0001479359-24-000043.txt : 20240829
0001479359-24-000043.hdr.sgml : 20240829
20240828191310
ACCESSION NUMBER: 0001479359-24-000043
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240630
FILED AS OF DATE: 20240829
DATE AS OF CHANGE: 20240828
PERIOD START: 20241231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO Equity Series VIT
CENTRAL INDEX KEY: 0001479359
ORGANIZATION NAME:
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: 241257755
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
PMVIEQS
C000085712
Advisor Class
PMVIEAD
NPORT-P
1
primary_doc.xml
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92660
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2024-12-31
2024-06-30
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CORP
JE
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N
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2046-09-25
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2031-04-24
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DIR
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CHICAGO BOARD OF TRADE
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US
N
2
2037-01-15
Floating
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N
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N
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224477.100000
0.119795
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ABS-MBS
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US
N
2
2034-11-15
Floating
6.876
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
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38141GZR8
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95640.180000
0.0510396
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DBT
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US
N
2
2028-03-15
Floating
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N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
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80007RAK1
200000.000000
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USD
193668.280000
0.103354
Long
DBT
CORP
KY
N
2
2026-01-08
Variable
4.05
N
N
N
N
N
N
APIDOS CLO XXVI LLC 2017-26A
N/A
APIDOS CLO LTD APID 2017 26A A1AR 144A
03766GAL6
171321.240000
PA
USD
171492.900000
0.0915194
Long
ABS-CBDO
CORP
KY
N
2
2029-07-18
Floating
6.48854
N
N
N
N
N
N
N/A
N/A
SOLD KRW BOUGHT USD 20240715
000000000
1.000000
NC
82.110000
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N/A
DFE
KR
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Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
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64272.000000
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2024-07-15
82.110000
N
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N
N/A
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3964.460000
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DFE
BR
N
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Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
800000.000000
BRL
142682.360000
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2025-04-02
3964.460000
N
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N
N/A
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NC
-517.600000
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N/A
DFE
MX
N
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BARCLAYS BANK PLC
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1141984.160000
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61780.970000
USD
2024-07-15
-517.600000
N
N
N
CROSS 2024-H2 MORTGAGE TRUST
N/A
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22757BAA2
488891.130000
PA
USD
488335.700000
0.260607
Long
ABS-MBS
CORP
US
N
2
2069-04-25
Fixed
6.093
N
N
N
N
N
N
N/A
N/A
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NC
25337.480000
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N/A
DFE
JP
N
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State Street Bank and Trust Company
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2024-09-03
25337.480000
N
N
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OMFIT-2021-1A
N/A
ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2021 1A A2 144A
68269MAB0
500000.000000
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USD
499569.650000
0.266602
Long
ABS-O
CORP
US
N
2
2036-06-16
Floating
6.09303
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N
N
N
N
N
PROCTER & GAMBLE COMPANY
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PROCTER + GAMBLE CO/THE COMMON STOCK
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NS
USD
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0.140907
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EC
CORP
US
N
1
N
N
N
ALLY AUTO RECEIVABLES TRUST 2024-1
N/A
ALLY AUTO RECEIVABLES TRUST ALLYA 2024 1 A1
02008FAA2
163929.590000
PA
USD
163945.260000
0.0874915
Long
ABS-O
CORP
US
N
2
2025-03-17
Fixed
5.528
N
N
N
N
N
N
N/A
N/A
CDX HY42 5Y ICE
000000000
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121520.540000
0.064851
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DCR
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N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
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CDX.NA.HY.42
Y
Single Leg Swap
2029-06-20
132020.000000
USD
0.000000
USD
1900000.000000
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-10499.460000
N
N
N
N/A
N/A
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1.000000
NC
3774.900000
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N/A
DFE
GB
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2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
418000.000000
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532168.470000
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2024-07-02
3774.900000
N
N
N
CITIZENS AUTO RECEIVABLES TRUST 2024-1
N/A
CITIZENS AUTO RECEIVABLES TRUS CITZN 2024 1 A3 144A
17331QAD8
100000.000000
PA
USD
99743.520000
0.0532294
Long
ABS-O
CORP
US
N
2
2028-04-17
Fixed
5.11
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 07/24 0.00000
ACI2NMY26
260000000.000000
PA
1615996.400000
0.862398
Long
DBT
NUSS
JP
N
2
2024-07-16
None
0
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/25 VAR
928668BY7
250000.000000
PA
USD
251586.880000
0.134263
Long
DBT
CORP
US
N
2
2025-09-12
Floating
6.26246
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
929400.580000
PA
USD
930311.740000
0.496473
Long
ABS-CBDO
CORP
KY
N
2
2031-10-23
Floating
6.72801
N
N
N
N
N
N
CHASE AUTO OWNER TRUST 2024-1A
N/A
CHASE AUTO OWNER TRUST CHAOT 2024 1A A2 144A
16144BAB4
600000.000000
PA
USD
599598.060000
0.319983
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
5.48
N
N
N
N
N
N
N/A
N/A
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000000000
1.000000
NC
553.140000
0.0002952
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DFE
NZ
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
162680.000000
NZD
99641.500000
USD
2024-07-02
553.140000
N
N
N
CATERPILLAR INCORPORATED
WRJR7GS4GTRECRRTVX92
CATERPILLAR INC COMMON STOCK USD1.0
149123101
1601.000000
NS
USD
533293.100000
0.284599
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
BOUGHT NZD SOLD USD 20240702
000000000
1.000000
NC
-2057.300000
-0.0010979
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
299907.120000
USD
489000.000000
NZD
2024-07-02
-2057.300000
N
N
N
N/A
N/A
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000000000
1.000000
NC
-2915.120000
-0.0015557
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DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
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2310496.430000
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2024-08-02
-2915.120000
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N
N/A
N/A
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000000000
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NC
-4836.970000
-0.0025813
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
130058.340000
USD
700000.000000
BRL
2024-07-02
-4836.970000
N
N
N
BANK OF AMERICA CORPORATION
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BANK OF AMERICA CORP SR UNSECURED 01/27 VAR
06051GLE7
1300000.000000
PA
USD
1292560.270000
0.689792
Long
DBT
CORP
US
N
2
2027-01-20
Floating
5.08
N
N
N
N
N
N
N/A
N/A
BOUGHT EUR SOLD USD 20240702
000000000
1.000000
NC
-556.790000
-0.0002971
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
116219.440000
USD
108000.000000
EUR
2024-07-02
-556.790000
N
N
N
N/A
N/A
SOLD CHF BOUGHT USD 20240702
000000000
1.000000
NC
2967.260000
0.0015835
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
675000.000000
CHF
754261.160000
USD
2024-07-02
2967.260000
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2024 3 A2
80287LAB5
600000.000000
PA
USD
600243.480000
0.320328
Long
ABS-O
CORP
US
N
2
2027-06-15
Fixed
5.91
N
N
N
N
N
N
N/A
N/A
DJIA MINI E-CBOT SEP24 XCBT 20240920
000000000
-48.000000
NC
USD
-99998.780000
-0.0533656
N/A
DE
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
DOW JONES INDUSTRIAL AVERAGE
2024-09-20
-9472560.000000
USD
-99998.780000
N
N
N
N/A
N/A
SOLD MXN BOUGHT USD 20240918
000000000
1.000000
NC
-321.580000
-0.0001716
N/A
DFE
MX
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
703000.000000
MXN
37645.340000
USD
2024-09-18
-321.580000
N
N
N
SOFI CONSUMER LOAN PROGRAM 2023-1S TRUST
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2023 1S A 144A
83407EAA2
98759.690000
PA
USD
98747.900000
0.0526981
Long
ABS-O
CORP
US
N
2
2031-05-15
Fixed
5.81
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 09/24 0.00000
912797LA3
2900000.000000
PA
USD
2873005.520000
1.53322
Long
DBT
UST
US
N
2
2024-09-03
None
0
N
N
N
N
N
N
N/A
N/A
SOLD TWD BOUGHT USD 20240715
000000000
1.000000
NC
1901.470000
0.0010147
N/A
DFE
TW
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
13823975.000000
TWD
427248.000000
USD
2024-07-15
1901.470000
N
N
N
OAKTREE CLO 2019-1A
N/A
OAKTREE CLO LTD OAKCL 2019 1A A1R 144A
67401XAS0
1300000.000000
PA
USD
1301822.610000
0.694735
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
6.69617
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
MERCK + CO. INC. COMMON STOCK USD.5
58933Y105
1601.000000
NS
USD
198203.800000
0.105774
Long
EC
CORP
US
N
1
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 09/24 0.00000
ACI2PFXW4
310000000.000000
PA
1926707.130000
1.02821
Long
DBT
NUSS
JP
N
2
2024-09-09
None
0
N
N
N
N
N
N
N/A
N/A
BOUGHT NZD SOLD USD 20240802
000000000
1.000000
NC
-258.830000
-0.0001381
N/A
DFE
NZ
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
199022.240000
USD
326320.000000
NZD
2024-08-02
-258.830000
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9
345397B51
200000.000000
PA
USD
180976.530000
0.0965805
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
2.9
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A
N/A
WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2023 3A A2B 144A
96041CAE2
350259.250000
PA
USD
350672.490000
0.187141
Long
ABS-O
CORP
US
N
2
2026-10-15
Floating
6.00303
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
986887.300000
0.526665
Long
ABS-O
CORP
US
N
2
2025-12-26
Fixed
1.21
N
N
N
N
N
N
N/A
N/A
SOLD AUD BOUGHT USD 20240702
000000000
1.000000
NC
-3989.610000
-0.0021291
N/A
DFE
AU
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
758000.000000
AUD
501672.070000
USD
2024-07-02
-3989.610000
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
597885.300000
0.319069
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.96971
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1
N/A
AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A1
023947AA2
1341735.950000
PA
USD
1341906.350000
0.716126
Long
ABS-O
CORP
US
N
2
2025-06-18
Fixed
5.62
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO COMMON STOCK USD.2
025816109
1601.000000
NS
USD
370711.550000
0.197835
Long
EC
CORP
US
N
1
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG
952NPH004
200000.000000
PA
USD
24000.000000
0.0128079
Long
DBT
CORP
US
N
3
2060-12-31
None
0
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20250402
000000000
1.000000
NC
6031.270000
0.0032187
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1100000.000000
BRL
196768.380000
USD
2025-04-02
6031.270000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/25 0.25
912828H45
2911986.000000
PA
USD
2851906.110000
1.52196
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25
N
N
N
N
N
N
N/A
N/A
SOLD CAD BOUGHT USD 20240802
000000000
1.000000
NC
-637.860000
-0.0003404
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1030953.120000
CAD
753490.000000
USD
2024-08-02
-637.860000
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A
N/A
WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2023 4A A2 144A
96041AAC0
968170.730000
PA
USD
969919.730000
0.51761
Long
ABS-O
CORP
US
N
2
2027-01-15
Fixed
6.23
N
N
N
N
N
N
SLC STUDENT LOAN TRUST 2010-1
N/A
SLC STUDENT LOAN TRUST SLCLT 2010 1 A
78444WAA7
79985.600000
PA
USD
80055.000000
0.0427224
Long
ABS-O
CORP
US
N
2
2042-11-25
Floating
6.4853
N
N
N
N
N
N
N/A
N/A
BOUGHT MXN SOLD USD 20240918
000000000
1.000000
NC
6260.470000
0.003341
N/A
DFE
MX
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
221325.040000
USD
4214000.000000
MXN
2024-09-18
6260.470000
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A
N/A
WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2023 3A A2A 144A
96041CAC6
350259.250000
PA
USD
350644.610000
0.187126
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
5.96
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2023 2 A2
80287JAB0
96440.460000
PA
USD
96464.470000
0.0514795
Long
ABS-O
CORP
US
N
2
2026-03-16
Fixed
5.87
N
N
N
N
N
N
N/A
N/A
CDX IG41 5Y ICE
000000000
1.000000
NC
USD
64184.500000
0.0342529
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.41
Y
Single Leg Swap
2028-12-20
66025.910000
USD
0.000000
USD
3000000.000000
USD
-1841.410000
N
N
N
N/A
N/A
SOLD TWD BOUGHT USD 20240715
000000000
1.000000
NC
465.490000
0.0002484
N/A
DFE
TW
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3181913.000000
TWD
98369.000000
USD
2024-07-15
465.490000
N
N
N
MCDONALDS CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD S CORP COMMON STOCK USD.01
580135101
1601.000000
NS
USD
407998.840000
0.217734
Long
EC
CORP
US
N
1
N
N
N
UPSTART SECURITIZATION TRUST 2022-1
N/A
UPSTART SECURITIZATION TRUST UPST 2022 1 A 144A
91679WAA6
149147.400000
PA
USD
148453.570000
0.0792242
Long
ABS-O
CORP
US
N
2
2032-03-20
Fixed
3.12
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.64960 03/01/24-4Y* LCH
000000000
1.000000
NC
USD
42663.600000
0.022768
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2028-05-31
0.000000
USD
0.000000
USD
2100000.000000
USD
42663.600000
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20250402
000000000
1.000000
NC
451.320000
0.0002409
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
100000.000000
BRL
17791.060000
USD
2025-04-02
451.320000
N
N
N
N/A
N/A
RFRF USD SF+26.161/2.00 7/15/23-27Y* CME
000000000
1.000000
NC
USD
34013.330000
0.0181517
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2050-01-15
0.000000
USD
-18291.470000
USD
100000.000000
USD
52304.800000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H26
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H26 FC
38376RN28
566005.920000
PA
USD
567359.860000
0.302779
Long
ABS-MBS
USGSE
US
N
2
2066-12-20
Floating
6.43732
N
N
N
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240722
000000000
1.000000
NC
177747.670000
0.0948574
N/A
DFE
JP
N
2
NOMURA GLOBAL FINANCIAL PRODUCTS INC.
