0001752724-21-183460.txt : 20210824
0001752724-21-183460.hdr.sgml : 20210824
20210824155756
ACCESSION NUMBER: 0001752724-21-183460
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210824
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Ivy Variable Insurance Portfolios
CENTRAL INDEX KEY: 0000810016
IRS NUMBER: 481146010
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05017
FILM NUMBER: 211202181
BUSINESS ADDRESS:
STREET 1: 6300 LAMAR AVENUE
CITY: OVERLAND PARK
STATE: KS
ZIP: 66202
BUSINESS PHONE: 9132362000
MAIL ADDRESS:
STREET 1: P O BOX 29217
CITY: SHAWNEE MISSION
STATE: KS
ZIP: 66201-9217
FORMER COMPANY:
FORMER CONFORMED NAME: Ivy Funds Variable Insurance Portfolios
DATE OF NAME CHANGE: 20100301
FORMER COMPANY:
FORMER CONFORMED NAME: Ivy Funds Variable Insurance Portfolios, Inc.
DATE OF NAME CHANGE: 20080819
FORMER COMPANY:
FORMER CONFORMED NAME: W&R TARGET FUNDS INC
DATE OF NAME CHANGE: 20001026
0000810016
S000006224
Delaware Ivy VIP Asset Strategy
C000017158
Class II
C000190645
Class I
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000810016
XXXXXXXX
S000006224
C000190645
C000017158
Ivy Variable Insurance Portfolios
811-05017
0000810016
72XHPUAYSOH6ROSGJT53
6300 Lamar Avenue
P.O. Box 29217
Shawnee Mission
66201
18007776472
Delaware Ivy VIP Asset Strategy
S000006224
LR584WSYBGBM65CJ2268
2021-12-31
2021-06-30
N
769211559.32
5743568.25
763467991.07
0.00000000
36772832.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
USD
ACMO
UST
Petronas Capital Ltd.
549300G7YFX3540OYR85
Petronas Capital Ltd.
716743AP4
432000.00000000
PA
USD
473905.65000000
0.062072759505
Long
DBT
CORP
MY
N
2
2030-04-21
Fixed
0.03500000
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CW3
644000.00000000
PA
USD
868653.76000000
0.113777364625
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
0.05805000
N
N
N
N
N
N
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal)
51M0QTTNCGUN7KFCFZ59
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal)
20030NDN8
2000000.00000000
PA
USD
1896737.40000000
0.248437055932
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.01500000
N
N
N
N
N
N
Apple Inc.
HWUPKR0MPOU8FGXBT394
Apple Inc.
037833EF3
2000000.00000000
PA
USD
1959303.12000000
0.256631992816
Long
DBT
CORP
US
N
2
2051-02-08
Fixed
0.02650000
N
N
N
N
N
N
NRG Energy Inc.
5E2UPK5SW04M13XY7I38
NRG Energy Inc.
629377CN0
1100000.00000000
PA
USD
1116327.92000000
0.146218038353
Long
DBT
CORP
US
N
2
2025-12-02
Fixed
0.02000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates
3133AEPA6
2179976.08000000
PA
USD
2259026.53000000
0.295890142929
Long
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
Baidu Inc.
254900AL64IANZYI1E02
Baidu Inc.
056752AS7
1970000.00000000
PA
USD
1990127.69000000
0.260669433856
Long
DBT
CORP
KY
N
2
2026-04-09
Fixed
0.01720000
N
N
N
N
N
N
Ares Capital Corp.
WEQ82666OJYSI5GUAB47
Ares Capital Corp.
04010LBA0
2000000.00000000
PA
USD
1990766.98000000
0.260753168866
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.02150000
N
N
N
N
N
N
AGNC Investment Corp.
5TRACI5HRMELWV32OF39
AGNC Investment Corp.
00123Q104
479696.00000000
NS
USD
8102065.44000000
1.061218745876
Long
EC
CORP
US
N
1
N
N
N
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps)
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps)
3136B14A9
7930698.68270000
PA
USD
1623191.96000000
0.212607729333
Long
ABS-MBS
USGA
US
N
2
2048-06-25
Variable
0.06158500
N
N
N
N
N
N
Marvell Technology Group Ltd.
8DF36O58U3QIHUCGZB18
Marvell Technology Group Ltd.
573874104
36960.00000000
NS
USD
2155876.80000000
0.282379461250
Long
EC
CORP
US
N
1
N
N
N
Societe Generale S.A.
O2RNE8IBXP4R0TD8PU41
Societe Generale S.A.
83368RAZ5
2000000.00000000
PA
USD
1983257.50000000
0.259769567709
Long
DBT
CORP
FR
N
2
2026-12-14
Fixed
0.01488000
N
N
N
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
00131LAJ4
540000.00000000
PA
USD
597101.70000000
0.078209133452
Long
DBT
CORP
HK
N
2
2030-04-07
Fixed
0.03375000
N
N
N
N
N
N
Athene Holding Ltd.
549300H316CT32FQXI76
Athene Holding Ltd.
04686JAB7
1287000.00000000
PA
USD
1628993.48000000
0.213367619737
Long
DBT
CORP
BM
N
2
2030-04-03
Fixed
0.06150000
N
N
N
N
N
N
Pernod Ricard S.A.
52990097YFPX9J0H5D87
Pernod Ricard S.A.
N/A
27180.00000000
NS
6033196.18000000
0.790235641908
Long
EC
CORP
FR
N
1
N
N
N
Anthem Inc.
8MYN82XMYQH89CTMTH67
Anthem Inc.
036752103
17799.00000000
NS
USD
6795658.20000000
0.890103878549
Long
EC
CORP
US
N
1
N
N
N
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index)
N/A
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index)
35708YAS5
600000.00000000
PA
USD
661072.92000000
0.086588164498
Long
ABS-MBS
USGA
US
N
2
2051-02-25
Variable
0.03984100
N
N
N
N
N
N
Ferguson plc
213800DU1LGY3R2S2X42
Ferguson plc
N/A
57795.00000000
NS
8034744.99000000
1.052401028462
Long
EC
CORP
JE
N
1
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
N/A
580486.00000000
NS
7214674.73000000
0.944987191917
Long
EC
CORP
HK
N
1
N
N
N
UniCredit S.p.A.
549300TRUWO2CD2G5692
UniCredit S.p.A.
N/A
346632.00000000
NS
4089628.74000000
0.535664728297
Long
EC
CORP
IT
N
1
N
N
N
Charles Schwab Corp. (The)
549300VSGCJ7E698NM85
Charles Schwab Corp. (The)
808513BK0
2000000.00000000
PA
USD
2090000.00000000
0.273750834932
Long
DBT
CORP
US
N
2
2169-06-01
Fixed
0.04000000
N
N
N
N
N
N
Micron Technology Inc.
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc.
595112103
790.00000000
NC
USD
-66755.00000000
-0.00874365406
N/A
DE
CORP
US
N
1
N/A
N/A
Call
Written
security
Micron Technology Inc.
