0001479359-23-000008.txt : 20230301
0001479359-23-000008.hdr.sgml : 20230301
20230228191827
ACCESSION NUMBER: 0001479359-23-000008
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221231
FILED AS OF DATE: 20230301
DATE AS OF CHANGE: 20230228
PERIOD START: 20221231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO Equity Series VIT
CENTRAL INDEX KEY: 0001479359
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22376
FILM NUMBER: 23688774
BUSINESS ADDRESS:
STREET 1: 650 NEWPORT CENTER DRIVE
CITY: NEWPORT BEACH
STATE: CA
ZIP: 92660
BUSINESS PHONE: 949-720-6000
MAIL ADDRESS:
STREET 1: 650 NEWPORT CENTER DRIVE
CITY: NEWPORT BEACH
STATE: CA
ZIP: 92660
FORMER COMPANY:
FORMER CONFORMED NAME: PIMCO Equity Variable Insurance Trust
DATE OF NAME CHANGE: 20091223
0001479359
S000028118
PIMCO StocksPLUS Global Portfolio
C000085710
Institutional Class
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C000085712
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2030-04-20
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Fixed
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0
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N
N
N
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PA
USD
394358.640000
0.2249565
Long
ABS-MBS
CORP
US
N
2
2067-09-25
Fixed
5.9
N
N
N
N
N
N
ENCINA EQUIPMENT FINANCE 2021-1 LLC
N/A
ENCINA EQUIPMENT FINANCE ENCA 2021 1A A2 144A
29253EAB8
75096.720000
PA
USD
73812.180000
0.0421051
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
0.74
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC 2022-2
N/A
ENTERPRISE FLEET FINANCING LLC EFF 2022 2 A1 144A
29374JAA3
506977.510000
PA
USD
505980.180000
0.2886294
Long
ABS-O
CORP
US
N
2
2023-06-20
Fixed
2.764
N
N
N
N
N
N
FANNIE MAE REMICS 2015-87
N/A
FANNIE MAE FNR 2015 87 BF
3136AQWE6
220287.180000
PA
USD
214543.390000
0.1223833
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Floating
4.68871
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR
31300MNY5
171931.950000
PA
USD
174783.760000
0.0997030
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Floating
3.756
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC
33774LN95
250000.000000
PA
USD
249680.700000
0.1424269
Long
DBT
CORP
US
N
2
2023-01-09
None
0
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
674892.220000
PA
USD
672819.290000
0.3838005
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
196190.400000
0.1119141
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
378878.760000
0.2161262
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
11387.300000
PA
USD
11199.290000
0.0063885
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
4.76786
N
N
N
N
N
N
FREDDIE MAC REMICS 3350
N/A
FREDDIE MAC FHR 3350 FA
31397JNP5
110317.280000
PA
USD
109381.600000
0.0623952
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Floating
4.84786
N
N
N
N
N
N
FREDDIE MAC REMICS 4638
N/A
FREDDIE MAC FHR 4638 FA
3137BTH38
102994.030000
PA
USD
102559.600000
0.0585037
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
3.20992
N
N
N
N
N
N
FREED ABS TRUST 2021-3FP
N/A
FREEDOM FINANCIAL FREED 2021 3FP B 144A
30322MAB5
414535.100000
PA
USD
409669.580000
0.2336904
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
679303.310000
0.3874992
Long
ABS-O
CORP
US
N
2
2029-03-19
Fixed
1.91
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST SECURED 144A 04/25 VAR
36143L2K0
600000.000000
PA
USD
586845.390000
0.3347579
Long
DBT
CORP
US
N
2
2025-04-11
Floating
5.0514
N
N
N
N
N
N
GALLATIN CLO IX LTD 2018-1A
N/A
GALLATIN FUNDING LTD GALL 2018 1A A 144A
36361WAC0
501852.390000
PA
USD
497787.080000
0.2839558
Long
ABS-CBDO
CORP
KY
N
2
2028-01-21
Floating
5.32757
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
253883.260000
PA
USD
247306.410000
0.1410725
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
924792.500000
0.5275352
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 SR UNSECURED 07/27 VAR
ACI1WKQ05
300000.000000
PA
312239.170000
0.1781125
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
