SOLD ILS/BOUGHT USD

NPORT-P false 0001479359 XXXXXXXX S000028118 C000085710 C000085712 PIMCO Equity Series VIT 811-22376 0001479359 549300HBZFDDIZWKX522 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Global Portfolio S000028118 549300NSJTG65C45IN82 2022-12-31 2022-03-31 N 266970316.130000 42184028.980000 224786287.150000 0.000000 0.000000 20876658.610000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1962393.790000 USD EUR ILS GBP N N/A N/A SOLD ILS/BOUGHT USD 000000000 1.000000 NC -24477.140000 -0.0108891 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3100000.000000 ILS 946998.630000 USD 2022-04-06 -24477.140000 N N N N/A N/A SOLD ILS/BOUGHT USD 000000000 1.000000 NC -2123.170000 -0.0009445 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 399992.000000 ILS 123450.510000 USD 2022-06-08 -2123.170000 N N N N/A N/A SOLD ILS/BOUGHT USD 000000000 1.000000 NC -2598.960000 -0.0011562 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 499950.000000 ILS 154355.580000 USD 2022-06-08 -2598.960000 N N N N/A N/A SOLD ILS/BOUGHT USD 000000000 1.000000 NC -12016.760000 -0.0053459 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4600230.000000 ILS 1435844.370000 USD 2022-08-03 -12016.760000 N N N N/A N/A SOLD ILS/BOUGHT USD 000000000 1.000000 NC -6603.910000 -0.0029379 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2500125.000000 ILS 780277.140000 USD 2022-08-03 -6603.910000 N N N N/A N/A SOLD ILS/BOUGHT USD 000000000 1.000000 NC 794.190000 0.0003533 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 200100.000000 ILS 63962.410000 USD 2022-10-07 794.190000 N N N N/A N/A SOLD ILS/BOUGHT USD 000000000 1.000000 NC -261.320000 -0.0001163 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 999900.000000 ILS 316885.340000 USD 2023-01-04 -261.320000 N N N N/A N/A SOLD ILS/BOUGHT USD 000000000 1.000000 NC 32.190000 0.0000143 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 399920.000000 ILS 126878.170000 USD 2023-01-04 32.190000 N N N N/A N/A SOLD MXN/BOUGHT USD 000000000 1.000000 NC -40291.870000 -0.0179245 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9893000.000000 MXN 455881.810000 USD 2022-04-18 -40291.870000 N N N AVANT LOANS FUNDING TRUST 2021-REV1 N/A AVANT LOANS FUNDING TRUST AVNT 2021 REV1 A 144A 05353LAA3 700000.000000 PA USD 677038.600000 0.3011921 Long ABS-O CORP US N 2 2030-07-15 Fixed 1.21 N N N N N N N/A N/A FORD MOTOR COMPANY SNR S* ICE 000000000 1.000000 NC USD 2103.610000 0.0009358 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 FORD MOTOR COMPANY FORD MOTOR COMPANY SR UNSEC Y Single Leg Swap 2022-06-22 7224.200000 USD 0.000000 USD 200000.000000 USD -5120.590000 N N N N/A N/A GENERAL MOTORS COMPANY SNR S* ICE 000000000 1.000000 NC USD 102791.900000 0.0457287 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-22 129395.250000 USD 0.000000 USD 700000.000000 USD -26603.350000 N N N N/A N/A EURO-BUND FUTURE JUN22 XEUR 20220608 000000000 1.000000 NC -10112.180000 -0.0044986 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2022-06-08 175517.590000 EUR -10112.180000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 45916.040000 0.0204265 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 772573.640000 USD 4000000.000000 BRL 2022-07-05 45916.040000 N N N N/A N/A SOLD BRL/BOUGHT USD 000000000 1.000000 NC -64414.210000 -0.0286558 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2200000.000000 BRL 385755.120000 USD 2022-07-05 -64414.210000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC 2072.640000 0.0009220 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 257896.050000 USD 235000.000000 EUR 2022-04-04 2072.640000 N N N N/A N/A BOUGHT EUR/SOLD USD 000000000 1.000000 NC 243.800000 0.0001085 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 136931.170000 USD 124000.000000 EUR 2022-04-04 243.800000 N N N N/A N/A BOUGHT GBP/SOLD USD 000000000 1.000000 NC -431.190000 -0.0001918 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 265788.410000 USD 202000.000000 GBP 2022-04-04 -431.190000 N N N N/A N/A ILFC SNR S* ICE 000000000 1.000000 NC USD 22120.560000 0.0098407 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 INTERNATIONAL LEASE FINANCE CORPORATION ILFC SR UNSECURED Y Single Leg Swap 2022-12-21 59451.660000 USD 0.000000 USD 600000.000000 USD -37331.100000 N N N N/A N/A CDX ITRAXX EXJP IG37 5Y ICE 000000000 1.000000 NC USD 73.130000 0.0000325 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX ASIA EX-JAPAN IG SERIES 37 Y Single Leg Swap 2027-06-22 0.000000 USD -2236.780000 USD 500000.000000 USD 2309.910000 N N N N/A N/A 31750JDB8 PIMCO CDSOPT PUT EUR 5.25 20220615 OP001HY87 -100000.000000 NC -380.440000 -0.0001692 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.250000 EUR 2022-06-15 XXXX 694.480000 N N N N/A N/A 317537NE4 PIMCO CDSOPT PUT EUR 4.0 20220420 OP001DXZ7 -100000.000000 NC -134.650000 -0.0000599 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 4.000000 EUR 2022-04-20 XXXX 323.490000 N N N N/A N/A 317556652 PIMCO CDSOPT PUT EUR 5.5 20220615 OP001HF05 -100000.000000 NC -334.240000 -0.0001487 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 5.500000 EUR 2022-06-15 XXXX 659.760000 N N N N/A N/A 317571OJ1 PIMCO CDSOPT PUT EUR 4.25 20220518 OP001G227 -100000.000000 NC -382.360000 -0.0001701 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 4.250000 EUR 2022-05-18 XXXX 309.020000 N N N N/A N/A 317583YR7 PIMCO CDSOPT PUT EUR 4.25 20220518 OP001DF87 -300000.000000 NC -1147.100000 -0.0005103 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 4.250000 EUR 2022-05-18 XXXX 638.100000 N N N N/A N/A CDX ITRAXX XOV37 5Y ICE 000000000 1.000000 NC 32938.220000 0.0146531 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE CROSSOVER SERIES 37 Y Single Leg Swap 2027-06-22 26310.170000 EUR 0.000000 EUR 400000.000000 EUR 6628.050000 N N N N/A N/A CDX ITRAXX MAIN34 5Y ICE 000000000 1.000000 NC 90617.120000 0.0403126 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 34 Y Single Leg Swap 2025-12-21 138966.990000 EUR 0.000000 EUR 4500000.000000 EUR -48349.870000 N N N N/A N/A CDX ITRAXX MAIN35 5Y ICE 000000000 1.000000 NC 31777.290000 0.0141367 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 35 Y Single Leg Swap 2026-06-21 51495.970000 EUR 0.000000 EUR 1700000.000000 EUR -19718.680000 N N N N/A N/A 3175211L6 PIMCO CDSOPT PUT EUR 0.9 20220420 OP001CTF8 -400000.000000 NC -95.750000 -0.0000426 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2022-04-20 XXXX 373.410000 N N N N/A N/A 317534HS7 PIMCO CDSOPT PUT EUR 1.2 20220615 OP001HVC1 -300000.000000 NC -231.720000 -0.0001031 