790.00000000
105.00000000
USD
2021-08-20
XXXX
-22613.74000000
N
N
N
COTA Racing & Entertainment LLC Class B
N/A
COTA Racing & Entertainment LLC Class B
N/A
25.76000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BF6
3000000.00000000
PA
USD
3289211.04000000
0.430825008837
Long
DBT
CORP
GB
N
2
2027-02-19
Fixed
0.04300000
N
N
N
N
N
N
Societe Generale S.A.
O2RNE8IBXP4R0TD8PU41
Societe Generale S.A.
83368RBC5
1000000.00000000
PA
USD
998742.67000000
0.130816574064
Long
DBT
CORP
FR
N
2
2027-06-09
Fixed
0.01792000
N
N
N
N
N
N
Citadel Finance LLC
549300BQL283NCR7P163
Citadel Finance LLC
17287HAA8
2500000.00000000
PA
USD
2509033.38000000
0.328636355334
Long
DBT
CORP
US
N
2
2026-03-09
Fixed
0.03375000
N
N
N
N
N
N
Transurban Finance Co. Pty Ltd.
54930081LPJMUMEA6E57
Transurban Finance Co. Pty Ltd.
89400PAK9
611000.00000000
PA
USD
615799.42000000
0.080658184390
Long
DBT
CORP
AU
N
2
2031-03-16
Fixed
0.02450000
N
N
N
N
N
N
Intercontinental Exchange Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange Inc.
45866F104
38055.00000000
NS
USD
4517128.50000000
0.591659185825
Long
EC
CORP
US
N
1
N
N
N
Schneider Electric S.A.
969500A1YF1XUYYXS284
Schneider Electric S.A.
N/A
49113.00000000
NS
7726700.47000000
1.012052968870
Long
EC
CORP
FR
N
1
N
N
N
UniCredit S.p.A.
549300TRUWO2CD2G5692
UniCredit S.p.A.
904678AS8
2672000.00000000
PA
USD
2916377.83000000
0.381990844948
Long
DBT
CORP
IT
N
2
2035-06-30
Fixed
0.05459000
N
N
N
N
N
N
Citigroup Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup Inc.
17327CAM5
2500000.00000000
PA
USD
2465710.85000000
0.322961915737
Long
DBT
CORP
US
N
2
2027-01-28
Fixed
0.01122000
N
N
N
N
N
N
Dollar Tree Inc.
549300PMSTQITB1WHR43
Dollar Tree Inc.
256746108
58018.00000000
NS
USD
5772791.00000000
0.756127443130
Long
EC
CORP
US
N
1
N
N
N
AT&T Inc.
549300Z40J86GGSTL398
AT&T Inc.
00206RKA9
2653000.00000000
PA
USD
2761264.08000000
0.361673850416
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
0.03650000
N
N
N
N
N
N
Broadcom Inc.
549300WV6GIDOZJTV909
Broadcom Inc.
11135FBE0
1500000.00000000
PA
USD
1501054.89000000
0.196610061922
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.01950000
N
N
N
N
N
N
Masimo Corp.
549300Q4A8JK0PIYCU29
Masimo Corp.
574795100
19254.00000000
NS
USD
4668132.30000000
0.611437853924
Long
EC
CORP
US
N
1
N
N
N
Airbus SE
MINO79WLOO247M1IL051
Airbus SE
N/A
66314.00000000
NS
8526815.87000000
1.116853092694
Long
EC
CORP
NL
N
1
N
N
N
Taiwan Semiconductor Manufacturing Co. Ltd.
549300KB6NK5SBD14S87
Taiwan Semiconductor Manufacturing Co. Ltd.
N/A
315450.00000000
NS
6736393.00000000
0.882341247936
Long
EC
CORP
TW
N
1
N
N
N
Visa Inc. Class A
549300JZ4OKEHW3DPJ59
Visa Inc. Class A
92826C839
49039.00000000
NS
USD
11466298.98000000
1.501870296347
Long
EC
CORP
US
N
1
N
N
N
Amazon.com Inc.
ZXTILKJKG63JELOEG630
Amazon.com Inc.
023135BT2
218000.00000000
PA
USD
206468.00000000
0.027043438941
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
0.02500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp. Agency REMIC/CMO
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Agency REMIC/CMO
3137FQKQ5
2022854.01000000
PA
USD
98763.62000000
0.012936183462
Long
ABS-MBS
USGA
US
N
2
2029-11-25
Fixed
0.00637900
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CT0
1083000.00000000
PA
USD
1214028.15000000
0.159014937652
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.04875000
N
N
N
N
N
N
Banco de Credito del Peru
549300EQYQ8SCQZ4BY14
Banco de Credito del Peru
05971U2C0
1938000.00000000
PA
USD
1930054.20000000
0.252800932399
Long
DBT
CORP
PE
N
2
2030-07-01
Fixed
0.03125000
N
N
N
N
N
N
Gartner Inc. Class A
PP55B5R38BFB8O8HH686
Gartner Inc. Class A
366651107
26162.00000000
NS
USD
6336436.40000000
0.829954428229
Long
EC
CORP
US
N
1
N
N
N
Amazon.com Inc.
ZXTILKJKG63JELOEG630
Amazon.com Inc.
023135BS4
654000.00000000
PA
USD
639862.78000000
0.083810033620
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
0.01500000
N
N
N
N
N
N
Meituan
21380033K525E5JLIA77
Meituan
58533EAC7
732000.00000000
PA
USD
725021.44000000
0.094964222269
Long
DBT
CORP
KY
N
2
2030-10-28
Fixed
0.03050000
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
Swedbank AB
N/A
2000000.00000000
PA
USD
2168750.00000000
0.284065609215
Long
DBT
CORP
SE
N
2
2169-03-17
Fixed
0.05625000
N
N
N
N
N
N
Republic of Chile
549300FLZTJM5YJF8D34
Republic of Chile
168863DN5
2000000.00000000
PA
USD
2049000.00000000
0.268380603242
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
0.02550000
N
N
N
N
N
N
Teck Resources Ltd.
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd.
878742BG9
1000000.00000000
PA
USD
1078956.01000000
0.141323018465
Long
DBT
CORP
CA
N
2
2030-07-15
Fixed
0.03900000
N
N
N
N
N
CSN Resources S.A.
222100ZEX458NMOXZP08
CSN Resources S.A.
12644VAB4
2960000.00000000
PA
USD
3080472.00000000
0.403484106214
Long
DBT
CORP
LU
N
2
2023-02-13
Fixed
0.07625000
N
N
N
N
N
N
Santos Finance Ltd.
213800BKUBSWG53XNS94
Santos Finance Ltd.
803014AA7
1000000.00000000
PA
USD
1024780.94000000
0.134227099496
Long
DBT
CORP
AU
N
2
2031-04-29
Fixed
0.03649000
N
N
N
N
N
N
Circuit of the Americas LLC Series D
N/A
Circuit of the Americas LLC Series D
172742AD0
3642397.19000000
PA
USD
637419.51000000
0.083490011035
Long
DBT
CORP
US
N
3
2023-10-02
Fixed
0.00000000
N
N
N
N
N
N
Canadian Natural Resources Ltd.
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd.
