, 5/25/48    25,000    28,390  
3.80%, 5/1/50    25,000    23,736  
         1,029,214  
Biotechnology - 0.4%        
Amgen, Inc., 3.13%, 5/1/25    175,000    176,840  
Royalty Pharma PLC, 1.20%, 9/2/25    100,000    92,105  
         268,945  
Building Materials - 0.4%        
Carrier Global Corp.        
2.49%, 2/15/27    225,000    214,722  

    Shares/
Principal
  Fair Value  
         
Building Materials (continued)        
2.72%, 2/15/30   $75,000   $70,500  
Masco Corp., 1.50%, 2/15/28    50,000    44,084  
         329,306  
Chemicals - 0.4%        
DuPont de Nemours, Inc., 4.21%, 11/15/23    175,000    179,175  
International Flavors & Fragrances, Inc., 1.83%, 10/15/27(b)    100,000    91,052  
         270,227  
Commercial Services - 0.7%        
Emory University, 2.14%, 9/1/30    160,000    149,976  
Global Payments, Inc., 2.65%, 2/15/25    75,000    73,464  
PayPal Holdings, Inc., 1.65%, 6/1/25    225,000    216,523  
S&P Global, Inc., 2.95%, 1/22/27    50,000    49,854  
         489,817  
Computers - 1.5%        
Amdocs Ltd., 2.54%, 6/15/30    75,000    68,110  
Apple, Inc., 3.25%, 2/23/26    175,000    178,275  
Dell International LLC / EMC Corp.        
5.45%, 6/15/23    54,000    55,649  
5.85%, 7/15/25    25,000    26,688  
6.02%, 6/15/26    200,000    216,896  
Hewlett Packard Enterprise Co.        
4.45%, 10/2/23    225,000    230,568  
4.90%, 10/15/25    50,000    52,418  
6.35%, 10/15/45    60,000    70,614  
HP, Inc., 4.00%, 4/15/29    220,000    219,391  
         1,118,609  
Cosmetics/Personal Care - 0.3%        
GSK Consumer Healthcare Capital US LLC, 3.38%, 3/24/27(b)    250,000    250,460  
Diversified Financial Services - 2.5%        
AerCap Ireland Capital DAC / AerCap Global Aviation Trust        
4.88%, 1/16/24    175,000    177,500  
2.45%, 10/29/26    225,000    208,065  
Air Lease Corp.        
2.30%, 2/1/25    175,000    168,439  
3.38%, 7/1/25    100,000    98,676  
2.88%, 1/15/26    75,000    72,437  
3.75%, 6/1/26    175,000    174,087  
Ally Financial, Inc., 2.20%, 11/2/28    100,000    90,323  
American Express Co.        
2.50%, 7/30/24    35,000    34,855  
3.63%, 12/5/24    175,000    178,534  
Aviation Capital Group LLC, 1.95%, 1/30/26(b)    75,000    69,016  
Avolon Holdings Funding Ltd.        
3.95%, 7/1/24(b)    75,000    74,819  
2.88%, 2/15/25(b)    150,000    144,180  

 

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

    Shares/
Principal
  Fair Value  
         
Diversified Financial Services (continued)        
4.25%, 4/15/26(b)   $25,000   $24,683  
Capital One Financial Corp.        
3.50%, 6/15/23    75,000    75,897  
3.30%, 10/30/24    65,000    65,413  
Intercontinental Exchange, Inc., 3.00%, 6/15/50    50,000    43,854  
Nasdaq, Inc., 3.25%, 4/28/50    25,000    21,657  
Visa, Inc., 3.15%, 12/14/25    100,000    101,347  
         1,823,782  
Electric - 3.1%        
Alliant Energy Finance LLC, 3.75%, 6/15/23(b)    50,000    50,576  
Ameren Corp., 3.50%, 1/15/31    25,000    24,682  
American Electric Power Co., Inc., 2.30%, 3/1/30    50,000    45,599  
Avangrid, Inc., 3.20%, 4/15/25    50,000    49,901  
Berkshire Hathaway Energy Co., 6.13%, 4/1/36    74,000    91,146  
Dominion Energy, Inc.        
3.07%, 8/15/24(c)    175,000    174,790  
3.38%, 4/1/30    50,000    49,365  
Duke Energy Carolinas LLC, 3.95%, 3/15/48    25,000    25,661  
Duke Energy Corp., 3.15%, 8/15/27    200,000    198,134  
Duquesne Light Holdings, Inc., 2.53%, 10/1/30(b)    100,000    89,711  
Enel Finance International NV, 1.88%, 7/12/28(b)    200,000    180,602  
Entergy Corp., 2.95%, 9/1/26    175,000    172,307  
Exelon Corp., 4.05%, 4/15/30    50,000    51,618  
FirstEnergy Corp.        
2.65%, 3/1/30    150,000    136,184  
2.25%, 9/1/30    50,000    44,375  
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28    80,000    73,530  
NRG Energy, Inc., 3.75%, 6/15/24(b)    150,000    149,562  
Pacific Gas and Electric Co.        
2.10%, 8/1/27    25,000    22,500  
2.50%, 2/1/31    50,000    43,106  
3.30%, 8/1/40    25,000    20,479  
3.50%, 8/1/50    50,000    39,928  
Sempra Energy, 3.40%, 2/1/28    125,000    124,904  
Southern California Edison Co., 4.20%, 3/1/29    100,000    103,525  
Southern Co. (The), 3.25%, 7/1/26    350,000    350,056  
         2,312,241  
Engineering & Construction - 0.3%        
Mexico City Airport Trust, 3.88%, 4/30/28(b)    200,000    191,070  