229869.760000
0.1311260
Long
DBT
CORP
GB
N
2
2031-08-18
Floating
2.357
N
N
N
N
N
N
HUNGARY GOVT
5299003F3UFKGCCMAP43
NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000
ACI2BMD22
183000000.000000
PA
490619.910000
0.2798674
Long
DBT
MUN
HU
N
2
2023-01-03
None
0
N
N
N
N
N
N
HUNGARY GOVT
5299003F3UFKGCCMAP43
NATIONAL BK HUNGARY BILL BILLS 01/23 0.00000
ACI2BTZ49
142000000.000000
PA
380699.600000
0.2171648
Long
DBT
MUN
HU
N
2
2023-01-03
None
0
N
N
N
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP SR UNSECURED 10/24 1.8
448579AN2
400000.000000
PA
USD
375066.600000
0.2139516
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
480900.100000
0.2743228
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
280483.560000
0.1599980
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
963111.240000
0.5493936
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
398100.780000
0.2270911
Long
DBT
MUN
IL
N
2
2023-01-04
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
265163.340000
0.1512588
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
5.768
N
N
N
N
N
N
JACKSON NATIONAL LIFE GLOBAL FUNDING
635400PQXLYXWJI5QD78
JACKSON NATL LIFE GLOBAL SECURED 144A 06/24 VAR
46849CJL6
400000.000000
PA
USD
400165.320000
0.2282688
Long
DBT
CORP
US
N
2
2024-06-28
Floating
5.45315
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 01/23 0.00000
ACI28ZYN8
480000000.000000
PA
3657553.190000
2.0864009
Long
DBT
NUSS
JP
N
2
2023-01-11
None
0
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 01/23 0.00000
ACI298TG8
470000000.000000
PA
3581576.200000
2.0430609
Long
DBT
NUSS
JP
N
2
2023-01-23
None
0
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 01/23 0.00000
ACI29DFN7
490000000.000000
PA
3734121.840000
2.1300784
Long
DBT
NUSS
JP
N
2
2023-01-30
None
0
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 02/23 0.00000
ACI29L6H2
500000000.000000
PA
3810465.550000
2.1736277
Long
DBT
NUSS
JP
N
2
2023-02-06
None
0
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 04/26 VAR
46647PDB9
1000000.000000
PA
USD
991299.240000
0.5654730
Long
DBT
CORP
US
N
2
2026-04-26
Floating
5.1679
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
544534.050000
0.3106220
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
5.568
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
1277126.450000
0.7285192
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
5.28257
N
N
N
N
N
N
LCM 30 LTD
N/A
LCM LTD PARTNERSHIP LCM 30A AR 144A
50200YAQ1
600000.000000
PA
USD
586396.990000
0.3345021
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
5.32257
N
N
N
N
N
N
LENDINGPOINT 2021-B ASSET SECURITIZATION TRUST
N/A
LENDINGPOINT ASSET SECURITIZAT LDPT 2021 B A 144A
52607HAA8
177650.560000
PA
USD
176423.690000
0.1006385
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
1.11
N
N
N
N
N
N
LIBERTY LENDING ABS TRUST 2021-1A
N/A
REACH FINANCIAL LLC REACH 2021 1A A 144A
53934QAA0
284231.150000
PA
USD
274518.010000
0.1565950
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
1.07
N
N
N
N
N
N
ACC AUTO TRUST 2021-A
N/A
ACC AUTO TRUST AUTOC 2021 A A 144A
00108XAA6
133482.970000
PA
USD
131775.840000
0.0751697
Long
ABS-O
CORP
US
N
2
2027-04-15
Fixed
1.08
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
377095.040000
0.2151087
Long
DBT
CORP
GB
N
2
2028-08-16
Fixed
4.55
N
N
N
N
N
N
ACCUNIA EUROPEAN CLO I DAC 1A
N/A
ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A
ACI19ZJ97
356683.870000
PA
374284.480000
0.2135054
Long
ABS-CBDO
CORP
IE
N
2
2030-07-15
Floating
2.328
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/24 3.428
55903VAC7
200000.000000
PA
USD
194246.880000
0.1108055
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.428
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/25 3.638
55903VAE3
200000.000000
PA
USD
190356.800000
0.1085864
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.638
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/27 3.755
55903VAG8
200000.000000
PA
USD
180390.590000
0.1029013
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.755