136385101
205974.00000000
NS
USD
7472736.72000000
0.978788476714
Long
EC
CORP
CA
N
1
N
N
N
British Airways Pass-Through Trust Series 2020-1A
N/A
British Airways Pass-Through Trust Series 2020-1A
11044MAA4
237072.81000000
PA
USD
255129.58000000
0.033417194038
Long
ABS-O
CORP
GB
N
2
2032-11-15
Fixed
0.04250000
N
N
N
N
N
N
China Mengniu Dairy Co. Ltd.
2549005Q343BSJ8RSS21
China Mengniu Dairy Co. Ltd.
N/A
863313.00000000
NS
5220373.42000000
0.683771092051
Long
EC
CORP
KY
N
1
N
N
N
Teck Resources Ltd. Class B
N/A
Teck Resources Ltd. Class B
N/A
1655.00000000
NC
USD
-45512.50000000
-0.00596128462
N/A
DE
CORP
XX
N
2
Citibank N.A.
N/A
Put
Written
security
Teck Resources Ltd. Class B
1655.00000000
19.00000000
USD
2021-08-20
XXXX
12412.50000000
N
N
N
Alphabet Inc. Class A
5493006MHB84DD0ZWV18
Alphabet Inc. Class A
02079K305
5796.00000000
NS
USD
14152614.84000000
1.853727334418
Long
EC
CORP
US
N
1
N
N
N
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
3140QEPU0
1041846.71490000
PA
USD
1107919.43000000
0.145116683732
Long
ABS-MBS
USGA
US
N
2
2050-08-01
Fixed
0.03000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 615 bps)
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 615 bps)
3137FCF58
1785213.58020000
PA
USD
296866.38000000
0.038883932721
Long
ABS-MBS
USGA
US
N
2
2047-11-15
Variable
0.06077100
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
1654000.00000000
PA
USD
1694432.08000000
0.221938850065
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
0.02193000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp. Agency REMIC/CMO
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Agency REMIC/CMO
3137FWG95
1795875.29000000
PA
USD
187739.01000000
0.024590292218
Long
ABS-MBS
USGA
US
N
2
2030-06-25
Fixed
0.01327800
N
N
N
N
N
N
Banco Santander S.A.
SCRYQ25DTVRHYYMM6P89
Banco Santander S.A.
05969BAD5
702000.00000000
PA
USD
797394.78000000
0.104443773586
Long
DBT
CORP
MX
N
2
2025-04-17
Fixed
0.05375000
N
N
N
N
N
N
Southwest Airlines Co.
UDTZ87G0STFETI6HGH41
Southwest Airlines Co.
844741BJ6
2042000.00000000
PA
USD
2331098.31000000
0.305330195537
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
0.05250000
N
N
N
N
N
N
Pinterest Inc. Class A
N/A
Pinterest Inc. Class A
72352L106
1318.00000000
NC
USD
1126890.00000000
0.147601472907
N/A
DE
CORP
US
N
1
N/A
N/A
Call
Purchased
security
Pinterest Inc. Class A
1318.00000000
75.00000000
USD
2021-08-20
XXXX
799980.27000000
N
N
N
Aptiv plc
N/A
Aptiv plc
N/A
45672.00000000
NS
USD
7185575.76000000
0.941175772140
Long
EC
CORP
JE
N
1
N
N
N
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
3140X9RC1
6081278.57000000
PA
USD
6531175.69000000
0.855461625948
Long
ABS-MBS
USGA
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps)
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps)
3136ATLC6
3752180.52000000
PA
USD
673038.38000000
0.088155415534
Long
ABS-MBS
USGA
US
N
2
2046-08-25
Variable
0.06008500
N
N
N
N
N
N
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust
549300TI38531ODB1G63
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust
00774MAP0
2657000.00000000
PA
USD
2850052.33000000
0.373303447339
Long
DBT
CORP
IE
N
2
2023-09-15
Fixed
0.04500000
N
N
N
N
N
N
Deutsche Bank AG
N/A
Deutsche Bank AG
251526CE7
2000000.00000000
PA
USD
2030819.80000000
0.265999337726
Long
DBT
CORP
DE
N
2
2026-11-24
Fixed
0.02129000
N
N
N
N
N
N
Ross Stores Inc.
549300ENZFLPGRDFZQ60
Ross Stores Inc.
778296AG8
1500000.00000000
PA
USD
1454277.12000000
0.190483050633
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
0.01875000
N
N
N
N
N
N
Fresenius Medical Care U.S. Finance III Inc.
5299006ZHLMXOOUVTU44
Fresenius Medical Care U.S. Finance III Inc.
35805BAC2
1500000.00000000
PA
USD
1501408.53000000
0.196656382135
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0.01875000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CN7
1101000.00000000
PA
USD
1145040.00000000
0.149978782790
Long
DBT
CORP
GB
N
2
2169-06-17
Fixed
0.04600000
N
N
N
N
N
N
Petroleos del Peru S.A.
549300ZMGDLC9JT2OR80
Petroleos del Peru S.A.
716564AB5
2000000.00000000
PA
USD
2134500.00000000
0.279579501035
Long
DBT
CORP
PE
N
2
2047-06-19
Fixed
0.05625000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
1500000.00000000
PA
USD
1470832.58000000
0.192651505656
Long
DBT
CORP
CH
N
2
2032-02-11
Fixed
0.02095000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAL4
1500000.00000000
PA
USD
1707000.00000000
0.223585012072
Long
DBT
NUSS
MX
N
2
2051-04-27
Fixed
0.05000000
N
N
N
N
N
N
Unilever plc
549300MKFYEKVRWML317
Unilever plc
N/A
104169.00000000
NS
6096014.10000000
0.798463612267
Long
EC
CORP
GB
N
1
N
N
N
Intesa Sanpaolo S.p.A.
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo S.p.A.
46115HBJ5
700000.00000000
PA
USD
745027.16000000
0.097584596697
Long
DBT
CORP
IT
N
2
2024-09-23
Fixed
0.03250000
N
N
N
N
N
N
Reliance Industries Ltd.
5493003UOETFYRONLG31
Reliance Industries Ltd.
N/A
23105.00000000
NS
462208.80000000
0.060540691346
Long
EC
CORP
IN
N
1
N
N
N
Anheuser-Busch InBev Worldwide Inc. (GTD by AB INBEV/BBR/COB)
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc. (GTD by AB INBEV/BBR/COB)
035240AT7
432000.00000000
PA
USD
526627.17000000
0.068978290663
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
0.04500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp. Agency REMIC/CMO
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Agency REMIC/CMO
31325UES1
3539672.88000000
PA
USD
560974.79000000
0.073477185233
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04500000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818108
43511.00000000
NS
USD
9569374.23000000
1.253408701075
Long
EC
CORP
US
N
1
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CY9
1083000.00000000
PA
USD
1283468.24000000
0.168110288186
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
0.05150000
N
N
N
N
N
N
Eli Lilly and Co.
FRDRIPF3EKNDJ2CQJL29
Eli Lilly and Co.
532457108
27452.00000000
NS
USD
6300783.04000000
0.825284506187
Long
EC
CORP
US
N
1
N
N
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AC5
1537000.00000000
PA
USD
1690871.64000000
0.221472499145
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
0.04345000
N
N
N
N
N
N
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P83
BNP Paribas S.A.