    Shares/
Principal
  Fair Value  
         
Entertainment - 0.4%        
Magallanes, Inc., 4.05%, 3/15/29(b)   $275,000   $276,632  
Environmental Control - 0.2%        
Republic Services, Inc., 2.50%, 8/15/24    150,000    148,535  
Food - 0.3%        
Mars, Inc., 2.70%, 4/1/25(b)    50,000    49,611  
Sysco Corp.        
4.45%, 3/15/48    25,000    25,913  
6.60%, 4/1/50    25,000    33,584  
Tyson Foods, Inc., 3.90%, 9/28/23    125,000    126,681  
         235,789  
Gas - 0.6%        
East Ohio Gas Co. (The), 1.30%, 6/15/25(b)    50,000    47,208  
NiSource, Inc.        
3.49%, 5/15/27    400,000    399,329  
3.60%, 5/1/30    25,000    24,795  
         471,332  
Healthcare-Products - 0.5%        
Baxter International, Inc.        
2.27%, 12/1/28(b)    75,000    69,618  
2.54%, 2/1/32(b)    75,000    68,496  
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30    50,000    48,185  
DH Europe Finance II SARL, 2.20%, 11/15/24    125,000    122,560  
STERIS Irish FinCo UnLtd Co., 2.70%, 3/15/31    75,000    68,653  
Thermo Fisher Scientific, Inc., 1.75%, 10/15/28    25,000    22,769  
         400,281  
Healthcare-Services - 0.9%        
Adventist Health System, 2.95%, 3/1/29    25,000    24,334  
Banner Health, 2.34%, 1/1/30    145,000    134,803  
Baylor Scott & White Holdings, 1.78%, 11/15/30    50,000    44,208  
CommonSpirit Health, 3.91%, 10/1/50    110,000    104,741  
Rush Obligated Group, 3.92%, 11/15/29    60,000    61,400  
Stanford Health Care, 3.31%, 8/15/30    35,000    35,060  
Sutter Health        
2.29%, 8/15/30    25,000    22,680  
4.09%, 8/15/48    225,000    227,985  
         655,211  
Home Builders - 0.1%        
Lennar Corp., 4.75%, 11/29/27    45,000    46,948  
Insurance - 0.9%        
AIA Group Ltd., 3.20%, 3/11/25(b)    200,000    201,346  
American International Group, Inc., 3.90%, 4/1/26    175,000    179,609  

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

    Shares/
Principal
  Fair Value  
         
Insurance (continued)        
New York Life Insurance Co., 3.75%, 5/15/50(b)   $50,000   $48,441  
Principal Financial Group, Inc.        
3.10%, 11/15/26    75,000    73,891  
2.13%, 6/15/30    100,000    90,464  
Willis North America, Inc., 2.95%, 9/15/29    50,000    46,959  
XLIT Ltd., 4.45%, 3/31/25    50,000    51,444  
         692,154  
Internet - 0.1%        
Amazon.com, Inc., 3.10%, 5/12/51    50,000    46,896  
Expedia Group, Inc., 2.95%, 3/15/31    50,000    46,254  
         93,150  
Iron & Steel - 0.0%        
Steel Dynamics, Inc., 2.40%, 6/15/25    30,000    29,035  
Lodging - 0.1%        
Marriott International, Inc., 2.85%, 4/15/31    100,000    91,282  
Media - 1.0%        
Comcast Corp.        
3.70%, 4/15/24    150,000    153,235  
3.95%, 10/15/25    125,000    129,247  
3.30%, 4/1/27    125,000    126,649  
3.75%, 4/1/40    25,000    25,148  
Fox Corp., 4.03%, 1/25/24    75,000    76,616  
Walt Disney Co. (The), 3.70%, 9/15/24    200,000    204,443  
         715,338  
Mining - 0.6%        
Glencore Funding LLC        
4.63%, 4/29/24(b)    250,000    256,143  
1.63%, 4/27/26(b)    75,000    69,258  
Newcrest Finance Pty Ltd., 3.25%, 5/13/30(b)    25,000    23,911  
Newmont Corp., 2.25%, 10/1/30    150,000    137,108  
         486,420  
Miscellaneous Manufacturing - 0.1%        
General Electric Co., 6.75%, 3/15/32    50,000    62,996  
Oil & Gas - 1.0%        
BP Capital Markets America, Inc., 3.41%, 2/11/26    50,000    50,596  
Lukoil Securities BV, 3.88%, 5/6/30    200,000    106,214  
Marathon Petroleum Corp.        
3.63%, 9/15/24    50,000    50,407  
3.80%, 4/1/28    25,000    25,198  
Phillips 66        
3.70%, 4/6/23    75,000    76,048  
3.85%, 4/9/25    25,000    25,529  
1.30%, 2/15/26    25,000    23,390  
3.90%, 3/15/28    150,000    152,594  