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2022-06-15 XXXX 277.930000 N N N N/A N/A 317541035 PIMCO CDSOPT PUT EUR 0.9 20220518 OP001DFY0 -200000.000000 NC -182.930000 -0.0000814 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2022-05-18 XXXX 32.710000 N N N N/A N/A 317541Z94 PIMCO CDSOPT PUT EUR 1.0 20220615 OP001FDM3 -1000000.000000 NC -1241.270000 -0.0005522 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2022-06-15 XXXX 802.710000 N N N N/A N/A 317553J48 PIMCO CDSOPT PUT EUR 0.85 20220518 OP001DZX0 -200000.000000 NC -224.730000 -0.0001000 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2022-05-18 XXXX 50.370000 N N N N/A N/A 317557KO3 PIMCO CDSOPT PUT EUR 0.85 20220518 OP001DKN8 -200000.000000 NC -224.730000 -0.0001000 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2022-05-18 XXXX 19.520000 N N N N/A N/A 317564HC9 PIMCO CDSOPT PUT EUR 0.9 20220518 OP001F526 -200000.000000 NC -182.930000 -0.0000814 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.900000 EUR 2022-05-18 XXXX 88.890000 N N N N/A N/A 317567113 PIMCO CDSOPT PUT EUR 1.0 20220615 OP001JJB3 -400000.000000 NC -496.510000 -0.0002209 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2022-06-15 XXXX 570.920000 N N N N/A N/A 3175737M9 PIMCO CDSOPT PUT EUR 1.2 20220615 OP001HSL5 -300000.000000 NC -231.720000 -0.0001031 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2022-06-15 XXXX 206.230000 N N N N/A N/A CDX ITRAXX MAIN36 5Y ICE 000000000 1.000000 NC 107795.110000 0.0479545 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 36 Y Single Leg Swap 2026-12-22 171016.610000 EUR 0.000000 EUR 6000000.000000 EUR -63221.500000 N N N N/A N/A 317514FO0 PIMCO CDSOPT PUT EUR 1.2 20220720 OP001L267 -100000.000000 NC -185.750000 -0.0000826 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2022-07-20 XXXX 119.070000 N N N N/A N/A CDX ITRAXX MAIN37 5Y ICE 000000000 1.000000 NC 20092.870000 0.0089387 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 37 Y Single Leg Swap 2027-06-22 19633.230000 EUR 0.000000 EUR 1300000.000000 EUR 459.640000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 44441.460000 0.0197705 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 528501.320000 USD 2800000.000000 BRL 2022-07-05 44441.460000 N N N N/A N/A MSCI EAFE JUN22 IFUS 20220617 000000000 1015.000000 NC USD 6029677.680000 2.6824046 N/A DE US N 1 New York Futures Exchange N/A Long MSCI EAFE INDEX N/A N/A 2022-06-17 108828300.000000 USD 6029677.680000 N N N N/A N/A BOUGHT MXN/SOLD USD 000000000 1.000000 NC 10923.340000 0.0048594 N/A DFE MX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 484967.940000 USD 9990000.000000 MXN 2022-06-15 10923.340000 N N N N/A N/A S+P500 EMINI FUT JUN22 XCME 20220617 000000000 510.000000 NC USD 8287643.730000 3.6868992 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2022-06-17 115534125.000000 USD 8287643.730000 N N N N/A N/A SOUTHWEST AIRLINES CO SNR S* ICE 000000000 1.000000 NC USD -548.290000 -0.0002439 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 SOUTHWEST AIRLINES CO SOUTHWEST AIRLINES CO SR UNSEC Y Single Leg Swap 2026-12-22 0.000000 USD -428.390000 USD 100000.000000 USD -119.900000 N N N N/A N/A STELLANTIS NV SNR SE ICE 000000000 1.000000 NC 69938.700000 0.0311134 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 STELLANTIS NV FIAT CHRYSLER AUTOMOBILE SR UNSEC Y Single Leg Swap 2026-06-23 93722.850000 EUR 0.000000 EUR 400000.000000 EUR -23784.150000 N N N N/A N/A STELLANTIS NV SNR SE ICE 000000000 1.000000 NC 36908.480000 0.0164194 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 STELLANTIS NV FIAT CHRYSLER AUTOMOBILE SR UNSEC Y Single Leg Swap 2026-12-22 46291.910000 EUR 0.000000 EUR 200000.000000 EUR -9383.430000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP SR UNSECURED 04/26 VAR 06051GKN8 500000.000000 PA USD 504670.510000 0.2245113 Long DBT CORP US N 2 2026-04-02 Floating 1.61627 N N N N N N N/A N/A IRS USD 0.50000 06/16/21-5Y CME 000000000 1.000000 NC USD 1061322.230000 0.4721472 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-16 178861.220000 USD 0.000000 USD 13000000.000000 USD 882461.010000 N N N N/A N/A IRS USD 0.50000 06/16/21-7Y CME 000000000 1.000000 NC USD -428580.620000 -0.1906614 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-16 0.000000 USD -206981.600000 USD 3800000.000000 USD -221599.020000 N N N N/A N/A IRS USD 0.75000 06/16/21-10Y CME 000000000 1.000000 NC USD -945233.110000 -0.4205030 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-06-16 0.000000 USD -465089.080000 USD 6900000.000000 USD -480144.030000 N N N N/A N/A IRS USD 1.25000 06/16/21-30Y CME 000000000 1.000000 NC USD 267677.000000 0.1190807 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-16 229675.570000 USD 0.000000 USD 1200000.000000 USD 38001.430000 N N N N/A N/A IRS USD 1.62500 01/16/20-30Y CME 000000000 1.000000 NC USD 28001.490000 0.0124569 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -20112.170000 USD 200000.000000 USD 48113.660000 N N N N/A N/A IRS USD 1.62500 02/03/20-30Y CME 000000000 1.000000 NC USD 56242.460000 0.0250204 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-02-03 0.000000 USD -40231.470000 USD 400000.000000 USD 96473.930000 N N N N/A N/A IRS USD 1.75000 01/22/20-30Y CME 000000000 1.000000 NC USD 79648.680000 0.0354331 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-24 0.000000 USD -92937.190000 USD 700000.000000 USD 172585.870000 N N N N/A N/A IRS USD 2.00000 01/15/20-30Y CME 000000000 1.000000 NC USD 6064.690000 0.0026980 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-01-18 0.000000 USD -19706.570000 USD 100000.000000 USD 25771.260000 N N N N/A N/A TESCO PLC SNR SE ICE 000000000 1.000000 NC 4307.600000 0.0019163 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC SR UNSECURED EMTN REGS Y Single Leg Swap 2027-12-21 164.070000 EUR 0.000000 EUR 400000.000000 EUR 4143.530000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC SUBORDINATED 11/22 7.625 06740L8C2 600000.000000 PA USD 615203.890000 0.2736839 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N N/A N/A LONG GILT FUTURE JUN22 IFLL 20220628 000000000 -1.000000 NC 1811.770000 0.0008060 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2022-06-28 -159253.740000 GBP 1811.770000 N N N N/A N/A US 10YR NOTE (CBT)JUN22 XCBT 20220621 000000000 -92.000000 NC USD 332653.320000 0.1479865 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -11292281.300000 USD 332653.320000 N N N N/A N/A US 2YR NOTE (CBT) JUN22 XCBT 20220630 000000000 -33.000000 NC USD 99093.590000 0.0440835 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-30 -6989167.940000 USD 99093.590000 