N/A
122186.00000000
NS
7659896.63000000
1.003302917685
Long
EC
CORP
FR
N
1
N
N
N
Merrill Lynch Mortgage Investors Trust Series 1998-C1 Class F
N/A
Merrill Lynch Mortgage Investors Trust Series 1998-C1 Class F
589929QP6
185237.15600000
PA
USD
188077.92000000
0.024634683077
Long
ABS-MBS
CORP
US
N
2
2026-11-15
Variable
0.06250000
N
N
N
N
N
N
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
3140XA3C4
4314371.99600000
PA
USD
4492780.94000000
0.588470111720
Long
ABS-MBS
USGA
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
Credit Agricole S.A.
969500TJ5KRTCJQWXH05
Credit Agricole S.A.
225313AJ4
2000000.00000000
PA
USD
2436722.00000000
0.319164919616
Long
DBT
CORP
FR
N
2
2169-03-23
Fixed
0.08125000
N
N
N
N
N
N
FEL Energy VI S.a.r.l.
N/A
FEL Energy VI S.a.r.l.
30260LAA3
1989234.04000000
PA
USD
2115600.13000000
0.277103972235
Long
DBT
CORP
LU
N
2
2040-12-01
Fixed
0.05750000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index)
N/A
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index)
302947AE6
2751000.00000000
PA
USD
2979782.24000000
0.390295634506
Long
ABS-MBS
USGA
US
N
2
2049-12-25
Variable
0.03535700
N
N
N
N
N
N
Canadian Pacific Railway Ltd.
N/A
Canadian Pacific Railway Ltd.
13645T100
112795.00000000
NS
USD
8675063.45000000
1.136270747623
Long
EC
CORP
CA
N
1
N
N
N
Federal National Mortgage Association Agency REMIC/CMO
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO
31395QSV3
1771969.22000000
PA
USD
260823.68000000
0.034163014435
Long
ABS-MBS
USGA
US
N
2
2040-10-25
Fixed
0.04500000
N
N
N
N
N
N
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps)
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps)
3136AM2E8
1550441.41800000
PA
USD
357316.12000000
0.046801715877
Long
ABS-MBS
USGA
US
N
2
2045-04-25
Variable
0.06028500
N
N
N
N
N
N
Meituan
21380033K525E5JLIA77
Meituan
58533EAB9
2439000.00000000
PA
USD
2421752.54000000
0.317204200873
Long
DBT
CORP
KY
N
2
2025-10-28
Fixed
0.02125000
N
N
N
N
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P83
BNP Paribas S.A.
05581KAC5
3610000.00000000
PA
USD
4076241.86000000
0.533911297877
Long
DBT
CORP
FR
N
2
2027-03-13
Fixed
0.04625000
N
N
N
N
N
N
Largan Precision Co. Ltd.
N/A
Largan Precision Co. Ltd.
N/A
60776.00000000
NS
6761977.57000000
0.885692347170
Long
EC
CORP
TW
N
1
N
N
N
AIA Group Ltd.
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd.
00131LAK1
1098000.00000000
PA
USD
1138073.85000000
0.149066347680
Long
DBT
CORP
HK
N
2
2040-09-16
Fixed
0.03200000
N
N
N
N
N
N
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
3140X84A2
3557291.92600000
PA
USD
3597027.41000000
0.471143185054
Long
ABS-MBS
USGA
US
N
2
2050-12-01
Fixed
0.02000000
N
N
N
N
N
N
Deutsche Telekom AG Registered Shares
549300V9QSIG4WX4GJ96
Deutsche Telekom AG Registered Shares
N/A
376273.00000000
NS
7947085.65000000
1.040919297593
Long
EC
CORP
DE
N
1
N
N
N
Volkswagen AG
N/A
Volkswagen AG
N/A
260.00000000
NC
-73528.19000000
-0.00963081502
N/A
DE
CORP
XX
N
2
Morgan Stanley & Co. Inc.
N/A
Put
Written
security
Volkswagen AG 2.260%
260.00000000
180.00000000
EUR
2021-09-17
XXXX
94638.01000000
N
N
N
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
3140XANA6
2844241.32000000
PA
USD
2978878.80000000
0.390177300796
Long
ABS-MBS
USGA
US
N
2
2036-04-01
Fixed
0.02500000
N
N
N
N
N
N
PVH Corp.
123WALMHY1GZXG2YDL90
PVH Corp.
693656AC4
2000000.00000000
PA
USD
2233544.52000000
0.292552477133
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
0.04625000
N
N
N
N
N
N
UniCredit S.p.A.
549300TRUWO2CD2G5692
UniCredit S.p.A.
904678AF6
3047000.00000000
PA
USD
3368275.68000000
0.441180995064
Long
DBT
CORP
IT
N
2
2032-06-19
Fixed
0.05861000
N
N
N
N
N
N
ORIX Corp.
35380016EMHNBOVYE123
ORIX Corp.
N/A
539897.00000000
NS
9109653.24000000
1.193193866219
Long
EC
CORP
JP
N
1
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325DS1
327000.00000000
PA
USD
320554.83000000
0.041986675767
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
0.03125000
N
N
N
N
N
N
HSBC Holdings plc
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280AS8
2000000.00000000
PA
USD
2214700.00000000
0.290084198146
Long
DBT
CORP
GB
N
2
2169-03-17
Fixed
0.06375000
N
N
N
N
N
N
Sarepta Therapeutics Inc.
549300IKDPIED8J8IG21
Sarepta Therapeutics Inc.
803607100
32780.00000000
NS
USD
2548317.20000000
0.333781799604
Long
EC
CORP
US
N
1
N
N
N
Australia and New Zealand Banking Group Ltd.
JHE42UYNWWTJB8YTTU19
Australia and New Zealand Banking Group Ltd.
052528AM8
1881000.00000000
PA
USD
1829517.03000000
0.239632447122
Long
DBT
CORP
AU
N
2
2035-11-25
Fixed
0.02570000
N
N
N
N
N
N
Macquarie Bank Ltd.
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
556079AC5
436000.00000000
PA
USD
461675.33000000
0.060470816772
Long
DBT
CORP
AU
N
2
2030-06-03
Fixed
0.03624000
N
N
N
N
N
N
U.S. Treasury Bonds
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SS8
5000000.00000000
PA
USD
4492187.50000000
0.588392382201
Long
DBT
UST
US
N
2
2050-11-15
Fixed
0.01625000
N
N
N
N
N
N
Airport Authority Hong Kong
254900748HGC4RBR4O84
Airport Authority Hong Kong
00946AAA2
2000000.00000000
PA
USD
1945255.34000000
0.254791996881
Long
DBT
CORP
HK
N
2
2031-02-04
Fixed
0.01625000
N
N
N
N
N
N
Microsoft Corp.
INR2EJN1ERAN0W5ZP974
Microsoft Corp.
594918104
76061.00000000
NS
USD
20604924.90000000
2.698859040720
Long
EC
CORP
US
N
1
N
N
N
Banco de Credito del Peru
549300EQYQ8SCQZ4BY14
Banco de Credito del Peru
05971U2D8
2000000.00000000
PA
USD
1985450.00000000
0.260056744123
Long
DBT
CORP
PE
N
2
2031-09-30
Fixed
0.03250000
N
N
N
N
N
N
Thermo Fisher Scientific Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc.