    Shares/
Principal
  Fair Value  
         
Oil & Gas (continued)        
Suncor Energy, Inc.        
2.80%, 5/15/23   $50,000   $50,095  
3.10%, 5/15/25    75,000    74,580  
Valero Energy Corp., 2.85%, 4/15/25    75,000    74,287  
         708,938  
Pharmaceuticals - 0.7%        
AbbVie, Inc.        
4.05%, 11/21/39    125,000    128,165  
4.88%, 11/14/48    25,000    28,241  
Bristol-Myers Squibb Co., 2.95%, 3/15/32    50,000    48,916  
Cigna Corp., 3.40%, 3/15/50    200,000    180,084  
CVS Health Corp.        
2.63%, 8/15/24    30,000    29,927  
3.88%, 7/20/25    25,000    25,531  
4.78%, 3/25/38    75,000    82,029  
5.13%, 7/20/45    25,000    28,249  
         551,142  
Pipelines - 2.6%        
Energy Transfer LP        
4.20%, 9/15/23    175,000    177,395  
2.90%, 5/15/25    100,000    97,928  
5.25%, 4/15/29    100,000    106,722  
5.30%, 4/15/47    25,000    25,686  
5.40%, 10/1/47    50,000    52,162  
Enterprise Products Operating LLC, 3.70%, 2/15/26    300,000    304,175  
Galaxy Pipeline Assets Bidco Ltd., 2.94%, 9/30/40    200,000    180,334  
MPLX LP        
4.80%, 2/15/29    50,000    53,311  
2.65%, 8/15/30    125,000    114,519  
4.50%, 4/15/38    75,000    76,517  
Sabine Pass Liquefaction LLC        
5.63%, 4/15/23    100,000    102,320  
5.63%, 3/1/25    275,000    291,038  
5.00%, 3/15/27    100,000    105,940  
Targa Resources Corp., 4.20%, 2/1/33    40,000    40,402  
Williams Cos., Inc. (The), 4.00%, 9/15/25    175,000    178,237  
         1,906,686  
REITS - 3.1%        
Alexandria Real Estate Equities, Inc., 3.80%, 4/15/26    75,000    76,420  
American Homes 4 Rent LP        
4.90%, 2/15/29    50,000    53,183  
2.38%, 7/15/31    30,000    26,488  
American Tower Corp.        
3.38%, 5/15/24    200,000    200,792  
2.40%, 3/15/25    125,000    121,731  

 

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

    Shares/
Principal
  Fair Value  
         
REITS (continued)        
Camden Property Trust, 2.80%, 5/15/30   $75,000   $72,090  
Crown Castle International Corp.        
3.15%, 7/15/23    100,000    100,721  
3.65%, 9/1/27    75,000    74,574  
CubeSmart LP, 2.50%, 2/15/32    100,000    89,655  
Essex Portfolio LP, 3.00%, 1/15/30    75,000    71,817  
Federal Realty Investment Trust, 3.25%, 7/15/27    150,000    147,810  
Host Hotels & Resorts LP, 2.90%, 12/15/31    75,000    67,115  
Invitation Homes Operating Partnership LP        
2.30%, 11/15/28    50,000    45,322  
2.00%, 8/15/31    185,000    158,008  
Kilroy Realty LP, 4.75%, 12/15/28    100,000    104,996  
National Retail Properties, Inc., 3.90%, 6/15/24    45,000    45,908  
Realty Income Corp.        
4.63%, 11/1/25    200,000    209,546  
4.88%, 6/1/26    75,000    79,208  
3.40%, 1/15/28    25,000    24,972  
2.85%, 12/15/32    75,000    70,687  
Regency Centers LP, 2.95%, 9/15/29    125,000    119,098  
Spirit Realty LP, 3.40%, 1/15/30    100,000    96,718  
UDR, Inc., 2.10%, 8/1/32    25,000    21,549  
Weyerhaeuser Co., 3.38%, 3/9/33    50,000    48,704  
WP Carey, Inc.        
4.60%, 4/1/24    25,000    25,658  
4.00%, 2/1/25    30,000    30,667  
3.85%, 7/15/29    75,000    75,864  
2.40%, 2/1/31    25,000    22,533  
         2,281,834  
Retail - 0.9%        
7-Eleven, Inc., 1.30%, 2/10/28(b)    100,000    87,702  
Alimentation Couche-Tard, Inc., 3.55%, 7/26/27(b)    50,000    49,874  
AutoNation, Inc., 1.95%, 8/1/28    25,000    22,418  
Dollar Tree, Inc.        
4.00%, 5/15/25    75,000    76,807  
4.20%, 5/15/28    125,000    129,439  
Lowe's Cos., Inc., 1.70%, 9/15/28    75,000    68,011  
McDonald's Corp., 4.45%, 9/1/48    25,000    26,895  
Starbucks Corp., 3.80%, 8/15/25    150,000    153,362  
Target Corp., 2.95%, 1/15/52    50,000    46,053  
         660,561  
Savings & Loans - 0.3%        
Nationwide Building Society, 3.96%, (3 Month US Libor + 1.86%), 7/18/30(a),(b)    200,000    199,420  