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
686760.960000
0.3917533
Long
ABS-O
CORP
US
N
2
2036-03-20
Fixed
1.86
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MTGES TRU 2004-13
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A1
576433UF1
73510.350000
PA
USD
66295.220000
0.0378172
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Floating
3.87398
N
N
N
N
N
N
MF1 2020-FL4 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A
58003UAA6
651713.340000
PA
USD
643390.120000
0.3670130
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
6.15009
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC SR UNSECURED 09/24 0.983
595017BC7
300000.000000
PA
USD
277974.050000
0.1585665
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.983
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
215318.180000
0.1228253
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
5.693
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
586115.990000
0.3343418
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
4.89871
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
2264350.000000
1.2916673
Long
ABS-CBDO
CORP
KY
N
2
2031-01-16
Floating
5.11914
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2015-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A
63939KAC3
362678.140000
PA
USD
357692.190000
0.2040406
Long
ABS-O
CORP
US
N
2
2040-07-16
Floating
5.76786
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2019-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2019 BA A2B 144A
63941LAC7
367875.770000
PA
USD
359495.740000
0.2050694
Long
ABS-O
CORP
US
N
2
2059-12-15
Floating
5.29786
N
N
N
N
N
N
NAVSL-2021-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2021 BA A 144A
63942LAA0
619248.310000
PA
USD
523609.620000
0.2986859
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
175147.600000
0.0999105
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45
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
1328236.420000
0.7576742
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
1.03
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
162307.290000
0.0925860
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
392019.530000
0.2236221
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
3.043
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
371950.840000
0.2121742
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
181663.330000
0.1036273
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
61684.430000
PA
USD
60791.760000
0.0346778
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
4.80871
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
90410.810000
0.0515736
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.01871
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
1271315.240000
0.7252043
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
5.43457
N
N
N
N
N
N
OMFIT-2021-1A
N/A
ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2021 1A A2 144A
68269MAB0
500000.000000
PA
USD
478707.150000
0.2730719
Long
ABS-O
CORP
US
N
2
2036-06-16
Floating
4.56664
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2A
N/A
ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2020 2A A 144A
682696AA7
500000.000000
PA
USD
437561.000000
0.2496007
Long
ABS-O
CORP
US
N
2
2035-09-14
Fixed
1.75
N
N
N
N
N
N
OPORTUN ISSUANCE TRUST 2022-3
N/A
OPORTUN FUNDING LLC OPTN 2022 3 A 144A
68378PAA3
841850.690000
PA
USD
842014.180000
0.4803154
Long
ABS-O
CORP
US
N
2
2030-01-08
Fixed
7.451
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
642869.760000
0.3667162
Long
ABS-O
CORP
JP
N
2
2029-04-10
Fixed
2.82
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
387263.660000
0.2209092
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
479881.570000
PA
USD
467631.540000
0.2667540
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
650402.250000
PA
USD
627441.620000
0.3579154
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
775952.400000
PA
USD
745298.010000
0.4251450