0Z3VO5H2G7GRS05BHJ91
450000000.000000
JPY
2983198.430000
USD
2024-07-22
177747.670000
N
N
N
LCM 30 LTD
N/A
LCM LTD PARTNERSHIP LCM 30A AR 144A
50200YAQ1
600000.000000
PA
USD
600333.980000
0.320376
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.66617
N
N
N
N
N
N
N/A
N/A
BOUGHT PLN SOLD USD 20240722
000000000
1.000000
NC
-5967.780000
-0.0031848
N/A
DFE
PL
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
751880.700000
USD
3003388.210000
PLN
2024-07-22
-5967.780000
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM)
VGRQXHF3J8VDLUA7XE92
INTL BUSINESS MACHINES CORP COMMON STOCK USD.2
459200101
1601.000000
NS
USD
276892.950000
0.147768
Long
EC
CORP
US
N
1
N
N
N
VENTURE XXVIII CLO LTD 2017-28A
N/A
VENTURE CDO LTD VENTR 2017 28A A1R 144A
92331AAU8
810735.860000
PA
USD
811973.480000
0.43332
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.57617
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
740804.400000
0.39534
Long
ABS-O
CORP
US
N
2
2036-03-20
Fixed
1.86
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 09/24 0.00000
912797GL5
2300000.000000
PA
USD
2278045.400000
1.21571
Long
DBT
UST
US
N
2
2024-09-05
None
0
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240702
000000000
1.000000
NC
3576.490000
0.0019086
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
1058000.000000
EUR
1136642.090000
USD
2024-07-02
3576.490000
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 05/25 5.8
02005NBJ8
100000.000000
PA
USD
99933.700000
0.0533309
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.8
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
671655.050000
0.358437
Long
ABS-O
CORP
JP
N
2
2029-04-10
Fixed
2.82
N
N
N
N
N
N
JOHNSON & JOHNSON COMPANY
549300G0CFPGEF6X2043
JOHNSON + JOHNSON COMMON STOCK USD1.0
478160104
1601.000000
NS
USD
234002.160000
0.124878
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240715
000000000
1.000000
NC
136.680000
0.0000729
N/A
DFE
IN
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
36520.000000
USD
3057395.970000
INR
2024-07-15
136.680000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 10/27 0.5
91282CAU5
600000.000000
PA
USD
526781.250000
0.281124
Long
DBT
UST
US
N
2
2027-10-31
Fixed
0.5
N
N
N
N
N
N
N/A
N/A
AT&T INC SNR S* ICE
000000000
1.000000
NC
USD
1316.420000
0.0007025
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
-242.970000
N
N
N
N/A
N/A
CDX EM34 ICE
000000000
1.000000
NC
USD
-3363.650000
-0.0017951
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
7676.350000
N
N
N
N/A
N/A
SOLD SGD BOUGHT USD 20240702
000000000
1.000000
NC
229.780000
0.0001226
N/A
DFE
SG
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
68000.000000
SGD
50377.270000
USD
2024-07-02
229.780000
N
N
N
CHASE HOME LENDING MORTGAGE TRUST 2024-6
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2024 6 A11 144A
161931AP5
500000.000000
PA
USD
500935.100000
0.267331
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Floating
6.58535
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
1301722.160000
0.694681
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
6.67017
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/28 2.75
654740BT5
200000.000000
PA
USD
178396.200000
0.0952034
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
2.75
N
N
N
N
N
N
N/A
N/A
SOLD DKK BOUGHT USD 20240702
000000000
1.000000
NC
-27.070000
-0.0000144
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
82724.640000
DKK
11852.000000
USD
2024-07-02
-27.070000
N
N
N
N/A
N/A
SOLD CNH BOUGHT USD 20241025
000000000
1.000000
NC
6360.260000
0.0033942
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
8365000.000000
CNY
1161911.340000
USD
2024-10-25
6360.260000
N
N
N
BANK OF AMERICA CREDIT CARD TRUST 2023-A2
N/A
BANK OF AMERICA CREDIT CARD TR BACCT 2023 A2 A2
05522RDH8
900000.000000
PA
USD
899998.560000
0.480296
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Fixed
4.98
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2022-2
N/A
CAPITAL ONE PRIME AUTO RECEIVA COPAR 2022 2 A2B
14043GAC8
12463.260000
PA
USD
12465.430000
0.0066523
Long
ABS-O
CORP
US
N
2
2025-09-15
Floating
5.98303
N
N
N
N
N
N
SCCU AUTO RECEIVABLES TRUST 2023-1A
N/A
SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A
805922AE1
500000.000000
PA
USD
503239.300000
0.26856
Long
ABS-O
CORP
US
N
2
2028-10-16
Fixed
5.7
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
135469.180000
PA
USD
135503.290000
0.0723131
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.38617
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240904
000000000
1.000000
NC
-3740.830000
-0.0019963
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
128674.000000
USD
703306.350000
BRL
2024-09-04
-3740.830000
N
N
N
PARK PLACE SEC INC 2005-WHQ1
N/A
PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M6
70069FGF8
106000.000000
PA
USD
96601.540000
0.0515527
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.62971
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2005-B
N/A
SLM STUDENT LOAN TRUST SLMA 2005 B A4
78443CCB8
915922.160000
PA
USD
897917.420000
0.479185
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
5.93083
N
N
N
N
N
N
N/A
N/A
US 10YR ULTRA FUT SEP24 XCBT 20240919
000000000
7.000000
NC
USD
2450.990000
0.001308
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-09-19
793023.430000
USD
2450.990000
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 09/24 0.00000
ACI2PV609
140000000.000000
PA
870124.930000
0.464353
Long
DBT
NUSS
JP
N
2
2024-09-30
None
0
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST 2024-A
N/A
HYUNDAI AUTO RECEIVABLES TRUST HART 2024 A A2A
448973AB3
500000.000000
PA
USD
499199.600000
0.266404
Long
ABS-O
CORP
US
N
2
2027-04-15
Fixed
5.29
N
N
N
N
N
N
FREDDIE MAC REMICS 3350
N/A
FREDDIE MAC FHR 3350 FA
31397JNP5
82520.240000
PA
USD
82328.850000
0.0439359
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Floating
5.97751
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240702
000000000
1.000000
NC
-2409.670000
-0.001286
N/A
DFE
BR
N
2
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
431740.090000
USD
2400000.000000
BRL
2024-07-02
-2409.670000
N
N
N
INDEPENDENCE PLAZA TRUST 2018-INDP
N/A
INDEPENDENCE PLAZA TRUST IPT 2018 INDP B 144A
45378YAL8
300000.000000
PA
USD
285443.520000
0.152331
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
3.911
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 03/27 VAR
38141GYA6
400000.000000
PA
USD
373387.100000
0.199263
Long
DBT
CORP
US
N
2
2027-03-09
Floating
1.431
N
N
N
N
N
N
HONEYWELL INTERNATIONAL INC
ISRPG12PN4EIEOEMW547
HONEYWELL INTERNATIONAL INC COMMON STOCK USD1.0
438516106
1601.000000
NS
USD
341877.540000
0.182447
Long
EC
CORP
US
N
1
N
N
N
AMAZONCOM INC
ZXTILKJKG63JELOEG630
AMAZON.COM INC COMMON STOCK USD.01
023135106
1601.000000
NS
USD
309393.250000
0.165112
Long
EC
CORP
US
N
1
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 04/25 1
ACI2M2QV6
4500000.000000
PA
636096.150000
0.339461
Long
DBT
CORP
DK
N
2
2025-04-01
Fixed
1
N
N
N
N
N
N
SALESFORCE INC
RCGZFPDMRW58VJ54VR07
SALESFORCE INC COMMON STOCK USD.001
79466L302
1601.000000
NS
USD
411617.100000
0.219665
Long
EC
CORP
US
N
1
N
N
N
JACKSON NATIONAL LIFE GLOBAL FUNDING
635400PQXLYXWJI5QD78
JACKSON NATL LIFE GLOBAL SR SECURED 144A 04/26 5.6
46849LUZ2
400000.000000
PA
USD
399326.140000
0.213106
Long
DBT
CORP
US
N
2
2026-04-10
Fixed
5.6
N
N
N
N
N
N
N/A
N/A
CDX IG40 5Y ICE
000000000
1.000000
NC
USD
8544.270000
0.0045598
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.40
Y
Single Leg Swap
2028-06-20
5774.820000
USD
0.000000
USD
400000.000000
USD
2769.450000
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-A
N/A
HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2024 A A2
412922AB2
500000.000000
PA
USD
500343.600000
0.267015
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
5.65
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/25 0.375
912828XL9
2776242.000000
PA
USD
2706771.930000
1.4445
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.375
N
N
N
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240917
000000000
1.000000
NC
101381.250000
0.0541034
N/A
DFE
JP
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
570000000.000000
JPY
3685629.990000
USD
2024-09-17
101381.250000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240701
000000000
1.000000
NC
67569.670000
0.0360594
N/A
DFE
JP
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
140000000.000000
JPY
937729.410000
USD
2024-07-01
67569.670000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 11/26 3.5
38145GAH3
200000.000000
PA
USD
192003.030000
0.102465
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.5
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/32 0.625
91282CEZ0
323706.000000
PA
USD
290397.100000
0.154974
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.625
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
3685.210000
0.0019667
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
698699.820000
BRL
128674.000000
USD
2024-07-02
3685.210000
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE COMMON STOCK USD5.0
097023105
1601.000000
NS
USD
291398.010000
0.155508
Long
EC
CORP
US
N
1
N
N
N
DT AUTO OWNER TRUST 2023-3A
N/A
DT AUTO OWNER TRUST DTAOT 2023 3A A 144A
23345WAA3
431353.840000
PA
USD
432500.640000
0.23081
Long
ABS-O
CORP
US
N
2
2027-08-16
Fixed
6.29
N
N
N
N
N
N
N/A
N/A
MSCI EAFE SEP24 IFUS 20240920
000000000
804.000000
NC
USD
367068.690000
0.195891
N/A
DE
US
N
1
ICE FUTURES US
5493004R83R1LVX2IL36
Long
MSCI EAFE INDEX
N/A
N/A
2024-09-20
94196640.000000
USD
367068.690000
N
N
N
UPSTART SECURITIZATION TRUST 2023-1
N/A
UPSTART SECURITIZATION TRUST UPST 2023 1 A 144A
91679AAA4
212908.400000
PA
USD
213111.470000
0.11373
Long
ABS-O
CORP
US
N
2
2033-02-20
Fixed
6.59
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 04/26 VAR
06051GKN8
200000.000000
PA
USD
201324.480000
0.107439
Long
DBT
CORP
US
N
2
2026-04-02
Floating
6.6781
N
N
N
N
N
N
N/A
N/A
S+P500 EMINI FUT SEP24 XCME 20240920
000000000
341.000000
NC
USD