883556102
137.00000000
NC
USD
91105.00000000
0.011933047759
N/A
DE
CORP
US
N
1
N/A
N/A
Call
Purchased
security
Thermo Fisher Scientific Inc.
137.00000000
510.00000000
USD
2021-07-16
XXXX
-30555.75000000
N
N
N
State Street Institutional U.S. Government Money Market Fund - Premier Class
N/A
State Street Institutional U.S. Government Money Market Fund - Premier Class
N/A
13168610.61000000
NS
USD
13168610.61000000
1.724841219805
Long
STIV
RF
US
N
1
N
N
N
Federal National Mortgage Association Agency REMIC/CMO
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO
3136AWFK8
1539030.92340000
PA
USD
239675.13000000
0.031392950693
Long
ABS-MBS
USGA
US
N
2
2047-05-25
Fixed
0.04500000
N
N
N
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING Groep N.V.
N/A
2681000.00000000
PA
USD
2792441.13000000
0.365757459731
Long
DBT
CORP
NL
N
2
2049-12-29
Fixed
0.06875000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617446448
86799.00000000
NS
USD
7958600.31000000
1.042427502277
Long
EC
CORP
US
N
1
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
N/A
3000000.00000000
PA
USD
3178275.00000000
0.416294466457
Long
DBT
CORP
SE
N
2
2169-03-01
Fixed
0.04750000
N
N
N
N
N
N
Credit Agricole S.A.
N/A
Credit Agricole S.A.
22535WAG2
2657000.00000000
PA
USD
2710337.39000000
0.355003408355
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
0.01907000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB Bank ASA
23329PAG5
1500000.00000000
PA
USD
1503321.50000000
0.196906945357
Long
DBT
CORP
US
N
2
2027-05-25
Fixed
0.01535000
N
N
N
N
N
N
United Airlines Pass-Through Certificates Series 2020-1B
N/A
United Airlines Pass-Through Certificates Series 2020-1B
90932VAA3
1941000.00000000
PA
USD
2058196.22000000
0.269585135732
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
0.04875000
N
N
N
N
N
N
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
3140X9JK2
6525823.29400000
PA
USD
6897418.09000000
0.903432517234
Long
ABS-MBS
USGA
US
N
2
2048-08-01
Fixed
0.03500000
N
N
N
N
N
N
Verizon Communications Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications Inc.
92343VFL3
3000000.00000000
PA
USD
2870250.78000000
0.375949065785
Long
DBT
CORP
US
N
2
2030-09-18
Fixed
0.01500000
N
N
N
N
N
N
Aircastle Ltd.
549300PNK8AKY3OIKP58
Aircastle Ltd.
00928QAT8
1466000.00000000
PA
USD
1647684.00000000
0.215815727610
Long
DBT
CORP
BM
N
2
2025-08-11
Fixed
0.05250000
N
N
N
N
N
N
Valero Energy Corp.
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YBB5
2102000.00000000
PA
USD
2137742.79000000
0.280004245758
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
0.02150000
N
N
N
N
N
N
Leidos Inc. (GTD by Leidos Holdings Inc.)
5493006I78VIN6J1BQ95
Leidos Inc. (GTD by Leidos Holdings Inc.)
52532XAD7
326000.00000000
PA
USD
355894.20000000
0.046615471003
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.03625000
N
N
N
N
N
N
Genting New York LLC and Genny Capital Inc.
N/A
Genting New York LLC and Genny Capital Inc.
37255JAA0
1250000.00000000
PA
USD
1264468.08000000
0.165621623275
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.03300000
N
N
N
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG
N/A
260.00000000
NC
86630.70000000
0.011346998304
N/A
DE
CORP
DE
N
2
Morgan Stanley & Co. Inc.
N/A
Call
Purchased
security
Volkswagen AG 2.260%
260.00000000
240.00000000
EUR
2021-09-17
XXXX
-202866.33000000
N
N
N
Larsen & Toubro Ltd.
3358003FR3JIC5FRXA90
Larsen & Toubro Ltd.
N/A
290909.00000000
NS
5872776.81000000
0.769223710580
Long
EC
CORP
IN
N
1
N
N
N
Orbia Advance Corp. S.A.B. de C.V.
549300MVHZ20SBIOEQ79
Orbia Advance Corp. S.A.B. de C.V.
68560EAA6
1600000.00000000
PA
USD
1622584.00000000
0.212528097965
Long
DBT
CORP
US
N
2
2026-05-11
Fixed
0.01875000
N
N
N
N
N
N
Vinci
213800WFQ334R8UXUG83
Vinci
N/A
59772.00000000
NS
6377995.23000000
0.835397856177
Long
EC
CORP
FR
N
1
N
N
N
PayPal Holdings Inc.
5493005X2GO78EFZ3E94
PayPal Holdings Inc.
70450YAH6
2000000.00000000
PA
USD
2071587.50000000
0.271339142469
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.02300000
N
N
N
N
N
N
Harvest Operations Corp.
B1EEF6ML54YDWRC6ZK53
Harvest Operations Corp.
41754WAT8
1000000.00000000
PA
USD
1000846.23000000
0.131092101005
Long
DBT
CORP
CA
N
2
2024-04-26
Fixed
0.01000000
N
N
N
N
N
N
UniCredit S.p.A.
549300TRUWO2CD2G5692
UniCredit S.p.A.
904678AU3
2200000.00000000
PA
USD
2231668.54000000
0.292306758908
Long
DBT
CORP
IT
N
2
2026-09-22
Fixed
0.02569000
N
N
N
N
N
N
Gold
N/A
Gold
N/A
20678.61000000
OU
USD
36601346.49000000
4.794090507802
Long
XX
N
1
N
N
N
Ingersoll-Rand Inc.
5299004C02FMZCUOIR50
Ingersoll-Rand Inc.
45687V106
216229.00000000
NS
USD
10554137.49000000
1.382394234394
Long
EC
CORP
US
N
1
N
N
N
VeriSign Inc.
LMPL4N8ZOJRMF0KOF759
VeriSign Inc.
92343E102
18474.00000000
NS
USD
4206345.06000000
0.550952379038
Long
EC
CORP
US
N
1
N
N
N
Pinterest Inc. Class A
N/A
Pinterest Inc. Class A
N/A
1318.00000000
NC
USD
-115325.00000000
-0.01510541389
N/A
DE
CORP
XX
N
1
N/A
N/A
Put
Written
security
Pinterest Inc. Class A
1318.00000000
60.00000000
USD
2021-08-20
XXXX
546261.87000000
N
N
N
Nestle S.A. Registered Shares
KY37LUS27QQX7BB93L28
Nestle S.A. Registered Shares
N/A
47044.00000000
NS
5858319.03000000
0.767330012328
Long
EC
CORP
CH
N
1
N
N
N
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates
3133ACEZ7
1883636.01630000
PA
USD
1848213.24000000
0.242081300279
Long
ABS-MBS
USGA
US
N
2
2050-11-01
Fixed
0.01500000
N
N
N
N
N
N
Teck Resources Ltd. Class B
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd. Class B
878742204
1655.00000000
NC
USD
135710.00000000
0.017775466894
N/A
DE
CORP
CA
N
2
Citibank N.A.