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
2.03
N
N
N
N
N
N
PAGAYA AI DEBT TRUST 2022-2
N/A
PAGAYA AI DEBT SELECTION TRUST PAID 2022 2 A 144A
69546VAA5
230641.880000
PA
USD
227276.420000
0.1296467
Long
ABS-O
CORP
US
N
2
2030-01-15
Fixed
4.97
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
303606.830000
PA
USD
300110.330000
0.1711938
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
5.04257
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
91288.930000
0.0520745
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
5.55871
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
597466.690000
0.3408167
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
6.11371
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 01/26 4.3
80007RAK1
200000.000000
PA
USD
184830.190000
0.1054338
Long
DBT
CORP
KY
N
2
2026-01-08
Variable
4.05
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2021 4 A3
80285VAC3
446604.780000
PA
USD
444609.800000
0.2536215
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
0.51
N
N
N
N
N
N
AMERICAN ELECTRIC POWER COMPANY INC
1B4S6S7G0TW5EE83BO58
AMERICAN ELEC PWR INC
0255E3N46
600000.000000
PA
USD
599621.000000
0.3420456
Long
DBT
CORP
US
N
2
2023-01-04
None
0
N
N
N
N
N
N
AMERICAN ELECTRIC POWER COMPANY INC
1B4S6S7G0TW5EE83BO58
AMERICAN ELEC PWR INC
0255E3NK0
500000.000000
PA
USD
498710.000000
0.2844823
Long
DBT
CORP
US
N
2
2023-01-19
None
0
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
1162842.910000
0.6633277
Long
ABS-CBDO
CORP
JE
N
2
2031-08-13
Floating
5.87314
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
356507.640000
0.2033649
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
5.818
N
N
N
N
N
N
SLC STUDENT LOAN TRUST 2010-1
N/A
SLC STUDENT LOAN TRUST SLCLT 2010 1 A
78444WAA7
365562.570000
PA
USD
363100.470000
0.2071257
Long
ABS-O
CORP
US
N
2
2042-11-25
Floating
5.57371
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2005-B
N/A
SLM STUDENT LOAN TRUST SLMA 2005 B A4
78443CCB8
1297582.380000
PA
USD
1231634.050000
0.7025687
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
5.099
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
656067.630000
PA
USD
641754.460000
0.3660800
Long
ABS-O
CORP
US
N
2
2037-01-15
Floating
5.03786
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
343291.540000
PA
USD
303124.230000
0.1729130
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
511871.700000
PA
USD
457274.900000
0.2608462
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
482673.940000
PA
USD
460639.340000
0.2627654
Long
ABS-O
CORP
US
N
2
2053-01-15
Floating
5.11786
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
881243.840000
PA
USD
772711.430000
0.4407826
Long
ABS-O
CORP
US
N
2
2053-03-17
Fixed
1.34
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2022-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A
83206NAB3
997695.650000
PA
USD
968314.510000
0.5523617
Long
ABS-O
CORP
US
N
2
2055-02-16
Floating
4.66771
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE JR SUBORDINA 144A 12/49 VAR
83367TBF5
300000.000000
PA
USD
297695.580000
0.1698163
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
191865.230000
0.1094469
Long
DBT
CORP
FR
N
2
2023-10-04
Floating
7.375
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
6999.390000
PA
USD
6981.800000
0.0039827
Long
ABS-O
CORP
US
N
2
2039-01-25
Floating
5.33871
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
621256.460000
PA
USD
562730.870000
0.3210021
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
578256.380000
0.3298584
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.04257
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
272437.680000
PA
USD
270282.530000
0.1541790
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
5.29257
N
N
N
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
969577.400000
0.5530821
Long
ABS-CBDO
CORP
KY
N
2
2038-04-18
Floating
5.52629
N
N
N
N
N
N
AMMC CLO 20 LTD 2017-20A
N/A
AMERICAN MONEY MANAGEMENT CORP AMMC 2017 20A AR 144A
00177TAJ2
1143834.100000
PA
USD