    Shares/
Principal
  Fair Value  
         
Semiconductors - 1.0%        
Broadcom, Inc.        
4.15%, 4/15/32(b)   $90,000   $89,803  
3.42%, 4/15/33(b)    150,000    140,239  
3.47%, 4/15/34(b)    165,000    152,835  
3.50%, 2/15/41(b)    25,000    22,267  
Intel Corp., 3.05%, 8/12/51    75,000    66,779  
Micron Technology, Inc., 2.70%, 4/15/32    50,000    45,266  
NXP BV / NXP Funding LLC / NXP USA, Inc.        
3.40%, 5/1/30(b)    50,000    48,704  
2.50%, 5/11/31(b)    125,000    113,046  
2.65%, 2/15/32(b)    75,000    67,607  
         746,546  
Software - 1.2%        
Fiserv, Inc.        
2.75%, 7/1/24    150,000    149,661  
3.20%, 7/1/26    150,000    149,414  
4.20%, 10/1/28    100,000    103,266  
Oracle Corp.        
2.88%, 3/25/31    125,000    114,064  
3.60%, 4/1/40    75,000    65,121  
3.60%, 4/1/50    75,000    62,207  
VMware, Inc.        
1.80%, 8/15/28    25,000    22,216  
2.20%, 8/15/31    75,000    66,042  
Workday, Inc.        
3.50%, 4/1/27    50,000    50,099  
3.70%, 4/1/29    50,000    50,061  
3.80%, 4/1/32    25,000    25,031  
         857,182  
Telecommunications - 3.2%        
AT&T, Inc.        
2.30%, 6/1/27    125,000    119,074  
2.55%, 12/1/33    175,000    155,333  
5.25%, 3/1/37    125,000    142,115  
4.90%, 8/15/37    50,000    55,072  
4.85%, 3/1/39    85,000    92,584  
3.50%, 6/1/41    100,000    92,163  
5.15%, 11/15/46    25,000    28,299  
5.15%, 2/15/50    25,000    28,436  
3.65%, 6/1/51    50,000    45,425  
3.50%, 9/15/53    25,000    21,956  
T-Mobile USA, Inc.        
3.50%, 4/15/25    125,000    125,964  
1.50%, 2/15/26    50,000    46,696  
3.75%, 4/15/27    200,000    201,364  
2.05%, 2/15/28    200,000    182,988  
3.88%, 4/15/30    200,000    200,792  
3.00%, 2/15/41    50,000    42,308  

 

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

    Shares/
Principal
  Fair Value  
         
Telecommunications (continued)        
Verizon Communications, Inc.        
2.10%, 3/22/28   $225,000   $210,097  
4.33%, 9/21/28    313,000    330,785  
4.02%, 12/3/29    25,000    25,981  
3.15%, 3/22/30    100,000    98,390  
2.55%, 3/21/31    150,000    139,193  
         2,385,015  
Transportation - 0.3%        
Burlington Northern Santa Fe LLC, 3.25%, 6/15/27    75,000    76,211  
Canadian Pacific Railway Co., 2.45%, 12/2/31    50,000    46,370  
FedEx Corp., 3.40%, 2/15/28    25,000    25,090  
Union Pacific Corp., 2.80%, 2/14/32    100,000    96,027  
         243,698  
Total Corporate Bonds and Notes          
(Cost - $34,589,796)        33,790,016  
Agency Mortgage Backed Securities - 24.6%        
Federal Home Loan Mortgage Corporation - 2.7%        
Freddie Mac Pool        
4.00%, 1/1/49    338,079    350,513  
3.00%, 12/1/50    750,874    741,679  
2.50%, 9/1/51    964,511    923,499  
         2,015,691  
Federal National Mortgage Association - 10.9%        
Fannie Mae Pool        
4.50%, 6/1/31    339,148    354,461  
4.50%, 7/1/48    440,883    457,598  
5.00%, 11/1/48    317,824    341,716  
Federal National Mortgage Association        
2.50%, 4/1/52(d)    2,000,000    1,909,688  
3.00%, 4/1/52(d)    2,000,000    1,957,812  
3.50%, 4/1/52(d)    3,000,000    3,006,563  
         8,027,838  
Government National Mortgage Association - 11.0%        
Ginnie Mae, 3.00%, 4/20/52(d)    2,000,000    1,977,812  
Ginnie Mae II Pool        
3.50%, 4/20/47    234,501    238,083  
3.50%, 12/20/47    291,470    295,913  
4.50%, 2/20/48    165,203    173,281  
4.50%, 5/20/48    160,891    166,523  
4.50%, 8/20/48    204,963    212,139  
5.00%, 8/20/48    44,984    47,505  
4.50%, 9/20/48    713,117    740,891  
5.00%, 10/20/48    255,414    270,032  
5.00%, 11/20/48    160,011    169,169  
5.00%, 12/20/48    83,804    88,601  