121931.740000
0.0650705
N/A
DE
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
S&P 500 INDEX
N/A
N/A
2024-09-20
94141575.000000
USD
121931.740000
N
N
N
N/A
N/A
BOUGHT ZAR SOLD USD 20240719
000000000
1.000000
NC
8921.310000
0.004761
N/A
DFE
ZA
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
770003.320000
USD
14189451.010000
ZAR
2024-07-19
8921.310000
N
N
N
VOLKSWAGEN AUTO LEASE TRUST 2024-A
N/A
VOLKSWAGEN AUTO LEASE TRUST VWALT 2024 A A2A
92866EAB5
1000000.000000
PA
USD
999551.000000
0.533423
Long
ABS-O
CORP
US
N
2
2026-12-21
Fixed
5.4
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240702
000000000
1.000000
NC
-3666.030000
-0.0019564
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
93109.870000
USD
500000.000000
BRL
2024-07-02
-3666.030000
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC COMPANY GUAR 03/25 3.638
55903VAZ6
200000.000000
PA
USD
196936.670000
0.105098
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.638
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
702334.150000
PA
USD
707144.930000
0.377377
Long
ABS-O
CORP
US
N
2
2055-02-16
Floating
6.78303
N
N
N
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240715
000000000
1.000000
NC
144.690000
0.0000772
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
40260.000000
USD
3370003.560000
INR
2024-07-15
144.690000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 05/26 VAR
902613AN8
400000.000000
PA
USD
403369.200000
0.215263
Long
DBT
CORP
CH
N
2
2026-05-12
Floating
6.92272
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
250146.040000
0.133494
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
6.71617
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2019-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2019 BA A2B 144A
63941LAC7
231645.300000
PA
USD
231413.240000
0.123497
Long
ABS-O
CORP
US
N
2
2059-12-15
Floating
6.42332
N
N
N
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240715
000000000
1.000000
NC
109.230000
0.0000583
N/A
DFE
IN
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
29214.000000
USD
2445740.570000
INR
2024-07-15
109.230000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240909
000000000
1.000000
NC
70557.040000
0.0376537
N/A
DFE
JP
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
310000000.000000
JPY
2017546.140000
USD
2024-09-09
70557.040000
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC COMPANY GUAR 144A 08/24 1.55
23371DAJ3
500000.000000
PA
USD
497973.050000
0.26575
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
1.55
N
N
N
N
N
N
N/A
N/A
SOLD TWD BOUGHT USD 20240715
000000000
1.000000
NC
652.940000
0.0003484
N/A
DFE
TW
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4582800.000000
TWD
141660.000000
USD
2024-07-15
652.940000
N
N
N
TRICOLOR AUTO SECURITIZATION TRUST 2024-2
N/A
TRICOLOR AUTO SECURITIZATION T TAST 2024 2A A 144A
89616PAA1
479358.250000
PA
USD
479788.230000
0.256045
Long
ABS-O
CORP
US
N
2
2027-12-15
Fixed
6.36
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 05/43 3.875
912810TS7
400000.000000
PA
USD
361023.440000
0.192665
Long
DBT
UST
US
N
2
2043-05-15
Fixed
3.875
N
N
N
N
N
N
N/A
N/A
SOLD KRW BOUGHT USD 20240715
000000000
1.000000
NC
571.910000
0.0003052
N/A
DFE
KR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
964062309.000000
KRW
699554.000000
USD
2024-07-15
571.910000
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240702
000000000
1.000000
NC
-1103.120000
-0.0005887
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
197646.980000
USD
1098699.820000
BRL
2024-07-02
-1103.120000
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
600437.250000
0.320431
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
7.38617
N
N
N
N
N
N
COLLEGE AVE STUDENT LOANS LLC 2021-B
N/A
COLLEGE AVE STUDENT LOANS CASL 2021 B A1 144A
19425AAA2
965774.800000
PA
USD
950587.510000
0.507293
Long
ABS-O
CORP
US
N
2
2052-06-25
Floating
6.25971
N
N
N
N
N
N
N/A
N/A
BOUGHT NZD SOLD USD 20240802
000000000
1.000000
NC
-552.000000
-0.0002946
N/A
DFE
NZ
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
99641.340000
USD
162680.000000
NZD
2024-08-02
-552.000000
N
N
N
N/A
N/A
SOLD AUD BOUGHT USD 20240702
000000000
1.000000
NC
20.520000
0.000011
N/A
DFE
AU
N
2
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
273000.000000
AUD
182138.780000
USD
2024-07-02
20.520000
N
N
N
SYNCHRONY CARD ISSUANCE TRUST 2022-A1
N/A
SYNCHRONY CARD ISSUANCE TRUST SYNIT 2022 A1 A
87166PAG6
500000.000000
PA
USD
491303.100000
0.26219
Long
ABS-MBS
CORP
US
N
2
2028-04-15
Fixed
3.37
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
170843.950000
PA
USD
169526.910000
0.0904702
Long
ABS-O
CORP
US
N
2
2027-07-15
Fixed
1.31
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
353218.680000
PA
USD
353483.590000
0.188641
Long
ABS-CBDO
CORP
KY
N
2
2030-08-14
Floating
6.53359
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/24 VAR
89236TKY0
500000.000000
PA
USD
500250.800000
0.266965
Long
DBT
CORP
US
N
2
2024-08-22
Floating
5.92
N
N
N
N
N
N
BANK OF AMERICA CREDIT CARD TRUST 2023-A1
N/A
BANK OF AMERICA CREDIT CARD TR BACCT 2023 A1 A1
05522RDG0
500000.000000
PA
USD
496953.250000
0.265206
Long
ABS-MBS
CORP
US
N
2
2028-05-15
Fixed
4.79
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 10/25 0.125
91282CAQ4
2658172.000000
PA
USD
2571051.610000
1.37208
Long
DBT
UST
US
N
2
2025-10-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 10/24 0.125
912828YL8
4398984.000000
PA
USD
4355119.000000
2.32417
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.125
N
N
N
N
N
N
MORGAN STANLEY BANK NA
G1MLHIS0N32I3QPILB75
MORGAN STANLEY BANK NA SR UNSECURED 05/28 VAR
61690U8B9
250000.000000
PA
USD
251758.310000
0.134354
Long
DBT
CORP
US
N
2
2028-05-26
Floating
5.504
N
N
N
N
N
N
N/A
N/A
BOUGHT DKK SOLD USD 20240702
000000000
1.000000
NC
-158.690000
-0.0000847
N/A
DFE
DK
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
11628.000000
USD
79871.160000
DKK
2024-07-02
-158.690000
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240702
000000000
1.000000
NC
3450.390000
0.0018413
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
444000.000000
GBP
564710.550000
USD
2024-07-02
3450.390000
N
N
N
OBX 2023-NQM6 TRUST
N/A
ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A
67117VAA8
736942.280000
PA
USD
740256.310000
0.395047
Long
ABS-MBS
CORP
US
N
2
2063-07-25
Variable
6.52
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC3 1A1
021464AA0
194124.450000
PA
USD
171450.210000
0.0914966
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
5.81971
N
N
N
N
N
N
N/A
N/A
SOLD SGD BOUGHT USD 20240802
000000000
1.000000
NC
-74.550000
-0.0000398
N/A
DFE
SG
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
473025.590000
SGD
349280.170000
USD
2024-08-02
-74.550000
N
N
N
BSPRT-2021-FL6
N/A
BSPRT ISSUER, LTD. BSPRT 2021 FL6 A 144A
05601HAA2
1352693.710000
PA
USD
1342513.170000
0.71645
Long
ABS-CBDO
CORP
KY
N
2
2036-03-15
Floating
6.54332
N
N
N
N
N
N
N/A
N/A
BOUGHT CHF SOLD USD 20240702
000000000
1.000000
NC
-1238.730000
-0.0006611
N/A
DFE
CH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1064706.540000
USD
955472.650000
CHF
2024-07-02
-1238.730000
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE SR UNSECURED 05/25 5
02665WEJ6
500000.000000
PA
USD
498253.230000
0.265899
Long
DBT
CORP
US
N
2
2025-05-23
Fixed
5
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
1301495.000000
0.69456
Long
ABS-CBDO
CORP
KY
N
2
2032-04-22
Floating
6.66617
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2023 4A A2
30166TAB9
257395.830000
PA
USD
257516.860000
0.137427
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
6.07
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 08/24 0.00000
ACI2P5NF4
550000000.000000
PA
3418392.380000
1.82427
Long
DBT
NUSS
JP
N
2
2024-08-19
None
0
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/25 5.8
928668BU5
250000.000000
PA
USD
250611.710000
0.133742
Long
DBT
CORP
US
N
2
2025-09-12
Fixed
5.8
N
N
N
N
N
N
FREDDIE MAC REMICS 4638
N/A
FREDDIE MAC FHR 4638 FA
3137BTH38
80640.980000
PA
USD
80284.550000
0.0428449
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
5.88254
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
608603.460000
0.324789
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
7.18471
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO COMMON STOCK USD1.0
46625H100
1601.000000
NS
USD
323818.260000
0.17281
Long
EC
CORP
US
N
1
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G18659 FG 09/32 FIXED 3
3128MMWV1
419970.300000
PA
USD
397717.350000
0.212247
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/27 VAR
06738ECF0
500000.000000
PA
USD
500974.110000
0.267351
Long
DBT
CORP
GB
N
2
2027-05-09
Floating
5.829
N
N
N
N
N
N
N/A
N/A
SOLD AUD BOUGHT USD 20240802
000000000
1.000000
NC
-814.940000
-0.0004349
N/A
DFE
AU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1031000.000000
AUD
687545.440000
USD
2024-08-02
-814.940000
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
11204.330000
0.0059793
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
500000.000000
BRL
100648.170000
USD
2024-07-02
11204.330000
N
N
N
GLS AUTO RECEIVABLES ISSUER TRUST 2024-1A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2024 1A A2 144A
36269HAB8
700000.000000
PA
USD
698981.570000
0.373021
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
5.57
N
N
N
N
N
N
MICROSOFT CORPORATION
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP COMMON STOCK USD.00000625
594918104
1601.000000
NS
USD
715566.950000
0.381872
Long
EC
CORP
US
N
1
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR
80281LAS4
200000.000000
PA
USD
202735.730000
0.108193
Long
DBT
CORP
GB
N
2
2026-11-21
Floating
6.833
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) SEP24 XCBT 20240930
000000000
20.000000
NC
USD
6379.880000
0.0034047
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-09-30
4084453.120000
USD
6379.880000
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HOME DEPOT INC COMMON STOCK USD.05
437076102