N N N N/A N/A US 5YR NOTE (CBT) JUN22 XCBT 20220630 000000000 195.000000 NC USD -625632.340000 -0.2783232 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-30 22337402.300000 USD -625632.340000 N N N N/A N/A US LONG BOND(CBT) JUN22 XCBT 20220621 000000000 12.000000 NC USD -53267.280000 -0.0236969 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-21 1801687.500000 USD -53267.280000 N N N N/A N/A US ULTRA BOND CBT JUN22 XCBT 20220621 000000000 4.000000 NC USD -28880.830000 -0.0128481 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-21 707937.500000 USD -28880.830000 N N N BBCMS MORTGAGE TRUST 2018-BXH N/A BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 BXH A 144A 05491RAA3 590885.700000 PA USD 583824.850000 0.2597244 Long ABS-MBS CORP US N 2 2037-10-15 Floating 1.39657 N N N N N N BDS 2019-FL4 LTD N/A BDS LTD BDS 2019 FL4 A 144A 05492KAA7 623837.290000 PA USD 622070.830000 0.2767388 Long ABS-CBDO CORP KY N 2 2036-08-15 Floating 1.54143 N N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A BENEFIT STREET PARTNERS CLO LT BSP 2018 16A A1R 144A 08181VAN5 500000.000000 PA USD 496112.390000 0.2207040 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.27129 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A BENEFIT STREET PARTNERS CLO LT BSP 2019 17A AR 144A 08182BAL2 1300000.000000 PA USD 1290256.940000 0.5739927 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 1.32129 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A1R 144A ACI1XNPD1 450000.000000 PA 494018.910000 0.2197727 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.72 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 BROADCOM INC SR UNSECURED 144A 04/33 3.419 11135FBK6 400000.000000 PA USD 374063.420000 0.1664085 Long DBT CORP US N 2 2033-04-15 Fixed 3.419 N N N N N N BRSP 2021-FL1 LTD N/A BRIGHTSPIRE CAPITAL, INC BRSP 2021 FL1 A 144A 05591XAA9 100000.000000 PA USD 98559.350000 0.0438458 Long ABS-CBDO CORP KY N 2 2038-08-19 Floating 1.59857 N N N N N N BSPRT-2021-FL6 N/A BSPRT ISSUER, LTD. BSPRT 2021 FL6 A 144A 05601HAA2 1900000.000000 PA USD 1877013.720000 0.8350215 Long ABS-CBDO CORP KY N 2 2036-03-15 Floating 1.49657 N N N N N N BUSINESS MORTGAGE FINANCE PLC 6 N/A BUSINESS MORTGAGE FINANCE PLC BUMF 6 A2 REGS B1XMXDII0 77863.010000 PA 85360.710000 0.0379742 Long ABS-MBS CORP GB N 2 2040-08-15 Floating 0 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A N/A CARLYLE GLOBAL MARKET STRATEGI CGMS 2012 4A A1R3 144A 14309YBQ6 1300000.000000 PA USD 1284605.760000 0.5714787 Long ABS-CBDO CORP KY N 2 2032-04-22 Floating 1.33886 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A N/A CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A 14310BAU5 1200000.000000 PA USD 1200387.300000 0.5340127 Long ABS-CBDO CORP KY N 2 2030-08-14 Floating 1.40857 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A CHARTER COMM OPT LLC/CAP SR SECURED 07/22 4.464 161175BB9 700000.000000 PA USD 702616.750000 0.3125710 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CIG AUTO RECEIVABLES TRUST 2021-1A N/A CIG AUTO RECEIVABLES TRUST CIGAR 2021 1A B 144A 12598NAB8 1300000.000000 PA USD 1254719.310000 0.5581832 Long ABS-O CORP US N 2 2026-08-12 Fixed 1.49 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A 12559QAA0 143822.550000 PA USD 144025.200000 0.0640721 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.80657 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC SR UNSECURED 07/23 VAR 172967LM1 300000.000000 PA USD 300458.590000 0.1336641 Long DBT CORP US N 2 2023-07-24 Floating 2.876 N N N N N N CLECO POWER LLC TM1ZH54SJKLNHFCBFK92 CLECO POWER LLC SR UNSECURED 144A 06/23 VAR 185508AH1 600000.000000 PA USD 599947.210000 0.2668967 Long DBT CORP US N 2 2023-06-15 Floating 1.326 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-B N/A COLLEGE AVE STUDENT LOANS CASL 2021 B A2 144A 19425AAA2 1429763.050000 PA USD 1407155.060000 0.6259968 Long ABS-O CORP US N 2 2052-06-25 Floating 1.25657 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A 12564NAA0 600000.000000 PA USD 591980.520000 0.2633526 Long ABS-MBS CORP US N 2 2038-11-15 Floating 1.526 N N N N N N COMM 2021-2400 MORTGAGE TRUST N/A COMM MORTGAGE TRUST COMM 2021 2400 B 144A 20048FAG3 739900.000000 PA USD 729563.150000 0.3245586 Long ABS-MBS CORP US N 2 2038-12-15 Floating 2.147 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC3 1A1 021464AA0 280614.310000 PA USD 276627.900000 0.1230626 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.81657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 1A 23242FAA4 850356.590000 PA USD 812930.610000 0.3616460 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.73657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-9 N/A COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 3AV4 12666RAV2 600141.470000 PA USD 585189.670000 0.2603316 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.93657 Y N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR 225436AA2 200000.000000 PA USD 202241.400000 0.0899705 Long DBT CORP CH N 2 2024-12-18 Floating 6.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR ACI0S3RH2 200000.000000 PA USD 200750.000000 0.0893070 Long DBT CORP CH N 2 2022-07-29 Floating 7.125 N N N N Y CREDIT SUISSE GROUP AG CREDIT SUISSE GROUP AG-REG CHF XXXX N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG SR UNSECURED 144A 05/32 VAR 225401AU2 250000.000000 PA USD 225880.160000 0.1004866 Long DBT CORP CH N 2 2032-05-14 Floating 3.091 N N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A CRESTLINE DENALI CLO XIV, LTD DEN14 2016 1A AR2 144A 22615MAW2 1200000.000000 PA USD 1184404.000000 0.5269022 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 1.39886 N N N N N N CRESTLINE DENALI CLO XV 2017-1A N/A CRESTLINE DENALI CLO XV, LTD. DEN15 2017 1A AR 144A 22616CAJ2 250000.000000 PA USD 249742.020000 0.1111020 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 1.284 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 DAE FUNDING LLC COMPANY GUAR 144A 08/24 1.55 23371DAJ3 500000.000000 PA USD 472668.030000 0.2102744 Long DBT CORP US N 2 2024-08-01 Fixed 1.55 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 DANSKE BANK A/S SR UNSECURED 144A 09/23 VAR 23636AAQ4 400000.000000 PA USD 401049.570000 0.1784137 Long DBT CORP DK N 2 2023-09-12 Floating 1.86286 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AG SR UNSECURED REGS 11/25 VAR ACI1SQBK9 200000.000000 PA 217098.200000 0.0965798 Long DBT CORP DE N 2 2025-11-19 Floating 1 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 DEUTSCHE BANK NY SR UNSECURED 09/24 VAR 251526CC1 400000.000000 PA USD 391452.470000 