N/A
Call
Purchased
security
Teck Resources Ltd. Class B
1655.00000000
25.00000000
USD
2021-08-20
XXXX
-208530.00000000
N
N
N
Adobe Inc.
FU4LY2G4933NH2E1CP29
Adobe Inc.
00724F101
17113.00000000
NS
USD
10022057.32000000
1.312701702916
Long
EC
CORP
US
N
1
N
N
N
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Fixed Rate Pass-Through Certificates
3140L0VU8
2801015.71200000
PA
USD
2842495.28000000
0.372313615403
Long
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.02000000
N
N
N
N
N
N
Virginia Electric and Power Co. Series A
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co. Series A
927804GD0
2500000.00000000
PA
USD
2308580.05000000
0.302380725453
Long
DBT
CORP
US
N
2
2050-12-15
Fixed
0.02450000
N
N
N
N
N
N
Anheuser-Busch InBev Worldwide Inc. (GTD by AB INBEV/BBR/COB)
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc. (GTD by AB INBEV/BBR/COB)
035240AV2
860000.00000000
PA
USD
957521.25000000
0.125417340504
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.03500000
N
N
N
N
N
N
BRF GmbH
9695005MSX1OYEMGDF46
BRF GmbH
05583JAJ1
2000000.00000000
PA
USD
1964523.02000000
0.257315701899
Long
DBT
CORP
FR
N
2
2032-01-20
Fixed
0.02277000
N
N
N
N
N
N
ASML Holding N.V. Ordinary Shares
724500Y6DUVHQD6OXN27
ASML Holding N.V. Ordinary Shares
N/A
12035.00000000
NS
8268309.72000000
1.082993631260
Long
EC
CORP
NL
N
1
N
N
N
Williams Partners L.P.
D71FAKCBLFS2O0RBPG08
Williams Partners L.P.
96949LAC9
1500000.00000000
PA
USD
1873563.12000000
0.245401659521
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
0.05100000
N
N
N
N
N
N
Altria Group Inc. (GTD by Philip Morris USA Inc.)
XSGZFLO9YTNO9VCQV219
Altria Group Inc. (GTD by Philip Morris USA Inc.)
02209SBN2
3000000.00000000
PA
USD
2850652.47000000
0.373382054433
Long
DBT
CORP
US
N
2
2051-02-04
Fixed
0.03700000
N
N
N
N
N
N
Koninklijke Philips Electronics N.V. Ordinary Shares
H1FJE8H61JGM1JSGM897
Koninklijke Philips Electronics N.V. Ordinary Shares
N/A
121456.00000000
NS
6018433.91000000
0.788302061172
Long
EC
CORP
NL
N
1
N
Nissan Motor Co. Ltd.
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AD3
1098000.00000000
PA
USD
1240775.02000000
0.162518276406
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
0.04810000
N
N
N
N
N
N
Raytheon Technologies Corp.
YR6K3WJN0KKLUPZSNL57
Raytheon Technologies Corp.
75513E101
69056.00000000
NS
USD
5891167.36000000
0.771632528004
Long
EC
CORP
US
N
1
N
N
N
Waste Management Inc.
549300YX8JIID70NFS41
Waste Management Inc.
94106L109
38195.00000000
NS
USD
5351501.45000000
0.700946406738
Long
EC
CORP
US
N
1
N
N
N
E.ON AG
Q9MAIUP40P25UFBFG033
E.ON AG
N/A
622478.00000000
NS
7199443.18000000
0.942992144295
Long
EC
CORP
DE
N
1
N
N
N
Housing Development Finance Corp. Ltd.
335800OX2H9AP7NHLT64
Housing Development Finance Corp. Ltd.
N/A
198222.00000000
NS
6600955.27000000
0.864601443309
Long
EC
CORP
IN
N
1
N
N
N
Barrick Gold Corp.
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp.
067901108
155618.00000000
NS
USD
3218180.24000000
0.421521305102
Long
EC
CORP
CA
N
1
N
N
N
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 562 bps)
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 562 bps)
3136ANA23
3122912.19450000
PA
USD
609299.53000000
0.079806820603
Long
ABS-MBS
USGA
US
N
2
2045-06-25
Variable
0.05528500
N
N
N
N
N
N
U.S. Treasury Notes
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBL4
1900000.00000000
PA
USD
1844781.25000000
0.241631773902
Long
DBT
UST
US
N
2
2031-02-15
Fixed
0.01125000
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AX6
659000.00000000
PA
USD
667036.19000000
0.087369241121
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.01625000
N
N
N
N
N
N
Intesa Sanpaolo S.p.A.
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo S.p.A.
46115HBB2
2351000.00000000
PA
USD
2557859.81000000
0.335031702693
Long
DBT
CORP
IT
N
2
2027-07-14
Fixed
0.03875000
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AY4
1537000.00000000
PA
USD
1534787.37000000
0.201028384680
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
0.02500000
N
N
N
N
N
N
Alimentation Couche-Tard Inc.
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc.
01626PAM8
3000000.00000000
PA
USD
3118133.40000000
0.408417043867
Long
DBT
CORP
CA
N
2
2030-01-25
Fixed
0.02950000
N
N
N
N
N
N
Intuit Inc.
VI90HBPH7XSFMB9E4M29
Intuit Inc.
461202103
23333.00000000
NS
USD
11437136.61000000
1.498050572358
Long
EC
CORP
US
N
1
N
N
N
Amazon.com Inc.
ZXTILKJKG63JELOEG630
Amazon.com Inc.
023135106
3289.00000000
NS
USD
11314686.24000000
1.482011868518
Long
EC
CORP
US
N
1
N
N
N
Caterpillar Inc.
WRJR7GS4GTRECRRTVX92
Caterpillar Inc.
149123101
14579.00000000
NS
USD
3172827.77000000
0.415580981404
Long
EC
CORP
US
N
1
N
N
N
LSEGA Financing plc
2138009YFYTGEHZNNZ09
LSEGA Financing plc
50220PAB9
2000000.00000000
PA
USD
2004675.96000000
0.262574984602
Long
DBT
CORP
GB
N
2
2026-04-06
Fixed
0.01375000
N
N
N
N
N
N
VF Corp.
CWAJJ9DJ5Z7P057HV541
VF Corp.
918204BB3
500000.00000000
PA
USD
534447.78000000
0.070002644020
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
0.02800000
N
N
N
N
N
N
First Republic Bank
YWC0TIKBQM2JV8L4IV08
First Republic Bank
33616C100
43534.00000000
NS
USD
8148258.78000000
1.067269207786
Long
EC
CORP
US
N
1
N
N
N
U.S. Treasury Bonds
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RY6
3710000.00000000
PA
USD
4221284.38000000
0.552909150006
Long
DBT
UST
US
N
2
2047-08-15
Fixed
0.02750000
N
N
N
N
N
N
Pinterest Inc. Class A
N/A
Pinterest Inc. Class A
72352L106
1318.00000000
NC
USD
-170022.00000000
-0.02226969591
N/A
DE
CORP
US
N
1
N/A
N/A
Call
Written
security
Pinterest Inc. Class A
1318.00000000
100.00000000
USD
2021-08-20
XXXX
-125255.97000000
N
N
N
AbbVie Inc.