1601.000000
NS
USD
551128.240000
0.294117
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
803.440000
0.0004288
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
800218.340000
BRL
143952.640000
USD
2024-07-02
803.440000
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815
345397YT4
200000.000000
PA
USD
187710.560000
0.100174
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
3.815
N
N
N
N
N
N
N/A
N/A
SOLD DKK BOUGHT USD 20250401
000000000
1.000000
NC
5929.660000
0.0031644
N/A
DFE
DK
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3100000.000000
DKK
458283.980000
USD
2025-04-01
5929.660000
N
N
N
CARMAX AUTO OWNER TRUST 2023-3
N/A
CARMAX AUTO OWNER TRUST CARMX 2023 3 A2A
14319BAB8
354813.580000
PA
USD
354842.990000
0.189367
Long
ABS-O
CORP
US
N
2
2026-11-16
Fixed
5.72
N
N
N
N
N
N
GLS AUTO RECEIVABLES ISSUER TRUST 2024-2A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2024 2A A2 144A
37964VAB3
500000.000000
PA
USD
500117.700000
0.266894
Long
ABS-O
CORP
US
N
2
2027-06-15
Fixed
5.77
N
N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
855000.000000
PA
USD
855000.000000
0.456282
Long
RA
US
N
2
Repurchase
N
2.600000
2024-07-01
682200.000000
USD
872268.380000
USD
UST
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240702
000000000
1.000000
NC
12585.430000
0.0067164
N/A
DFE
JP
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
96200000.000000
JPY
610509.480000
USD
2024-07-02
12585.430000
N
N
N
N/A
N/A
RFR USD SOFR/3.65543 03/01/24-4Y* LCH
000000000
1.000000
NC
USD
4020.490000
0.0021456
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2028-05-31
0.000000
USD
0.000000
USD
200000.000000
USD
4020.490000
N
N
N
N/A
N/A
BOUGHT MXN SOLD USD 20240715
000000000
1.000000
NC
2881.430000
0.0015377
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
221023.000000
USD
4104352.910000
MXN
2024-07-15
2881.430000
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.7* 7/22/23-27Y* CME
000000000
1.000000
NC
USD
266387.330000
0.142161
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2050-01-22
0.000000
USD
-86343.340000
USD
700000.000000
USD
352730.670000
N
N
N
GREENSTATE AUTO RECEIVABLES TRUST 2024-1A
N/A
GREENSTATE AUTO RECEIVABLES TR GRNST 2024 1A A1 144A
39573AAA0
146181.250000
PA
USD
146184.010000
0.078013
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
5.601
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 08/31 VAR
404280CK3
300000.000000
PA
USD
250772.650000
0.133828
Long
DBT
CORP
GB
N
2
2031-08-18
Floating
2.357
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
30674.780000
0.01637
N/A
DFE
BR
N
2
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
1600000.000000
BRL
316895.060000
USD
2024-07-02
30674.780000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)SEP24 XCBT 20240919
000000000
18.000000
NC
USD
8271.310000
0.0044141
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-09-19
1977328.120000
USD
8271.310000
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240702
000000000
1.000000
NC
-3706.800000
-0.0019782
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
146856.000000
USD
800218.340000
BRL
2024-07-02
-3706.800000
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2021-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2021 B A 144A
78449YAA8
344543.100000
PA
USD
313462.110000
0.167283
Long
ABS-O
CORP
US
N
2
2051-07-17
Fixed
1.31
N
N
N
N
N
N
SBNA AUTO LEASE TRUST 2024-A
N/A
SBNA AUTO LEASE TRUST SBALT 2024 A A2 144A
78414SAC8
465408.930000
PA
USD
464956.690000
0.24813
Long
ABS-O
CORP
US
N
2
2026-01-20
Fixed
5.45
N
N
N
N
N
N
BLUEMOUNTAIN FUJI EUR CLO III DAC 3A
N/A
BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A1R 144A
ACI1XNPD1
446584.400000
PA
477864.110000
0.255018
Long
ABS-CBDO
CORP
IE
N
2
2031-01-15
Floating
4.626
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 3AV4
12666RAV2
418512.780000
PA
USD
406046.670000
0.216692
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
5.93971
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.75000 12/20/23-5Y CME
000000000
1.000000
NC
USD
16704.030000
0.0089143
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-12-20
2775.290000
USD
0.000000
USD
700000.000000
USD
13928.740000
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV SR UNSECURED 03/26 3.869
456837BA0
1000000.000000
PA
USD
985636.970000
0.525998
Long
DBT
CORP
NL
N
2
2026-03-28
Floating
3.869
N
N
N
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240819
000000000
1.000000
NC
136403.400000
0.0727934
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
550000000.000000
JPY
3579831.880000
USD
2024-08-19
136403.400000
N
N
N
CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2022-A1
N/A
CAPITAL ONE MULTI ASSET EXECUT COMET 2022 A1 A1
14041NFZ9
600000.000000
PA
USD
588781.500000
0.314211
Long
ABS-MBS
CORP
US
N
2
2027-03-15
Fixed
2.8
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE SR UNSECURED 02/25 VAR
02665WFA4
400000.000000
PA
USD
400579.150000
0.213774
Long
DBT
CORP
US
N
2
2025-02-12
Floating
5.89272
N
N
N
N
N
N
N/A
N/A
BOUGHT EUR SOLD USD 20240702
000000000
1.000000
NC
2912.960000
0.0015545
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2307127.200000
USD
2157000.000000
EUR
2024-07-02
2912.960000
N
N
N
CARVANA AUTO RECEIVABLES TRUST 2024-P2
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A2
14688PAB0
500000.000000
PA
USD
500316.800000
0.267001
Long
ABS-O
CORP
US
N
2
2027-11-10
Fixed
5.63
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/31 0.125
91282CBF7
361299.000000
PA
USD
319045.580000
0.170263
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.125
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.75000 06/20/24-9Y CME
000000000
1.000000
NC
USD
78333.790000
0.0418038
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2033-06-20
0.000000
USD
-93511.040000
USD
4800000.000000
USD
171844.830000
N
N
N
N/A
N/A
SOUTHWEST AIRLINES CO SNR S* ICE
000000000
1.000000
NC
USD
976.620000
0.0005212
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
1405.010000
N
N
N
NOMURA HOME EQUITY LOAN INC 2006-HE1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2
65536HCT3
91372.980000
PA
USD
82737.900000
0.0441542
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
6.08971
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8
345397D83
200000.000000
PA
USD
200085.110000
0.106778
Long
DBT
CORP
US
N
2
2027-03-05
Fixed
5.8
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST 2023-2
N/A
CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 2 A2A 144A
17295FAB0
148232.040000
PA
USD
148495.660000
0.0792466
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
6.09
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240802
000000000
1.000000
NC
7651.520000
0.0040833
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
458237.250000
BRL
89325.000000
USD
2024-08-02
7651.520000
N
N
N
N/A
N/A
RFR USD SOFR/3.00000 06/21/23-7Y CME
000000000
1.000000
NC
USD
48979.210000
0.0261384
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2030-06-21
13134.910000
USD
0.000000
USD
900000.000000
USD
35844.300000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 10/24 0.00000
912797LT2
2300000.000000
PA
USD
2264791.210000
1.20864
Long
DBT
UST
US
N
2
2024-10-15
None
0
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 05/32 VAR
225401AU2
250000.000000
PA
USD
213344.270000
0.113854
Long
DBT
CORP
CH
N
2
2032-05-14
Floating
3.091
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA SR UNSECURED 06/27 5.4
06418GAH0
700000.000000
PA
USD
703459.310000
0.37541
Long
DBT
CORP
CA
N
2
2027-06-04
Fixed
5.4
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 04/28 VAR
95000U3L5
100000.000000
PA
USD
100888.370000
0.0538404
Long
DBT
CORP
US
N
2
2028-04-22
Floating
5.707
N
N
N
N
N
N
GOLDEN CREDIT CARD TRUST 2022-4A
N/A
GOLDEN CREDIT CARD TRUST GCCT 2022 4A A 144A
380881FP2
500000.000000
PA
USD
493107.750000
0.263153
Long
ABS-MBS
CORP
CA
N
2
2027-09-15
Fixed
4.31
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP COMMON STOCK USD.001
458140100
1601.000000
NS
USD
49582.970000
0.0264606
Long
EC
CORP
US
N
1
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC COMMON STOCK USD.0001
031162100
1601.000000
NS
USD
500232.450000
0.266956
Long
EC
CORP
US
N
1
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL COMPANY GUAR 03/25 6.051
65339KBP4
200000.000000
PA
USD
200431.820000
0.106963
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.051
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 07/24 0.00000
ACI2NQH75
450000000.000000
PA
2796908.450000
1.49261
Long
DBT
NUSS
JP
N
2
2024-07-22
None
0
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
587827.060000
PA
USD
532163.890000
0.283996
Long
ABS-O
CORP
US
N
2
2053-03-17
Fixed
1.34
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
484841.860000
PA
USD
485778.760000
0.259242
Long
ABS-CBDO
CORP
KY
N
2
2032-01-17
Floating
6.60868
N
N
N
N
N
N
SBNA AUTO LEASE TRUST 2024-A
N/A
SBNA AUTO LEASE TRUST SBALT 2024 A A3 144A
78414SAE4
800000.000000
PA
USD
798847.680000
0.426315
Long
ABS-O
CORP
US
N
2
2026-11-20
Fixed
5.39
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1
N/A
GM FINANCIAL SECURITIZED TERM GMCAR 2024 1 A3
36268GAD7
300000.000000
PA
USD
298370.310000
0.159229
Long
ABS-O
CORP
US
N
2
2028-12-18
Fixed
4.85
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
36045.550000
PA
USD
35958.130000
0.0191895
Long
ABS-O
CORP
US
N
2
2030-01-15
Fixed
4.97
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.66213 03/01/24-4Y* LCH
000000000
1.000000
NC
USD
47657.060000
0.0254328
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2028-05-31
0.000000
USD
0.000000
USD
2400000.000000
USD
47657.060000
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CAL EDISON 1ST MORTGAGE 02/27 4.875
842400JA2
100000.000000
PA
USD
99294.690000
0.0529899
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
4.875
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
433830.950000
PA
USD
432204.080000
0.230651
Long
ABS-CBDO
CORP
KY
N
2
2035-12-15
Floating