0.1741443 Long DBT CORP DE N 2 2024-09-18 Floating 2.222 N N N N N N DISCOVERY COMMUNICATIONS (MAGALLANES INC) 549300DXR29GD4N0A520 MAGALLANES INC COMPANY GUAR 144A 03/24 3.428 55903VAC7 200000.000000 PA USD 201237.800000 0.0895241 Long DBT CORP US N 2 2024-03-15 Fixed 3.428 N N N N N N DISCOVERY COMMUNICATIONS (MAGALLANES INC) 549300DXR29GD4N0A520 MAGALLANES INC COMPANY GUAR 144A 03/25 3.638 55903VAE3 200000.000000 PA USD 201428.320000 0.0896088 Long DBT CORP US N 2 2025-03-15 Fixed 3.638 N N N N N N DISCOVERY COMMUNICATIONS (MAGALLANES INC) 549300DXR29GD4N0A520 MAGALLANES INC COMPANY GUAR 144A 03/27 3.755 55903VAG8 200000.000000 PA USD 199969.570000 0.0889599 Long DBT CORP US N 2 2027-03-15 Fixed 3.755 N N N N N N ENCINA EQUIPMENT FINANCE 2021-1 LLC N/A ENCINA EQUIPMENT FINANCE ENCA 2021 1A A1 144A 29253EAA0 82719.460000 PA USD 82616.240000 0.0367532 Long ABS-O CORP US N 2 2025-09-15 Fixed 0.5 N N N N N N ENCINA EQUIPMENT FINANCE 2021-1 LLC N/A ENCINA EQUIPMENT FINANCE ENCA 2021 1A A2 144A 29253EAB8 150000.000000 PA USD 148010.250000 0.0658449 Long ABS-O CORP US N 2 2026-12-15 Fixed 0.74 N N N N N N FANNIE MAE REMICS 2015-87 N/A FANNIE MAE FNR 2015 87 BF 3136AQWE6 260856.340000 PA USD 260810.820000 0.1160261 Long ABS-MBS USGSE US N 2 2045-12-25 Floating 0.75657 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR 31300MNY5 211017.900000 PA USD 221623.910000 0.0985932 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.322 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND 000000000 13000.480000 PA USD 128158.770000 0.0570136 Long STIV RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 PIMCO PRV SHORT TERM FLT III MUTUAL FUND 000000000 6262.280000 PA USD 60806.720000 0.0270509 Long STIV RF US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 10/22 3.55 34540XAB9 400000.000000 PA USD 400700.000000 0.1782582 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2019-1 2019-1 N/A FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2019 1 C 144A 35105RAE0 900000.000000 PA USD 904067.460000 0.4021898 Long ABS-O CORP US N 2 2025-04-15 Fixed 3.07 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2019-1 2019-1 N/A FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2019 1 D 144A 35105RAF7 700000.000000 PA USD 705145.140000 0.3136958 Long ABS-O CORP US N 2 2025-06-16 Fixed 3.27 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2020-1 N/A FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2020 1 D 144A 35105FAF3 200000.000000 PA USD 197939.560000 0.0880568 Long ABS-O CORP US N 2 2026-01-15 Fixed 2.6 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2021-2 N/A FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2021 2 B 144A 35105UAD5 400000.000000 PA USD 381228.280000 0.1695959 Long ABS-O CORP US N 2 2027-07-15 Fixed 1.31 N N N N N N FREDDIE MAC REMICS 3342 N/A FREDDIE MAC FHR 3342 FT 31397JST2 13825.180000 PA USD 13903.640000 0.0061853 Long ABS-MBS USGSE US N 2 2037-07-15 Floating 0.84657 N N N N N N FREDDIE MAC REMICS 3350 N/A FREDDIE MAC FHR 3350 FA 31397JNP5 127997.250000 PA USD 128936.750000 0.0573597 Long ABS-MBS USGSE US N 2 2033-10-15 Floating 0.92657 N N N N N N FREDDIE MAC REMICS 4638 N/A FREDDIE MAC FHR 4638 FA 3137BTH38 126198.760000 PA USD 127117.800000 0.0565505 Long ABS-MBS USGSE US N 2 2040-07-15 Floating 0.54629 N N N N N N FREED ABS TRUST 2021-2 N/A FREEDOM FINANCIAL FREED 2021 2 A 144A 35635CAA0 133886.630000 PA USD 133698.510000 0.0594781 Long ABS-O CORP US N 2 2028-06-19 Fixed 0.68 N N N N N N FREED ABS TRUST 2021-3FP N/A FREEDOM FINANCIAL FREED 2021 3FP B 144A 30322MAB5 800000.000000 PA USD 779260.080000 0.3466671 Long ABS-O CORP US N 2 2028-11-20 Fixed 1.01 N N N N N N FREED ABS TRUST 2022-1FP N/A FREED ABS TRUST FREED 2022 1FP B 144A 35633KAB2 700000.000000 PA USD 682813.320000 0.3037611 Long ABS-O CORP US N 2 2029-03-19 Fixed 1.91 N N N N N N GALLATIN CLO IX LTD 2018-1A N/A GALLATIN FUNDING LTD GALL 2018 1A A 144A 36361WAC0 600102.020000 PA USD 597912.990000 0.2659918 Long ABS-CBDO CORP KY N 2 2028-01-21 Floating 1.30514 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 3 38141GZP2 400000.000000 PA USD 399694.230000 0.1778108 Long DBT CORP US N 2 2024-03-15 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC SR UNSECURED 07/23 VAR 38141GWM2 1200000.000000 PA USD 1201512.940000 0.5345135 Long DBT CORP US N 2 2023-07-24 Floating 2.905 N N N N N N GS MORTGAGE SECURITIES CORP II 2017-SLP N/A GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP A 144A 36255MAA5 900000.000000 PA USD 902233.980000 0.4013741 Long ABS-MBS CORP US N 2 2032-10-10 Variable 3.419 N N N N N N HERTZ VEHICLE FINANCING III LLC 2021-1A N/A HERTZ VEHICLE FINANCING LLC HERTZ 2021 1A A 144A 42806MAA7 1000000.000000 PA USD 948164.800000 0.4218072 Long ABS-O CORP US N 2 2025-12-26 Fixed 1.21 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR ACI09CXQ6 200000.000000 PA 224302.540000 0.0997848 Long DBT CORP GB N 2 2022-09-16 Floating 5.25 N N N N Y HSBC HOLDINGS PLC HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC SR UNSECURED 07/27 VAR ACI1WKQ05 300000.000000 PA 371416.690000 0.1652310 Long DBT CORP GB N 2 2027-07-24 Floating 1.75 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC SR UNSECURED 08/31 VAR 404280CK3 300000.000000 PA USD 266631.800000 0.1186157 Long DBT CORP GB N 2 2031-08-18 Floating 2.357 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 HYATT HOTELS CORP SR UNSECURED 10/24 1.8 448579AN2 400000.000000 PA USD 385219.430000 0.1713714 Long DBT CORP US N 2 2024-10-01 Fixed 1.8 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 HYUNDAI CAPITAL SERVICES SR UNSECURED 144A 09/23 0.75 44920UAQ1 500000.000000 PA USD 483690.160000 0.2151778 Long DBT CORP KR N 2 2023-09-15 Fixed 0.75 N N N N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A INDEPENDENCE PLAZA TRUST IPT 2018 INDP B 144A 45378YAL8 300000.000000 PA USD 295562.520000 0.1314860 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 3.911 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 ING GROEP NV SR UNSECURED 03/26 3.869 456837BA0 1000000.000000 PA USD 1005508.110000 0.4473174 Long DBT CORP NL N 2 2026-03-28 Floating 3.869 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ISRAEL MAKAM BILL BILLS 01/23 0.00000 ACI22SVD5 1400000.000000 PA 437228.540000 0.1945085 Long DBT MUN IL N 2 2023-01-04 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ISRAEL MAKAM BILL BILLS 04/22 0.00000 ACI1WZJ67 3100000.000000 PA 971354.710000 0.4321237 Long DBT MUN IL N 2 2022-04-06 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ISRAEL MAKAM BILL BILLS 06/22 0.00000 ACI1YD9F5 900000.000000 PA 282034.410000 