1138328.570000
0.6493439
Long
ABS-CBDO
CORP
KY
N
2
2029-04-17
Floating
4.94914
N
N
N
N
N
N
TERWIN MORTGAGE TRUST 2006-7
N/A
TERWIN MORTGAGE TRUST TMTS 2006 7 1A1 144A
88156PAA9
396186.550000
PA
USD
393919.450000
0.2247059
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
4.70871
N
N
N
N
N
N
THEOREM FUNDING TRUST 2021-1A
N/A
THEOREM FUNDING TRUST THRM 2021 1A A 144A
88339VAA6
198578.530000
PA
USD
195410.510000
0.1114692
Long
ABS-O
CORP
US
N
2
2027-12-15
Fixed
1.21
N
N
N
N
N
N
THEOREM FUNDING TRUST 2022-3A
N/A
THEOREM FUNDING TRUST THRM 2022 3A A 144A
882925AA8
753343.980000
PA
USD
751030.160000
0.4284148
Long
ABS-O
CORP
US
N
2
2029-04-15
Fixed
7.6
N
N
N
N
N
N
TORO EUROPEAN CLO 4 DAC 1A
N/A
TORO EUROPEAN CLO TCLO 1A ARE 144A
89109MAD6
175738.460000
PA
184878.740000
0.1054615
Long
ABS-CBDO
CORP
IE
N
2
2030-07-15
Floating
2.298
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2021-SJ2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A
89180LAA6
584050.430000
PA
USD
536923.870000
0.3062808
Long
ABS-MBS
CORP
US
N
2
2061-12-25
Variable
2.25
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP SR UNSECURED 12/23 VAR
89236TKM6
300000.000000
PA
USD
300498.480000
0.1714152
Long
DBT
CORP
US
N
2
2023-12-11
Floating
5.06
N
N
N
N
N
N
TTAN 2021-MHC
N/A
TTAN TTN 2021 MHC A 144A
87303TAA5
394731.850000
PA
USD
382898.420000
0.2184191
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
5.168
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 01/27 VAR
902613AC2
400000.000000
PA
USD
350729.570000
0.2000689
Long
DBT
CORP
CH
N
2
2027-01-30
Floating
1.364
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 05/26 VAR
902613AN8
1000000.000000
PA
USD
1008167.060000
0.5750950
Long
DBT
CORP
CH
N
2
2026-05-12
Floating
5.57149
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/23 0.00000
912796S34
24500000.000000
PA
USD
24439337.760000
13.9410840
Long
DBT
UST
US
N
2
2023-01-26
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 03/23 0.00000
912796U31
8200000.000000
PA
USD
8123768.780000
4.6340921
Long
DBT
UST
US
N
2
2023-03-23
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 03/23 0.00000
912796YB9
10700000.000000
PA
USD
10627012.730000
6.0620332
Long
DBT
UST
US
N
2
2023-03-02
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 03/23 0.00000
912796YK9
16400000.000000
PA
USD
16274500.640000
9.2835650
Long
DBT
UST
US
N
2
2023-03-09
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 03/23 0.00000
912796YM5
6500000.000000
PA
USD
6433492.590000
3.6698973
Long
DBT
UST
US
N
2
2023-03-30
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/31 0.125
91282CBF7
343431.000000
PA
USD
305229.420000
0.1741139
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/44 1.375
912810RF7
127866.000000
PA
USD
118868.910000
0.0678071
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
126550.000000
PA
USD
102461.170000
0.0584476
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
120846.000000
PA
USD
101834.630000
0.0580902
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1
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
395289.120000
0.2254872
Long
ABS-CBDO
CORP
KY
N
2
2029-07-18
Floating
5.09371
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 04/24 2
912828X70
100000.000000
PA
USD
96515.630000
0.0550560
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
5096086.800000
2.9069926
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
472183.300000
0.2693505
Long
DBT
UST
US
N
2
2023-11-30
Fixed
2.875
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 11/42 4
912810TM0
400000.000000
PA
USD
391750.000000
0.2234684
Long
DBT
UST
US
N
2
2042-11-15
Fixed
4
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 11/52 4
912810TL2
300000.000000
PA
USD
300515.630000
0.1714250
Long
DBT
UST
US
N
2
2052-11-15
Fixed
4
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
1160484.230000
0.6619823
Long
ABS-CBDO
CORP
KY
N
2
2035-12-15
Floating
5.24029
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST 2021-5
N/A
UPSTART SECURITIZATION TRUST UPST 2021 5 A 144A