6.41332
N
N
N
N
N
N
N/A
N/A
AAPL US TRS EQUITY FEDL01+75 BOA
000000000
1.000000
NC
USD
-343453.730000
-0.183288
N/A
DE
US
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
N/A
APPLE INC
Y
2024-06-28
0.000000
USD
0.000000
USD
3774828.750000
USD
-343453.730000
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
467304.900000
0.249383
Long
ABS-O
CORP
US
N
2
2035-09-14
Fixed
1.75
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 04/26 VAR
46647PDB9
1000000.000000
PA
USD
1008515.520000
0.538207
Long
DBT
CORP
US
N
2
2026-04-26
Floating
6.66716
N
N
N
N
N
N
TRICOLOR AUTO SECURITIZATION TRUST 2024-1
N/A
TRICOLOR AUTO SECURITIZATION T TAST 2024 1A A 144A
89616LAA0
383706.500000
PA
USD
384527.560000
0.205208
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
6.61
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20250402
000000000
1.000000
NC
3659.500000
0.0019529
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
500000.000000
BRL
90358.190000
USD
2025-04-02
3659.500000
N
N
N
TTAN 2021-MHC
N/A
TTAN TTN 2021 MHC A 144A
87303TAA5
308630.600000
PA
USD
306391.150000
0.16351
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
6.29348
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2022-4
N/A
CARMAX AUTO OWNER TRUST CARMX 2022 4 A2B
14318UAC5
50583.180000
PA
USD
50607.460000
0.0270073
Long
ABS-O
CORP
US
N
2
2025-12-15
Floating
6.23303
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE
01F062689
2700000.000000
PA
USD
2746617.200000
1.46577
Long
ABS-MBS
USGSE
US
N
2
2054-08-15
Fixed
6.5
N
N
N
N
N
N
N/A
N/A
CDX EM40 ICE
000000000
1.000000
NC
USD
-7317.900000
-0.0039053
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
N/A
CDX.EM.40
Y
Single Leg Swap
2028-12-20
0.000000
USD
-10230.000000
USD
300000.000000
USD
2912.100000
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A
83406TAB8
405930.070000
PA
USD
380486.450000
0.203052
Long
ABS-O
CORP
US
N
2
2046-05-15
Fixed
2.54
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
603653.920000
0.322148
Long
DBT
CORP
US
N
2
2025-04-11
Floating
6.71117
N
N
N
N
N
N
GLS AUTO SELECT RECEIVABLES TRUST 2023-1A
N/A
GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A
36267FAE8
300000.000000
PA
USD
302234.040000
0.161291
Long
ABS-O
CORP
US
N
2
2028-10-16
Fixed
5.96
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
65911.770000
PA
USD
65613.700000
0.0350156
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
2.03
N
N
N
N
N
N
NAVSL-2021-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2021 BA A 144A
63942LAA0
460216.380000
PA
USD
404850.880000
0.216054
Long
ABS-O
CORP
US
N
2
2069-07-15
Fixed
0.94
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/53 4.125
912810TT5
300000.000000
PA
USD
279433.590000
0.149123
Long
DBT
UST
US
N
2
2053-08-15
Fixed
4.125
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC COMPANY GUAR 03/27 3.755
55903VBA0
200000.000000
PA
USD
189931.470000
0.101359
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.755
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY FRN 01/25 VAR
91282CGF2
18000000.000000
PA
USD
18017044.920000
9.61503
Long
DBT
UST
US
N
2
2025-01-31
Floating
5.50956
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING SR SECURED 144A 05/26 5.62
04685A3V1
600000.000000
PA
USD
600710.060000
0.320577
Long
DBT
CORP
US
N
2
2026-05-08
Fixed
5.62
N
N
N
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240715
000000000
1.000000
NC
118.290000
0.0000631
N/A
DFE
IN
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
32865.000000
USD
2751012.250000
INR
2024-07-15
118.290000
N
N
N
TRAVELERS COMPANIES INC
549300Y650407RU8B149
TRAVELERS COS INC/THE COMMON STOCK
89417E109
1601.000000
NS
USD
325547.340000
0.173733
Long
EC
CORP
US
N
1
N
N
N
REALKREDIT DANMARK A/S
549300NLOMBOWE943Y30
REALKREDIT DANMARK COVERED REGS 04/25 1
ACI2MSWK6
5100000.000000
PA
720044.800000
0.384261
Long
DBT
CORP
DK
N
2
2025-04-01
Fixed
1
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC COMMON STOCK USD.01
38141G104
1601.000000
NS
USD
724164.320000
0.38646
Long
EC
CORP
US
N
1
N
N
N
CITIZENS AUTO RECEIVABLES TRUST 2023-1
N/A
CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A2B 144A
17331KAC3
212512.970000
PA
USD
212885.950000
0.113609
Long
ABS-O
CORP
US
N
2
2026-07-15
Floating
6.28303
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 07/27 VAR
ACI1WKQ05
300000.000000
PA
352545.810000
0.188141
Long
DBT
CORP
GB
N
2
2027-07-24
Floating
1.75
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 08/25 VAR
44891ACL9
500000.000000
PA
USD
502152.160000
0.26798
Long
DBT
CORP
US
N
2
2025-08-04
Floating
6.49408
N
N
N
N
N
N
STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A
78486BAA2
875853.720000
PA
USD
859360.040000
0.458609
Long
ABS-CBDO
CORP
KY
N
2
2038-04-18
Floating
6.6464
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3
N/A
GM FINANCIAL AUTOMOBILE LEASIN GMALT 2023 3 A2A
379929AB8
461095.970000
PA
USD
461158.590000
0.246103
Long
ABS-O
CORP
US
N
2
2026-01-20
Fixed
5.58
N
N
N
N
N
N
N/A
N/A
SOLD KRW BOUGHT USD 20240715
000000000
1.000000
NC
71.260000
0.000038
N/A
DFE
KR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
88298427.000000
KRW
64091.000000
USD
2024-07-15
71.260000
N
N
N
N/A
N/A
BOUGHT GBP SOLD USD 20240702
000000000
1.000000
NC
-602.000000
-0.0003213
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
692064.400000
USD
547000.000000
GBP
2024-07-02
-602.000000
N
N
N
CITIZENS AUTO RECEIVABLES TRUST 2024-1
N/A
CITIZENS AUTO RECEIVABLES TRUS CITZN 2024 1 A2A 144A
17331QAB2
100000.000000
PA
USD
99895.300000
0.0533104
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
5.43
N
N
N
N
N
N
AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1
N/A
AMERICAN EXPRESS CREDIT ACCOUN AMXCA 2023 1 A
02582JJZ4
500000.000000
PA
USD
498062.600000
0.265798
Long
ABS-MBS
CORP
US
N
2
2028-05-15
Fixed
4.87
N
N
N
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240702
000000000
1.000000
NC
3230.890000
0.0017242
N/A
DFE
JP
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
18020453.000000
JPY
115235.690000
USD
2024-07-02
3230.890000
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240702
000000000
1.000000
NC
25519.880000
0.013619
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1466000.000000
EUR
1595533.270000
USD
2024-07-02
25519.880000
N
N
N
N/A
N/A
3 MONTH SOFR FUT JUN24 XCME 20240917
000000000
84.000000
NC
USD
1217.580000
0.0006498
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
N/A
90SOFR
2024-09-17
19876762.500000
USD
1217.580000
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2023 3 A2
80285XAB1
234303.080000
PA
USD
234529.250000
0.12516
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
6.08
N
N
N
N
N
N
CHEVRON CORPORATION
N/A
CHEVRON CORP COMMON STOCK USD.75
166764100
1601.000000
NS
USD
250428.420000
0.133644
Long
EC
CORP
US
N
1
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST 2024-A
N/A
HYUNDAI AUTO RECEIVABLES TRUST HART 2024 A A3
448973AD9
500000.000000
PA
USD
498511.450000
0.266037
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
4.99
N
N
N
N
N
N
N/A
N/A
SOLD SGD BOUGHT USD 20240702
000000000
1.000000
NC
1108.250000
0.0005914
N/A
DFE
SG
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
405728.690000
SGD
300318.200000
USD
2024-07-02
1108.250000
N
N
N
TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST
N/A
TOYOTA AUTO RECEIVABLES OWNER TAOT 2023 C A2A
89231FAB6
352176.400000
PA
USD
352186.470000
0.187949
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
5.6
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240702
000000000
1.000000
NC
-2803.680000
-0.0014962
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
92247.520000
USD
500000.000000
BRL
2024-07-02
-2803.680000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/45 0.75
912810RL4
133135.000000
PA
USD
99837.290000
0.0532795
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TRUST 2023-A
N/A
WORLD OMNI SELECT AUTO TRUST WOSAT 2023 A A2A
98163UAB6
337819.420000
PA
USD
337977.520000
0.180366
Long
ABS-O
CORP
US
N
2
2027-03-15
Fixed
5.92
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20250402
000000000
1.000000
NC
4693.450000
0.0025047
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
700000.000000
BRL
126071.610000
USD
2025-04-02
4693.450000
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC COMMON STOCK USD.1
92343V104
1601.000000
NS
USD
66025.240000
0.0352352
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
SOLD CHF BOUGHT USD 20240802
000000000
1.000000
NC
1214.570000
0.0006482
N/A
DFE
CH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
951942.300000
CHF
1064706.540000
USD
2024-08-02
1214.570000
N
N
N
N/A
N/A
GENERAL MOTORS COMPANY SNR S* ICE
000000000
1.000000
NC
USD
53151.400000
0.0283649
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
GENERAL MOTORS COMPANY
GENERAL MOTORS CO SR UNSEC
Y
Single Leg Swap
2028-06-20
42161.600000
USD
0.000000
USD
350000.000000
USD
10989.800000
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240715
000000000
1.000000
NC
3432.550000
0.0018318
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
974624.000000
USD
81576028.800000
INR
2024-07-15
3432.550000
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240702
000000000
1.000000
NC
-4108.700000
-0.0021927
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
111441.310000
USD
600000.000000
BRL
2024-07-02
-4108.700000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA SR UNSECURED 04/26 5.438
17325FBF4
1000000.000000
PA
USD
1003861.470000
0.535724
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
5.438
N
N
N
N
N
N
N/A
N/A
BOUGHT AUD SOLD USD 20240702
000000000
1.000000
NC
819.060000
0.0004371
N/A
DFE
AU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
686960.870000
USD
1031000.000000
AUD
2024-07-02
819.060000
N
N
N
N/A
N/A
RFR USD SOFR/3.80740 03/01/24-4Y* LCH
000000000
1.000000
NC
USD
1453.650000
0.0007758
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2028-05-31
0.000000
USD
0.000000
USD
100000.000000
USD
1453.650000
N
N
N