0.1254678 Long DBT MUN IL N 2 2022-06-08 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ISRAEL MAKAM BILL BILLS 08/22 0.00000 ACI201R74 7100000.000000 PA 2224159.380000 0.9894551 Long DBT MUN IL N 2 2022-08-03 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ISRAEL MAKAM BILL BILLS 10/22 0.00000 ACI20YST3 200000.000000 PA 62611.640000 0.0278539 Long DBT MUN IL N 2 2022-10-07 None 0 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A 46651QAA5 278369.640000 PA USD 275903.980000 0.1227406 Long ABS-MBS CORP US N 2 2031-12-15 Floating 2.45 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 B 144A 46649JAG3 570000.000000 PA USD 564352.500000 0.2510618 Long ABS-MBS CORP US N 2 2035-02-15 Floating 1.647 N N N N N N 522 FUNDING CLO I LTD 2018-3A N/A 522 FUNDING CLO LTD MORGN 2018 3A AR 144A 33835NAA9 1300000.000000 PA USD 1290661.750000 0.5741728 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 1.294 N N N N N N LCM 30 LTD N/A LCM LTD PARTNERSHIP LCM 30A AR 144A 50200YAQ1 600000.000000 PA USD 595941.360000 0.2651146 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.334 N N N N N N LENDINGPOINT 2021-B ASSET SECURITIZATION TRUST N/A LENDINGPOINT ASSET SECURITIZAT LDPT 2021 B A 144A 52607HAA8 905382.370000 PA USD 892408.240000 0.3970030 Long ABS-O CORP US N 2 2029-02-15 Fixed 1.11 N N N N N N LL ABS TRUST 2021-1A N/A LL ABS TRUST LLEND 2021 1A A 144A 53934QAA0 565239.890000 PA USD 550360.010000 0.2448370 Long ABS-O CORP US N 2 2029-05-15 Fixed 1.07 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC SR UNSECURED 08/28 4.55 539439AT6 400000.000000 PA USD 413141.700000 0.1837931 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N ACC AUTO TRUST 2021-A N/A ACC AUTO TRUST AUTOC 2021 A A 144A 00108XAA6 407987.780000 PA USD 404311.970000 0.1798651 Long ABS-O CORP US N 2 2027-04-15 Fixed 1.08 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A MARINER FINANCE ISSUANCE TRUST MFIT 2021 AA A 144A 56848DAA7 800000.000000 PA USD 732323.360000 0.3257865 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A ACI19ZJ97 376685.350000 PA 415313.640000 0.1847593 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.95 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A1 576433UF1 95515.810000 PA USD 95351.570000 0.0424188 Long ABS-MBS CORP US N 2 2034-11-21 Floating 2.75866 N N N N N N MF1 2020-FL4 LTD N/A MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A 58003UAA6 900000.000000 PA USD 901665.000000 0.4011210 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 2.14305 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 MICROCHIP TECHNOLOGY INC SR SECURED 144A 09/24 0.983 595017AX2 300000.000000 PA USD 284288.940000 0.1264708 Long DBT CORP US N 2 2024-09-01 Fixed 0.983 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP SR UNSECURED 07/23 VAR 60687YAV1 200000.000000 PA USD 200208.460000 0.0890661 Long DBT CORP JP N 2 2023-07-16 Floating 2.721 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2017-ASHF N/A MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF B 144A 61691KAG6 226000.000000 PA USD 224132.740000 0.0997093 Long ABS-MBS CORP US N 2 2034-11-15 Floating 1.647 N N N N N N MORGAN STANLEY HOME EQUITY LN 2006-2 N/A MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 2 M1 61744CYQ3 652000.000000 PA USD 622464.070000 0.2769137 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.96657 N N N N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A MOUNTAIN VIEW CLO MVEW 2017 2A AR 144A 62432LAL5 2300000.000000 PA USD 2287870.810000 1.0177982 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 1.28129 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A 63939KAC3 420005.700000 PA USD 421130.390000 0.1873470 Long ABS-O CORP US N 2 2040-07-16 Floating 1.84657 N N N N N N NAVSL-2021-BA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2021 BA A 144A 63942LAA0 724616.580000 PA USD 684598.180000 0.3045551 Long ABS-O CORP US N 2 2069-07-15 Fixed 0.94 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45 00774MAV7 200000.000000 PA USD 185271.750000 0.0824213 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/28 2.75 654740BT5 200000.000000 PA USD 180629.080000 0.0803559 Long DBT CORP US N 2 2028-03-09 Fixed 2.75 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 NISSAN MOTOR CO SR UNSECURED 144A 09/23 3.043 654744AA9 400000.000000 PA USD 399309.660000 0.1776397 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N AFFIRM ASSET SECURITIZATION TRUST 2021-B N/A AFFIRM INC AFFRM 2021 B A 144A 00834DAA1 1400000.000000 PA USD 1338559.740000 0.5954810 Long ABS-O CORP US N 2 2026-08-17 Fixed 1.03 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 NISSAN MOTOR CO SR UNSECURED 144A 09/25 3.522 654744AB7 400000.000000 PA USD 392509.810000 0.1746147 Long DBT CORP JP N 2 2025-09-17 Fixed 3.522 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345 654744AC5 200000.000000 PA USD 197445.570000 0.0878370 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-FM1 N/A NOMURA HOME EQUITY LOAN INC NHELI 2006 FM1 2A3 65536HBW7 98235.570000 PA USD 97483.300000 0.0433671 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.87657 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-HE1 N/A NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2 65536HCT3 100000.000000 PA USD 95979.960000 0.0426983 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.08657 N N N N N N OAKTREE CLO 2019-1A N/A OAKTREE CLO LTD OAKCL 2019 1A A1R 144A 67401XAS0 1300000.000000 PA USD 1292405.820000 0.5749487 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 1.36886 N N N N N N OSCAR US FUNDING XIV LLC 2022-1A N/A OSCAR US FUNDING TRUST OSCAR 2022 1A A4 144A 68784HAD3 700000.000000 PA USD 669189.070000 0.2977001 Long ABS-O CORP JP N 3 2029-04-10 Fixed 2.82 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/22 VAR 694308JX6 400000.000000 PA USD 400150.920000 0.1780139 Long DBT CORP US N 2 2022-11-14 Floating 1.19934 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/23 1.7 694308JY4 400000.000000 PA USD 390134.570000 0.1735580 Long DBT CORP US N 2 2023-11-15 Fixed 1.7 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2021-3 N/A PAGAYA AI DEBT SELECTION TRUST PAID 2021 3 A 144A 69546RAA4 1085469.700000 PA USD 1063682.480000 0.4731972 Long ABS-O CORP US N 2 2029-05-15 Fixed 1.15 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2021-5 N/A PAGAYA AI DEBT SELECTION TRUST PAID 2021 5 A 144A 69547EAA2 1212951.520000 PA USD 1185983.000000 0.5276047 Long ABS-O CORP US N 2 2029-08-15 Fixed 1.53 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A PAGAYA AI DEBT SELECTION TRUST PAID 2022 1 A 144A 