91679JAA5
364210.660000
PA
USD
348747.660000
0.1989383
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 UPST 2022 1 A 144A
91679WAA6
1080705.440000
PA
USD
1041766.330000
0.5942613
Long
ABS-O
CORP
US
N
2
2032-03-20
Fixed
3.12
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
96693.080000
0.0551572
Long
ABS-CBDO
CORP
KY
N
2
2036-05-15
Floating
5.41786
N
N
N
N
N
N
UROPA SECURITIES PLC 2007-1
N/A
UROPA SECURITIES PLC UROPA 2007 1 A3A REGS
G92958AE0
226547.760000
PA
261012.350000
0.1488909
Long
ABS-MBS
CORP
GB
N
2
2040-10-10
Floating
3.10886
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
243742.640000
0.1390396
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
5.37257
N
N
N
N
N
N
VENTURE XXI CLO LTD 2015-21A
N/A
VENTURE XXI CLO VENTR 2015 21A AR 144A
92330MAL3
63530.890000
PA
USD
63665.110000
0.0363169
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
4.95914
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
1178888.160000
0.6724805
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
5.23257
N
N
N
N
N
N
VEROS AUTOMOBILE RECEIVABLES TRUST 2021-1
N/A
VEROS AUTO RECEIVABLES TRUST VEROS 2021 1 A 144A
92512BAA1
662811.410000
PA
USD
653110.370000
0.3725578
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
0.92
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI PROPERTIES LP SR UNSECURED 05/25 4.375
925650AA1
300000.000000
PA
USD
291788.390000
0.1664467
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.375
N
N
N
N
N
N
WELLFLEET CLO LTD 2015-1
N/A
WELLFLEET CLO LTD WELF 2015 1A AR4 144A
949496BJ1
873754.990000
PA
USD
862460.030000
0.4919785
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
5.13257
N
N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
6115000.000000
PA
USD
6115000.000000
3.4882176
Long
RA
US
N
2
Repurchase
N
1.9000000
2023-01-03
6383600.000000
USD
6237326.190000
USD
UST
N
N
N
N/A
N/A
AT&T INC SNR S* ICE
000000000
1.000000
NC
USD
995.410000
0.0005678
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
AT&T INC
AT&T INC
Y
Single Leg Swap
2023-12-20
7620.210000
USD
0.000000
USD
600000.000000
USD
-6624.800000
N
N
N
N/A
N/A
AT&T INC SNR S* ICE
000000000
1.000000
NC
USD
-39.120000
-0.0000223
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
AT&T INC
AT&T INC
Y
Single Leg Swap
2026-12-20
1559.390000
USD
0.000000
USD
100000.000000
USD
-1598.510000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20230111
000000000
1.000000
NC
-303541.070000
-0.1731508
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
480000000.000000
JPY
3356866.370000
USD
2023-01-11
-303541.070000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-3023.110000
-0.0017245
N/A
DFE
HU
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
42474011.000000
HUF
110849.000000
USD
2023-01-03
-3023.110000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-2346.080000
-0.0013383
N/A
DFE
HU
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
31006939.000000
HUF
80783.000000
USD
2023-01-03
-2346.080000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-0.050000
0.0000000
N/A
DFE
HU
N
2
BNP Paribas S.A.
N/A
392.000000
HUF
1.000000
USD
2023-01-03
-0.050000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-557.510000
-0.0003180
N/A
DFE
HU
N
2
BNP Paribas S.A.
N/A
10200180.000000
HUF
26789.000000
USD
2023-01-03
-557.510000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-3090.010000
-0.0017627
N/A
DFE
HU
N
2
BNP Paribas S.A.
N/A
44610131.000000
HUF
116509.000000
USD
2023-01-03
-3090.010000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-992.890000
-0.0005664
N/A
DFE
HU
N
2
BNP Paribas S.A.
N/A
13078000.000000
HUF
34069.010000
USD
2023-01-03
-992.890000
N
N
N
N/A
N/A
BOEING CO/THE SNR S* ICE
000000000
1.000000
NC
USD
700.210000
0.0003994
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOEING CO/THE
BOEING CO SR UNSEC
Y
Single Leg Swap
2023-06-20
1367.470000
USD
0.000000
USD
400000.000000
USD
-667.260000
N
N
N
N/A
N/A
BOEING CO/THE SNR S* ICE
000000000
1.000000
NC
USD
1104.450000
0.0006300