    Shares/
Principal
  Fair Value  
         
Government National Mortgage Association (continued)        
5.00%, 1/20/49   $246,475   $260,582  
4.00%, 2/20/49    207,162    214,767  
4.50%, 3/20/49    7,053    7,300  
5.00%, 3/20/49    114,661    121,224  
4.00%, 5/20/49    185,040    188,891  
4.50%, 10/20/49    167,334    173,193  
Government National Mortgage Association        
3.00%, 9/20/49    843,631    837,497  
3.00%, 11/20/51    977,656    968,773  
3.50%, 4/20/52(d)    1,000,000    1,006,269  
         8,158,445  
Total Agency Mortgage Backed Securities          
(Cost - $18,672,268)        18,201,974  
U.S. Treasury Securities and Agency Bonds - 16.9%        
Federal Farm Credit Banks Funding Corp.        
2.85%, 3/28/34    370,000    372,948  
1.70%, 4/23/35    540,000    469,774  
U.S. Treasury Bond        
4.25%, 5/15/39    440,000    550,945  
3.13%, 11/15/41    420,000    453,567  
2.75%, 8/15/42    780,000    794,229  
2.75%, 11/15/42    490,000    498,441  
2.38%, 11/15/49    3,390,000    3,317,301  
U.S. Treasury Note        
0.75%, 3/31/26    580,000    541,507  
2.50%, 3/31/27    1,040,000    1,043,900  
1.13%, 2/29/28    450,000    417,761  
1.25%, 3/31/28    1,130,000    1,055,270  
1.25%, 6/30/28    3,160,000    2,942,750  
Total U.S. Treasury Securities and Agency Bonds          
(Cost - $13,367,653)        12,458,393  
Asset Backed and Commercial Backed Securities - 8.7%        
3650R 2021-PF1 Commercial Mortgage Trust, 2.78%, 11/15/54    150,000    137,183  
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd., 1.71%, (SOFR + 1.45%), 1/15/37 (a),(b)    200,000    198,953  
ASSURANT CLO LTD., 1.29%, (3 Month US Libor + 1.04%), 4/20/31 (a),(b)    1,500,000    1,488,180  
Benchmark 2018-B1 Mortgage Trust, 2.75%, 1/15/51 (b)    100,000    78,017  
BX Trust 2021-ARIA, 2.04%, (1 Month US Libor + 1.65%), 10/15/36 (a),(b)    150,000    146,792  

 

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

    Shares/
Principal
  Fair Value  
Asset Backed and Commercial Backed Securities (continued)        
Cathedral Lake VI Ltd., 2.21%, (3 Month US Libor + 1.95%), 4/25/34 (a),(b)   $350,000   $344,412  
Cathedral Lake VIII Ltd., 2.72%, (3 Month US Libor + 2.62%), 1/20/35 (a),(b)    150,000    144,635  
CBAM 2018-5 Ltd., 1.26%, (3 Month US Libor + 1.02%), 4/17/31 (a),(b)    350,000    346,978  
Citigroup Commercial Mortgage Trust 2015-GC29, 3.11%, 4/10/48 (b)    100,000    93,243  
COMM 2017-COR2 Mortgage Trust, 3.00%, 9/10/50 (b)    100,000    83,516  
Connecticut Avenue Securities Trust 2021-R03, 1.75%, (SOFR + 1.65%), 12/25/41 (a),(b)    34,000    33,049  
DOLP Trust 2021-NYC, 2.96%, 5/10/41 (b)    200,000    187,530  
Freddie Mac STACR REMIC Trust 2021-DNA5, 1.75%, (SOFR + 1.65%), 1/25/34 (a),(b)    30,000    29,565  
Freddie Mac STACR REMIC Trust 2022-DNA1, 1.10%, (SOFR + 1.00%), 1/25/42 (a),(b)    75,000    74,021  
JP Morgan Mortgage Trust 2021-6, 2.50%, 10/25/51 (b),(e)    110,276    102,252  
London Wall Mortgage Capital PLC, 0.95%, (3 Month GBP Libor + 0.97%), 11/15/49 (a)    41,810    55,095  
Morgan Stanley Capital I Trust 2020-HR8, 2.04%, 7/15/53    250,000    225,423  
Morgan Stanley Capital I Trust 2020-L4, 2.70%, 2/15/53    500,000    474,540  
PHEAA Student Loan Trust 2012-1, 1.01%, (1 Month US Libor + 0.55%), 5/25/57 (a),(b)    197,564    194,824  
TICP CLO X Ltd., 1.25%, (3 Month US Libor + 1.00%), 4/20/31 (a),(b)    1,550,000    1,539,775  
Wellfleet CLO X LTD., 1.42%, (3 Month US Libor + 1.17%), 7/20/32 (a),(b)    375,000    370,831  
Wells Fargo Commercial Mortgage Trust 2017-C42, 2.80%, 12/15/50 (b),(e)    100,000    84,191  
Wells Fargo Mortgage Backed Securities Trust 2019-3, 3.50%, 7/25/49 (b),(e)    8,892    8,944  
Total Asset Backed and Commercial Backed Securities          
(Cost - $6,653,279)        6,441,949  