FANNIE MAE 2019-65
N/A
FANNIE MAE FNR 2019 65 F
3136B7AX9
471935.730000
PA
USD
464439.880000
0.247854
Long
ABS-MBS
USGSE
US
N
2
2059-11-25
Floating
5.89254
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
590957.760000
0.315372
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.572
N
N
N
N
N
N
N/A
N/A
BOUGHT DKK SOLD USD 20240702
000000000
1.000000
NC
-201.790000
-0.0001077
N/A
DFE
DK
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
17956.650000
USD
123643.100000
DKK
2024-07-02
-201.790000
N
N
N
GCAT 2024-NQM1 TRUST
N/A
GCAT GCAT 2024 NQM1 A1 144A
36169HAA1
457517.050000
PA
USD
456892.580000
0.243827
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Fixed
6.007
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240802
000000000
1.000000
NC
3750.840000
0.0020017
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
802905.810000
BRL
146856.000000
USD
2024-08-02
3750.840000
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/25 4.875
097023CT0
200000.000000
PA
USD
197914.560000
0.10562
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.875
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT SEP24 XCBT 20240919
000000000
5.000000
NC
USD
498.310000
0.0002659
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-09-19
622734.380000
USD
498.310000
N
N
N
MIZUHO FINANCIAL GROUP INC
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP SR UNSECURED 07/30 VAR
60687YDF3
200000.000000
PA
USD
199781.780000
0.106616
Long
DBT
CORP
JP
N
2
2030-07-10
Floating
5.382
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC COMMON STOCK USD.01
91324P102
1601.000000
NS
USD
815325.260000
0.435109
Long
EC
CORP
US
N
1
N
N
N
NAVIENT STUDENT LOAN TRUST 2015-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A
63939KAC3
213620.630000
PA
USD
214547.590000
0.114496
Long
ABS-O
CORP
US
N
2
2040-07-16
Floating
6.89332
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2A
N/A
SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 2A A2 144A
78397XAB0
500000.000000
PA
USD
500199.450000
0.266938
Long
ABS-O
CORP
US
N
2
2027-10-20
Fixed
5.71
N
N
N
N
N
N
N/A
N/A
BOUGHT JPY SOLD USD 20240702
000000000
1.000000
NC
-6926.240000
-0.0036963
N/A
DFE
JP
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
716250.000000
USD
114123099.000000
JPY
2024-07-02
-6926.240000
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 09/24 0.00000
ACI2PJMF5
570000000.000000
PA
3542640.870000
1.89058
Long
DBT
NUSS
JP
N
2
2024-09-17
None
0
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.25000 06/21/23-5Y CME
000000000
1.000000
NC
USD
44046.860000
0.0235062
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-06-21
4319.900000
USD
0.000000
USD
1300000.000000
USD
39726.960000
N
N
N
N/A
N/A
RFR USD SOFR/4.50000 06/20/24-1Y CME
000000000
1.000000
NC
USD
154777.330000
0.0825989
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2025-06-20
0.000000
USD
-95653.150000
USD
27900000.000000
USD
250430.480000
N
N
N
GREENSTATE AUTO RECEIVABLES TRUST 2024-1A
N/A
GREENSTATE AUTO RECEIVABLES TR GRNST 2024 1A A2 144A
39573AAB8
700000.000000
PA
USD
698909.610000
0.372982
Long
ABS-O
CORP
US
N
2
2027-08-16
Fixed
5.53
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES 2024-B OWNER TRUST
N/A
TOYOTA AUTO RECEIVABLES OWNER TAOT 2024 B A2B
89237NAC1
800000.000000
PA
USD
799970.400000
0.426915
Long
ABS-O
CORP
US
N
2
2027-03-15
Floating
5.68303
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
2811.280000
0.0015003
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2800000.000000
BRL
503696.770000
USD
2024-07-02
2811.280000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/48 1
912810SB5
127134.000000
PA
USD
97446.690000
0.0520037
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1
N
N
N
N
N
N
SCCU AUTO RECEIVABLES TRUST 2023-1A
N/A
SPACE COAST CREDIT UNION SCCU 2023 1A A2 144A
805922AC5
414947.460000
PA
USD
415078.750000
0.221512
Long
ABS-O
CORP
US
N
2
2027-05-17
Fixed
5.85
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 09/24 0.00000
ACI2PQ3V5
570000000.000000
PA
3542626.700000
1.89057
Long
DBT
NUSS
JP
N
2
2024-09-24
None
0
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 01/27 VAR
61747YEZ4
700000.000000
PA
USD
696267.870000
0.371572
Long
DBT
CORP
US
N
2
2027-01-28
Floating
5.05
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST 2023-1
N/A
CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A2A 144A
17331KAB5
212512.970000
PA
USD
212812.170000
0.11357
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
6.13
N
N
N
N
N
N
PIMCO FUNDS
549300F9QJIJF2GM8419
PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND
000000000
85336.640000
PA
USD
832373.610000
0.444207
Long
STIV
RF
US
N
1
N
N
N
MASTR ADJUSTABLE RATE MTGES TRU 2004-13
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A1
576433UF1
59707.010000
PA
USD
55593.230000
0.029668
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Floating
5.99413
N
N
N
N
N
N
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK NA SR UNSECURED 12/26 5.11
48125LRU8
300000.000000
PA
USD
300005.280000
0.160102
Long
DBT
CORP
US
N
2
2026-12-08
Fixed
5.11
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 01/28 0.75
91282CBJ9
7810000.000000
PA
USD
6858461.310000
3.66011
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.75
N
N
N
N
N
N
FANNIE MAE REMICS 2015-87
N/A
FANNIE MAE FNR 2015 87 BF
3136AQWE6
173492.930000
PA
USD
167276.990000
0.0892695
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Floating
5.74983
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
100934.290000
PA
USD
101016.620000
0.0539088
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
6.61617
N
N
N
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240716
000000000
1.000000
NC
127780.230000
0.0681916
N/A
DFE
JP
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
260000000.000000
JPY
1747229.630000
USD
2024-07-16
127780.230000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 08/26 VAR
38145GAN0
100000.000000
PA
USD
100472.380000
0.0536184
Long
DBT
CORP
US
N
2
2026-08-10
Floating
6.40789
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
VISA INC CLASS A SHARES COMMON STOCK USD.0001
92826C839
1601.000000
NS
USD
420214.470000
0.224253
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
RFRF USD SF+26.161/0.50 9/16/23-3Y* CME
000000000
1.000000
NC
USD
1081637.730000
0.57723
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2026-06-16
110058.810000
USD
0.000000
USD
13000000.000000
USD
971578.920000
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 07/24 0.00000
ACI2NGK99
140000000.000000
PA
870159.740000
0.464372
Long
DBT
NUSS
JP
N
2
2024-07-01
None
0
N
N
N
N
N
N
N/A
N/A
SOLD DKK BOUGHT USD 20240702
000000000
1.000000
NC
-12.300000
-0.0000066
N/A
DFE
DK
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
120548.290000
DKK
17298.160000
USD
2024-07-02
-12.300000
N
N
N
N/A
N/A
BOUGHT EUR SOLD USD 20240702
000000000
1.000000
NC
232.880000
0.0001243
N/A
DFE
N/A
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
277143.290000
USD
259000.000000
EUR
2024-07-02
232.880000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 01/27 VAR
902613AC2
400000.000000
PA
USD
373687.700000
0.199423
Long
DBT
CORP
CH
N
2
2027-01-30
Floating
1.364
N
N
N
N
N
N
DOW INC
5493003S21INSLK2IP73
DOW INC COMMON STOCK USD.01
260557103
1601.000000
NS
USD
84933.050000
0.0453256
Long
EC
CORP
US
N
1
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR
95000U3G6
100000.000000
PA
USD
103793.100000
0.0553905
Long
DBT
CORP
US
N
2
2029-10-23
Floating
6.303
N
N
N
N
N
N
N/A
N/A
TESCO PLC SNR SE ICE
000000000
1.000000
NC
8668.280000
0.0046259
N/A
DCR
GB
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
TESCO PLC
TESCO PLC SR UNSECURED EMTN REGS
Y
Single Leg Swap
2027-12-20
164.070000
EUR
0.000000
EUR
400000.000000
EUR
8504.210000
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
186635.080000
0.0996002
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC 2022-1
N/A
ENTERPRISE FLEET FINANCING LLC EFF 2022 1 A2 144A
29375JAB0
219732.830000
PA
USD
217552.530000
0.1161
Long
ABS-O
CORP
US
N
2
2028-01-20
Fixed
3.03
N
N
N
N
N
N
BANK OF AMERICA AUTO TRUST 2023-1A
N/A
BANK OF AMERICA AUTO TRUST BAAT 2023 1A A2 144A
06428AAB4
335477.100000
PA
USD
335733.140000
0.179168
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
5.83
N
N
N
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
191.470000
PA
USD
1862.780000
0.0009941
Long
STIV
RF
US
N
1
N
N
N
CROSS 2024-H4 MORTGAGE TRUST
N/A
CROSS MORTGAGE TRUST CROSS 2024 H4 A1 144A
22758HAA8
500000.000000
PA
USD
501349.050000
0.267551
Long
ABS-MBS
CORP
US
N
2
2069-07-25
Fixed
6.147
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15
842400JC8
400000.000000
PA
USD
399775.780000
0.213345
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.15
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.50000 12/20/23-7Y CME
000000000
1.000000
NC
USD
19492.900000
0.0104026
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2030-12-20
6118.030000
USD
0.000000
USD
500000.000000
USD
13374.870000
N
N
N
CARVANA AUTO RECEIVABLES TRUST 2023-P2
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A2 144A
14686TAB4
134178.160000
PA
USD
134218.980000
0.0716277
Long
ABS-O
CORP
US
N
2
2026-08-10
Fixed
5.98
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2023-1A
N/A
MARLETTE FUNDING TRUST MFT 2023 1A A 144A
57110PAA9
144196.970000
PA
USD
144197.750000
0.076953
Long
ABS-O
CORP
US
N
2
2033-04-15
Fixed
6.07
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20250402
000000000
1.000000
NC
5430.140000
0.0028979
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
800000.000000
BRL
144148.040000
USD
2025-04-02
5430.140000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 11/27 0.625
91282CAY7
2100000.000000
PA
USD
1846605.470000
0.985465
Long
DBT
UST
US
N
2
2027-11-30
Fixed
0.625
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 04/25 3.5
38141GXJ8
100000.000000
PA
USD
98491.330000
0.0525612
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.5
N
N
N
N
N
N