FR5LCKFTG8054YNNRU85
AbbVie Inc.
00287YBX6
2000000.00000000
PA
USD
2173762.56000000
0.284722160644
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
0.03200000
N
N
N
N
N
N
Wal-Mart Stores Inc.
Y87794H0US1R65VBXU25
Wal-Mart Stores Inc.
931142103
44084.00000000
NS
USD
6216725.68000000
0.814274567200
Long
EC
CORP
US
N
1
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746TD3
1500000.00000000
PA
USD
1553887.50000000
0.203530143787
Long
DBT
CORP
US
N
2
2169-03-15
Fixed
0.03900000
N
N
N
N
N
N
U.S. Treasury Bonds
254900HROIFWPRGM1V77
U.S. Treasury Bonds
91282CAV3
2100000.00000000
PA
USD
1997296.88000000
0.261608463401
Long
DBT
UST
US
N
2
2030-11-15
Fixed
0.00875000
N
N
N
N
N
Verizon Communications Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications Inc.
92343VGH1
650000.00000000
PA
USD
664069.51000000
0.086980661634
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
0.02100000
N
N
N
N
N
N
Merck KGaA
529900OAREIS0MOPTW25
Merck KGaA
N/A
50210.00000000
NS
9627031.48000000
1.260960720371
Long
EC
CORP
DE
N
1
N
N
N
Saudi Arabian Oil Co.
5586006WD91QHB7J4X50
Saudi Arabian Oil Co.
80414L2K0
1210000.00000000
PA
USD
1189871.65000000
0.155850888828
Long
DBT
CORP
SA
N
2
2030-11-24
Fixed
0.02250000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DM9
2000000.00000000
PA
USD
1963101.22000000
0.257129472743
Long
DBT
CORP
US
N
2
2027-08-21
Fixed
0.01300000
N
N
N
N
Government National Mortgage Association Fixed Rate Pass-Through Certificates
N/A
Government National Mortgage Association Fixed Rate Pass-Through Certificates
36179VN48
7276448.30000000
PA
USD
7659583.72000000
1.003261932339
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
0.03500000
N
N
N
N
N
N
adidas AG
549300JSX0Z4CW0V5023
adidas AG
N/A
22778.00000000
NS
8478110.16000000
1.110473557394
Long
EC
CORP
DE
N
1
N
N
N
Alibaba Group Holding Ltd.
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd.
01609WAX0
2000000.00000000
PA
USD
1968024.96000000
0.257774390415
Long
DBT
CORP
CN
N
2
2031-02-09
Fixed
0.02125000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468X0
2500000.00000000
PA
USD
2432478.38000000
0.318609084919
Long
DBT
CORP
US
N
2
2032-04-28
Fixed
0.01928000
N
N
N
N
N
N
Saudi Arabian Oil Co.
5586006WD91QHB7J4X50
Saudi Arabian Oil Co.
80414L2H7
940000.00000000
PA
USD
950334.36000000
0.124475992591
Long
DBT
CORP
SA
N
2
2025-11-24
Fixed
0.01625000
N
N
N
N
N
N
Thermo Fisher Scientific Inc.
N/A
Thermo Fisher Scientific Inc.
N/A
84.00000000
NC
USD
-5250.00000000
-0.00068765161
N/A
DE
CORP
XX
N
1
N/A
N/A
Put
Written
security
Thermo Fisher Scientific Inc.
84.00000000
440.00000000
USD
2021-07-16
XXXX
57494.76000000
N
N
N
Reliance Industries Ltd.
5493003UOETFYRONLG31
Reliance Industries Ltd.
N/A
337853.00000000
NS
9593561.61000000
1.256576794602
Long
EC
CORP
IN
N
1
N
N
N
GlaxoSmithKline plc
5493000HZTVUYLO1D793
GlaxoSmithKline plc
N/A
283118.00000000
NS
5558889.61000000
0.728110369396
Long
EC
CORP
GB
N
1
N
N
N
NRG Energy Inc.
5E2UPK5SW04M13XY7I38
NRG Energy Inc.
629377CP5
110000.00000000
PA
USD
110829.16000000
0.014516543102
Long
DBT
CORP
US
N
2
2027-12-02
Fixed
0.02450000
N
N
N
N
N
N
Banco Santander S.A.
5493006QMFDDMYWIAM13
Banco Santander S.A.
05964HAL9
2000000.00000000
PA
USD
2022362.46000000
0.264891584670
Long
DBT
CORP
ES
N
2
2026-03-25
Fixed
0.01849000
N
N
N
N
N
N
Procter & Gamble Co. (The)
2572IBTT8CCZW6AU4141
Procter & Gamble Co. (The)
742718109
47334.00000000
NS
USD
6386776.62000000
0.836548053710
Long
EC
CORP
US
N
1
N
N
N
Apple Inc.
HWUPKR0MPOU8FGXBT394
Apple Inc.
037833100
76078.00000000
NS
USD
10419642.88000000
1.364777960814
Long
EC
CORP
US
N
1
N
N
N
Galaxy Pipeline Assets BidCo Ltd.
549300L82YB0C6JQIC26
Galaxy Pipeline Assets BidCo Ltd.
36321PAB6
1500000.00000000
PA
USD
1475244.26000000
0.193229353064
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
0.02625000
N
N
N
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG
N/A
260.00000000
NC
-12485.92000000
-0.00163542154
N/A
DE
CORP
DE
N
2
Morgan Stanley & Co. Inc.
N/A
Call
Written
security
Volkswagen AG 2.260%
260.00000000
300.00000000
EUR
2021-09-17
XXXX
55545.95000000
N
N
N
Micron Technology Inc.
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc.
595112103
790.00000000
NC
USD
314025.00000000
0.041131390401
N/A
DE
CORP
US
N
1
N/A
N/A
Call
Purchased
security
Micron Technology Inc.
790.00000000
87.50000000
USD
2021-08-20
XXXX
69239.79000000
N
N
N
Zimmer Holdings Inc.
2P2YLDVPES3BXQ1FRB91
Zimmer Holdings Inc.
98956P102
45856.00000000
NS
USD
7374561.92000000
0.965929417638
Long
EC
CORP
US
N
1
N
N
N
Apple Inc.
HWUPKR0MPOU8FGXBT394
Apple Inc.
037833DZ0
878000.00000000
PA
USD
824962.08000000
0.108054573295
Long
DBT
CORP
US
N
2
2050-08-20
Fixed
0.02400000
N
N
N
N
N
N
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares
N/A
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares
N/A
4322071.87000000
NS
USD
4322071.87000000
0.566110422513
Long
STIV
RF
XX
N
1
N
N
N
Ping An Insurance (Group) Co. of China Ltd. H Shares
529900M9MC28JLN35U89
Ping An Insurance (Group) Co. of China Ltd. H Shares
N/A
679850.00000000
NS
6659015.30000000
0.872206219237
Long
EC
CORP
CN
N
1
N
N
N
Federal National Mortgage Association Agency REMIC/CMO
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO
3136B4GV4
1244691.31960000
PA
USD
201359.19000000
0.026374280566
Long
ABS-MBS
USGA
US
N
2
2049-03-25
Fixed
0.05000000
N
N
N
N
N
N
Expedia Group Inc.