    Shares/
Principal
  Fair Value  
Sovereign Debts - 1.9%        
Mexico Government International Bond        
3.25%, 4/16/30   $290,000   $279,009  
3.77%, 5/24/61    200,000    162,222  
Perusahaan Penerbit SBSN Indonesia III, 4.55%, 3/29/26    520,000    550,690  
Peruvian Government International Bond, 3.23%, 7/28/21    20,000    15,188  
Romanian Government International Bond        
3.00%, 2/27/27(b)    90,000    87,321  
2.12%, 7/16/31  EUR  30,000    28,499  
2.00%, 1/28/32(b)  EUR  70,000    64,634  
Saudi Government International Bond, 3.63%, 3/4/28    210,000    216,825  
Total Sovereign Debts          
(Cost - $1,468,410)        1,404,388  
Municipal Bonds - 1.4%        
Bay Area Toll Authority, 1.63%, 4/1/28    10,000    9,156  
California Statewide Communities Development Authority, 1.88%, 2/1/31    30,000    26,840  
City of Tucson        
1.46%, 7/1/28    5,000    4,623  
1.93%, 7/1/31    30,000    27,400  
Metropolitan Transportation Authority        
5.99%, 11/15/30(f)    25,000    28,996  
5.18%, 11/15/49    160,000    183,069  
Municipal Improvement Corp. of Los Angeles        
1.65%, 11/1/28    35,000    31,804  
2.07%, 11/1/30    95,000    85,167  
New Jersey Turnpike Authority        
1.48%, 1/1/28    5,000    4,564  
7.10%, 1/1/41    25,000    35,471  
San Francisco Municipal Transportation Agency, 1.30%, 3/1/28    25,000    22,575  
State of California, 7.60%, 11/1/40    175,000    266,226  
State of Illinois, 5.10%, 6/1/33 (f)    265,000    281,803  
Total Municipal Bonds          
(Cost - $976,786)        1,007,694  
Short-Term Investments - 12.9%        
Money Market Funds - 4.1%        
Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.12%(g) (Cost - $3,040,432)   3,040,432    3,040,432  
U.S. Treasury Securities - 3.9%        
U.S. Treasury Bill, 0.82%, 9/15/22  (Cost - $2,912,381)    2,925,000    2,912,424  

 

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

    Shares/
Principal
  Fair Value  
         
Commercial Paper - 4.9%        
Banque et Caisse d'Epargne, 0.00%, 7/1/22 (h)   $400,000   $399,059  
Banque et Caisse d'Epargne de l'Etat, 0.00%, 6/6/22 (h)    288,000    287,623  
Fidelity National Information Services, Inc., 0.00%, 4/12/22 (h)    400,000    399,915  
First Abu Dhabi Bank PJSC, 0.69%, (SOFR + 0.40%), 7/1/22 (a),(b)    725,000    725,000  
National Bank of Canada, 0.00%, 8/10/22 (h)    550,000    547,737  
Skandinaviska Enskilda Banken AB, 0.00%, 8/2/22 (h)    1,000,000    996,218  
Svenska Handelsbanken AB, 0.00%, 7/1/22 (h)    250,000    249,469  
Total Commercial Paper (Cost - $3,605,066)        3,605,021  
Total Short-Term Investments
(Cost - $9,557,879)
       9,557,877  
Total Investments - 112.2%          
(Cost - $85,286,071)       $82,862,291  
Other Assets Less Liabilities - Net (12.2)%       (9,011,064)  
Total Net Assets - 100.0%       $73,851,227  

 

Represents less than 0.05%.
(a) Variable rate security. The rate shown is the rate in effect at period end.
(b) 144A - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of March 31, 2022, these securities amounted to $11,061,635 or 15.0% of net assets.
(c) Step coupon.
(d) When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.
(e) Adjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. The coupon rate shown represents the rate at period end.
(f) Sinking bond security.
(g) The rate shown is the annualized seven-day yield at period end.
(h) Rate shown represents discount rate at the time of purchase.

CLO - Collateralized Loan Obligation
CMT - Treasury Constant Maturity Rate
EUR - EURO
Libor - London Interbank Offer Rate
PLC - Public Limited Company
REMIC - Real Estate Mortgage Investment Conduit
SOFR - Secured Overnight Financing Rate

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

Futures Contracts

 

   Counterparty  Number of
Contracts
   Expiration Date  Notional Value   Fair
Value/Unrealized
Appreciation
(Depreciation)
 
Long Futures Contracts                     
U.S. 10 Year Note Future  Morgan Stanley   43   6/21/2022  $5,283,625   $(147,716) 
U.S. 2 Year Note Future  Morgan Stanley   24   6/30/2022   5,086,125    (64,119) 
U.S. Long Bond Future  Morgan Stanley   6   6/21/2022   900,375    (19,447) 
U.S. Ultra Bond Future  Morgan Stanley   16   6/21/2022   2,834,000    (97,611) 
                      
                    (328,893) 
Short Futures Contracts                     
Euro-Bobl Future  Morgan Stanley   1   6/8/2022   143,376    779 
U.S. 10 Year Ultra Future  Morgan Stanley   19   6/21/2022   2,573,906    82,868 
U.S. 5 Year Note Future  Morgan Stanley   54   6/30/2022   6,193,125    132,580 
                      
                    216,227 
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS               $(112,666) 

 

Interest Rate Swaptions Purchased

 

Counterparty  Description*  Floating
Rate Index
  Exercise Rate  Expiration
Date
  Notional Amount  Fair Value   Premiums
Paid
   Unrealized
Appreciation
(Depreciation)
 
JP Morgan Chase Bank  Call - IRS SWAPTION  Pay GBP SONIO  Receives 0.30%  09/08/23  1,360,000 GBP  $50   $2,642   $(2,592) 
JP Morgan Chase Bank  Call - IRS SWAPTION  Pay GBP SONIO  Receives 0.28%  09/08/23  1,040,000 GBP  37   1,984   (1,947) 
TOTAL FAIR VALUE, PREMIUMS PAID AND NET UNREALIZED DEPRECIATION ON INTEREST RATE SWAPTIONS PURCHASED  $87   $4,626   $(4,539) 

 

* The Fund may receive or pay a variable rate.