N/A
N/A
BOUGHT IDR SOLD USD 20240722
000000000
1.000000
NC
18.730000
0.00001
N/A
DFE
ID
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
9846.000000
USD
161390266.000000
IDR
2024-07-22
18.730000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) SEP24 XCBT 20240930
000000000
4.000000
NC
USD
1604.090000
0.000856
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-09-30
426078.120000
USD
1604.090000
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY 11/26 VAR
251526CE7
200000.000000
PA
USD
189863.930000
0.101323
Long
DBT
CORP
DE
Y
2
2026-11-24
Floating
2.129
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 A3
80287DAC1
500000.000000
PA
USD
503626.050000
0.268767
Long
ABS-O
CORP
US
N
2
2028-07-17
Fixed
5.93
N
N
N
N
N
N
DAIMLER TRUCK FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCK FINAN NA COMPANY GUAR 144A 01/25 5.2
233853AN0
200000.000000
PA
USD
199486.780000
0.106459
Long
DBT
CORP
US
N
2
2025-01-17
Fixed
5.2
N
N
N
N
N
N
CARRIER GLOBAL CORPORATION
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP SR UNSECURED 05/25 4.375
ACI2MMBZ9
100000.000000
PA
107550.360000
0.0573956
Long
DBT
CORP
US
N
2
2025-05-29
Fixed
4.375
N
N
N
N
N
N
COCA COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA COLA CO/THE COMMON STOCK USD.25
191216100
1601.000000
NS
USD
101903.650000
0.0543822
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
SOLD TWD BOUGHT USD 20240715
000000000
1.000000
NC
724.340000
0.0003866
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
5050079.000000
TWD
156109.000000
USD
2024-07-15
724.340000
N
N
N
OPORTUN ISSUANCE TRUST 2024-1A
N/A
OPORTUN FUNDING LLC OPTN 2024 1A A 144A
68377JAA8
397022.000000
PA
USD
397248.620000
0.211997
Long
ABS-O
CORP
US
N
2
2031-04-08
Fixed
6.334
N
N
N
N
N
N
GEORGIA POWER COMPANY
D981X4Z4RWS7PDMJUZ03
GEORGIA POWER CO SR UNSECURED 05/25 VAR
373334KU4
600000.000000
PA
USD
602769.970000
0.321676
Long
DBT
CORP
US
N
2
2025-05-08
Floating
6.09328
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK NA SR UNSECURED 08/25 VAR
94988J6C6
300000.000000
PA
USD
301426.990000
0.16086
Long
DBT
CORP
US
N
2
2025-08-01
Floating
6.14556
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 03/27 VAR
ACI2NCY93
200000.000000
PA
214789.240000
0.114625
Long
DBT
CORP
US
N
2
2027-03-19
Floating
4.361
N
N
N
N
N
N
N/A
N/A
GENERAL MOTORS COMPANY SNR S* ICE
000000000
1.000000
NC
USD
25820.720000
0.0137796
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
GENERAL MOTORS COMPANY
GENERAL MOTORS CO SRUNSEC
Y
Single Leg Swap
2026-12-20
42376.980000
USD
0.000000
USD
240000.000000
USD
-16556.260000
N
N
N
N/A
N/A
SOLD TWD BOUGHT USD 20240715
000000000
1.000000
NC
1512.450000
0.0008071
N/A
DFE
TW
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
10565963.000000
TWD
326614.000000
USD
2024-07-15
1512.450000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240930
000000000
1.000000
NC
-1506.010000
-0.0008037
N/A
DFE
JP
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
140000000.000000
JPY
880557.860000
USD
2024-09-30
-1506.010000
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP SR UNSECURED 10/24 1.8
448579AN2
400000.000000
PA
USD
395803.590000
0.211226
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
1.8
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR
31300MNY5
124734.530000
PA
USD
128203.470000
0.0684174
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Floating
6.427
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
APPLE INC COMMON STOCK USD.00001
037833100
21236.000000
NS
USD
4472726.320000
2.38693
Long
EC
CORP
US
N
1
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2021-C
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2021 C A2 144A
83208AAD5
335597.950000
PA
USD
334147.430000
0.178322
Long
ABS-O
CORP
US
N
2
2053-01-15
Floating
6.24332
N
N
N
N
N
N
CPS AUTO RECEIVABLES TRUST 2024-C
N/A
CPS AUTO TRUST CPS 2024 C A 144A
223920AA7
900000.000000
PA
USD
900219.060000
0.480414
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
5.88
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240802
000000000
1.000000
NC
592.700000
0.0003163
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
547000.000000
GBP
692180.910000
USD
2024-08-02
592.700000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 08/26 VAR
38145GAM2
600000.000000
PA
USD
600405.460000
0.320414
Long
DBT
CORP
US
N
2
2026-08-10
Floating
5.798
N
N
N
N
N
N
CHASE ISSUANCE TRUST 2024-A2
N/A
CHASE ISSUANCE TRUST CHAIT 2024 A2 A
161571HW7
900000.000000
PA
USD
894831.930000
0.477539
Long
ABS-MBS
CORP
US
N
2
2031-01-15
Fixed
4.63
N
N
N
N
N
N
UBS AG / STAMFORD BRANCH
BFM8T61CT2L1QCEMIK50
UBS AG STAMFORD CT SR UNSECURED 02/25 VAR
22550UAF8
400000.000000
PA
USD
402216.620000
0.214648
Long
DBT
CORP
CH
N
2
2025-02-21
Floating
6.60168
N
N
N
N
N
N
MORGAN STANLEY BANK NA
G1MLHIS0N32I3QPILB75
MORGAN STANLEY BANK NA SR UNSECURED 10/26 5.882
61690U7W4
300000.000000
PA
USD
303766.840000
0.162109
Long
DBT
CORP
US
N
2
2026-10-30
Fixed
5.882
N
N
N
N
N
N
N/A
N/A
BOUGHT CAD SOLD USD 20240702
000000000
1.000000
NC
609.870000
0.0003255
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
753490.000000
USD
1031646.330000
CAD
2024-07-02
609.870000
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1
N/A
GM FINANCIAL SECURITIZED TERM GMCAR 2024 1 A2A
36268GAB1
500000.000000
PA
USD
498532.950000
0.266049
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
5.12
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 09/27 0.375
91282CAL5
1100000.000000
PA
USD
964605.470000
0.514774
Long
DBT
UST
US
N
2
2027-09-30
Fixed
0.375
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
150075.820000
PA
USD
135448.290000
0.0722837
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
6.82601
N
N
N
N
N
N
ACCUNIA EUROPEAN CLO I DAC 1A
N/A
ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A
ACI19ZJ97
143289.500000
PA
153457.830000
0.0818948
Long
ABS-CBDO
CORP
IE
N
2
2030-07-15
Floating
4.856
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST 2024-A
N/A
FORD CREDIT AUTO LEASE TRUST FORDL 2024 A A2A
345290AB6
1600000.000000
PA
USD
1596690.240000
0.852094
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
5.24
N
N
N
N
N
N
THEOREM FUNDING TRUST 2022-3A
N/A
THEOREM FUNDING TRUST THRM 2022 3A A 144A
882925AA8
232544.740000
PA
USD
234429.120000
0.125106
Long
ABS-O
CORP
US
N
2
2029-04-15
Fixed
7.6
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI PROPERTIES LP SR UNSECURED 05/25 4.375
925650AA1
300000.000000
PA
USD
296265.840000
0.158106
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.375
N
N
N
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
CISCO SYSTEMS INC COMMON STOCK USD.001
17275R102
1601.000000
NS
USD
76063.510000
0.0405923
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
CDX IG42 5Y ICE
000000000
1.000000
NC
USD
837072.780000
0.446715
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.42
Y
Single Leg Swap
2029-06-20
884803.200000
USD
0.000000
USD
40300000.000000
USD
-47730.420000
N
N
N
N/A
N/A
BOUGHT SGD SOLD USD 20240702
000000000
1.000000
NC
63.620000
0.000034
N/A
DFE
SG
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
349280.170000
USD
473710.180000
SGD
2024-07-02
63.620000
N
N
N
N/A
N/A
RFR USD SOFR/3.75000 06/20/24-4Y CME
000000000
1.000000
NC
USD
159503.470000
0.0851211
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-06-20
0.000000
USD
-86871.360000
USD
10190000.000000
USD
246374.830000
N
N
N
N/A
N/A
SOLD MXN BOUGHT USD 20240918
000000000
1.000000
NC
-202.830000
-0.0001082
N/A
DFE
MX
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
319288.700000
MXN
17041.000000
USD
2024-09-18
-202.830000
N
N
N
MOUNTAIN VIEW CLO LLC 2017-2A
N/A
MOUNTAIN VIEW CLO MVEW 2017 2A AR 144A
62432LAL5
1586857.050000
PA
USD
1587255.840000
0.84706
Long
ABS-CBDO
CORP
KY
N
2
2031-01-16
Floating
6.62927
N
N
N
N
N
N
N/A
N/A
SOLD CHF BOUGHT USD 20240702
000000000
1.000000
NC
5254.780000
0.0028043
N/A
DFE
CH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
281000.000000
CHF
318015.650000
USD
2024-07-02
5254.780000
N
N
N
MF1 2020-FL4 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A
58003UAA6
319813.530000
PA
USD
319717.590000
0.170621
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
7.14332
N
N
N
N
N
N
N/A
N/A
LONG GILT FUTURE SEP24 IFLL 20240926
000000000
-1.000000
NC
-405.540000
-0.0002164
N/A
DIR
GB
N
1
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
Short
N/A
UNITED KINGDOM GOVT
2024-09-26
-123338.180000
GBP
-405.540000
N
N
N
PINNACLE WEST CAPITAL CORPORATION
TWSEY0NEDUDCKS27AH81
PINNACLE WEST CAPITAL SR UNSECURED 06/26 VAR
723484AL5
100000.000000
PA
USD
100018.660000
0.0533763
Long
DBT
CORP
US
N
2
2026-06-10
Floating
6.15485
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-16
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 1A
23242FAA4
676196.350000
PA
USD
630576.630000
0.336515
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
5.73971
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AJ7522 FN 01/27 FIXED 3
3138E0LC1
77721.940000
PA
USD
75527.930000
0.0403065
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
3
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 06/27 VAR
95000U2F9
500000.000000
PA
USD
478844.790000
0.255542
Long
DBT
CORP
US
N
2
2027-06-17
Floating
3.196
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST 2024-N2
N/A
CARVANA AUTO RECEIVABLES 08/27 5.96
14687VAB8
500000.000000
PA
USD
500438.050000
0.267065
Long
ABS-O
CORP
US
N
2
2027-08-10
Fixed
5.9
N
N
N
N
N
N
N/A
N/A
BOUGHT IDR SOLD USD 20240726
000000000
1.000000
NC
38.520000
0.0000206
N/A
DFE
ID
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
29540.000000
USD
483953820.000000
IDR
2024-07-26
38.520000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240802
000000000
1.000000
NC
6919.680000
0.0036928
N/A
DFE
JP
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
113587688.000000
JPY
716250.000000
USD
2024-08-02
6919.680000
N
N
N
CARMAX AUTO OWNER TRUST 2024-1
N/A
CARMAX AUTO OWNER TRUST CARMX 2024 1 A2A
14318WAB3
700000.000000