N/A
Expedia Group Inc.
30212PAP0
1000000.00000000
PA
USD
1088240.27000000
0.142539082545
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.03800000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325DZ5
1500000.00000000
PA
USD
1472940.00000000
0.192927538184
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
0.03250000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAP6
2500000.00000000
PA
USD
2475120.00000000
0.324194338066
Long
DBT
CORP
KY
N
2
2028-02-21
Fixed
0.02750000
N
N
N
N
N
N
Seagate Technology
396PBGKP6TE3O062MS44
Seagate Technology
N/A
78651.00000000
NS
USD
6915782.43000000
0.905837901639
Long
EC
CORP
IE
N
1
N
N
N
Taiwan Semiconductor Manufacturing Co. Ltd.
549300N2ZLI21P85T117
Taiwan Semiconductor Manufacturing Co. Ltd.
872882AG0
1318000.00000000
PA
USD
1245681.37000000
0.163160916314
Long
DBT
CORP
VG
N
2
2030-09-28
Fixed
0.01375000
N
N
N
N
N
N
AT&T Inc.
549300Z40J86GGSTL398
AT&T Inc.
00206RKH4
1500000.00000000
PA
USD
1473828.30000000
0.193043888838
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
0.02250000
N
N
N
N
N
N
Federal National Mortgage Association Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index)
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index)
3136AVKR9
1970466.52000000
PA
USD
2136475.17000000
0.279838211292
Long
ABS-MBS
USGA
US
N
2
2027-02-25
Variable
0.02797100
N
N
N
N
N
N
Media Group Holdings LLC Series H
N/A
Media Group Holdings LLC Series H
N/A
31963.00000000
NS
USD
0.03000000
0.000000003929
Long
EC
CORP
XX
Y
3
N
N
N
Phillips 66
5493005JBO5YSIGK1814
Phillips 66
718546104
39689.00000000
NS
USD
3406109.98000000
0.446136579377
Long
EC
CORP
US
N
1
N
N
N
Chile Electricity PEC S.p.A.
N/A
Chile Electricity PEC S.p.A.
168831AA3
1000000.00000000
PA
USD
817535.00000000
0.107081764993
Long
DBT
CORP
CL
N
2
2028-01-25
Fixed
0.00000000
N
N
N
N
N
N
Fiserv Inc.
GI7UBEJLXYLGR2C7GV83
Fiserv Inc.
337738108
78823.00000000
NS
USD
8425390.47000000
1.103568265932
Long
EC
CORP
US
N
1
N
N
N
Genmab A.S.
529900MTJPDPE4MHJ122
Genmab A.S.
N/A
15319.00000000
NS
6268057.25000000
0.820998040954
Long
EC
CORP
DK
N
1
N
N
N
7-Eleven Inc.
549300K23JPL0SS3LB18
7-Eleven Inc.
817826AD2
2000000.00000000
PA
USD
1933398.12000000
0.253238923257
Long
DBT
CORP
US
N
2
2028-02-10
Fixed
0.01300000
N
N
N
N
N
N
Africa Finance Corp.
213800LXFHRRXIJRXW97
Africa Finance Corp.
00830YAD3
1000000.00000000
PA
USD
1005810.00000000
0.131742261858
Long
DBT
CORP
NG
N
2
2028-04-28
Fixed
0.02875000
N
N
N
N
N
N
GENM Capital Labuan Ltd.
254900DWSHIWTSE0YG58
GENM Capital Labuan Ltd.
37231BAA6
2000000.00000000
PA
USD
1996559.92000000
0.261511935451
Long
DBT
CORP
MY
N
2
2031-04-19
Fixed
0.03882000
N
N
N
N
N
N
Dollar General Corp.
OPX52SQVOZI8IVSWYU66
Dollar General Corp.
256677AG0
2000000.00000000
PA
USD
2199361.84000000
0.288075186612
Long
DBT
CORP
US
N
2
2030-04-03
Fixed
0.03500000
N
N
N
N
N
N
Societe Generale S.A.
O2RNE8IBXP4R0TD8PU41
Societe Generale S.A.
83368RAY8
1532000.00000000
PA
USD
1591518.20000000
0.208459060316
Long
DBT
CORP
FR
N
2
2035-07-08
Fixed
0.03653000
N
N
N
N
N
N
Media Group Holdings LLC Series T
N/A
Media Group Holdings LLC Series T
N/A
4006.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
XX
Y
3
N
N
N
Galaxy Pipeline Assets BidCo Ltd.
549300L82YB0C6JQIC26
Galaxy Pipeline Assets BidCo Ltd.
36321PAD2
2000000.00000000
PA
USD
1968617.56000000
0.257852009910
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
0.02160000
N
N
N
N
N
N
Volkswagen AG 2.260%
529900NNUPAGGOMPXZ31
Volkswagen AG 2.260%
N/A
25840.00000000
NS
6471106.90000000
0.847593740103
Long
EP
CORP
DE
N
1
N
N
N
Teck Resources Ltd. Class B
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd. Class B
878742204
1655.00000000
NC
USD
-21515.00000000
-0.00281806182
N/A
DE
CORP
CA
N
2
Citibank N.A.
N/A
Call
Written
security
Teck Resources Ltd. Class B
1655.00000000
33.00000000
USD
2021-08-20
XXXX
19860.00000000
N
N
N
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps)
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps)
3136ARK49
3612874.91000000
PA
USD
641993.78000000
0.084089154687
Long
ABS-MBS
USGA
US
N
2
2046-04-25
Variable
0.06008500
N
N
N
N
N
N
Samsung Electronics Co. Ltd.
9884007ER46L6N7EI764
Samsung Electronics Co. Ltd.
N/A
133764.00000000
NS
9585539.05000000
1.255525989578
Long
EC
CORP
KR
N
1
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
Prosus N.V.
74365PAE8
2500000.00000000
PA
USD
2335667.18000000
0.305928631890
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
0.03832000
N
N
N
N
N
N
Pacific Gas and Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co.
694308JW8
1154000.00000000
PA
USD
1160960.85000000
0.152064115795
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.03000000
N
N
N
N
N
N
VMware Inc.
549300BUDHS3LRWBE814
VMware Inc.
928563AC9
500000.00000000
PA
USD
556083.82000000
0.072836559817
Long
DBT
CORP
US
N
2
2027-08-21
Fixed
0.03900000
N
N
N
N
N
N
Teck Resources Ltd. Class B
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd. Class B
878742204
107008.00000000
NS
USD
2465464.32000000
0.322929624926
Long
EC
CORP
CA
N
1
N
N
N
Subaru Corp.
549300N244BVAEE6HH86
Subaru Corp.
N/A
148731.00000000
NS
2933921.30000000
0.384288710766
Long
EC
CORP
JP
N
1
N
N
N
2021-07-30
Ivy Variable Insurance Portfolios
Joseph W. Kauten
Joseph W. Kauten
Treasurer, Vice President