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOEING CO/THE
BOEING CO SR UNSEC
Y
Single Leg Swap
2023-12-20
4080.280000
USD
0.000000
USD
600000.000000
USD
-2975.830000
N
N
N
N/A
N/A
CDX EM34 ICE
000000000
1.000000
NC
USD
-17481.090000
-0.0099718
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.EM.34
Y
Single Leg Swap
2025-12-20
0.000000
USD
-11040.000000
USD
368000.000000
USD
-6441.090000
N
N
N
N/A
N/A
CDX EM36 ICE
000000000
1.000000
NC
USD
-21362.740000
-0.0121861
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.EM.36
Y
Single Leg Swap
2026-12-20
0.000000
USD
-19881.200000
USD
552000.000000
USD
-1481.540000
N
N
N
N/A
N/A
CDX EM38 ICE
000000000
1.000000
NC
USD
-5807.340000
-0.0033127
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.EM.38
Y
Single Leg Swap
2027-12-20
0.000000
USD
-8150.000000
USD
100000.000000
USD
2342.660000
N
N
N
N/A
N/A
CDX HY39 5Y ICE
000000000
1.000000
NC
USD
17099.650000
0.0097543
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.HY.39
Y
Single Leg Swap
2027-12-20
0.000000
USD
-74485.000000
USD
2200000.000000
USD
91584.650000
N
N
N
N/A
N/A
CDX IG38 5Y ICE
000000000
1.000000
NC
USD
46791.730000
0.0266917
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.38
Y
Single Leg Swap
2027-06-20
16980.630000
USD
0.000000
USD
4300000.000000
USD
29811.100000
N
N
N
N/A
N/A
CDX IG39 5Y ICE
000000000
1.000000
NC
USD
96152.350000
0.0548488
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.39
Y
Single Leg Swap
2027-12-20
96632.270000
USD
0.000000
USD
11500000.000000
USD
-479.920000
N
N
N
N/A
N/A
BOUGHT CHF SOLD USD 20230110
000000000
1.000000
NC
417.050000
0.0002379
N/A
DFE
CH
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
18802.000000
USD
17759.450000
CHF
2023-01-10
417.050000
N
N
N
N/A
N/A
BOUGHT EUR SOLD USD 20230110
000000000
1.000000
NC
4000.260000
0.0022819
N/A
DFE
N/A
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
387951.140000
USD
366000.000000
EUR
2023-01-10
4000.260000
N
N
N
N/A
N/A
SOLD AUD BOUGHT USD 20230216
000000000
1.000000
NC
-426.630000
-0.0002434
N/A
DFE
AU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
35643.000000
AUD
23882.630000
USD
2023-02-16
-426.630000
N
N
N
N/A
N/A
SOLD AUD BOUGHT USD 20230216
000000000
1.000000
NC
-780.710000
-0.0004453
N/A
DFE
AU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
60357.000000
AUD
40384.020000
USD
2023-02-16
-780.710000
N
N
N
N/A
N/A
SOLD ILS BOUGHT USD 20230104
000000000
1.000000
NC
32426.860000
0.0184975
N/A
DFE
IL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
999900.000000
ILS
316885.340000
USD
2023-01-04
32426.860000
N
N
N
N/A
N/A
SOLD ILS BOUGHT USD 20230104
000000000
1.000000
NC
13106.160000
0.0074762
N/A
DFE
IL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
399920.000000
ILS
126878.170000
USD
2023-01-04
13106.160000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-11359.180000
-0.0064797
N/A
DFE
HU
N
2
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK
1VUV7VQFKUOQSJ21A208
81582825.000000
HUF
207363.000000
USD
2023-01-03
-11359.180000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-633.970000
-0.0003616
N/A
DFE
HU
N
2
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK
1VUV7VQFKUOQSJ21A208
4644180.000000
HUF
11817.000000
USD
2023-01-03
-633.970000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC
0020A3N30
700000.000000
PA
USD
699646.970000
0.3991040
Long
DBT
CORP
US
N
2
2023-01-03
None
0
N
N
N
N
N
N
N/A
N/A
GENERAL MOTORS COMPANY SNR S* ICE
000000000
1.000000
NC
USD
75950.960000
0.0433252
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
GENERAL MOTORS COMPANY
GENERAL MOTORS CO SRUNSEC
Y
Single Leg Swap
2026-12-20
129395.250000
USD
0.000000
USD
700000.000000
USD
-53444.290000
N
N
N
N/A
N/A
EURO-BUND FUTURE MAR23 XEUR 20230308
000000000
1.000000
NC
-9185.480000
-0.0052397
N/A
DIR
DE
N
1
Eurex
N/A
Long
N/A
GERMANY GOVT
2023-03-08
142294.850000
EUR
-9185.480000
N
N
N
N/A
N/A
BOUGHT MXN SOLD USD 20230321
000000000
1.000000
NC
19621.010000
0.0111925