PA
USD
698682.740000
0.372861
Long
ABS-O
CORP
US
N
2
2027-03-15
Fixed
5.3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/25 0.125
912828ZJ2
364119.000000
PA
USD
354223.280000
0.189036
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.125
N
N
N
N
N
N
REACH ABS TRUST 2024-1A
N/A
REACH FINANCIAL LLC REACH 2024 1A A 144A
75526PAA9
351842.280000
PA
USD
352813.750000
0.188284
Long
ABS-O
CORP
US
N
2
2031-02-18
Fixed
6.3
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
WALMART INC COMMON STOCK USD.1
931142103
1601.000000
NS
USD
108403.710000
0.057851
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
BOUGHT DKK SOLD USD 20240802
000000000
1.000000
NC
26.920000
0.0000144
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
11852.000000
USD
82577.400000
DKK
2024-08-02
26.920000
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
483417.730000
PA
USD
475544.930000
0.253781
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
6.726
N
N
N
N
N
N
N/A
N/A
SOLD CAD BOUGHT USD 20240702
000000000
1.000000
NC
-3329.280000
-0.0017767
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1031000.000000
CAD
750298.150000
USD
2024-07-02
-3329.280000
N
N
N
N/A
N/A
SOLD KRW BOUGHT USD 20240715
000000000
1.000000
NC
475.800000
0.0002539
N/A
DFE
KR
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
443572708.000000
KRW
322083.000000
USD
2024-07-15
475.800000
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
15830.680000
0.0084482
N/A
DFE
BR
N
2
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
800000.000000
BRL
158940.820000
USD
2024-07-02
15830.680000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA SR UNSECURED 12/26 5.488
17325FBC1
300000.000000
PA
USD
301746.670000
0.161031
Long
DBT
CORP
US
N
2
2026-12-04
Fixed
5.488
N
N
N
N
N
N
UROPA SECURITIES PLC 2007-1
N/A
UROPA SECURITIES PLC UROPA 2007 1 A3A REGS
G92958AE0
162380.640000
PA
201557.900000
0.107564
Long
ABS-MBS
CORP
GB
N
2
2040-10-10
Floating
5.55101
N
N
N
N
N
N
N/A
N/A
SOLD DKK BOUGHT USD 20250401
000000000
1.000000
NC
4767.390000
0.0025442
N/A
DFE
DK
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3000000.000000
DKK
442529.640000
USD
2025-04-01
4767.390000
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL BILLS 09/24 0.00000
ACI2PBGH5
130000000.000000
PA
807977.190000
0.431188
Long
DBT
NUSS
JP
N
2
2024-09-02
None
0
N
N
N
N
N
N
N/A
N/A
SOLD NZD BOUGHT USD 20240702
000000000
1.000000
NC
261.110000
0.0001393
N/A
DFE
NZ
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
326320.000000
NZD
199022.570000
USD
2024-07-02
261.110000
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345
654744AC5
200000.000000
PA
USD
191035.520000
0.101949
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.345
N
N
N
N
N
N
N/A
N/A
CDX EM41 ICE
000000000
1.000000
NC
USD
-6327.880000
-0.003377
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
N/A
CDX.EM.41
Y
Single Leg Swap
2029-06-20
0.000000
USD
-7460.000000
USD
200000.000000
USD
1132.120000
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240702
000000000
1.000000
NC
-5641.400000
-0.0030106
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
184529.080000
USD
1000000.000000
BRL
2024-07-02
-5641.400000
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20250402
000000000
1.000000
NC
2727.550000
0.0014556
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
500000.000000
BRL
89426.240000
USD
2025-04-02
2727.550000
N
N
N
PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A
N/A
PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A A 144A
ACI2N0W91
500000.000000
PA
534916.040000
0.285465
Long
ABS-CBDO
CORP
IE
N
2
2033-08-15
Floating
5.123
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2021-SJ2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A
89180LAA6
358201.900000
PA
USD
341086.550000
0.182025
Long
ABS-MBS
CORP
US
N
2
2061-12-25
Variable
2.25
N
N
N
N
N
N
BRSP 2021-FL1 LTD
N/A
BRIGHTSPIRE CAPITAL, INC BRSP 2021 FL1 A 144A
05591XAA9
72471.670000
PA
USD
71703.470000
0.0382655
Long
ABS-CBDO
CORP
KY
N
2
2038-08-19
Floating
6.60315
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 09/27 VAR
06738ECJ2
500000.000000
PA
USD
508434.170000
0.271332
Long
DBT
CORP
GB
N
2
2027-09-13
Floating
6.496
N
N
N
N
N
N
N/A
N/A
BOUGHT IDR SOLD USD 20240722
000000000
1.000000
NC
19.980000
0.0000107
N/A
DFE
ID
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
10614.000000
USD
173975420.000000
IDR
2024-07-22
19.980000
N
N
N
WELLFLEET CLO LTD 2015-1
N/A
WELLFLEET CLO LTD WELF 2015 1A AR4 144A
949496BJ1
28462.550000
PA
USD
28462.550000
0.0151894
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.47617
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/26 5.45
44891ADA2
100000.000000
PA
USD
99883.060000
0.0533039
Long
DBT
CORP
US
N
2
2026-06-24
Fixed
5.45
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.6* 8/03/23-27Y* CME
000000000
1.000000
NC
USD
160076.560000
0.0854269
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2050-02-03
0.000000
USD
-37370.600000
USD
400000.000000
USD
197447.160000
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240702
000000000
1.000000
NC
-448.750000
-0.0002395
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
18337.520000
USD
100000.000000
BRL
2024-07-02
-448.750000
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE
01F052680
1500000.000000
PA
USD
1479316.400000
0.789456
Long
ABS-MBS
USGSE
US
N
2
2054-08-15
Fixed
5.5
N
N
N
N
N
N
MASTER CREDIT CARD TRUST II 2023-2A
N/A
MASTER CREDIT CARD TRUST MCCT 2023 2A A 144A
576339DJ1
500000.000000
PA
USD
502143.500000
0.267975
Long
ABS-MBS
CORP
CA
N
2
2027-01-21
Floating
6.18303
N
N
N
N
N
N
FREDDIE MAC REMICS 3342
N/A
FREDDIE MAC FHR 3342 FT
31397JST2
10521.430000
PA
USD
10426.230000
0.0055641
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
5.89751
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
1024354.180000
PA
USD
1024901.200000
0.546952
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
6.62617
N
N
N
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240715
000000000
1.000000
NC
138.640000
0.000074
N/A
DFE
IN
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
36517.000000
USD
3057309.430000
INR
2024-07-15
138.640000
N
N
N
BRAZIL GOVT
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL BILLS 04/25 0.00000
ACI2CRVP9
4500000.000000
PA
745203.030000
0.397687
Long
DBT
NUSS
BR
N
2
2025-04-01
None
0
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M CO COMMON STOCK USD.01
88579Y101
1601.000000
NS
USD
163606.190000
0.0873106
Long
EC
CORP
US
N
1
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 08/24 0.00000
912797KB2
386000.000000
PA
USD
383478.270000
0.204648
Long
DBT
UST
US
N
2
2024-08-15
None
0
N
N
N
N
N
N
N/A
N/A
BOUGHT GBP SOLD USD 20240702
000000000
1.000000
NC
-3607.870000
-0.0019254
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
401799.200000
USD
315000.000000
GBP
2024-07-02
-3607.870000
N
N
N
GLS AUTO SELECT RECEIVABLES TRUST 2023-1A
N/A
GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A2 144A
36267FAC2
370567.260000
PA
USD
371720.240000
0.198373
Long
ABS-O
CORP
US
N
2
2027-08-16
Fixed
6.27
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 08/24 0.00000
912797KY2
300000.000000
PA
USD
297815.630000
0.158933
Long
DBT
UST
US
N
2
2024-08-20
None
0
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4
N/A
ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A
268432AA9
342488.530000
PA
USD
340942.740000
0.181949
Long
ABS-MBS
CORP
US
N
2
2067-09-25
Fixed
5.9
N
N
N
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240924
000000000
1.000000
NC
44391.940000
0.0236903
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
570000000.000000
JPY
3632412.590000
USD
2024-09-24
44391.940000
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE INC CL B COMMON STOCK
654106103
1601.000000
NS
USD
120667.370000
0.0643957
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA SR UNSECURED 08/25 VAR
06428CAD6
100000.000000
PA
USD
100494.510000
0.0536302
Long
DBT
CORP
US
N
2
2025-08-18
Floating
6.12433
N
N
N
N
N
N
PAGAYA AI DEBT GRANTOR TRUST 2024-5
N/A
PAGAYA AI DEBT SELECTION TRUST PAID 2024 5 A 144A
69544LAA9
500000.000000
PA
USD
500518.700000
0.267108
Long
ABS-O
CORP
US
N
2
2031-10-15
Fixed
6.278
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME
000000000
1.000000
NC
USD
563392.520000
0.300662
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2051-06-16
218759.110000
USD
0.000000
USD
1200000.000000
USD
344633.410000
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-2
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2024 2 A2
80286YAB8
500000.000000
PA
USD
500140.800000
0.266907
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
5.8
N
N
N
N
N
N
N/A
N/A
SOLD DKK BOUGHT USD 20250401
000000000
1.000000
NC
5999.680000
0.0032018
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
3500000.000000
DKK
516722.300000
USD
2025-04-01
5999.680000
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2023-5A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2023 5A A3
30168DAC0
500000.000000
PA
USD
501619.700000
0.267696
Long
ABS-O
CORP
US
N
2
2027-03-15
Fixed
6.32
N
N
N
N
N
N
WALT DISNEY COMPANY
549300GZKULIZ0WOW665
WALT DISNEY CO/THE COMMON STOCK USD.01
254687106
1601.000000
NS
USD
158963.290000
0.0848328
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
27607.310000
0.014733
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1200000.000000
BRL
242272.520000
USD
2024-07-02
27607.310000
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.6* 7/16/23-27Y* CME
000000000
1.000000
NC
USD
80332.140000
0.0428703
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2050-01-16
0.000000
USD
-18696.710000
USD
200000.000000
USD
99028.850000
N
N
N
N/A
N/A
BOUGHT DKK SOLD USD 20240802
000000000
1.000000
NC
12.320000
0.0000066
N/A
DFE
DK
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
17298.160000
USD
120335.400000
DKK
2024-08-02
12.320000
N
N
N
2024-08-14
PIMCO Equity Series VIT
/s/ Bijal Parikh
Bijal Parikh
Treasurer