 

Interest Rate Swaptions Written

 

Counterparty  Description*  Floating
Rate Index
  Exercise Rate  Expiration
Date
  Notional Amount  Fair Value   Premiums
Received
   Unrealized
Appreciation
(Depreciation)
 
JP Morgan Chase Bank  Call - IRS SWAPTION  Pay GBP SONIO  Receives 0.40%  09/08/32  140,000 GBP  $(177)   $(2,636)  $2,459 
JP Morgan Chase Bank  Call - IRS SWAPTION  Pay GBP SONIO  Receives 0.36%  09/08/32  110,000 GBP  (124)   (2,033)  1,909 
TOTAL FAIR VALUE, PREMIUMS RECEIVED AND NET UNREALIZED APPRECIATION ON INTEREST RATE SWAPTIONS WRITTEN  $(301)   $(4,669)  $4,368 

 

* The Fund may receive or pay a variable rate.

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

Interest Rate Swaps

 

Counterparty   Payment
Frequency
  Fund Receives   Fund Pays   Expiration
Date
  Notional
Amount
  Fair Value   Premiums Paid
(Received)
  Unrealized Appreciation
(Depreciation)
 
Morgan Stanley   Quarterly   1.25%   3 Month New Zealand Dollar Bank Bill Rate   12/15/22   540,000   NZD   $(1,963)   $(346)   $(1,617)  
Morgan Stanley   Quarterly   Secured Overnight Financing Rate   2.50%   03/14/24   420,000   USD    1,324    829    495  
Morgan Stanley   Quarterly   2.48%   3 Month Australian Bill   03/14/24   580,000   AUD    (2,661)    –    (2,661)  
Morgan Stanley   Semi-Annually   -0.50%   6 Month Euribor   03/18/24   10,000   EUR    (219)    (167)    (52)  
Morgan Stanley   Semi-Annually   0.25%   6 Month Euribor   03/18/24   340,000   EUR    (33,727)    (23,035)    (10,692)  
Morgan Stanley   Annually   0.25%   Sterling Overnight Interbank Average Rate   03/18/24   340,000   GBP    (15,064)    (14,430)    (634)  
Morgan Stanley   Annually   0.50%   Sterling Overnight Interbank Average Rate   03/16/27   10,000   GBP    (863)    (880)    17  
Morgan Stanley   Quarterly   3 Month Euribor   0.25%   03/18/24   1,060,000   EUR    6,882    6,061    821  
Morgan Stanley   Annually   Secured Overnight Financing Rate   0.25%   03/18/24   600,000   USD    22,862    16,188    6,674  
Morgan Stanley   Semi-Annually   1.75%   6 Month Norway Ibor   03/18/24   1,620,000   NOK    (2,769)    36    (2,805)  
Morgan Stanley   Quarterly   0.50%   3 Month Stibor   03/18/24   11,320,000   SEK    (19,509)    (16,898)    (2,611)  
Morgan Stanley   Semi-Annually   2.50%   3 Month Canadian Dollar Offered Rate   03/22/24   1,040,000   CAD    (3,195)    (894)    (2,301)  
Morgan Stanley   Annually   Secured Overnight Financing Rate   2.00%   03/25/24   630,000   USD    2,532    1,719    813  
Morgan Stanley   Quarterly   3 Month US Libor   1 Month US Libor   07/25/24   3,160,000   USD    919    665    254  
Morgan Stanley   Quarterly   0.75%   3 Month Stockholm Interbank Offered Rate   03/16/27   1,980,000   SEK   $(10,699)   $1,284   $(11,983)  
Morgan Stanley   Semi-Annually   6 Month Norway Ibor   2.00%   03/16/27   520,000   NOK    2,305    1,832    473  
Morgan Stanley   Semi-Annually   1.25%   6 Month Australian Bill   03/16/27   1,160,000   AUD    (68,064)    (18,563)    (49,501)  
Morgan Stanley   Annually   Secured Overnight Financing Rate   1.00%   03/16/27   1,150,000   USD    64,601    55,696    8,905  
Morgan Stanley   Semi-Annually   3 Month Canadian Dollar Offered Rate   1.96%   12/18/28   370,000   CAD    11,933    4,012    7,921  

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

Interest Rate Swaps
(continued)

 

Counterparty   Payment Frequency   Fund Receives   Fund Pays   Expiration Date   Notional Amount†   Fair Value   Premiums Paid (Received)   Unrealized Appreciation
(Depreciation)
 