69546MAA5 900000.000000 PA USD 883924.740000 0.3932289 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 3A A1 144A 69702BAA9 350696.290000 PA USD 349816.650000 0.1556219 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.054 N N N N N N PARK PLACE SEC INC 2005-WHQ1 N/A PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M6 70069FGF8 106000.000000 PA USD 103442.940000 0.0460183 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.62657 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ2 N/A PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5 70069FEM5 690831.940000 PA USD 682800.330000 0.3037553 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.18157 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 SANDS CHINA LTD SR UNSECURED 01/26 3.8 80007RAK1 200000.000000 PA USD 190250.000000 0.0846359 Long DBT CORP KY N 2 2026-01-08 Variable 3.8 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 SANDS CHINA LTD SR UNSECURED 08/25 5.125 80007RAF2 300000.000000 PA USD 298875.000000 0.1329596 Long DBT CORP KY N 2 2025-08-08 Variable 5.125 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2018-4 N/A SANTANDER DRIVE AUTO RECEIVABL SDART 2018 4 D 80285MAH2 1192412.180000 PA USD 1200883.790000 0.5342336 Long ABS-O CORP US N 2 2025-12-15 Fixed 3.98 N N N N N N SARANAC CLO LTD 2018-6A N/A SARANAC CLO LTD SRANC 2018 6A A1R 144A 80317LAJ2 1200000.000000 PA USD 1196012.990000 0.5320667 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 1.34088 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/25 2.9 ACI1LTBF1 1200000.000000 PA USD 1210758.000000 0.5386263 Long DBT NUSS SA N 2 2025-10-22 Fixed 2.9 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 B 144A 78432WAC7 400000.000000 PA USD 391072.440000 0.1739752 Long ABS-MBS CORP US N 2 2038-05-15 Floating 1.897 N N N N N N SLC STUDENT LOAN TRUST 2010-1 N/A SLC STUDENT LOAN TRUST SLCLT 2010 1 A 78444WAA7 498265.990000 PA USD 499054.840000 0.2220130 Long ABS-O CORP US N 2 2042-11-25 Floating 1.37257 N N N N N N SLM STUDENT LOAN TRUST 2005-B N/A SLM STUDENT LOAN TRUST SLMA 2005 B A4 78443CCB8 1511646.880000 PA USD 1458365.110000 0.6487785 Long ABS-O CORP US N 2 2039-06-15 Floating 1.156 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-B N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2018 B A2B 144A 78449LAC2 117727.940000 PA USD 117159.620000 0.0521204 Long ABS-O CORP US N 2 2037-01-15 Floating 1.11657 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A 78449XAA0 416697.950000 PA USD 396733.240000 0.1764935 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-B N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2021 B A 144A 78449YAA8 636110.690000 PA USD 605181.650000 0.2692253 Long ABS-O CORP US N 2 2051-07-17 Fixed 1.31 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-C N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2021 C A2 144A 83208AAD5 490000.000000 PA USD 489559.490000 0.2177889 Long ABS-O CORP US N 2 2053-01-15 Floating 1.19657 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1A 144A 78449MAA4 1089970.670000 PA USD 1035195.500000 0.4605243 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 SOCIETE GENERALE JR SUBORDINA 144A 12/49 VAR 83367TBF5 300000.000000 PA USD 314250.000000 0.1397995 Long DBT CORP FR N 2 2023-12-18 Floating 7.875 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR 83367TBV0 200000.000000 PA USD 204089.000000 0.0907925 Long DBT CORP FR N 2 2023-10-04 Floating 7.375 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-C N/A SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 C A1 144A 83402DAA9 32326.710000 PA USD 32365.510000 0.0143983 Long ABS-O CORP US N 2 2036-10-27 Floating 1.55657 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-D N/A SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 D A1 144A 83404LAA9 12177.740000 PA USD 12211.180000 0.0054324 Long ABS-O CORP US N 2 2039-01-25 Floating 1.40657 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A 83406TAB8 781561.920000 PA USD 770819.430000 0.3429121 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A SOUND POINT CLO LTD SNDPT 2015 2A BRRR 144A 83609GBQ7 600000.000000 PA USD 598355.920000 0.2661888 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.054 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A SOUND POINT CLO LTD SNDPT 2016 2A AR2 144A 83610CAW1 372946.470000 PA USD 372304.310000 0.1656259 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.304 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 STANDARD CHARTERED PLC JR SUBORDINA 144A 12/49 VAR 853254BA7 200000.000000 PA USD 200000.000000 0.0889734 Long DBT CORP GB N 2 2049-12-29 Floating 7.5 N N N N Y STANDARD CHARTERED PLC STANDARD CHARTERED PLC GBP XXXX N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A 78486BAA2 1000000.000000 PA USD 993793.600000 0.4421060 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 1.66757 N N N N N N AMMC CLO 20 LTD 2017-20A N/A AMERICAN MONEY MANAGEMENT CORP AMMC 2017 20A AR 144A 00177TAJ2 1782639.470000 PA USD 1781674.720000 0.7926083 Long ABS-CBDO CORP KY N 2 2029-04-17 Floating 1.11129 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 T MOBILE USA INC SR SECURED 04/25 3.5 87264ABB0 400000.000000 PA USD 403057.080000 0.1793068 Long DBT CORP US N 2 2025-04-15 Fixed 3.5 N N N N N N TERWIN MORTGAGE TRUST 2006-7 N/A TERWIN MORTGAGE TRUST TMTS 2006 7 1A1 144A 88156PAA9 785661.020000 PA USD 781377.600000 0.3476091 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.77657 N N N N N N THEOREM FUNDING TRUST 2021-1A N/A THEOREM FUNDING TRUST THRM 2021 1A A 144A 88339VAA6 579066.500000 PA USD 570863.330000 0.2539583 Long ABS-O CORP US N 2 2027-12-15 Fixed 1.21 N N N N N N TORO EUROPEAN CLO 4 DAC 1A N/A TORO EUROPEAN CLO TCLO 1A ARE 144A 89109MAD6 241958.730000 PA 267352.140000 0.1189361 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.92 N N N N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A 89180LAA6 788766.470000 PA USD 780644.940000 0.3472832 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2021-1A N/A TRICOLOR AUTO SECURITIZATION T TAST 2021 1A A 144A 89615BAA3 479819.410000 PA USD 478408.120000 0.2128280 Long ABS-O CORP US N 2 2024-04-15 Fixed 0.74 N N N N N N TTAN 2021-MHC N/A TTAN TTN 2021 MHC A 144A 87303TAA5 399407.100000 PA USD 394230.460000 0.1753801 Long ABS-MBS CORP US N 2 2038-03-15 Floating 1.247 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 UBS GROUP AG SR UNSECURED 144A 01/27 VAR 902613AC2 400000.000000 PA USD 367993.100000 0.1637080 Long DBT CORP CH N 2 2027-01-30 Floating 1.364 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 CASH MGMT BILL 