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
485958.760000
USD
9990000.000000
MXN
2023-03-21
19621.010000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-11044.200000
-0.0063000
N/A
DFE
HU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
91410946.000000
HUF
234027.000000
USD
2023-01-03
-11044.200000
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20230110
000000000
1.000000
NC
-25503.580000
-0.0145482
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1071000.000000
EUR
1121436.170000
USD
2023-01-10
-25503.580000
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20230110
000000000
1.000000
NC
4422.680000
0.0025229
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
460000.000000
GBP
560628.040000
USD
2023-01-10
4422.680000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20230206
000000000
1.000000
NC
-362242.930000
-0.2066365
N/A
DFE
JP
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
500000000.000000
JPY
3463522.530000
USD
2023-02-06
-362242.930000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20230103
000000000
1.000000
NC
-580.980000
-0.0003314
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4458057.000000
HUF
11371.000000
USD
2023-01-03
-580.980000
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
667033.570000
0.3805001
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
1.21
N
N
N
N
N
N
N/A
N/A
BOUGHT CHF SOLD USD 20230110
000000000
1.000000
NC
1022.160000
0.0005831
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
137497.840000
USD
128000.000000
CHF
2023-01-10
1022.160000
N
N
N
N/A
N/A
BOUGHT GBP SOLD USD 20230110
000000000
1.000000
NC
-3579.860000
-0.0020421
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
201879.160000
USD
164000.000000
GBP
2023-01-10
-3579.860000
N
N
N
N/A
N/A
MSCI EAFE MAR23 IFUS 20230317
000000000
923.000000
NC
USD
-2241418.310000
-1.2785862
N/A
DE
US
N
1
New York Futures Exchange
N/A
Long
MSCI EAFE INDEX
N/A
N/A
2023-03-17
89964810.000000
USD
-2241418.310000
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2017-2A
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP 2017 2A A 144A
05377RCU6
500000.010000
PA
USD
498348.560000
0.2842761
Long
ABS-O
CORP
US
N
2
2024-03-20
Fixed
2.97
N
N
N
N
N
N
N/A
N/A
BOUGHT MXN SOLD USD 20230315
000000000
1.000000
NC
28.970000
0.0000165
N/A
DFE
MX
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
2174.370000
USD
43487.400000
MXN
2023-03-15
28.970000
N
N
N
N/A
N/A
SOLD MXN BOUGHT USD 20230420
000000000
1.000000
NC
-21335.480000
-0.0121705
N/A
DFE
MX
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
10263302.330000
MXN
495122.840000
USD
2023-04-20
-21335.480000
N
N
N
N/A
N/A
S+P500 EMINI FUT MAR23 XCME 20230317
000000000
454.000000
NC
USD
-3234387.600000
-1.8450119
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
S&P 500 INDEX
N/A
N/A
2023-03-17
87644700.000000
USD
-3234387.600000
N
N
N
N/A
N/A
SOUTHWEST AIRLINES CO SNR S* ICE
000000000
1.000000
NC
USD
150.930000
0.0000861
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
SOUTHWEST AIRLINES CO
SOUTHWEST AIRLINES CO SR UNSEC
Y
Single Leg Swap
2026-12-20
0.000000
USD
-428.390000
USD
100000.000000
USD
579.320000
N
N
N
N/A
N/A
BOUGHT JPY SOLD USD 20230110
000000000
1.000000
NC
8690.040000
0.0049571
N/A
DFE
JP
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
339763.840000
USD
45700000.000000
JPY
2023-01-10
8690.040000
N
N
N
N/A
N/A
STELLANTIS NV SNR SE ICE
000000000
1.000000
NC
51029.390000
0.0291090
N/A
DCR
NL
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
STELLANTIS NV
FIAT CHRYSLER AUTOMOBILE SR UNSEC
Y
Single Leg Swap
2026-06-20
93722.850000
EUR
0.000000
EUR
400000.000000
EUR
-42693.460000
N
N
N
N/A
N/A
STELLANTIS NV SNR SE ICE
000000000
1.000000
NC
27594.120000
0.0157407
N/A
DCR
NL
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
STELLANTIS NV
FIAT CHRYSLER AUTOMOBILE SR UNSEC
Y
Single Leg Swap
2026-12-20
46291.910000
EUR
0.000000
EUR
200000.000000
EUR
-18697.790000
N
N
N
2023-02-09
PIMCO Equity Series VIT
/s/ Bijal Parikh
Bijal Parikh
Treasurer