Morgan Stanley   Semi-Annually   2.07%   3 Month Canadian Dollar Offered Rate   12/18/28   460,000   CAD    (5,984)    (1,677)    (4,307)  
Morgan Stanley   Annually   Sterling Overnight Interbank Average Rate   0.75%   03/16/32   660,000   GBP    71,216    64,609    6,607  
Morgan Stanley   Semi-Annually   2.00%   3 Month Canadian Dollar Offered Rate   03/16/32   660,000   CAD    (39,751)    (27,040)    (12,711)  
Morgan Stanley   Semi-Annually   2.10%   3 Month Canadian Dollar Offered Rate   12/19/33   80,000   CAD    (4,690)    314    (5,004)  
Morgan Stanley   Annually   Secured Overnight Financing Rate   1.50%   03/16/32   700,000   USD    37,117    24,174    12,943  
Morgan Stanley   Annually   0.25%   Swiss Average Rate Overnight   03/16/32   710,000   CHF    (46,542)    (24,190)    (22,352)  
Morgan Stanley   Quarterly   3 Month New Zealand Dollar Bank Bill Rate   2.75%   03/16/32   210,000   NZD    7,828    (1,669)    9,497  
Morgan Stanley   Semi-Annually   2.00%   6 Month Norway Ibor   03/16/32   4,150,000   NOK    (31,476)    (7,250)    (24,226)  
Morgan Stanley   Semi-Annually   2.00%   6 Month Australian Bill   03/16/32   190,000   AUD    (13,270)    134    (13,404)  
Morgan Stanley   Annually   0.00%   Tokyo Overnight Weighted Average Rate   03/16/32   5,160,000   JPY    (1,088)    (1,014)    (74)  
Morgan Stanley   Quarterly   3 Month Stockholm Interbank Offered Rate   1.00%   03/16/32   4,710,000   SEK    41,820    30,903    10,917  
Morgan Stanley   Semi-Annually   2.25%   3 Month Canadian Dollar Offered Rate   12/15/51   70,000   CAD    (6,768)    (2,956)    (3,812)  
Morgan Stanley   Annually   Secured Overnight Financing Rate   1.75%   03/18/52   50,000   USD   $2,356   $(813)   $3,169  
TOTAL FAIR VALUE, PREMIUMS PAID (RECEIVED) AND NET UNREALIZED DEPRECIATION ON INTEREST RATE SWAPS   $(34,607)   $66,634   $(101,241)  

 

Unless otherwise indicated, notional amount is shown in USD.

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

Credit Default Swaps

 

Counterparty   Reference
Obligation/
Index
  Payment
Frequency
  Buy/Sell
Protection
  Fixed
Rate
Received
  Fixed
Rate
Paid
  Credit
Rating*
  Expiration
Date
  Notional
Amount
  Fair Value   Premiums
Paid
(Received)
  Unrealized Appreciation(Depreciation)  
Morgan Stanley   CD CDX.IG.28   Quarterly   Buy   1.00%     BBB   06/20/22   $2,225,000   $4,574   $3,365   $1,209  
Morgan Stanley   CD The Boeing Company   Quarterly   Buy   1.00%     BBB-   06/20/24    100,000    (16)    1,064    (1,080)  
Morgan Stanley   CD Prudential Financial, Inc.   Quarterly   Buy   1.00%     A-   06/20/24    175,000    2,822    1,400    1,422  
Morgan Stanley   CD Republic of Indonesia   Quarterly   Buy   1.00%     BBB   06/20/24    110,000    1,680    268    1,412  
Morgan Stanley   CD CD.NA.IG.34   Quarterly   Buy   1.00%     BBB   06/20/25    625,000    8,904    5,745    3,159  
Morgan Stanley   CD General Electric Company   Quarterly   Buy   1.00%     BBB+   06/20/26    325,000    3,862    3,727    135  
Morgan Stanley   CD CDX.IG.37   Quarterly   Buy   1.00%     NR   12/20/26    1,325,000    23,099    22,050    1,049  
Morgan Stanley   CD Republic of Indonesia   Quarterly   Buy   1.00%     BBB   06/20/27    440,000    3,520    838    2,682  
TOTAL FAIR VALUE PREMIUM PAID (RECEIVED) AND NET UNREALIZED APPRECIATION ON CREDIT DEFAULT SWAPS   $48,445   $38,457   $9,988  

 

* Using S&P's rating of the issuer or the underlying securities of the index.

 

Forward Foreign Currency Contracts

 

Settlement Date   Counterparty   Currency Units to Receive       In Exchange For       Unrealized
Appreciation
(Depreciation)
04/05/22   Morgan Stanley   63,451     GBP   83,655     USD   $(116)
04/05/22   Morgan Stanley   91,577     GBP   124,198     USD    (3,628)
04/05/22   Morgan Stanley   36,978     GBP   50,372     USD    (1,687)
04/05/22   Morgan Stanley   209,780     USD   154,001     GBP    7,024
04/25/22   Morgan Stanley   17,160     USD   15,971     CHF    (210)
05/05/22   Morgan Stanley   7,712     USD   6,997     EUR    (82)
06/15/22   Morgan Stanley   26,863     EUR   29,321     USD    656
06/15/22   Morgan Stanley   41,157     USD   60,312     NZD    (738)
TOTAL NET UNREALIZED APPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS       $1,219

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

Portfolio of Investments (Unaudited) (Continued)

March 31, 2022

 

AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - Pound Sterling
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
USD - United States Dollar