06/22 0.00000 912796V97 6100000.000000 PA USD 6095047.170000 2.7114853 Long DBT UST US N 2 2022-06-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 CASH MGMT BILL 06/22 0.00000 912796W39 4400000.000000 PA USD 4394482.400000 1.9549602 Long DBT UST US N 2 2022-06-28 None 0 N N N N N N APIDOS CLO XXVI LLC 2017-26A N/A APIDOS CLO APID 2017 26A A1AR 144A 03766GAL6 400000.000000 PA USD 396539.910000 0.1764075 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 1.14129 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 CASH MGMT BILL 07/22 0.00000 912796X20 18000000.000000 PA USD 17963485.020000 7.9913616 Long DBT UST US N 2 2022-07-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/22 0.00000 912796G45 10300000.000000 PA USD 10299327.620000 4.5818309 Long DBT UST US N 2 2022-04-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/22 0.00000 912796P29 11300000.000000 PA USD 11299444.040000 5.0267497 Long DBT UST US N 2 2022-04-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/22 0.00000 912796P37 9500000.000000 PA USD 9499278.570000 4.2259155 Long DBT UST US N 2 2022-04-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/22 0.00000 912796T74 14700000.000000 PA USD 14699795.820000 6.5394540 Long DBT UST US N 2 2022-04-05 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/22 0.00000 912796T82 3500000.000000 PA USD 3499855.630000 1.5569703 Long DBT UST US N 2 2022-04-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 04/22 0.00000 912796U23 2700000.000000 PA USD 2699763.290000 1.2010356 Long DBT UST US N 2 2022-04-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 05/22 0.00000 912796H44 2600000.000000 PA USD 2599153.540000 1.1562776 Long DBT UST US N 2 2022-05-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 05/22 0.00000 912796Q28 3200000.000000 PA USD 3199320.320000 1.4232720 Long DBT UST US N 2 2022-05-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 05/22 0.00000 912796Q36 1900000.000000 PA USD 1899179.960000 0.8448825 Long DBT UST US N 2 2022-05-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 06/22 0.00000 912796J42 3100000.000000 PA USD 3097316.760000 1.3778940 Long DBT UST US N 2 2022-06-16 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 06/22 0.00000 912796R35 11900000.000000 PA USD 11891560.880000 5.2901630 Long DBT UST US N 2 2022-06-09 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TREASURY BILL 06/22 0.00000 912796R43 26500000.000000 PA USD 26471818.840000 11.7764385 Long DBT UST US N 2 2022-06-23 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 02/44 1.375 912810RF7 241202.000000 PA USD 309526.770000 0.1376982 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 02/45 0.75 912810RL4 119361.000000 PA USD 137178.410000 0.0610261 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 TSY INFL IX N/B 02/48 1 912810SB5 113981.000000 PA USD 141667.910000 0.0630234 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL1 N/A ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL1 A 144A 03881CAA9 1200000.000000 PA USD 1184606.460000 0.5269923 Long ABS-CBDO CORP KY N 2 2035-12-15 Floating 1.36657 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL2 N/A ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL2 A 144A 03881EAA5 100000.000000 PA USD 99064.030000 0.0440703 Long ABS-CBDO CORP KY N 2 2036-05-15 Floating 1.49657 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 04/24 2 912828X70 100000.000000 PA USD 99253.910000 0.0441548 Long DBT UST US N 2 2024-04-30 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 09/23 2.875 9128285D8 5160000.000000 PA USD 5218553.930000 2.3215624 Long DBT UST US N 2 2023-09-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/23 2.875 9128285P1 480000.000000 PA USD 485128.120000 0.2158175 Long DBT UST US N 2 2023-11-30 Fixed 2.875 N N N N N N UPSTART SECURITIZATION TRUST 2021-5 N/A UPSTART SECURITIZATION TRUST UPST 2021 5 A 144A 91679JAA5 689637.300000 PA USD 659745.870000 0.2934992 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.31 N N N N N N UPSTART SECURITIZATION TRUST 2022-1 N/A UPSTART SECURITIZATION TRUST 03/32 0 91679WAA6 1600000.000000 PA USD 1589810.640000 0.7072543 Long ABS-O CORP US N 2 2032-03-20 Fixed 3.12 N N N N N N UROPA SECURITIES PLC 2007-1 N/A UROPA SECURITIES PLC UROPA 2007 1 A3A REGS G92958AE0 270805.200000 PA 340908.650000 0.1516590 Long ABS-MBS CORP GB N 2 2040-10-10 Floating 0.6994 N N N N N N VENTURE 36 CLO LTD N/A VENTURE CDO LTD VENTR 2019 36A A1AR 144A 92332LAU3 250000.000000 PA USD 248677.480000 0.1106284 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 1.384 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A VENTURE XXI CLO VENTR 2015 21A AR 144A 92330MAL3 210362.040000 PA USD 210558.250000 0.0936704 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.12129 N N N N N N VENTURE XXVIII CLO LTD 2017-28A N/A VENTURE CDO LTD VENTR 2017 28A A1R 144A 92331AAU8 1200000.000000 PA USD 1200289.100000 0.5339690 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.244 N N N N N N VEROS AUTOMOBILE RECEIVABLES TRUST 2021-1 N/A VEROS AUTO RECEIVABLES TRUST VEROS 2021 1 A 144A 92512BAA1 439386.390000 PA USD 434244.300000 0.1931810 Long ABS-O CORP US N 2 2026-10-15 Fixed 0.92 N N N N N N WELLFLEET CLO LTD 2015-1 N/A WELLFLEET CLO LTD WELF 2015 1A AR4 144A 949496BJ1 1075446.030000 PA USD 1069616.340000 0.4758370 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.144 N N N N N N N/A N/A FIXED INC CLEARING CORP.REPO 000000000 5883000.000000 PA USD 5883000.000000 2.6171525 Long RA US N 2 Repurchase N 0.0100000 2022-04-01 6017300.000000 USD 6000686.230000 USD UST N N N N/A N/A AT&T INC SNR S* ICE 000000000 1.000000 NC USD 4462.850000 0.0019854 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2023-12-21 7620.210000 USD 0.000000 USD 600000.000000 USD -3157.360000 N N N N/A N/A AT&T INC SNR S* ICE 000000000 1.000000 NC USD 886.550000 0.0003944 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-12-22 1559.390000 USD 0.000000 USD 100000.000000 USD -672.840000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 42700.780000 0.0189962 N/A DFE BR N 2 Banco Santander, S.A. N/A 366544.060000 USD 2000000.000000 BRL 2022-07-05 42700.780000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 52384.950000 0.0233043 N/A DFE BR N 2 Banco Santander, S.A. N/A 561482.310000 USD 3000000.000000 BRL 2022-07-05 52384.950000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 122452.190000 0.0544749 N/A DFE BR N 2 Banco Santander, S.A. N/A 1309904.750000 USD 7000000.000000 BRL 2022-07-05 122452.190000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 33959.620000 0.0151075 N/A DFE BR N 2 Banco Santander, S.A. N/A 375285.220000 USD 2000000.000000 BRL 2022-07-05 33959.620000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 33351.620000 0.0148370 N/A DFE BR N 2 Banco Santander, S.A. N/A 375893.220000 USD 2000000.000000 BRL 2022-07-05 33351.620000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 64813.630000 0.0288334 N/A DFE BR N 2 Banco Santander, S.A. N/A 753676.050000 USD 4000000.000000 BRL 2022-07-05 64813.630000 N N N N/A N/A SOLD BRL/BOUGHT USD 000000000 1.000000 NC -784152.470000 -0.3488436 N/A DFE BR N 2 Banco Santander, S.A. N/A 26600000.000000 BRL 4658803.910000 USD 2022-07-05 -784152.470000 N N N N/A N/A BOUGHT JPY/SOLD USD 000000000 1.000000 NC -18692.860000 -0.0083158 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 385868.810000 USD 44700000.000000 JPY 2022-04-04 -18692.860000 N N N N/A N/A BOUGHT BRL/SOLD USD 000000000 1.000000 NC 31030.010000 0.0138042 N/A DFE BR N 2 BNP Paribas S.A. N/A 378214.830000 USD 2000000.000000 BRL 2022-07-05 31030.010000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC 18579.800000 0.0082655 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1705000.000000 EUR 1904735.640000 USD 2022-04-04 18579.800000 N N N N/A N/A SOLD GBP/BOUGHT USD 000000000 1.000000 NC 19047.120000 0.0084734 N/A DFE GB N 2 BNP Paribas S.A. N/A 705000.000000 GBP 945170.090000 USD 2022-04-04 19047.120000 N N N N/A N/A SOLD JPY/BOUGHT USD 000000000 1.000000 NC 14058.430000 0.0062541 N/A DFE JP N 2 BNP Paribas S.A. N/A 28100000.000000 JPY 244878.210000 USD 2022-04-04 14058.430000 N N N N/A N/A BOEING CO/THE SNR S* ICE 000000000 1.000000 NC USD 588.340000 0.0002617 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO DEBENTURES SR UNSEC Y Single Leg Swap 2022-12-21 0.000000 USD -38.050000 USD 200000.000000 USD 626.390000 N N N N/A N/A BOEING CO/THE SNR S* ICE 000000000 1.000000 NC USD 989.940000 0.0004404 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2023-06-21 1367.470000 USD 0.000000 USD 400000.000000 USD -377.530000 N N N N/A N/A BOEING CO/THE SNR S* ICE 000000000 1.000000 NC USD 638.700000 0.0002841 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BOEING CO/THE BOEING CO SR UNSEC Y Single Leg Swap 2023-12-21 4080.280000 USD 0.000000 USD 600000.000000 USD -3441.580000 N N N N/A N/A CDX EM34 ICE 000000000 1.000000 NC USD -34604.900000 -0.0153946 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.34 Y Single Leg Swap 2025-12-21 0.000000 USD -12000.000000 USD 400000.000000 USD -22604.900000 N N N N/A N/A CDX EM36 ICE 000000000 1.000000 NC USD -57475.690000 -0.0255690 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-22 0.000000 USD -25060.000000 USD 700000.000000 USD -32415.690000 N N N N/A N/A 317535YE6 PIMCO CDSOPT PUT USD 101.0 20220518 OP001DKR9 -100000.000000 NC USD -263.960000 -0.0001174 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A SWOP CDX HY37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2022-05-18 XXXX 377.040000 N N N N/A N/A 317553BC8 PIMCO CDSOPT PUT USD 104.0 20220420 OP001FB60 -100000.000000 NC USD -195.520000 -0.0000870 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A SWOP CDX HY37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 104.000000 USD 2022-04-20 XXXX 529.480000 N N N N/A N/A 317593986 PIMCO CDSOPT PUT USD 101.0 20220420 OP001DCP2 -200000.000000 NC USD -137.200000 -0.0000610 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A SWOP CDX HY37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2022-04-20 XXXX 682.800000 N N N N/A N/A CDX HY37 5Y ICE 000000000 1.000000 NC USD 116289.140000 0.0517332 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.37 Y Single Leg Swap 2026-12-22 164815.000000 USD 0.000000 USD 1800000.000000 USD -48525.860000 N N N N/A N/A CDX HY38 5Y ICE 000000000 1.000000 NC USD 11332.320000 0.0050414 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.38 Y Single Leg Swap 2027-06-22 9360.000000 USD 0.000000 USD 200000.000000 USD 1972.320000 N N N N/A N/A CDX IG36 5Y ICE 000000000 1.000000 NC USD 9224.360000 0.0041036 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.36 Y Single Leg Swap 2026-06-21 12193.850000 USD 0.000000 USD 500000.000000 USD -2969.490000 N N N N/A N/A 3175470N8 PIMCO CDSOPT PUT USD 1.2 20220615 OP001HL99 -300000.000000 NC USD -123.830000 -0.0000551 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-06-15 XXXX 320.170000 N N N N/A N/A 317556S25 PIMCO CDSOPT PUT USD 0.95 20220518 OP001F5H3 -400000.000000 NC USD -168.400000 -0.0000749 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.950000 USD 2022-05-18 XXXX 271.600000 N N N N/A N/A 317556UU0 PIMCO CDSOPT PUT USD 0.85 20220518 OP001DG29 -200000.000000 NC USD -125.520000 -0.0000558 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2022-05-18 XXXX 109.480000 N N N N/A N/A 317557BS4 PIMCO CDSOPT PUT USD 0.9 20220518 OP001DZZ5 -200000.000000 NC USD -102.040000 -0.0000454 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2022-05-18 XXXX 119.960000 N N N N/A N/A 317562G00 PIMCO CDSOPT PUT USD 1.2 20220720 OP001KDW0 -200000.000000 NC USD -154.750000 -0.0000688 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 207.250000 N N N N/A N/A 317562WO0 PIMCO CDSOPT PUT USD 0.9 20220518 OP001D869 -800000.000000 NC USD -408.170000 -0.0001816 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2022-05-18 XXXX 283.830000 N N N N/A N/A 317566CK1 PIMCO CDSOPT PUT USD 0.9 20220420 OP001C424 -400000.000000 NC USD -58.740000 -0.0000261 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2022-04-20 XXXX 389.260000 N N N N/A N/A 317575IA8 PIMCO CDSOPT PUT USD 0.85 20220518 OP001DY86 -200000.000000 NC USD -125.520000 -0.0000558 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2022-05-18 XXXX 108.680000 N N N N/A N/A CDX IG37 5Y ICE 000000000 1.000000 NC USD 76704.890000 0.0341235 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.37 Y Single Leg Swap 2026-12-22 102894.250000 USD 0.000000 USD 4400000.000000 USD -26189.360000 N N N N/A N/A 317575GC6 PIMCO CDSOPT PUT USD 1.2 20220720 OP001KY31 -200000.000000 NC USD -205.720000 -0.0000915 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A SWOP CDX IG38 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG38 (V1 ONLY) 5Y SP Single Leg Swap 2027-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2022-07-20 XXXX 96.280000 N N N N/A N/A CDX IG38 5Y ICE 000000000 1.000000 NC USD 73620.070000 0.0327511 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.38 Y Single Leg Swap 2027-06-22 64839.400000 USD 0.000000 USD 4500000.000000 USD 8780.670000 N N N 2022-05-12 PIMCO Equity Series VIT /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX