NPORT-P false 0001047304 XXXXXXXX S000009665 C000026489 C000030985 C000026490 PIMCO Variable Insurance Trust 811-08399 0001047304 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Total Return Portfolio S000009665 WXIJUDZ58N7QM7IEFC20 2020-12-31 2020-03-31 N 15512387763.610001 9177974764.709999 6334412998.900000 0.000000 0.000000 1820560421.180000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 193025838.180000 USD ARS CAD EUR GBP JPY MXN AUD N N/A N/A 000000000 1.000000 NC 124365.800000 0.0019633 N/A DFE AU N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2912000.000000 AUD 1915536.900000 USD 2020-04-02 124365.800000 N N N N/A N/A 000000000 1.000000 NC -589284.880000 -0.0093029 N/A DFE N/A N 2 MORGAN STANLEY AND CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 83712025.710000 EUR 91889853.500000 USD 2020-05-15 -589284.880000 N N N N/A X57JK1U580XATGR67572 000000000 1.000000 NC -1823103.890000 -0.0287809 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC CO GTD Y Single Leg Swap 2024-06-21 24732.060000 EUR 0.000000 EUR 14400000.000000 EUR -1847835.950000 N N N N/A N/A 000000000 1.000000 NC -12990.820000 -0.0002051 N/A DFE JP N 2 Royal Bank of Canada N/A 1700523.770000 JPY 181100000.000000 JPY 2020-05-15 -12990.820000 N N N N/A 5493004EHVGF71PDBU58 000000000 1.000000 NC USD -545798.470000 -0.0086164 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 RUSSIAN GOVT RUSSIAN FEDERATION SR UNSEC REGS Y Single Leg Swap 2024-12-21 95364.860000 USD 0.000000 USD 14800000.000000 USD -641163.330000 N N N N/A 5493004EHVGF71PDBU58 000000000 1.000000 NC USD -11063.480000 -0.0001747 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 RUSSIAN GOVT RUSSIAN FEDERATION SR UNSEC REGS Y Single Leg Swap 2024-12-21 1479.000000 USD 0.000000 USD 300000.000000 USD -12542.480000 N N N N/A N/A 000000000 1.000000 NC 8655756.390000 0.1366465 N/A DFE GB N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 148443000.000000 GBP 193197510.550000 USD 2020-05-15 8655756.390000 N N N N/A N/A 000000000 1.000000 NC USD -1747243.340000 -0.0275834 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2024-06-21 0.000000 USD -680219.740000 USD 15900000.000000 USD -1067023.600000 N N N N/A N/A 000000000 1.000000 NC USD -9457.940000 -0.0001493 N/A DCR US N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2023-12-21 0.000000 USD -5491.190000 USD 100000.000000 USD -3966.750000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 12824000.000000 PA 126727.730000 0.0020006 Long DBT NUSS AR N 2 2020-08-28 Floating 32.5714 N N N N N N N/A N/A 000000000 1.000000 NC 1108675.170000 0.0175024 N/A DFE CA N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 28825000.000000 CAD 21591367.290000 USD 2020-04-02 1108675.170000 N N N N/A N/A 000000000 1.000000 NC 9635720.920000 0.1521170 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 269267056.550000 BRL 61456712.920000 USD 2020-04-02 9635720.920000 N N N N/A N/A 000000000 1.000000 NC 924478.470000 0.0145945 N/A DFE BR N 2 State Street Bank and Trust Co. 571474TGEMMWANRLN572 27574596.000000 BRL 6231265.480000 USD 2020-04-02 924478.470000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0VSDQ8 1860000.000000 PA 13653.130000 0.0002155 Long DBT NUSS AR N 2 2020-06-21 Floating 50.5761 N N N N N N N/A N/A 000000000 1.000000 NC 240641.400000 0.0037990 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-03-04 28252.000000 CAD 0.000000 CAD 25600000.000000 CAD 212389.400000 N N N N/A N/A 000000000 1.000000 NC 740072.420000 0.0116834 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2022-03-03 114821.510000 CAD 0.000000 CAD 112600000.000000 CAD 625250.910000 N N N N/A N/A 000000000 1.000000 NC -1568253.810000 -0.0247577 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-03-18 684491.140000 GBP 0.000000 GBP 28100000.000000 GBP -2252744.950000 N N N N/A N/A 000000000 1.000000 NC -5449444.660000 -0.0860292 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-06-17 690437.520000 GBP 0.000000 GBP 37500000.000000 GBP -6139882.180000 N N N N/A N/A 000000000 1.000000 NC -76460.720000 -0.0012071 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-09-18 0.000000 JPY -2445.550000 JPY 5460000000.000000 JPY -74015.170000 N N N N/A N/A 000000000 1.000000 NC -32964.800000 -0.0005204 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-09-24 0.000000 JPY 0.000000 JPY 2050000000.000000 JPY -32964.800000 N N N N/A N/A 000000000 1.000000 NC -34210.700000 -0.0005401 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-09-24 0.000000 JPY 0.000000 JPY 2050000000.000000 JPY -34210.700000 N N N N/A N/A 000000000 1.000000 NC -60068.470000 -0.0009483 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-09-18 0.000000 JPY 0.000000 JPY 3410000000.000000 JPY -60068.470000 N N N N/A N/A 000000000 1.000000 NC -32304.660000 -0.0005100 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-09-24 0.000000 JPY 0.000000 JPY 1025000000.000000 JPY -32304.660000 N N N N/A N/A 000000000 1.000000 NC -64530.480000 -0.0010187 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-09-14 0.000000 JPY 0.000000 JPY 2050000000.000000 JPY -64530.480000 N N N N/A N/A 000000000 1.000000 NC -136528.420000 -0.0021553 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-09-14 0.000000 JPY 0.000000 JPY 4100000000.000000 JPY -136528.420000 N N N N/A N/A 000000000 1.000000 NC -94405.100000 -0.0014904 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-09-24 3449.690000 JPY 0.000000 JPY 2495000000.000000 JPY -97854.790000 N N N N/A N/A 000000000 1.000000 NC -133961.770000 -0.0021148 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-03-10 0.000000 JPY 0.000000 JPY 1012000000.000000 JPY -133961.770000 N N N N/A N/A 000000000 1.000000 NC -127086.210000 -0.0020063 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-03-10 0.000000 JPY 0.000000 JPY 1012000000.000000 JPY -127086.210000 N N N N/A N/A 000000000 1.000000 NC -28045.370000 -0.0004427 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2039-08-30 0.000000 JPY 0.000000 JPY 660000000.000000 JPY -28045.370000 N N N N/A N/A 000000000 1.000000 NC -36446.530000 -0.0005754 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2039-08-22 365948.860000 JPY 0.000000 JPY 4060000000.000000 JPY -402395.390000 N N N N/A N/A 000000000 1.000000 NC -21640.770000 -0.0003416 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2039-08-22 70750.640000 JPY 0.000000 JPY 2680000000.000000 JPY -92391.410000 N N N N/A N/A 000000000 1.000000 NC -6390671.100000 -0.1008881 N/A DIR JP N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-18 0.000000 JPY -1929470.870000 JPY 33110000000.000000 JPY -4461200.230000 N N N N/A N/A 000000000 1.000000 NC -2154028.540000 -0.0340052 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-18 0.000000 JPY -639128.090000 JPY 11160000000.000000 JPY -1514900.450000 N N N N/A N/A 000000000 1.000000 NC -396227.150000 -0.0062552 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-03-21 118161.850000 JPY 0.000000 JPY 1700000000.000000 JPY -514389.000000 N N N N/A N/A 000000000 1.000000 NC -1616621.550000 -0.0255213 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2027-09-21 0.000000 JPY -374671.950000 JPY 7200000000.000000 JPY -1241949.600000 N N N N/A N/A 000000000 1.000000 NC 5310207.240000 0.0838311 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 662737.630000 JPY 0.000000 JPY 17350000000.000000 JPY 4647469.610000 N N N N/A N/A 000000000 1.000000 NC -883141.460000 -0.0139420 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 0.000000 JPY -2373.930000 JPY 2750000000.000000 JPY -880767.530000 N N N N/A N/A 000000000 1.000000 NC -1071444.560000 -0.0169147 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-03-21 0.000000 JPY -211985.880000 JPY 2870000000.000000 JPY -859458.680000 N N N N/A N/A 000000000 1.000000 NC -2113716.330000 -0.0333688 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-10-29 131121.450000 JPY 0.000000 JPY 2050000000.000000 JPY -2244837.780000 N N N N/A N/A 000000000 1.000000 NC -6858690.830000 -0.1082767 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-03-22 184238.620000 JPY 0.000000 JPY 6502000000.000000 JPY -7042929.450000 N N N N/A N/A 000000000 1.000000 NC -6128743.290000 -0.0967531 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-12-20 293633.400000 JPY 0.000000 JPY 5544600000.000000 JPY -6422376.690000 N N N N/A N/A 000000000 1.000000 NC -1228813.860000 -0.0193990 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-11-12 3586.030000 JPY 0.000000 JPY 1050000000.000000 JPY -1232399.890000 N N N N/A N/A 000000000 1.000000 NC -828082.900000 -0.0130728 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2038-10-22 0.000000 JPY 0.000000 JPY 690000000.000000 JPY -828082.900000 N N N N/A N/A 000000000 1.000000 NC 1473009.540000 0.0232541 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2048-03-23 1685702.170000 JPY 0.000000 JPY 690000000.000000 JPY -212692.630000 N N N N/A N/A 000000000 1.000000 NC 793684.750000 0.0125297 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2020-08-26 0.000000 MXN -1332346.070000 MXN 2293300000.000000 MXN 2126030.820000 N N N N/A N/A 000000000 1.000000 NC -1070145.170000 -0.0168941 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2020-11-27 0.000000 MXN 0.000000 MXN 1384600000.000000 MXN -1070145.170000 N N N N/A N/A 000000000 1.000000 NC 1339133.090000 0.0211406 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2020-11-03 0.000000 MXN -113033.710000 MXN 1954600000.000000 MXN 1452166.800000 N N N N/A N/A 000000000 1.000000 NC 38810.480000 0.0006127 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2020-11-13 0.000000 MXN -3442.740000 MXN 50600000.000000 MXN 42253.220000 N N N N/A N/A 000000000 1.000000 NC 110027.010000 0.0017370 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2020-11-06 0.000000 MXN 0.000000 MXN 154800000.000000 MXN 110027.010000 N N N N/A N/A 000000000 1.000000 NC -2331859.080000 -0.0368126 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2020-12-03 50727.710000 MXN 0.000000 MXN 2757900000.000000 MXN -2382586.790000 N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 042735BD1 1700000.000000 PA USD 1691114.640000 0.0266973 Long DBT CORP US N 2 2022-04-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 5321406.540000 0.0840079 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-22 0.000000 USD -1486118.640000 USD 66200000.000000 USD 6807525.180000 N N N N/A 2138002P5RNKC5W2JZ46 000000000 1.000000 NC 220096.260000 0.0034746 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC UNSUB EMTN Y Single Leg Swap 2022-06-21 0.000000 EUR -732218.790000 EUR 15000000.000000 EUR 952315.050000 N N N N/A N/A 000000000 1.000000 NC -658839.550000 -0.0104010 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 14117263.670000 CAD 18939848.000000 CAD 2020-04-02 -658839.550000 N N N N/A N/A 000000000 1.000000 NC 274802.650000 0.0043382 N/A DFE BR N 2 UBS AG BFM8T61CT2L1QCEMIK50 9296848.370000 BRL 2064000.000000 USD 2020-04-02 274802.650000 N N N N/A N/A 000000000 1.000000 NC 41189.130000 0.0006502 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 3550000.000000 EUR 3962978.600000 USD 2020-05-15 41189.130000 N N N N/A N/A 000000000 1.000000 NC -2680360.450000 -0.0423143 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 9167100000.000000 JPY 82740861.550000 USD 2020-05-15 -2680360.450000 N N N N/A 254900HROIFWPRGM1V77 000000000 -16400000.000000 NC USD -2044686.400000 -0.0322790 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-04-29 N/A 68.500000 USD 2020-04-30 XXXX -1887246.400000 N N N N/A 254900HROIFWPRGM1V77 000000000 -11900000.000000 NC USD -1143613.800000 -0.0180540 N/A DFE GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2020-05-07 N/A 71.020000 USD 2020-05-07 XXXX -1023185.800000 N N N N/A 254900HROIFWPRGM1V77 000000000 410.000000 NC USD 19218.750000 0.0003034 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 119.500000 USD 2020-05-22 XXXX 15688.650000 N N N N/A 254900HROIFWPRGM1V77 000000000 267.000000 NC USD 12515.630000 0.0001976 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 06/19/20 2020-06-20 N/A USD N/A 122.000000 USD 2020-05-22 XXXX 10216.760000 N N N N/A 254900HROIFWPRGM1V77 000000000 2600.000000 NC USD 4122832.500000 0.0650863 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-06-19 360587500.000000 USD 4122832.500000 N N N AT&T INC 549300Z40J86GGSTL398 00206RCN0 11300000.000000 PA USD 11708559.070000 0.1848405 Long DBT CORP US N 2 2025-05-15 Fixed 3.4 N N N N N N N/A 254900HROIFWPRGM1V77 000000000 9203.000000 NC USD 359487.590000 0.0056752 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 06/30/20 2020-07-01 N/A USD N/A 113.000000 USD 2020-05-22 XXXX 280249.760000 N N N N/A 254900HROIFWPRGM1V77 000000000 495.000000 NC USD 19335.690000 0.0003052 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 06/30/20 2020-07-01 N/A USD N/A 113.250000 USD 2020-05-22 XXXX 15073.740000 N N N N/A 254900HROIFWPRGM1V77 000000000 652.000000 NC USD 25468.420000 0.0004021 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 5YR CBT 06/30/20 2020-07-01 N/A USD N/A 113.500000 USD 2020-05-22 XXXX 19854.700000 N N N N/A 254900HROIFWPRGM1V77 000000000 8387.000000 NC USD 33871456.280000 0.5347213 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-06-30 1051389078.130000 USD 33871456.280000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 19800000.000000 PA USD 19229002.850000 0.3035641 Long DBT CORP US N 2 2021-06-01 Floating 2.33038 N N N N N N N/A 254900HROIFWPRGM1V77 000000000 506.000000 NC USD 4016228.610000 0.0634033 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-06-19 90605625.000000 USD 4016228.610000 N N N N/A 254900HROIFWPRGM1V77 000000000 921.000000 NC USD 23777681.610000 0.3753731 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-06-19 204346875.000000 USD 23777681.610000 N N N N/A 254900HROIFWPRGM1V77 000000000 276.000000 NC USD 276.000000 0.0000044 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US ULTRA 30YR CBT 06/19/20 2020-06-20 N/A USD N/A 141.000000 USD 2020-05-22 XXXX -2100.360000 N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 12300000.000000 PA USD 11430450.890000 0.1804500 Long DBT CORP US N 2 2024-06-12 Floating 1.96413 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 15510000.000000 PA USD 15245035.380000 0.2406701 Long DBT CORP US N 2 2021-07-15 Floating 2.78125 N N N N N N ATRIUM XII 12A N/A 04965CAJ7 16000000.000000 PA USD 15768514.400000 0.2489341 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 2.63213 N N N N N N AVERY POINT IV CLO LTD 2014-1A N/A 05363UAS2 3851718.740000 PA USD 3845502.950000 0.0607081 Long ABS-CBDO CORP KY N 2 2026-04-25 Floating 2.89413 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAD5 3400000.000000 PA USD 3371097.520000 0.0532188 Long DBT CORP US N 2 2021-04-06 Fixed 6.75 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAC5 19200000.000000 PA USD 17963559.550000 0.2835868 Long DBT CORP US N 2 2023-05-01 Fixed 3.875 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAD3 16700000.000000 PA USD 14396618.600000 0.2272763 Long DBT CORP US N 2 2025-08-01 Fixed 4.125 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAD2 1800000.000000 PA USD 1706906.070000 0.0269466 Long DBT CORP KY N 2 2021-03-15 Fixed 3.625 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAC4 4100000.000000 PA USD 3563055.640000 0.0562492 Long DBT CORP KY N 2 2023-03-15 Fixed 4.5 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAA8 11200000.000000 PA USD 10134257.060000 0.1599873 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25 N N N N N N BACARDI LIMITED 549300R32WTQNHNN5055 067316AE9 12600000.000000 PA USD 13267762.200000 0.2094553 Long DBT CORP BM N 2 2025-05-15 Fixed 4.45 N N N N N N BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC N/A 05723KAD2 7400000.000000 PA USD 7052626.910000 0.1113383 Long DBT CORP US N 2 2022-12-15 Fixed 2.773 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 240728.370000 PA USD 226937.020000 0.0035826 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.41078 N N N N N N BANC OF AMERICA FUNDING CORP 2007-2 N/A 05951GAQ5 2635583.970000 PA USD 2212606.210000 0.0349299 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N BANC OF AMERICA FUNDING TRUST 2014-R2 N/A 05968KAM6 17319829.480000 PA USD 2736352.930000 0.0431982 Long ABS-MBS CORP US N 2 2036-07-26 Fixed 5 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 2800000.000000 PA 3024920.010000 0.0477538 Long DBT CORP ES N 2 2021-04-14 Floating 8.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFB0 4900000.000000 PA USD 5233306.670000 0.0826171 Long DBT CORP US N 2 2024-01-22 Fixed 4.125 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHE2 9600000.000000 PA USD 8996156.160000 0.1420204 Long DBT CORP US N 2 2024-03-05 Floating 2.10425 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHF9 12900000.000000 PA USD 13390681.820000 0.2113958 Long DBT CORP US N 2 2024-03-05 Floating 3.55 N N N N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBV2 248724.840000 PA USD 229680.950000 0.0036259 Long ABS-MBS CORP US N 2 2033-05-25 Floating 5.21308 N N N N N N BANK OF AMERICA MTGE SEC 2004-2 N/A 05948X4W8 47067.800000 PA USD 48869.910000 0.0007715 Long ABS-MBS CORP US N 2 2031-10-25 Fixed 6.5 N N N N N N BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM) VBHFXSYT7OG62HNT8T76 06675FAQ0 13400000.000000 PA USD 12769852.400000 0.2015949 Long DBT CORP FR N 2 2023-07-20 Floating 2.77913 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 3600000.000000 PA USD 3684564.000000 0.0581674 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 5700000.000000 PA USD 6059720.670000 0.0956635 Long DBT CORP GB N 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI07CRC6 8690000.000000 PA 9151229.840000 0.1444685 Long DBT CORP GB N 2 2020-12-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAS4 2700000.000000 PA USD 2709197.980000 0.0427695 Long DBT CORP GB N 2 2023-01-10 Fixed 3.684 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAT2 21700000.000000 PA USD 20874134.020000 0.3295354 Long DBT CORP GB N 2 2023-01-10 Floating 3.459 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 17900000.000000 PA USD 18228359.930000 0.2877672 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBF1 1000000.000000 PA USD 941847.340000 0.0148687 Long DBT CORP GB N 2 2023-02-15 Floating 3.12175 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAE5 500000.000000 PA USD 494209.860000 0.0078020 Long DBT CORP GB N 2 2025-03-16 Fixed 3.65 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAQ8 19100000.000000 PA USD 18923028.950000 0.2987337 Long DBT CORP GB N 2 2021-08-10 Fixed 3.2 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAR6 33800000.000000 PA USD 32652998.010000 0.5154858 Long DBT CORP GB N 2 2021-08-10 Floating 3.84413 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAV7 10350000.000000 PA USD 10206324.410000 0.1611250 Long DBT CORP US N 2 2022-08-15 Fixed 2.764 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 5400000.000000 PA USD 5434384.990000 0.0857915 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DBB0 1200000.000000 PA USD 1132725.360000 0.0178821 Long DBT CORP US N 2 2027-08-15 Fixed 3.557 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAG8 7700000.000000 PA USD 7132731.070000 0.1126029 Long DBT CORP US N 2 2023-12-15 Floating 1.7505 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 13200000.000000 PA USD 13743412.450000 0.2169643 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BBVA BANCOMER SA/TAXAS BRANCH 549300WIWQK5Q9MCUN92 05533AAA0 1726000.000000 PA USD 1719234.080000 0.0271412 Long DBT CORP MX N 2 2020-04-22 Fixed 7.25 N N N N N N BBVA BANCOMER SA/TAXAS BRANCH 549300WIWQK5Q9MCUN92 P16259AB2 1465000.000000 PA USD 1475635.900000 0.0232955 Long DBT CORP MX N 2 2021-03-10 Fixed 6.5 N N N N N N BBVA USA C90VT034M03BN29IRA40 05552JAA7 13300000.000000 PA USD 12993607.100000 0.2051272 Long DBT CORP US N 2 2024-08-27 Fixed 2.5 N N N N N N BCAP LLC TRUST 2007-AA2 N/A 05530NAA5 2659841.860000 PA USD 2220814.750000 0.0350595 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.15663 N N N N N N BCAP LLC TRUST 2011-RR5 N/A 05534AAN1 454682.450000 PA USD 442049.640000 0.0069785 Long ABS-MBS CORP US N 2 2037-03-26 Floating 4.84368 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 1311652.650000 PA USD 1057808.910000 0.0166994 Long ABS-MBS CORP US N 2 2036-01-26 Floating 3.72577 Y N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 936470.050000 PA USD 778570.150000 0.0122911 Long ABS-MBS CORP US N 2 2046-12-26 Floating 2.20745 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AGZ2 38987.140000 PA USD 36751.590000 0.0005802 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.84 N N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 573.440000 PA USD 513.300000 0.0000081 Long ABS-MBS CORP US N 2 2030-11-25 Floating 2.78054 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 186143.720000 PA USD 179480.310000 0.0028334 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.10329 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1 N/A 07384MG97 391074.710000 PA USD 341772.350000 0.0053955 Long ABS-MBS CORP US N 2 2034-04-25 Floating 3.95385 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4J8 198917.560000 PA USD 165998.350000 0.0026206 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.37495 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4K5 86588.390000 PA USD 75317.950000 0.0011890 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.03254 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSY8 934025.920000 PA USD 845368.460000 0.0133456 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.88186 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 70051.940000 PA USD 63618.980000 0.0010043 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.88186 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 618597.280000 PA USD 460407.290000 0.0072683 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.9582 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-3 N/A 07386HQ87 1840902.550000 PA USD 1173096.740000 0.0185194 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.05539 Y N N N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 41821.880000 PA USD 40331.680000 0.0006367 Long ABS-MBS CORP US N 2 2033-04-25 Floating 4.01572 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MQ70 289904.380000 PA USD 240696.500000 0.0037998 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.32117 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2E1 973802.160000 PA USD 868763.770000 0.0137150 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.94827 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSH6 5117.410000 PA USD 4531.290000 0.0000715 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.00161 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 10785.700000 PA USD 8676.720000 0.0001370 Long ABS-MBS CORP US N 2 2033-02-25 Floating 3.75511 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE2 N/A 073879RA8 5584970.250000 PA USD 5461087.790000 0.0862130 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.07163 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAB3 7986770.920000 PA USD 6933418.860000 0.1094564 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.09663 N N N N N N BEAR STEARNS ASSETBACK SEC 2006-HE7 N/A 07388HAP4 1077916.650000 PA USD 1242961.100000 0.0196224 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.10663 N N N N N N BMW FINANCE NV 5299006ZHG3IXU0PNJ56 05600LAA4 16700000.000000 PA USD 16000338.800000 0.2525939 Long DBT CORP NL N 2 2022-08-12 Fixed 2.25 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 09659W2G8 14400000.000000 PA USD 15027969.170000 0.2372433 Long DBT CORP FR N 2 2025-01-10 Floating 4.705 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 09659W2E3 18000000.000000 PA USD 18079784.820000 0.2854216 Long DBT CORP FR N 2 2023-03-01 Fixed 3.5 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBA1 13908000.000000 PA USD 15327689.980000 0.2419749 Long DBT CORP US N 2 2028-12-01 Fixed 4.5 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122BC1 2287000.000000 PA USD 2295180.740000 0.0362335 Long DBT CORP US N 2 2020-08-15 Fixed 2.875 N N N N N N BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY 549300OWFMSO9NYV4H90 111021AM3 400000.000000 PA USD 419832.660000 0.0066278 Long DBT CORP GB N 2 2023-12-04 Fixed 4.5 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAG8 4400000.000000 PA USD 4327326.610000 0.0683146 Long DBT CORP US N 2 2022-02-01 Floating 2.81325 N N N N N N BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD N/A 11134LAM1 6700000.000000 PA USD 6551725.450000 0.1034307 Long DBT CORP US N 2 2023-01-15 Fixed 2.65 N N N N N N BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD N/A 11134LAH2 3600000.000000 PA USD 3439832.510000 0.0543039 Long DBT CORP US N 2 2027-01-15 Fixed 3.875 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAA9 7500000.000000 PA USD 7410308.250000 0.1169849 Long DBT CORP US N 2 2021-04-15 Fixed 3.125 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAC5 16500000.000000 PA USD 16359281.570000 0.2582604 Long DBT CORP US N 2 2022-10-15 Fixed 3.125 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAD3 17000000.000000 PA USD 16718288.070000 0.2639280 Long DBT CORP US N 2 2024-10-15 Fixed 3.625 N N N N N N BUSINESS MORTGAGE FINANCE 7 PLC X N/A ACI085MJ0 2220270.350000 PA 2710350.150000 0.0427877 Long ABS-MBS CORP GB N 2 2041-02-15 Floating 2.7563 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 4172000.000000 PA USD 4254605.270000 0.0671665 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AC1 8200000.000000 PA USD 8450588.970000 0.1334076 Long DBT CORP US N 2 2022-06-17 Fixed 6.5 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HBY0 4800000.000000 PA USD 4809202.270000 0.0759218 Long DBT CORP US N 2 2021-04-30 Fixed 3.45 N N N N N N CARDS II TRUST 2018-2A N/A 14161GBU3 16900000.000000 PA USD 16850111.200000 0.2660090 Long ABS-MBS CORP CA N 2 2023-04-17 Fixed 3.047 N N N N N N CARLYLE FINANCE SUBSIDIARY LLC N/A 14314DAA1 4900000.000000 PA USD 4401650.060000 0.0694879 Long DBT CORP US N 2 2029-09-19 Fixed 3.5 N N N N N N CENT CLO LTD 2015-24A N/A 15137KAE9 16800000.000000 PA USD 16475138.400000 0.2600894 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 2.90125 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15137TAA8 5000000.000000 PA USD 5178300.000000 0.0817487 Long DBT CORP US N 2 2026-06-01 Fixed 5.375 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 15189WAK6 8600000.000000 PA USD 8742555.660000 0.1380168 Long DBT CORP US N 2 2023-04-01 Fixed 3.55 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0MR1X8 800000.000000 PA USD 809576.000000 0.0127806 Long DBT CORP JP N 2 2021-05-28 Fixed 2.362 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0PN1Y2 6700000.000000 PA USD 6772561.000000 0.1069169 Long DBT CORP JP N 2 2021-09-14 Fixed 2.091 N N N N N N CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 N/A 12532BAB3 7037000.000000 PA USD 7474342.510000 0.1179958 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 3.6436 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 7600000.000000 PA USD 7859678.020000 0.1240790 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A2 N/A 16162WQM4 1683789.060000 PA USD 1361777.870000 0.0214981 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.56411 Y N N N N N CHESAPEAKE FUNDING II LLC 2018-2A N/A 165183BN3 8815181.020000 PA USD 8840671.000000 0.1395657 Long ABS-O CORP US N 2 2030-08-15 Fixed 3.23 N N N N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523BS8 3550000.000000 PA USD 3644102.090000 0.0575286 Long DBT CORP US N 2 2022-11-30 Fixed 3.05 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAX6 14100000.000000 PA USD 13628549.300000 0.2151509 Long DBT CORP US N 2 2022-05-20 Floating 2.29463 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAY4 10000000.000000 PA USD 10020490.100000 0.1581913 Long DBT CORP US N 2 2022-05-20 Floating 2.844 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LG4 10500000.000000 PA USD 10562630.820000 0.1667500 Long DBT CORP US N 2 2022-04-25 Fixed 2.75 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 16500000.000000 PA USD 15389171.000000 0.2429455 Long DBT CORP US N 2 2024-06-01 Floating 2.60338 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LM1 4500000.000000 PA USD 4541342.760000 0.0716932 Long DBT CORP US N 2 2023-07-24 Floating 2.876 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LQ2 18600000.000000 PA USD 18746477.050000 0.2959466 Long DBT CORP US N 2 2022-10-27 Fixed 2.7 N N N N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 3745082.440000 PA USD 2423363.450000 0.0382571 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.75 Y N N N N N CITIGROUP MORTGAGE LOAN TRUST 2009-7 N/A 17315MAK1 2950325.440000 PA USD 2209679.580000 0.0348837 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-B N/A 17327VAA9 6059089.640000 PA USD 6016397.900000 0.0949796 Long ABS-MBS CORP US N 2 2066-04-25 Fixed 3.258 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-WMC1 N/A 17307GZ50 38099.110000 PA USD 38282.420000 0.0006044 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.56663 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 88897.680000 PA USD 80103.850000 0.0012646 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.38 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-2 N/A 17307GRE0 408875.690000 PA USD 380187.500000 0.0060019 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.84323 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXQ6 4163752.860000 PA USD 3877180.070000 0.0612082 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.55 N N N N N N CITY OF CHICAGO T5UYO5SYLC8K73MJQX30 167486D22 1367000.000000 PA USD 1556821.620000 0.0245772 Long DBT MUN US N 2 2042-01-01 Fixed 7.75 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BZ4 6600000.000000 PA USD 6656920.970000 0.1050914 Long DBT CORP US N 2 2021-10-22 Fixed 3.8 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAW8 3900000.000000 PA USD 3732084.950000 0.0589176 Long DBT CORP US N 2 2022-11-07 Fixed 2.65 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 ACI0BJ746 1100000.000000 PA 1167621.960000 0.0184330 Long DBT CORP NL N 2 2020-06-29 Floating 5.5 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 1800000.000000 PA 1905313.880000 0.0300788 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N COUNTRYWIDE ALT LN TRUST 2005-1CB N/A 12667F2Y0 13051743.940000 PA USD 11572100.360000 0.1826862 Long ABS-MBS CORP US N 2 2035-03-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1 N/A 02149JCB0 7330733.470000 PA USD 4583329.980000 0.0723560 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAB2 5004557.140000 PA USD 4142461.120000 0.0653961 Long ABS-MBS CORP US N 2 2046-09-20 Floating 0.96288 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 12994230.930000 PA USD 10962612.810000 0.1730644 Long ABS-MBS CORP US N 2 2046-09-25 Floating 1.13663 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3 N/A 12668BB44 1069371.360000 PA USD 797901.170000 0.0125963 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.14663 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-32T1 N/A 12667GC84 3278672.180000 PA USD 1656164.200000 0.0261455 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.94663 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-21 N/A 12667LAE2 7400000.000000 PA USD 6160186.980000 0.0972495 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.17663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-2 N/A 1266713Z7 1452070.110000 PA USD 1417791.960000 0.0223824 Long ABS-MBS CORP US N 2 2034-05-25 Floating 1.69663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAC0 423252.120000 PA USD 424402.940000 0.0067000 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.09663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAJ8 79945.920000 PA USD 80211.530000 0.0012663 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.09663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 2906718.550000 PA USD 2358896.280000 0.0372394 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.08663 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAD2 567801.610000 PA USD 568320.580000 0.0089720 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.11663 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AE1 1173601.130000 PA USD 1111242.300000 0.0175429 Long ABS-MBS CORP US N 2 2047-08-25 Floating 1.74663 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2006-2 N/A 126670UW6 6600000.000000 PA USD 6183330.120000 0.0976149 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.34663 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 734742.780000 PA USD 665450.140000 0.0105053 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.82568 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB9 N/A 12669GHG9 485991.370000 PA USD 451682.760000 0.0071306 Long ABS-MBS CORP US N 2 2035-02-20 Floating 3.74431 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670JY5 178824.490000 PA USD 141413.370000 0.0022325 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.71138 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 373292.660000 PA USD 188073.470000 0.0029691 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.00663 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 ACI06K5Q2 3800000.000000 PA USD 3884762.800000 0.0613279 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225436AA2 400000.000000 PA USD 371443.200000 0.0058639 Long DBT CORP CH N 2 2024-12-18 Floating 6.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 22546DAB2 1800000.000000 PA USD 1743876.000000 0.0275302 Long DBT CORP CH N 2 2023-12-11 Floating 7.5 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AM0 15200000.000000 PA USD 14466906.280000 0.2283859 Long DBT CORP CH N 2 2025-09-11 Floating 2.593 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AM3 11000000.000000 PA USD 11072954.530000 0.1748063 Long DBT CORP GG N 2 2021-04-16 Fixed 3.45 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AP6 22800000.000000 PA USD 22816037.520000 0.3601918 Long DBT CORP GG N 2 2021-04-16 Floating 4.10913 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AT8 3600000.000000 PA USD 3686848.780000 0.0582035 Long DBT CORP GG N 2 2023-06-09 Fixed 3.8 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AH4 14400000.000000 PA USD 14659086.380000 0.2314198 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22822VAJ0 1100000.000000 PA USD 1106019.080000 0.0174605 Long DBT CORP US N 2 2023-07-15 Fixed 3.15 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4S8 14139.920000 PA USD 12672.180000 0.0002001 Long ABS-MBS CORP US N 2 2032-06-25 Floating 5.21887 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CX6 21300000.000000 PA USD 22665414.560000 0.3578140 Long DBT CORP US N 2 2028-03-25 Fixed 4.3 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CK4 1619000.000000 PA USD 1662543.770000 0.0262462 Long DBT CORP US N 2 2022-07-20 Fixed 3.5 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650BZ2 8511000.000000 PA USD 8578962.460000 0.1354342 Long DBT CORP US N 2 2022-12-01 Fixed 2.75 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DA9 6500000.000000 PA USD 6267576.900000 0.0989449 Long DBT CORP US N 2 2021-02-12 Floating 2.14313 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DL5 16900000.000000 PA USD 16494238.100000 0.2603909 Long DBT CORP US N 2 2023-05-04 Fixed 3.7 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DM3 11900000.000000 PA USD 10350590.730000 0.1634025 Long DBT CORP US N 2 2023-05-04 Floating 2.59113 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DU5 20100000.000000 PA USD 19297057.060000 0.3046384 Long DBT CORP US N 2 2022-08-15 Fixed 2.55 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAA8 5960000.000000 PA USD 6058849.100000 0.0956497 Long DBT CORP FR N 2 2022-06-15 Fixed 3 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAC4 4300000.000000 PA USD 4307690.290000 0.0680046 Long DBT CORP FR N 2 2021-11-02 Fixed 2.077 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 13756000.000000 PA USD 13908199.000000 0.2195657 Long DBT CORP US N 2 2021-06-15 Fixed 4.42 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAG8 12600000.000000 PA USD 12945816.450000 0.2043728 Long DBT CORP US N 2 2023-06-15 Fixed 5.45 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZM3 7700000.000000 PA USD 7016205.200000 0.1107633 Long DBT CORP US N 2 2021-04-19 Fixed 3.4 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510CV3 219872.250000 PA USD 200657.920000 0.0031677 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.44663 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR2 N/A 25151UAA5 4063401.680000 PA USD 3256226.440000 0.0514053 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.09663 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CA5 9700000.000000 PA USD 9573316.840000 0.1511319 Long DBT CORP US N 2 2022-02-14 Fixed 5 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BR9 15415000.000000 PA USD 15331934.890000 0.2420419 Long DBT CORP DE N 2 2023-02-27 Fixed 3.95 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251525AV3 9100000.000000 PA USD 8967948.540000 0.1415751 Long DBT CORP DE N 2 2020-07-13 Floating 2.81788 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 11700000.000000 PA USD 11138445.050000 0.1758402 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BL2 13800000.000000 PA USD 12943636.450000 0.2043384 Long DBT CORP DE N 2 2022-11-16 Fixed 3.3 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CB3 25200000.000000 PA USD 23347797.480000 0.3685866 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DEUTSCHE TELEKOM INTERNATIONAL FINANCE BV 529900ERDFHS6C1M4U58 25156PAY9 16416000.000000 PA USD 16312739.260000 0.2575257 Long DBT CORP NL N 2 2022-01-19 Fixed 2.82 N N N N N N DIVERSIFIED HEALTHCARE TRUST N/A 81721MAM1 10600000.000000 PA USD 9493198.350000 0.1498671 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAW5 3460000.000000 PA USD 3458003.580000 0.0545908 Long DBT CORP US N 2 2022-08-15 Fixed 2.4 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAJ4 1300000.000000 PA USD 1311947.680000 0.0207114 Long DBT CORP US N 2 2022-08-15 Fixed 3.05 N N N N N N DUKE ENERGY OHIO INC L6KC0HABGHNFU1Z6QY21 26442EAF7 5600000.000000 PA USD 5961210.140000 0.0941083 Long DBT CORP US N 2 2029-02-01 Fixed 3.65 N N N N N N EBAY INC OML71K8X303XQONU6T67 278642AS2 3100000.000000 PA USD 3044208.370000 0.0480583 Long DBT CORP US N 2 2023-01-30 Fixed 2.75 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AP2 5000000.000000 PA USD 4919994.900000 0.0776709 Long DBT CORP US N 2 2022-11-15 Fixed 3.125 N N N N N N EMC CORPORATION KDMDXRWU7UTJ30FC8R59 268648AQ5 3480000.000000 PA USD 3473214.000000 0.0548309 Long DBT CORP US N 2 2020-06-01 Fixed 2.65 N N N N N N EMCM MORTGAGE LOAN TRUST 2001-A N/A 268668AA8 109361.180000 PA USD 99350.540000 0.0015684 Long ABS-MBS CORP US N 2 2040-05-25 Floating 1.68663 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBB0 16000000.000000 PA USD 14874779.360000 0.2348249 Long DBT CORP CA N 2 2022-02-18 Floating 2.19463 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAB4 10120000.000000 PA USD 9796554.070000 0.1546561 Long DBT CORP NL N 2 2022-05-25 Fixed 2.875 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAH1 17500000.000000 PA USD 17933454.350000 0.2831115 Long DBT CORP NL N 2 2023-09-14 Fixed 4.25 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 4300000.000000 PA USD 3225599.290000 0.0509218 Long DBT CORP US N 2 2029-08-15 Fixed 3.75 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAD4 3400000.000000 PA USD 3468603.570000 0.0547581 Long DBT CORP US N 2 2021-08-16 Fixed 4.5 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 BDB50MII1 1800000.000000 PA 1978187.300000 0.0312292 Long DBT CORP AT N 2 2021-10-15 Floating 8.875 N N N N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 B42XTXII5 2600000.000000 PA 1585233.700000 0.0250257 Long DBT CORP N/A N 2 2023-08-10 Fixed 0.5 N N N N N N EUROSAIL PLC 2007-1X N/A B1SW63II6 4123272.580000 PA 4969180.380000 0.0784474 Long ABS-MBS CORP GB N 2 2045-03-13 Floating 0.6655 N N N N N N EUROSAIL PLC 2007-2X N/A B1VVXHII3 1375282.260000 PA 1634716.700000 0.0258069 Long ABS-MBS CORP GB N 2 2045-03-13 Floating 0.6555 N N N N N N EVERGREEN CREDIT CARD TRUST SERIES 2019-2 N/A 30023JBH0 20300000.000000 PA USD 20075063.820000 0.3169207 Long ABS-MBS CORP CA N 2 2024-09-15 Fixed 1.9 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAA4 17000000.000000 PA USD 16710426.250000 0.2638039 Long DBT CORP US N 2 2024-09-15 Fixed 2.45 N N N N N N EXPEDIA GROUP INC N/A 30212PAR6 15900000.000000 PA USD 13040290.870000 0.2058642 Long DBT CORP US N 2 2030-02-15 Fixed 3.25 N N N N N N FANNIE MAE 2003-25 N/A 31393APU5 355676.860000 PA USD 404618.710000 0.0063876 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N FANNIE MAE 2005-79 N/A 31394FHD0 268317.760000 PA USD 265952.240000 0.0041985 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 1.35663 N N N N N N FANNIE MAE 2006-118 N/A 31396L4R8 127622.960000 PA USD 126963.740000 0.0020043 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 1.68675 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 63161.860000 PA USD 66033.060000 0.0010424 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 3.95815 N N N N N N FANNIE MAE 2007-42 N/A 31396VN53 34278.200000 PA USD 33713.720000 0.0005322 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 1.19663 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 410784.600000 PA USD 404132.400000 0.0063800 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.68675 N N N N N N FANNIE MAE REMICS 2015-38 N/A 3136APAH5 2485637.730000 PA USD 2475107.820000 0.0390740 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 1.965 N N N N N N FANNIE MAE REMICS 2015-58 N/A 3136APU75 10944225.460000 PA USD 614383.650000 0.0096991 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 2.32643 N N N N N N FANNIE MAE REMICS 2016-62 N/A 3136ATVF8 2095743.000000 PA USD 2108955.400000 0.0332936 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 2.105 N N N N N N FANNIE MAE REMICS 2019-25 N/A 3136B4ZA9 29066687.790000 PA USD 28903237.080000 0.4562891 Long ABS-MBS USGSE US N 2 2049-06-25 Floating 1.39663 N N N N N N FANNIE MAE-1993-45 N/A 31358UPF7 78345.700000 PA USD 83197.350000 0.0013134 Long ABS-MBS USGSE US N 2 2023-04-25 Fixed 7 N N N N N N FANNIEMAE WHOLE LOAN 2004-W2 N/A 31393XGV3 414062.020000 PA USD 411278.410000 0.0064928 Long ABS-MBS USGSE US N 2 2044-03-25 Floating 1.29663 N N N N N N FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K023 N/A 3137AWQJ7 49238085.120000 PA USD 1212182.570000 0.0191365 Long ABS-MBS USGSE US N 2 2022-08-25 Variable 1.23634 N N N N N N FHLMC PASS THRU POOLS N/A 31348S2X1 88.360000 PA USD 88.990000 0.0000014 Long ABS-MBS USGSE US N 2 2027-07-01 Floating 4.771 N N N N N N FHLMC PASS THRU POOLS N/A 31348S4G6 236.870000 PA USD 239.380000 0.0000038 Long ABS-MBS USGSE US N 2 2028-01-01 Floating 4.31 N N N N N N FHLMC PASS THRU POOLS N/A 31295LBG6 155.990000 PA USD 157.220000 0.0000025 Long ABS-MBS USGSE US N 2 2030-07-01 Floating 4.83 N N N N N N FHLMC PASS THRU POOLS N/A 3128KKPB9 1919992.000000 PA USD 2209134.400000 0.0348751 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KUS73 69820.110000 PA USD 80394.160000 0.0012692 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KWH55 5802.910000 PA USD 6676.250000 0.0001054 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KXKZ3 25131.200000 PA USD 28763.580000 0.0004541 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128KX5N7 28734.520000 PA USD 33067.370000 0.0005220 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L04W9 13238.360000 PA USD 15041.510000 0.0002375 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128L07K2 32312.680000 PA USD 37169.220000 0.0005868 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128LAFR6 54534.430000 PA USD 62399.560000 0.0009851 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128LB3R7 16522.910000 PA USD 19011.600000 0.0003001 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312926M39 1176.430000 PA USD 1289.200000 0.0000204 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 312926ND6 29624.760000 PA USD 34052.290000 0.0005376 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312927YK6 3672.710000 PA USD 4214.920000 0.0000665 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 312927YP5 35717.980000 PA USD 41044.070000 0.0006480 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 31292GMF0 1366.660000 PA USD 1501.160000 0.0000237 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 8.5 N N N N N N FHLMC PASS THRU POOLS N/A 31292HQE7 22741.840000 PA USD 27456.510000 0.0004334 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 7.5 N N N N N N FHLMC PASS THRU POOLS N/A 31287NCG1 3873.520000 PA USD 4515.520000 0.0000713 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LU5 525766.360000 PA USD 567719.470000 0.0089625 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LZ4 887301.210000 PA USD 958439.400000 0.0151307 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7L27 2888.550000 PA USD 3105.630000 0.0000490 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7ML4 49532.520000 PA USD 53372.690000 0.0008426 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7MW0 174289.590000 PA USD 187426.650000 0.0029589 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7PU1 222468.100000 PA USD 242895.500000 0.0038345 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7PY3 47390.170000 PA USD 51760.500000 0.0008171 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128LXAV2 604119.220000 PA USD 686011.280000 0.0108299 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M4PX5 63955.440000 PA USD 69991.360000 0.0011049 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5K90 4016.370000 PA USD 4751.560000 0.0000750 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5L32 40224.550000 PA USD 46441.570000 0.0007332 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5NP1 53467.120000 PA USD 61712.580000 0.0009742 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M5Q52 3538.030000 PA USD 4081.700000 0.0000644 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6JY5 72938.810000 PA USD 83971.480000 0.0013256 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6NE4 7668.610000 PA USD 8714.280000 0.0001376 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6NP9 36107.030000 PA USD 40727.940000 0.0006430 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6N79 190724.920000 PA USD 219911.390000 0.0034717 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PE2 18245.250000 PA USD 21060.220000 0.0003325 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PH5 15410.720000 PA USD 17540.040000 0.0002769 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6SC3 23086.390000 PA USD 26630.380000 0.0004204 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6SU3 257055.350000 PA USD 291974.410000 0.0046093 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M7TX4 22828.180000 PA USD 26285.430000 0.0004150 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128M75R3 515911.770000 PA USD 585936.340000 0.0092500 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M8Q80 1768916.810000 PA USD 1916863.480000 0.0302611 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128M84Z4 19756.550000 PA USD 22373.030000 0.0003532 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3J7 5618328.750000 PA USD 5970577.460000 0.0942562 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ3X6 5367305.260000 PA USD 5701411.480000 0.0900069 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ5B2 31407180.360000 PA USD 33236635.420000 0.5246995 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ5N6 58958081.760000 PA USD 62996291.760000 0.9945088 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132GGJU0 43392.860000 PA USD 47548.590000 0.0007506 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132GJMT3 1060878.000000 PA USD 1155364.390000 0.0182395 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132GJ7H6 6527.140000 PA USD 7010.440000 0.0001107 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXB32 5700312.570000 PA USD 6064952.840000 0.0957461 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXNS4 6411115.550000 PA USD 6820088.690000 0.1076673 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3131XVXG5 8561800.030000 PA USD 9220077.710000 0.1455554 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132AD3K2 10950185.950000 PA USD 11696129.260000 0.1846442 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FHLMC STRUCTURED PASS THROUGH SEC T-63 N/A 31395M2F5 111345.830000 PA USD 109081.070000 0.0017220 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 3.25238 N N N N N N FIGUEROA CLO LTD 2014-1A N/A 31683YAJ3 7469881.320000 PA USD 7450015.770000 0.1176118 Long ABS-CBDO CORP KY N 2 2027-01-15 Floating 2.73125 N N N N N N FIRST FRANKLIN MTG LN ASSET CERT2005-FF8 N/A 362341QR3 355373.440000 PA USD 353998.540000 0.0055885 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.68163 N N N N N N FIRST HORIZON ALT MTG SEC 2005-AA6 N/A 32051GQA6 2289563.240000 PA USD 1881178.200000 0.0296978 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.46596 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR4 N/A 32051GTX3 1621359.360000 PA USD 1463605.960000 0.0231056 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.05185 Y N N N N N FIRST NATIONWIDE TRUST 2001-3 N/A 22540A3S5 405.460000 PA USD 422.060000 0.0000067 Long ABS-MBS CORP US N 2 2031-08-21 Fixed 6.75 N N N N N N FNMA PASS THRU POOLS N/A 31368HMQ3 47623.250000 PA USD 54097.900000 0.0008540 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371KHW4 4847.230000 PA USD 5408.850000 0.0000854 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371KRN3 59732.750000 PA USD 71324.910000 0.0011260 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 31371LCR8 7700.230000 PA USD 8285.560000 0.0001308 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371LFY0 1496.310000 PA USD 1694.520000 0.0000268 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371LJS9 142071.970000 PA USD 160828.130000 0.0025390 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371LKY4 3649.880000 PA USD 4132.120000 0.0000652 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371LMN6 2496.150000 PA USD 2685.890000 0.0000424 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371LVC0 167213.350000 PA USD 189372.110000 0.0029896 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MAF4 5854.470000 PA USD 6640.250000 0.0001048 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MAN7 18580.070000 PA USD 19995.330000 0.0003157 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MA80 53026.260000 PA USD 57311.830000 0.0009048 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371MCG0 3036.510000 PA USD 3499.890000 0.0000553 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371MDT1 107380.710000 PA USD 122011.020000 0.0019262 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MEF0 1435.090000 PA USD 1544.180000 0.0000244 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MEQ6 164452.280000 PA USD 186857.390000 0.0029499 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MER4 30172.460000 PA USD 34783.200000 0.0005491 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371MGH4 22005.790000 PA USD 25319.340000 0.0003997 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371MJ57 31974.550000 PA USD 34406.900000 0.0005432 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MLB1 117894.440000 PA USD 133958.300000 0.0021148 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MMG9 38065.030000 PA USD 43251.830000 0.0006828 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31371MPJ0 187370.040000 PA USD 202457.420000 0.0031962 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371MSA6 72037.850000 PA USD 79871.440000 0.0012609 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371MTJ6 45923.080000 PA USD 49620.890000 0.0007834 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371MY92 103265.780000 PA USD 119081.700000 0.0018799 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371MZ59 17676.240000 PA USD 19038.620000 0.0003006 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31371M2H9 4921.840000 PA USD 5679.490000 0.0000897 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31371NEX9 16388.620000 PA USD 17708.260000 0.0002796 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NRW7 10598.720000 PA USD 11452.150000 0.0001808 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NSV8 588715.510000 PA USD 636119.970000 0.0100423 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NU45 9642.510000 PA USD 10418.940000 0.0001645 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31371NV77 11506.400000 PA USD 12443.590000 0.0001964 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31373T3F5 851.240000 PA USD 860.680000 0.0000136 Long ABS-MBS USGSE US N 2 2025-01-01 Floating 3.7 N N N N N N FNMA PASS THRU POOLS N/A 31375LZX6 197.950000 PA USD 199.620000 0.0000032 Long ABS-MBS USGSE US N 2 2025-11-01 Floating 4.106 N N N N N N FNMA PASS THRU POOLS N/A 31375MSD6 16192.080000 PA USD 16719.940000 0.0002640 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 4.002 N N N N N N FNMA PASS THRU POOLS N/A 31376KKS4 1360.770000 PA USD 1542.640000 0.0000244 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31376KNN2 2479.470000 PA USD 2816.500000 0.0000445 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31376KP42 12942.740000 PA USD 14916.170000 0.0002355 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31376KS98 17571.970000 PA USD 19886.290000 0.0003139 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31377CRC9 111969.530000 PA USD 114872.040000 0.0018135 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 3.858 N N N N N N FNMA PASS THRU POOLS N/A 31381SVJ8 1174251.120000 PA USD 1203661.280000 0.0190019 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 3.33 N N N N N N FNMA PASS THRU POOLS N/A 31384VWA6 15413.460000 PA USD 15603.650000 0.0002463 Long ABS-MBS USGSE US N 2 2039-09-01 Floating 4.132 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 52213.760000 PA USD 55029.580000 0.0008687 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.008 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 118261.960000 PA USD 121750.360000 0.0019220 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 4.138 N N N N N N FNMA PASS THRU POOLS N/A 31385XAS6 675.580000 PA USD 776.060000 0.0000123 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31386C2X9 2465.110000 PA USD 2451.710000 0.0000387 Long ABS-MBS USGSE US N 2 2040-09-01 Floating 3.366 N N N N N N FNMA PASS THRU POOLS N/A 31390U4E3 23267.010000 PA USD 25522.700000 0.0004029 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400CEY6 1327.950000 PA USD 1488.990000 0.0000235 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31400WEJ5 2792.670000 PA USD 3139.340000 0.0000496 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401A3Z8 2169.180000 PA USD 2438.450000 0.0000385 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401PFP4 33478.570000 PA USD 37897.240000 0.0005983 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401PFQ2 16287.320000 PA USD 18441.720000 0.0002911 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31401V6Y2 4083.510000 PA USD 4624.470000 0.0000730 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402C4G4 2122813.490000 PA USD 2404009.450000 0.0379516 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402C4J8 1016378.130000 PA USD 1151021.360000 0.0181709 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402EWL8 374.600000 PA USD 410.500000 0.0000065 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 490421.920000 PA USD 483204.680000 0.0076282 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 3.166 N N N N N N FNMA PASS THRU POOLS N/A 31402QSK8 11190.820000 PA USD 12683.530000 0.0002002 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QVR9 2744.990000 PA USD 3011.280000 0.0000475 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QYV7 127871.130000 PA USD 144812.230000 0.0022861 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402QYY1 413306.630000 PA USD 468588.850000 0.0073975 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RHL6 135494.680000 PA USD 151384.360000 0.0023899 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402RK73 17629.600000 PA USD 20330.270000 0.0003209 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31402RRP6 2313.790000 PA USD 2626.150000 0.0000415 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31402VPY0 71132.230000 PA USD 78007.410000 0.0012315 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DBL2 1833.510000 PA USD 2083.350000 0.0000329 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DDR7 4401.050000 PA USD 4986.990000 0.0000787 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DDX4 20204.410000 PA USD 22954.700000 0.0003624 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DGZ6 128390.630000 PA USD 145886.360000 0.0023031 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DSK6 16731.150000 PA USD 19306.510000 0.0003048 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403DUK3 768.720000 PA USD 873.460000 0.0000138 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403DV22 50694.890000 PA USD 58348.680000 0.0009211 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403JZM1 6429.180000 PA USD 7273.800000 0.0001148 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31403KTQ6 7914.490000 PA USD 8928.800000 0.0001410 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404DT32 98140.080000 PA USD 111070.750000 0.0017534 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404EE36 101376.720000 PA USD 113299.660000 0.0017886 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404EGE0 31787.640000 PA USD 35983.850000 0.0005681 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404EJM9 24216.140000 PA USD 26570.420000 0.0004195 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404EMP8 6354.140000 PA USD 6969.740000 0.0001100 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404EU53 12070.490000 PA USD 13658.960000 0.0002156 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404GPA3 124771.230000 PA USD 140984.200000 0.0022257 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404G3J8 78622.910000 PA USD 87087.800000 0.0013748 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404L7J3 11648.860000 PA USD 12768.500000 0.0002016 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404QEK1 3113.980000 PA USD 3415.250000 0.0000539 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404QQ36 17555.820000 PA USD 19568.380000 0.0003089 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404SFQ3 264073.160000 PA USD 298915.490000 0.0047189 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31404SZW8 12410.570000 PA USD 13613.130000 0.0002149 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405AXW8 973.080000 PA USD 1107.860000 0.0000175 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31405LB57 44648.040000 PA USD 49720.090000 0.0007849 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 108224.240000 PA USD 106563.580000 0.0016823 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 3.166 N N N N N N FNMA PASS THRU POOLS N/A 31405TAM4 3901.530000 PA USD 4280.260000 0.0000676 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405TJU7 14813.500000 PA USD 16249.090000 0.0002565 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405TPC0 34470.000000 PA USD 38157.940000 0.0006024 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405UME6 22771.550000 PA USD 25259.100000 0.0003988 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31405UYB9 5966.140000 PA USD 6545.080000 0.0001033 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31405WUK9 15550.240000 PA USD 17101.160000 0.0002700 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406CSU3 27045.260000 PA USD 29623.270000 0.0004677 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406CS82 13302.090000 PA USD 14583.170000 0.0002302 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406CVF2 60263.960000 PA USD 68272.190000 0.0010778 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406FDS7 28274.800000 PA USD 31632.240000 0.0004994 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406PBS7 17771.900000 PA USD 20141.900000 0.0003180 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406PGD5 686.750000 PA USD 742.790000 0.0000117 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31406UGC6 576.200000 PA USD 638.570000 0.0000101 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31406UJK5 81975.910000 PA USD 93010.110000 0.0014683 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31406X5D0 16986.650000 PA USD 18853.900000 0.0002976 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31406YFG0 19470.240000 PA USD 22005.170000 0.0003474 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31406YYV6 2755.540000 PA USD 3072.070000 0.0000485 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407A2Q3 174473.970000 PA USD 191286.610000 0.0030198 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407BKU2 1070.110000 PA USD 1214.370000 0.0000192 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407DX34 14478.990000 PA USD 16061.420000 0.0002536 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407D3N3 1656.740000 PA USD 1816.700000 0.0000287 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407EH48 10219.630000 PA USD 11589.350000 0.0001830 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407EVN0 23253.780000 PA USD 23449.050000 0.0003702 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.162 N N N N N N FNMA PASS THRU POOLS N/A 31407E3L5 284135.620000 PA USD 285976.410000 0.0045146 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 3.075 N N N N N N FNMA PASS THRU POOLS N/A 31407E3M3 239317.660000 PA USD 241125.250000 0.0038066 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 3.075 N N N N N N FNMA PASS THRU POOLS N/A 31407FKU3 26935.660000 PA USD 31067.100000 0.0004904 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407FMV9 26328.680000 PA USD 29209.850000 0.0004611 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407FZ94 18441.990000 PA USD 20469.150000 0.0003231 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407HL61 10472.350000 PA USD 11846.170000 0.0001870 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407HPR1 13946.210000 PA USD 15811.330000 0.0002496 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407JDQ2 14505.160000 PA USD 16713.700000 0.0002639 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407JZK1 194730.310000 PA USD 197876.790000 0.0031238 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.84 N N N N N N FNMA PASS THRU POOLS N/A 31407ME76 17230.800000 PA USD 17384.920000 0.0002745 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 4.09 N N N N N N FNMA PASS THRU POOLS N/A 31407MZ99 154060.190000 PA USD 174939.950000 0.0027617 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407R3E2 4094.110000 PA USD 4542.800000 0.0000717 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407SKP6 688.200000 PA USD 754.730000 0.0000119 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31407VTF2 7498.590000 PA USD 8395.850000 0.0001325 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31407XC58 2828.510000 PA USD 3259.040000 0.0000514 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408AEN6 4992.940000 PA USD 5667.680000 0.0000895 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408DK94 76010.900000 PA USD 86318.870000 0.0013627 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408EXZ0 430.730000 PA USD 474.070000 0.0000075 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31408F5H8 94007.520000 PA USD 107876.720000 0.0017030 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31408JB83 16889.870000 PA USD 18747.850000 0.0002960 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409BXW2 9109.460000 PA USD 10291.830000 0.0001625 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31409GKP0 62164.350000 PA USD 71359.300000 0.0011265 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409T2T4 15284.960000 PA USD 17152.260000 0.0002708 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31409YPU5 27562.580000 PA USD 30555.270000 0.0004824 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410BBQ6 3361.010000 PA USD 3852.010000 0.0000608 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410C2A9 9366.850000 PA USD 10751.560000 0.0001697 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410EHT8 18565.430000 PA USD 18950.800000 0.0002992 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410EQA9 25072.610000 PA USD 27824.660000 0.0004393 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410FUK9 2380.070000 PA USD 2744.260000 0.0000433 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410FYT6 444426.080000 PA USD 512821.920000 0.0080958 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410GFF5 1379.040000 PA USD 1566.920000 0.0000247 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GNL3 142712.980000 PA USD 162116.600000 0.0025593 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410GRN5 7612.350000 PA USD 8639.300000 0.0001364 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410G2H5 407609.310000 PA USD 463319.010000 0.0073143 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410G6K4 665540.940000 PA USD 755965.850000 0.0119343 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KLN2 31429.210000 PA USD 35713.470000 0.0005638 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KM92 11079.770000 PA USD 12585.360000 0.0001987 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KNH3 958.820000 PA USD 1088.830000 0.0000172 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410KXK5 548630.270000 PA USD 623080.430000 0.0098364 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410LD90 7469.390000 PA USD 7820.010000 0.0001235 Long ABS-MBS USGSE US N 2 2020-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31410MB25 376094.040000 PA USD 424532.700000 0.0067020 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410MJ76 45047.730000 PA USD 50266.250000 0.0007935 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410PXS7 3972.360000 PA USD 4401.170000 0.0000695 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410REF2 1197.410000 PA USD 1328.370000 0.0000210 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410R3G2 12334.230000 PA USD 13686.780000 0.0002161 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410TM77 13132.520000 PA USD 13489.910000 0.0002130 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410TW50 6082.320000 PA USD 6738.900000 0.0001064 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410UUH3 2153.140000 PA USD 2386.390000 0.0000377 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410VGA2 2791.210000 PA USD 3096.820000 0.0000489 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410XA71 37324.360000 PA USD 42840.850000 0.0006763 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410XED4 5275.410000 PA USD 5848.840000 0.0000923 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31410XPJ9 1174.880000 PA USD 1286.960000 0.0000203 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31410YED2 876.880000 PA USD 973.570000 0.0000154 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411BFP3 132804.970000 PA USD 153055.590000 0.0024163 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411DDD8 53294.070000 PA USD 60096.560000 0.0009487 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411DS67 1787.620000 PA USD 2024.250000 0.0000320 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411ENM5 1294.430000 PA USD 1419.260000 0.0000224 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31411KCZ4 1221.400000 PA USD 1407.400000 0.0000222 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411KYV9 36253.930000 PA USD 40350.160000 0.0006370 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411K5N9 1229.880000 PA USD 1362.640000 0.0000215 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411VHL6 5049.470000 PA USD 5833.680000 0.0000921 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31411WCW5 4938.830000 PA USD 5479.510000 0.0000865 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412BSK9 17480.130000 PA USD 19492.530000 0.0003077 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412ENE2 225388.330000 PA USD 250091.310000 0.0039481 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412LA42 45623.980000 PA USD 52556.910000 0.0008297 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412LRK8 17790.600000 PA USD 20491.590000 0.0003235 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412NU87 1102.640000 PA USD 1260.880000 0.0000199 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412PG70 112944.620000 PA USD 123839.160000 0.0019550 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412PLN9 124196.400000 PA USD 136045.490000 0.0021477 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412Q2T5 35692.930000 PA USD 39185.480000 0.0006186 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412UY95 17019.900000 PA USD 18337.690000 0.0002895 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412VE38 4353.320000 PA USD 4692.600000 0.0000741 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31412WGN0 14496.080000 PA USD 16066.560000 0.0002536 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31412YBH4 66775.950000 PA USD 76930.000000 0.0012145 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413BGY1 72807.150000 PA USD 80721.270000 0.0012743 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413CL56 7323.680000 PA USD 8320.750000 0.0001314 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413C4C0 3252.400000 PA USD 3567.410000 0.0000563 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413DJ40 7675.980000 PA USD 8842.220000 0.0001396 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413DT23 5123.420000 PA USD 5873.820000 0.0000927 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413FC42 51306.150000 PA USD 56865.990000 0.0008977 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413GH86 3904.430000 PA USD 3937.710000 0.0000622 Long ABS-MBS USGSE US N 2 2022-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413LKP3 84447.540000 PA USD 93682.350000 0.0014789 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413LNE5 322439.950000 PA USD 371346.210000 0.0058624 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413MFW2 10420.230000 PA USD 10793.710000 0.0001704 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31413QZJ0 7951.210000 PA USD 8822.480000 0.0001393 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413SA20 985.430000 PA USD 1134.980000 0.0000179 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413SCS1 41265.950000 PA USD 47676.990000 0.0007527 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31413UVJ5 1277.250000 PA USD 1303.640000 0.0000206 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414CJF6 148032.560000 PA USD 164994.820000 0.0026047 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31414F3S8 2394.540000 PA USD 2754.090000 0.0000435 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414HKB2 10124.690000 PA USD 11663.480000 0.0001841 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31414LB98 1553935.550000 PA USD 1760345.380000 0.0277902 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31414QAF4 102368.890000 PA USD 116178.670000 0.0018341 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LQU4 24765.980000 PA USD 26690.510000 0.0004214 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31415LQY6 40427.790000 PA USD 45753.740000 0.0007223 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31415VQA6 883940.080000 PA USD 1010444.970000 0.0159517 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416ACZ1 67500.880000 PA USD 74910.930000 0.0011826 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416ALF5 2335.450000 PA USD 2562.500000 0.0000405 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416AWL0 129556.260000 PA USD 146955.450000 0.0023200 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BGM4 153015.220000 PA USD 168431.340000 0.0026590 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BN53 7719.210000 PA USD 8751.730000 0.0001382 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416BTW8 2377.060000 PA USD 2513.680000 0.0000397 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CJP2 45688.840000 PA USD 47934.350000 0.0007567 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416CLT1 32055.080000 PA USD 36973.050000 0.0005837 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416CLU8 432258.350000 PA USD 491176.210000 0.0077541 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31416HWP6 129408.430000 PA USD 144207.620000 0.0022766 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31416KD96 1901.450000 PA USD 2058.500000 0.0000325 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31416MG32 23198.310000 PA USD 24975.000000 0.0003943 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416MX41 344779.640000 PA USD 372444.980000 0.0058797 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416M5L4 51417.660000 PA USD 56132.090000 0.0008861 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31416QYU3 221977.770000 PA USD 244261.780000 0.0038561 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416RGR8 175670.460000 PA USD 192742.110000 0.0030428 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416TL80 1840186.950000 PA USD 2049171.070000 0.0323498 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31416TM55 21058.120000 PA USD 23100.700000 0.0003647 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WEW8 118090.770000 PA USD 129631.330000 0.0020465 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WUQ3 4220.580000 PA USD 4621.730000 0.0000730 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416WXP2 272492.840000 PA USD 298322.320000 0.0047095 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416W4E9 151726.680000 PA USD 166108.040000 0.0026223 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416X6Y1 52675.600000 PA USD 57092.980000 0.0009013 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31416X7G9 21521.910000 PA USD 24264.470000 0.0003831 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31416YNX2 39382.600000 PA USD 42704.960000 0.0006742 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417BTQ0 20631.750000 PA USD 22241.850000 0.0003511 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417FRX8 128129.610000 PA USD 134559.640000 0.0021243 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31417JJN1 12480.610000 PA USD 13836.080000 0.0002184 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31417J3B4 111456.800000 PA USD 125673.460000 0.0019840 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31417TMA3 188438.680000 PA USD 208716.610000 0.0032950 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MT44 8761.200000 PA USD 9922.910000 0.0001567 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418MWY4 448690.920000 PA USD 474268.270000 0.0074872 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418NAR1 128515.310000 PA USD 145925.120000 0.0023037 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31418QPN7 36507.500000 PA USD 40594.850000 0.0006409 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418UV84 11811.480000 PA USD 12966.360000 0.0002047 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418WPL8 113915.940000 PA USD 125067.930000 0.0019744 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418WPM6 12489.750000 PA USD 13705.940000 0.0002164 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418XRX8 9090.090000 PA USD 9852.820000 0.0001555 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31419ADV6 3032.750000 PA USD 3435.550000 0.0000542 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419AN52 11576.010000 PA USD 12707.900000 0.0002006 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419ARE9 10618.160000 PA USD 12023.880000 0.0001898 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 31419DQK0 9511.030000 PA USD 10315.120000 0.0001628 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419DVU2 15410.320000 PA USD 16849.070000 0.0002660 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31419FSW7 81864.450000 PA USD 88446.760000 0.0013963 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419HBN1 8664.700000 PA USD 9512.340000 0.0001502 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419H2E1 8336.060000 PA USD 9023.470000 0.0001425 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31419LFQ1 72006.020000 PA USD 77615.560000 0.0012253 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419LRL9 93166.020000 PA USD 102252.470000 0.0016142 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31419LYR8 133079.170000 PA USD 146107.990000 0.0023066 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A1B34 21828.710000 PA USD 23835.880000 0.0003763 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A1DF5 13755.260000 PA USD 15038.000000 0.0002374 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A1UN9 435682.120000 PA USD 474789.270000 0.0074954 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A1VM0 34941.360000 PA USD 38358.060000 0.0006056 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A15Z0 28213.190000 PA USD 30420.380000 0.0004802 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A2U64 379677.310000 PA USD 416768.440000 0.0065794 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A2VH9 90209.640000 PA USD 98603.970000 0.0015566 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A2W62 162004.520000 PA USD 177865.210000 0.0028079 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A36C6 6197.520000 PA USD 6534.120000 0.0001032 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138A8HD1 475250.780000 PA USD 512278.900000 0.0080872 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138A8QX7 41739.450000 PA USD 45824.850000 0.0007234 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABCW7 13099.370000 PA USD 14380.160000 0.0002270 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ABSM2 51020.200000 PA USD 55960.440000 0.0008834 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AEKC6 131571.210000 PA USD 144447.820000 0.0022804 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AEPT4 136978.880000 PA USD 150000.230000 0.0023680 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AG4X3 14353.330000 PA USD 15545.980000 0.0002454 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AG4Y1 62050.620000 PA USD 67513.950000 0.0010658 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AHWZ5 278499.950000 PA USD 303887.010000 0.0047974 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AJZM7 403114.780000 PA USD 442567.750000 0.0069867 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AMCU7 34545.890000 PA USD 37365.640000 0.0005899 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AML29 164150.290000 PA USD 178891.060000 0.0028241 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANAA1 187016.740000 PA USD 201940.260000 0.0031880 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ANVH3 8336.580000 PA USD 9152.600000 0.0001445 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138APJ33 676762.540000 PA USD 741145.740000 0.0117003 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138APJ41 413970.700000 PA USD 449032.540000 0.0070888 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138APLD8 70011.610000 PA USD 75937.760000 0.0011988 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138APQW1 49866.070000 PA USD 54161.210000 0.0008550 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138ARKX1 235317.580000 PA USD 256777.890000 0.0040537 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AU6B8 962124.800000 PA USD 1055358.980000 0.0166607 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138AWKQ5 29251.450000 PA USD 31507.820000 0.0004974 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E1J73 995751.270000 PA USD 1093036.180000 0.0172555 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E4XU0 53390.230000 PA USD 57556.680000 0.0009086 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138E5A99 64764.910000 PA USD 70049.130000 0.0011059 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138EBZ24 200839.360000 PA USD 216513.000000 0.0034180 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGNN0 2869.780000 PA USD 3250.870000 0.0000513 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGSJ4 923812.910000 PA USD 1047960.250000 0.0165439 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EGUD4 80222.470000 PA USD 83988.160000 0.0013259 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138EG4G6 31521.600000 PA USD 34607.060000 0.0005463 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EG7L2 9539.530000 PA USD 10404.520000 0.0001643 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138EHDT6 11849.980000 PA USD 13395.260000 0.0002115 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ELG98 22318.570000 PA USD 24498.670000 0.0003868 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ENBT5 64712.870000 PA USD 70335.990000 0.0011104 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 5946858.040000 PA USD 6028549.730000 0.0951714 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 4.172 N N N N N N FNMA PASS THRU POOLS N/A 3138EPLH5 2417714.130000 PA USD 2641653.860000 0.0417032 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138EPPG3 8294.750000 PA USD 8963.820000 0.0001415 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138ERDP2 2699496.490000 PA USD 2904697.550000 0.0458558 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138ERM72 40123303.230000 PA USD 42389884.680000 0.6691999 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138L0DX6 687208.510000 PA USD 709310.540000 0.0111977 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.67 N N N N N N FNMA PASS THRU POOLS N/A 3138L0MH1 4448189.160000 PA USD 4569452.400000 0.0721370 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.31 N N N N N N FNMA PASS THRU POOLS N/A 3138L0N80 6400000.000000 PA USD 7078344.190000 0.1117443 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.87 N N N N N N FNMA PASS THRU POOLS N/A 3138LUR56 485998.420000 PA USD 533477.270000 0.0084219 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LX7H6 43066.470000 PA USD 45198.340000 0.0007135 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138M1TN8 12856.540000 PA USD 13752.110000 0.0002171 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138M2BG0 42419.580000 PA USD 46279.430000 0.0007306 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138M9LF6 645987.670000 PA USD 712217.060000 0.0112436 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138MBG59 338900.620000 PA USD 365352.710000 0.0057677 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138MFNQ6 26482.850000 PA USD 29070.220000 0.0004589 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138W0R43 51901.790000 PA USD 54445.200000 0.0008595 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138W6AY2 16816.660000 PA USD 17731.700000 0.0002799 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WAXY8 164414.540000 PA USD 181624.940000 0.0028673 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138WCMV2 383799.700000 PA USD 423779.010000 0.0066901 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138WEKJ7 12044104.060000 PA USD 12866094.290000 0.2031142 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138X3HK1 2013.840000 PA USD 2170.990000 0.0000343 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138X7BJ1 167341.550000 PA USD 175709.490000 0.0027739 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138X7L35 20302.920000 PA USD 21267.920000 0.0003358 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138X9G94 30141.880000 PA USD 31775.240000 0.0005016 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138XCBU5 9176.260000 PA USD 9915.150000 0.0001565 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138XEVS4 9044.040000 PA USD 9796.310000 0.0001547 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138XFF75 16993.820000 PA USD 18691.730000 0.0002951 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138XF4P7 33535.110000 PA USD 36356.150000 0.0005739 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3138XHCL3 80007.730000 PA USD 86232.800000 0.0013613 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138XVS35 38950.450000 PA USD 42432.330000 0.0006699 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138XXDC7 4978.720000 PA USD 5411.690000 0.0000854 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138Y8NS5 180331.490000 PA USD 197065.600000 0.0031110 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138YFQW7 41814.040000 PA USD 45075.600000 0.0007116 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140E0H24 144741.420000 PA USD 156389.060000 0.0024689 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140E9JL1 127953.780000 PA USD 137817.640000 0.0021757 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FBAE0 904355.360000 PA USD 967592.450000 0.0152752 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GQ6E1 79819.290000 PA USD 84773.880000 0.0013383 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HBJA7 23316198.060000 PA USD 24952007.260000 0.3939119 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HHH57 2093244.590000 PA USD 2238872.450000 0.0353446 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HJG47 12011924.170000 PA USD 12833719.960000 0.2026031 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HKYE2 2293831.680000 PA USD 2452516.980000 0.0387174 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HPUX3 2966704.870000 PA USD 3174178.530000 0.0501101 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HUHJ8 6500000.000000 PA USD 7381210.400000 0.1165256 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 3.16 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GM3 2274342.280000 PA USD 2453564.070000 0.0387339 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JGTB1 2416294.940000 PA USD 2580796.130000 0.0407425 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JGTF2 2922433.850000 PA USD 3120307.350000 0.0492596 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JGTQ8 3320782.760000 PA USD 3546944.270000 0.0559948 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JKET9 5966005.690000 PA USD 6370393.610000 0.1005680 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q94R1 6532882.550000 PA USD 6979511.880000 0.1101840 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YDC8 87376.760000 PA USD 93997.320000 0.0014839 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YE60 45721.830000 PA USD 49842.180000 0.0007868 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417YP50 26257.730000 PA USD 28622.260000 0.0004519 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417YSY4 337124.530000 PA USD 368655.360000 0.0058199 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YTV9 7336.230000 PA USD 8021.780000 0.0001266 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417YU70 10076.910000 PA USD 10549.930000 0.0001665 Long ABS-MBS USGSE US N 2 2020-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31417YYS0 178000.300000 PA USD 193825.390000 0.0030599 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417YZA8 30597.690000 PA USD 34023.060000 0.0005371 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31417Y4C8 41867.440000 PA USD 45785.540000 0.0007228 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31417Y4T1 59848.020000 PA USD 62657.320000 0.0009892 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31417Y6B8 1124.020000 PA USD 1176.780000 0.0000186 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418AAX6 93095.620000 PA USD 97465.580000 0.0015387 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418AGV4 104743.350000 PA USD 114976.050000 0.0018151 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CMG6 42183.520000 PA USD 45394.950000 0.0007166 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CR97 3598090.710000 PA USD 3867802.550000 0.0610602 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CUB8 26133890.730000 PA USD 28104163.430000 0.4436743 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 672903.250000 PA USD 712262.160000 0.0112443 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CXN9 332748.730000 PA USD 355619.130000 0.0056141 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CYM0 331907.060000 PA USD 355067.040000 0.0056054 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418C3D4 18660695.290000 PA USD 19982315.710000 0.3154565 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 2018-1 N/A 34528QFZ2 28800000.000000 PA USD 28067990.400000 0.4431033 Long ABS-O CORP US N 2 2023-05-15 Floating 0.98463 N N N N N N FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 2019-1 N/A 34528QGS7 16200000.000000 PA USD 16061997.060000 0.2535673 Long ABS-O CORP US N 2 2024-03-15 Fixed 2.84 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZM8 8100000.000000 PA USD 7877250.000000 0.1243564 Long DBT CORP US N 2 2022-01-07 Fixed 5.596 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZN6 12900000.000000 PA USD 10450004.910000 0.1649720 Long DBT CORP US N 2 2022-01-07 Floating 5.01388 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZC0 13500000.000000 PA USD 10660142.970000 0.1682894 Long DBT CORP US N 2 2023-02-15 Floating 2.92675 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI12NHY8 600000.000000 PA 622333.050000 0.0098246 Long DBT CORP US N 2 2021-05-14 Floating 0.017 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540RAC0 16500000.000000 PA USD 15676272.650000 0.2474779 Long DBT CORP US N 2 2020-09-24 Floating 2.13413 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZG1 8750000.000000 PA USD 8047795.790000 0.1270488 Long DBT CORP US N 2 2021-10-12 Floating 2.72788 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YS6 2169000.000000 PA USD 2093085.000000 0.0330431 Long DBT CORP US N 2 2020-11-02 Fixed 2.343 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI0Z5583 4995000.000000 PA 4853028.010000 0.0766137 Long DBT CORP US N 2 2021-12-01 Floating 0.000001 N N N N N N FREDDIE MAC 2241 N/A 3133TPF87 3016.730000 PA USD 3635.720000 0.0000574 Long ABS-MBS USGSE US N 2 2030-07-15 Fixed 7.5 N N N N N N FREDDIE MAC 2248 N/A 3133TPV48 3433.600000 PA USD 3430.810000 0.0000542 Long ABS-MBS USGSE US N 2 2030-09-15 Floating 1.20463 N N N N N N FREDDIE MAC 2266 N/A 3133TQFM4 1578.060000 PA USD 1575.380000 0.0000249 Long ABS-MBS USGSE US N 2 2030-11-15 Floating 1.15463 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 408788.680000 PA USD 411857.460000 0.0065019 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 1.42463 N N N N N N FREDDIE MAC MTG 2142 N/A 3133TKDP2 20613.740000 PA USD 22736.720000 0.0003589 Long ABS-MBS USGSE US N 2 2029-04-15 Fixed 6.5 N N N N N N FREDDIE MAC-1529 N/A 312916LA5 66613.150000 PA USD 71061.530000 0.0011218 Long ABS-MBS USGSE US N 2 2023-06-15 Fixed 7 N N N N N N FREMONT HOME LOAN TRUST 2005-D N/A 35729PMF4 8100000.000000 PA USD 6008497.380000 0.0948548 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.35663 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAB1 71541.310000 PA USD 33014.360000 0.0005212 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.00663 N N N N N N FULL HOUSE RESORTS INC 5493009DKIWW0H901Y82 359678AB5 329000.000000 PA USD 315580.250000 0.0049820 Long DBT CORP US N 3 2024-02-02 Floating 9.7375 N N N N N N FULL HOUSE RESORTS INC 5493009DKIWW0H901Y82 359678AA7 3910000.000000 PA USD 3750513.060000 0.0592085 Long DBT CORP US N 2 2024-01-31 Floating 8.58038 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448AL7 4500000.000000 PA USD 4623426.860000 0.0729890 Long DBT CORP US N 2 2021-06-01 Fixed 4.85 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 369604BR3 500000.000000 PA 528866.190000 0.0083491 Long DBT CORP US N 2 2022-05-17 Fixed 0.375 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 36962GW75 4000000.000000 PA USD 3245811.680000 0.0512409 Long DBT CORP US N 2 2026-05-05 Floating 2.121 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 36962G5J9 8700000.000000 PA USD 8876460.710000 0.1401308 Long DBT CORP US N 2 2021-10-17 Fixed 4.65 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 37033LGC4 10000000.000000 PA USD 10048487.500000 0.1586333 Long DBT CORP US N 2 2022-10-15 Fixed 6.61 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBU9 21300000.000000 PA USD 21214339.280000 0.3349062 Long DBT CORP US N 2 2020-04-13 Floating 2.77788 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCH7 10000000.000000 PA USD 9003625.700000 0.1421383 Long DBT CORP US N 2 2021-04-09 Floating 2.728 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBX3 1800000.000000 PA USD 1430910.770000 0.0225895 Long DBT CORP US N 2 2022-06-30 Floating 2.68463 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XAY2 5585000.000000 PA USD 5569027.630000 0.0879170 Long DBT CORP US N 2 2020-07-13 Fixed 3.2 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCB0 6970000.000000 PA USD 6764231.240000 0.1067854 Long DBT CORP US N 2 2020-11-06 Fixed 2.45 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBD7 3586000.000000 PA USD 3551358.200000 0.0560645 Long DBT CORP US N 2 2020-11-24 Fixed 3.7 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCN4 700000.000000 PA USD 641897.350000 0.0101335 Long DBT CORP US N 2 2021-11-06 Floating 2.83738 N N N N N N GLENCORE FINANCE (CANADA) LIMITED 5493005TTO0UJ33KCK70 98417EAK6 5400000.000000 PA USD 5351994.760000 0.0844908 Long DBT CORP CA N 2 2021-11-15 Fixed 4.95 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AJ8 3200000.000000 PA USD 2983904.000000 0.0471062 Long DBT CORP US N 2 2025-06-01 Fixed 5.25 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AK5 7900000.000000 PA USD 7036273.250000 0.1110801 Long DBT CORP US N 2 2028-06-01 Fixed 5.75 N N N N N N GNMA PASS THRU POOLS N/A 01N040645 14000000.000000 PA USD 14883449.420000 0.2349618 Long ABS-MBS USGSE US N 2 2050-04-21 Fixed 4 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 38808779.640000 PA USD 376794441.530000 5.9483719 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36202KZL2 13463.230000 PA USD 13890.450000 0.0002193 Long ABS-MBS USGSE US N 2 2026-04-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CBP0 653.190000 PA USD 672.760000 0.0000106 Long ABS-MBS USGSE US N 2 2027-02-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36225CLK0 16077.850000 PA USD 16651.350000 0.0002629 Long ABS-MBS USGSE US N 2 2029-10-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CL20 15102.720000 PA USD 15641.450000 0.0002469 Long ABS-MBS USGSE US N 2 2029-11-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CN28 895.610000 PA USD 928.220000 0.0000147 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 3.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CPN0 1514.000000 PA USD 1577.690000 0.0000249 Long ABS-MBS USGSE US N 2 2030-07-20 Floating 3.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CUC8 84408.880000 PA USD 87204.260000 0.0013767 Long ABS-MBS USGSE US N 2 2032-02-20 Floating 4 N N N N N N GNMA PASS THRU POOLS N/A 36179QRZ6 1603333.840000 PA USD 1750654.130000 0.0276372 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179QYT2 2537297.080000 PA USD 2770206.620000 0.0437326 Long ABS-MBS USGSE US N 2 2045-01-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TAL9 18950229.920000 PA USD 20424663.930000 0.3224397 Long ABS-MBS USGSE US N 2 2047-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TUB9 10994212.960000 PA USD 11841266.720000 0.1869355 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TV69 2863177.070000 PA USD 3083818.760000 0.0486836 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TV77 4285642.260000 PA USD 4597741.540000 0.0725835 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TXW0 12614228.600000 PA USD 13534404.790000 0.2136647 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TZ57 9409516.140000 PA USD 10078380.770000 0.1591052 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TZ65 32016322.070000 PA USD 34328541.170000 0.5419372 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179T7M1 40990727.630000 PA USD 44222211.970000 0.6981264 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKY7 32722513.640000 PA USD 34832027.420000 0.5498856 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKZ4 3313137.730000 PA USD 3543000.970000 0.0559326 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UMN9 12166101.670000 PA USD 13042306.870000 0.2058961 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UQ70 347568.670000 PA USD 372113.180000 0.0058745 Long ABS-MBS USGSE US N 2 2049-04-20 Fixed 5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 27975229.900000 PA USD 274744732.810000 4.3373353 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36179UUM2 22800020.190000 PA USD 24319056.940000 0.3839197 Long ABS-MBS USGSE US N 2 2049-06-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179UWB4 8700001.330000 PA USD 9268509.620000 0.1463199 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179VBG4 63658801.060000 PA USD 67263105.080000 1.0618680 Long ABS-MBS USGSE US N 2 2049-12-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179VDP2 32113024.990000 PA USD 34007740.030000 0.5368728 Long ABS-MBS USGSE US N 2 2050-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H030658 26600000.000000 PA USD 28103410.450000 0.4436624 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H030666 5000000.000000 PA USD 5272244.400000 0.0832318 Long ABS-MBS USGSE US N 2 2050-06-22 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H032647 30450000.000000 PA USD 32083935.730000 0.5065021 Long ABS-MBS USGSE US N 2 2050-04-21 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H032654 83750000.000000 PA USD 88188378.990000 1.3922108 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H032654 -114200000.000000 PA USD -120252094.090000 -1.8983936 Short ABS-MBS USGSE US N 2 2050-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H040640 432900000.000000 PA USD 459946955.640000 7.2610825 Long ABS-MBS USGSE US N 2 2050-04-21 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H040657 341000000.000000 PA USD 362624866.230000 5.7246799 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H042646 137000000.000000 PA USD 145439413.720000 2.2960204 Long ABS-MBS USGSE US N 2 2050-04-21 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H042653 29900000.000000 PA USD 31746558.520000 0.5011760 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H050649 109200000.000000 PA USD 116127375.000000 1.8332776 Long ABS-MBS USGSE US N 2 2050-04-21 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 21H050656 28000000.000000 PA USD 29820000.000000 0.4707619 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36296RJR9 10161.630000 PA USD 11502.880000 0.0001816 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36241LDB9 9550.710000 PA USD 10850.870000 0.0001713 Long ABS-MBS USGSE US N 2 2039-11-15 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36183XQ37 972744.380000 PA USD 1032159.580000 0.0162945 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36185G6X8 2438370.410000 PA USD 2585642.690000 0.0408190 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617A36W5 1348264.900000 PA USD 1429761.810000 0.0225713 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617A8MD8 2508613.350000 PA USD 2661283.850000 0.0420131 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAC0 3500000.000000 PA USD 3594846.400000 0.0567511 Long DBT CORP US N 2 2025-01-23 Fixed 3.5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWT7 10600000.000000 PA USD 10830956.620000 0.1709860 Long DBT CORP US N 2 2023-02-23 Fixed 3.2 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAE6 11697000.000000 PA USD 12131859.490000 0.1915230 Long DBT CORP US N 2 2025-05-22 Fixed 3.75 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXD1 8400000.000000 PA USD 7728012.260000 0.1220004 Long DBT CORP US N 2 2026-05-15 Floating 2.86175 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAB4 23500000.000000 PA USD 22647380.990000 0.3575293 Long DBT CORP US N 2 2022-10-31 Floating 2.55713 N N N N N N GOODMAN US FINANCE THREE LLC N/A 38239JAA9 11200000.000000 PA USD 10572940.000000 0.1669127 Long DBT CORP US N 2 2028-03-15 Fixed 3.7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18 N/A 38376REZ5 14108853.120000 PA USD 13887421.720000 0.2192377 Long ABS-MBS USGSE US N 2 2065-07-20 Floating 2.26188 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H19 N/A 38376RGB6 9828835.330000 PA USD 9674219.890000 0.1527248 Long ABS-MBS USGSE US N 2 2065-08-20 Floating 2.26188 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20 N/A 38376RYV2 19129430.040000 PA USD 20759955.700000 0.3277329 Long ABS-MBS USGSE US N 2 2066-09-20 Variable 4.943 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02 N/A 38376RPV2 3998863.070000 PA USD 3995216.510000 0.0630716 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 2.66188 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H06 N/A 38376RSM9 2061640.010000 PA USD 2059863.910000 0.0325186 Long ABS-MBS USGSE US N 2 2063-07-20 Floating 2.31188 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14 N/A 38376RVV5 5731337.300000 PA USD 5678923.650000 0.0896519 Long ABS-MBS USGSE US N 2 2066-06-20 Floating 2.46188 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17 N/A 38376RXT8 15778067.510000 PA USD 15651382.250000 0.2470850 Long ABS-MBS USGSE US N 2 2066-08-20 Floating 2.49188 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17 N/A 38376RXJ0 341490.160000 PA USD 340512.680000 0.0053756 Long ABS-MBS USGSE US N 2 2066-08-20 Floating 2.11188 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ N/A 38376RC95 10392571.860000 PA USD 10285113.710000 0.1623689 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 2.43188 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10 N/A 38375UZZ6 11740378.640000 PA USD 11728527.900000 0.1851557 Long ABS-MBS USGSE US N 2 2067-04-20 Floating 3.629 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14 N/A 38376R4Z6 575032.960000 PA USD 575335.830000 0.0090827 Long ABS-MBS USGSE US N 2 2067-06-20 Floating 3.48688 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38 N/A 38380V2S9 9901216.440000 PA USD 9872755.390000 0.1558590 Long ABS-MBS USGSE US N 2 2043-10-20 Floating 1.88113 N N N N N N GREAT HALL MORTGAGES PLC 2007-2A N/A 39052PAA7 2953814.700000 PA USD 2765006.860000 0.0436506 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 1.01938 N N N N N N GS MORTGAGE SECURITIES CORP II 2015-GC30 N/A 36250GAQ8 13200000.000000 PA USD 13580204.880000 0.2143877 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 3.12 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2016-RENT N/A 36251GAA2 5500000.000000 PA USD 5489466.400000 0.0866610 Long ABS-MBS CORP US N 2 2029-02-10 Fixed 3.203 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2016-RENT N/A 36251GAG9 17150000.000000 PA USD 17086085.380000 0.2697343 Long ABS-MBS CORP US N 2 2029-02-10 Fixed 3.98 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX N/A 36257CAA5 10700000.000000 PA USD 10527981.450000 0.1662030 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 2.85555 N N N N N N GS MORTGAGE SECURITIES TRUST 2016-GS3 N/A 36251PBD5 3037000.000000 PA USD 2888373.780000 0.0455981 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 3.60172 N N N N N N GSAA HOME EQUITY TRUST 2006-7 N/A 362334NB6 8284504.490000 PA USD 4527885.160000 0.0714807 Long ABS-MBS CORP US N 2 2046-03-25 Fixed 5.99494 Y N N N N N GSAMP TRUST 2006-NC2 N/A 362463AC5 3937293.140000 PA USD 2328084.420000 0.0367530 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.03663 N N N N N N GSPA MONETIZATION TRUST N/A 36298GAA7 6488240.690000 PA USD 7603430.610000 0.1200337 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 1116306.930000 PA USD 1056801.970000 0.0166835 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.09849 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 294127.180000 PA USD 261850.870000 0.0041338 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.1245 N N N N N N HALCYON LOAN ADVISORS FUNDING 2014-3 LTD N/A 40538FAQ6 7176935.750000 PA USD 7170239.450000 0.1131950 Long ABS-CBDO CORP KY N 2 2025-10-22 Floating 2.90213 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-14 N/A 41161PWV1 2184122.310000 PA USD 1443726.470000 0.0227918 Long ABS-MBS CORP US N 2 2035-12-19 Variable 3.7673 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 241485.530000 PA USD 225296.460000 0.0035567 Long ABS-MBS CORP US N 2 2035-05-19 Floating 1.19 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-4 N/A 41161PMX8 853132.510000 PA USD 730112.420000 0.0115261 Long ABS-MBS CORP US N 2 2035-07-19 Floating 4.29291 Y N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVK6 2081067.950000 PA USD 1565472.540000 0.0247138 Long ABS-MBS CORP US N 2 2035-10-19 Floating 2.25 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41284VAB8 17100000.000000 PA USD 17393704.470000 0.2745906 Long DBT CORP US N 2 2021-05-21 Fixed 3.55 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 58982925.650000 PA 72088407.640000 1.1380440 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.76129 N N N N N N HIGHWOODS REALTY LP JUJNVZX73BIYHLR58F51 431282AQ5 3600000.000000 PA USD 3879907.520000 0.0612513 Long DBT CORP US N 2 2028-03-15 Fixed 4.125 N N N N N N HILTON USA TRUST 2016-SFP N/A 43289VAA1 14400000.000000 PA USD 13896054.720000 0.2193740 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 2.82844 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAD0 17801891.670000 PA USD 15977573.390000 0.2522345 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.17663 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI0H2TW1 1700000.000000 PA 1757352.200000 0.0277429 Long DBT CORP GB N 2 2023-09-29 Floating 6 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BG3 10000000.000000 PA USD 9590440.300000 0.1514022 Long DBT CORP GB N 2 2022-01-05 Floating 3.40025 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AV1 17900000.000000 PA USD 18004240.830000 0.2842290 Long DBT CORP GB N 2 2021-03-08 Fixed 3.4 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AX7 2500000.000000 PA USD 2485828.950000 0.0392432 Long DBT CORP GB N 2 2021-03-08 Floating 3.23888 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BV0 6100000.000000 PA USD 5965388.800000 0.0941743 Long DBT CORP GB N 2 2021-09-11 Floating 1.43413 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAX5 6000000.000000 PA USD 5969100.480000 0.0942329 Long DBT CORP US N 2 2020-09-18 Floating 1.68938 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAA5 4900000.000000 PA USD 5165184.770000 0.0815416 Long DBT CORP BM N 2 2022-11-01 Fixed 5 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAJ6 1390000.000000 PA USD 1475151.400000 0.0232879 Long DBT CORP BM N 2 2029-05-01 Fixed 4.25 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAA1 16000000.000000 PA USD 15673525.920000 0.2474345 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 45262BAC7 8000000.000000 PA USD 7532363.680000 0.1189118 Long DBT CORP GB N 2 2029-07-26 Fixed 3.875 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 518.020000 PA USD 456.280000 0.0000072 Long ABS-MBS CORP US N 2 2032-01-25 Floating 3.5281 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR35 N/A 45667SAA5 2264073.220000 PA USD 2055339.030000 0.0324472 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.11663 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR9 N/A 45661EGE8 5964431.630000 PA USD 4447848.440000 0.0702172 Long ABS-MBS CORP US N 2 2036-06-25 Variable 3.55227 Y N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 ACI0QYRD5 200000.000000 PA USD 175340.800000 0.0027681 Long DBT CORP NL N 2 2022-04-16 Floating 6.875 N N N N Y ING GROEP NV EUR XXXX N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AG8 5200000.000000 PA USD 5227449.450000 0.0825246 Long DBT CORP NL N 2 2022-03-29 Fixed 3.15 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 45685NAA4 4700000.000000 PA USD 4963633.290000 0.0783598 Long DBT CORP NL N 2 2026-01-06 Fixed 4.625 N N N N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GF6 4248000.000000 PA USD 4224146.290000 0.0666857 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N IOWA TOBACCO SETTLEMENT AUTHORITY N/A 888805AP3 865000.000000 PA USD 865129.750000 0.0136576 Long DBT MUN US N 2 2023-06-01 Fixed 6.5 N N N N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI1G4C61 6200000.000000 PA 5887651.770000 0.0929471 Long DBT NUSS CI N 2 2031-10-17 Fixed 5.875 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-LAQ N/A 46649VAA9 17189123.550000 PA USD 16440777.870000 0.2595470 Long ABS-MBS CORP US N 2 2032-06-15 Floating 1.70463 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LTB7 18900000.000000 PA USD 19353815.840000 0.3055345 Long DBT CORP US N 2 2021-06-11 Fixed 3.3 N N N N N N JAMESTOWN CLO VI LTD 2015-7A N/A 47048BAK6 5204203.730000 PA USD 5076107.510000 0.0801354 Long ABS-CBDO CORP KY N 2 2027-07-25 Floating 2.62413 N N N N N N JAPAN TOBACCO INC 353800Z0ENYBQO0XRJ31 BYQRRPII5 1500000.000000 PA USD 1496877.320000 0.0236309 Long DBT CORP JP N 2 2021-04-13 Fixed 2 N N N N N N JMP CREDIT ADVISORS CLO IIIR LTD 2014-1RA N/A 46649DAA9 20800000.000000 PA USD 20400339.020000 0.3220557 Long ABS-CBDO CORP KY N 2 2028-01-17 Floating 2.68613 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAE6 1900000.000000 PA USD 1925774.360000 0.0304018 Long DBT CORP US N 2 2023-04-25 Floating 2.776 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAU0 16900000.000000 PA USD 17712381.820000 0.2796215 Long DBT CORP US N 2 2024-07-23 Floating 3.797 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247QA4 199928.840000 PA USD 185449.170000 0.0029276 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.88413 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 433098.830000 PA USD 293536.240000 0.0046340 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAT7 1469012.520000 PA USD 1273182.720000 0.0200995 Long ABS-MBS CORP US N 2 2034-08-25 Floating 4.12341 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A6 N/A 46628BAG5 2497200.480000 PA USD 2026401.030000 0.0319904 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.11902 Y N N N N N JP MORGAN MORTGAGE TRUST 2008-R1 N/A 46632GAA1 11815939.470000 PA USD 9630848.510000 0.1520401 Long ABS-MBS CORP US N 2 2037-12-26 Variable 3.97351 N N N N N N JP MORGAN MTGE ACQUIS CORP 2005-FRE1 N/A 46626LCC2 7200000.000000 PA USD 6567413.760000 0.1036783 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.35663 Y N N N N N JP MORGAN MTGE ACQUIS CORP 2006-FRE1 N/A 46626LFN5 4500000.000000 PA USD 4329685.350000 0.0683518 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.33663 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH3 N/A 46630XAF5 1900000.000000 PA USD 1731212.170000 0.0273303 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.20663 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAE0 2300000.000000 PA USD 2328630.170000 0.0367616 Long DBT CORP US N 2 2021-05-25 Fixed 3.551 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAG5 11100000.000000 PA USD 11574869.880000 0.1827300 Long DBT CORP US N 2 2023-05-25 Fixed 4.057 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 26138EAV1 3600000.000000 PA USD 3599520.880000 0.0568249 Long DBT CORP US N 2 2021-11-15 Fixed 2.53 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAP7 1600000.000000 PA USD 1470134.210000 0.0232087 Long DBT CORP US N 2 2030-02-15 Fixed 3.05 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAP1 5027000.000000 PA USD 4755439.500000 0.0750731 Long DBT CORP US N 2 2021-02-10 Floating 2.30413 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAH9 895000.000000 PA USD 888398.190000 0.0140249 Long DBT CORP US N 2 2020-07-02 Fixed 2.8 N N N N N N LANDMARK MORTGAGE SECURITIES NO 3 PLC N/A ACI0B57H7 17713125.350000 PA 19159506.860000 0.3024670 Long ABS-MBS CORP GB N 2 2044-04-17 Floating 0.98013 N N N N N N LATITUDE MANAGEMENT REAL ESTATE CAPITAL INC 2015-CRE1 N/A 50208XAJ1 643658.530000 PA USD 629465.360000 0.0099372 Long ABS-O CORP US N 2 2032-02-22 Floating 1.9085 N N N N N N LEASEPLAN CORPORATION NV 724500C60L930FVHS484 52206AAD2 8200000.000000 PA USD 8049189.700000 0.1270708 Long DBT CORP NL N 2 2024-10-24 Fixed 2.875 N N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAC6 1940278.970000 PA USD 1571860.740000 0.0248146 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.12663 Y N N N N N LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH 213800MBWEIJDM5CU638 53947BAC4 16500000.000000 PA USD 16489549.730000 0.2603169 Long DBT CORP GB N 2 2020-09-24 Floating 1.70413 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 53944VAP4 15600000.000000 PA USD 15607459.610000 0.2463916 Long DBT CORP GB N 2 2021-05-07 Fixed 3.3 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 53944VAS8 10000000.000000 PA USD 9974968.500000 0.1574727 Long DBT CORP GB N 2 2022-08-14 Fixed 2.25 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 ACI14DZD4 15000000.000000 PA USD 13553384.850000 0.2139643 Long DBT CORP GB N 2 2032-04-02 Variable 7.5 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808F5 5200000.000000 PA 5488487.720000 0.0866456 Long DBT CORP GB N 2 2023-06-27 Floating 7.625 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAC7 1700000.000000 PA USD 1696485.590000 0.0267820 Long DBT CORP GB N 2 2022-01-11 Fixed 3 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 5000000.000000 PA USD 4933886.550000 0.0778902 Long DBT CORP GB N 2 2023-03-17 Floating 2.858 N N N N N N LOANCORE ISSUER LTD 2018-CRE1 N/A 53946MAA5 16700000.000000 PA USD 15776629.450000 0.2490622 Long ABS-CBDO CORP KY N 2 2028-05-15 Floating 1.83463 N N N N N N LONG BEACH MORTGAGE LOAN TR 2002-5 N/A 542514DC5 3753.680000 PA USD 3813.920000 0.0000602 Long ABS-MBS CORP US N 2 2032-11-25 Floating 3.94663 N N N N N N LP CREDIT CARD ABS MASTER TRUST 2018-1 N/A 50214FAA1 17352125.940000 PA USD 16767931.920000 0.2647117 Long ABS-MBS CORP US N 2 2024-08-20 Floating 3.18938 N N N N N N MARATHON OIL CORPORATION 1FRVQX2CRLGC1XLP5727 565849AK2 8689000.000000 PA USD 6659206.420000 0.1051274 Long DBT CORP US N 2 2022-11-01 Fixed 2.8 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903BA0 16800000.000000 PA USD 15417412.920000 0.2433913 Long DBT CORP US N 2 2023-12-01 Fixed 4.15 N N N N N N MASTR ADJUSTABLE RATE MTGES TR 2007-1 N/A 576431AD2 2394589.430000 PA USD 3679192.790000 0.0580826 Long ABS-MBS CORP US N 2 2047-01-25 Floating 2.70585 Y N N N N N MASTR ASSET BACKED SEC TR 2006-FRE1 N/A 57643LPP5 3768033.820000 PA USD 3628335.850000 0.0572797 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.52663 N N N N N N MASTR ASSET BACKED SEC TR 2006-FRE2 N/A 57643GAE7 5343639.100000 PA USD 3801267.140000 0.0600098 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.18663 N N N N N N MELCO RESORTS FINANCE LIMITED N/A 58547DAA7 2000000.000000 PA USD 1856586.040000 0.0293095 Long DBT CORP KY N 2 2025-06-06 Fixed 4.875 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017AN4 10105000.000000 PA USD 9853113.570000 0.1555490 Long DBT CORP US N 2 2021-06-01 Fixed 3.922 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BL6 3200000.000000 PA USD 3256510.820000 0.0514098 Long DBT CORP US N 2 2024-02-06 Fixed 4.64 N N N N N N MID-AMERICA APARTMENTS LP 549300FXWGE3QSYCUJ38 59523UAR8 5000000.000000 PA USD 4641899.400000 0.0732807 Long DBT CORP US N 2 2030-03-15 Fixed 2.75 N N N N N N MIDOCEAN CREDIT CLO IV 2015-4A N/A 59801QAJ8 3947307.320000 PA USD 3877529.430000 0.0612137 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.63125 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AT1 21300000.000000 PA USD 21836068.390000 0.3447213 Long DBT CORP JP N 2 2023-03-02 Fixed 3.455 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AS3 17800000.000000 PA USD 16928966.610000 0.2672539 Long DBT CORP JP N 2 2023-03-02 Floating 2.32038 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAP4 17800000.000000 PA USD 18274493.710000 0.2884955 Long DBT CORP JP N 2 2023-03-05 Fixed 3.549 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBD0 12300000.000000 PA USD 12080775.620000 0.1907166 Long DBT CORP JP N 2 2026-05-25 Floating 2.226 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVM4 1843272.280000 PA USD 1621117.970000 0.0255922 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.55111 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 10600000.000000 PA USD 10281020.140000 0.1623042 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 2.67413 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEF9 6300000.000000 PA USD 6675509.170000 0.1053848 Long DBT CORP US N 2 2027-01-20 Fixed 3.625 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468J1 3110000.000000 PA USD 3153598.620000 0.0497852 Long DBT CORP US N 2 2025-07-22 Floating 2.72 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAE7 13662871.750000 PA USD 7400784.140000 0.1168346 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.19663 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC2 N/A 61749KAE3 7426115.200000 PA USD 3501054.640000 0.0552704 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.09663 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C20 N/A 61764RBD9 3004049.490000 PA USD 3085315.640000 0.0487072 Long ABS-MBS CORP US N 2 2048-02-15 Fixed 3.069 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C27 N/A 61690AAB0 7200000.000000 PA USD 7545523.680000 0.1191195 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.557 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-3AR N/A 61745M4R1 2227397.720000 PA USD 1851762.240000 0.0292334 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.87857 Y N N N N N MORTGAGEIT TRUST 2005-5 N/A 61915RAV8 1949576.200000 PA USD 1804992.510000 0.0284950 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.56663 N N N N N N MOUNTAIN HAWK III CLO LTD 2014-3A N/A 62405CAN4 4194702.110000 PA USD 4180620.410000 0.0659985 Long ABS-CBDO CORP KY N 2 2025-04-18 Floating 3.01913 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAR1 6900000.000000 PA USD 6146450.100000 0.0970327 Long DBT CORP US N 2 2028-03-15 Fixed 4 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBG4 5300000.000000 PA USD 5009485.220000 0.0790837 Long DBT CORP US N 2 2021-09-09 Floating 1.89888 N N N N N N MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP N/A ACI1H1MY4 1500000.000000 PA 1823709.330000 0.0287905 Long DBT CORP US N 2 2023-12-05 Fixed 2.55 N N N N N N MSSG TRUST 2017-237P N/A 55375KAS5 17400000.000000 PA USD 16722899.880000 0.2640008 Long ABS-MBS CORP US N 2 2039-09-13 Fixed 3.397 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAM6 5000000.000000 PA USD 4955669.350000 0.0782341 Long DBT CORP NL N 2 2021-06-15 Fixed 3.15 N N N N N N NATIONAL AUSTRALIA BANK LTD/NEW YORK BRANCH F8SB4JFBSYQFRQEH3Z21 63254ABA5 5000000.000000 PA USD 5098583.700000 0.0804902 Long DBT CORP AU N 2 2023-06-20 Fixed 3.625 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAE7 11500000.000000 PA USD 11650329.150000 0.1839212 Long DBT CORP GB N 2 2030-07-18 Floating 3.96 N N N N N N NETAPP INC QTX3D84DZDD5JYOCYH15 64110DAE4 3000000.000000 PA USD 3008086.980000 0.0474880 Long DBT CORP US N 2 2021-06-15 Fixed 3.375 N N N N N N NEWCREST FINANCE PTY LIMITED 549300I0XDZ4K7PDSS04 65120FAA2 2300000.000000 PA USD 2359885.380000 0.0372550 Long DBT CORP AU N 2 2021-11-15 Fixed 4.45 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBB5 13200000.000000 PA USD 13372544.200000 0.2111094 Long DBT CORP US N 2 2022-02-25 Fixed 3.2 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBC3 16200000.000000 PA USD 15757317.180000 0.2487573 Long DBT CORP US N 2 2022-02-25 Floating 2.39925 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBD1 4400000.000000 PA USD 4471603.000000 0.0705922 Long DBT CORP US N 2 2022-08-15 Fixed 3.3 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QBH5 4600000.000000 PA USD 4646526.330000 0.0733537 Long DBT CORP US N 2 2022-11-17 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BF5 900000.000000 PA USD 887111.000000 0.0140046 Long DBT CORP US N 2 2021-03-15 Fixed 3.15 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BN8 1100000.000000 PA USD 1070448.190000 0.0168989 Long DBT CORP US N 2 2021-09-21 Floating 1.82513 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BL2 7800000.000000 PA USD 7790654.980000 0.1229894 Long DBT CORP US N 2 2023-09-21 Fixed 3.875 N N N N N N NOMURA RESECURITIZATION TRUST 2015-2R N/A 65540UAN3 10265646.140000 PA USD 7590856.070000 0.1198352 Long ABS-MBS CORP US N 3 2036-11-26 Floating 2.30388 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-5 N/A 66988YAE2 2990668.170000 PA USD 1188415.570000 0.0187613 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.18663 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAZ1 6700000.000000 PA USD 7165988.020000 0.1131279 Long DBT CORP NL N 2 2024-03-01 Fixed 4.875 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAU2 2500000.000000 PA USD 2524274.180000 0.0398502 Long DBT CORP NL N 2 2021-06-01 Fixed 4.125 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAT5 3900000.000000 PA USD 4037385.070000 0.0637373 Long DBT CORP NL N 2 2022-06-15 Fixed 4.625 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAW8 10500000.000000 PA USD 10550759.520000 0.1665625 Long DBT CORP NL N 2 2022-09-01 Fixed 3.875 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CQ6 16700000.000000 PA USD 11196338.310000 0.1767542 Long DBT CORP US N 2 2022-08-15 Floating 3.14175 N N N N N N OCP CLO 2015-9 N/A 67091YAJ3 7308278.920000 PA USD 7236223.380000 0.1142367 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.63125 N N N N N N ODEBRECHT DRILLING NORBE VIII/IX LTD 549300YNW6BY570L6488 675757AB4 1963624.500000 PA USD 1666528.110000 0.0263091 Long DBT CORP KY N 2 2021-12-01 Fixed 6.35 N N N N N N ODEBRECHT DRILLING NORBE VIII/IX LTD 549300YNW6BY570L6488 675757AC2 8171371.000000 PA USD 2684724.370000 0.0423832 Long DBT CORP KY N 2 2026-12-01 Fixed 7.35 N N Y N N N ODEBRECHT DRILLING NORBE VIII/IX LTD 549300YNW6BY570L6488 G67106AB3 136508.960000 PA USD 115855.150000 0.0018290 Long DBT CORP KY N 2 2021-12-01 Fixed 6.35 N N N N N N ODEBRECHT DRILLING NORBE VIII/IX LTD 549300YNW6BY570L6488 G67106AC1 589954.000000 PA USD 193830.860000 0.0030600 Long DBT CORP KY N 2 2026-12-01 Fixed 7.35 N N Y N N N ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED 549300L7LF2PIRAWID66 G6711KAC9 880699.230000 PA USD 708962.880000 0.0111922 Long DBT CORP KY N 2 2022-12-01 Fixed 6.72 N N N N N N ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED 549300L7LF2PIRAWID66 G6711KAD7 4346498.000000 PA USD 543312.250000 0.0085772 Long DBT CORP KY N 2 2026-12-01 Fixed 7.72 N N Y N N N ODEBRECHT OIL & GAS FINANCE LIMITED N/A 67576JAB7 4702182.000000 PA USD 51724.000000 0.0008166 Long DBT CORP KY N 2 2020-05-04 None 0 N N N N N N ODEBRECHT OIL & GAS FINANCE LIMITED N/A 000000000 299000.000000 PA USD 3289.000000 0.0000519 Long DBT CORP KY N 2 2020-05-04 None 0 N N N N N N ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2018-1A N/A 68268XAA9 16800000.000000 PA USD 16749949.440000 0.2644278 Long ABS-O CORP US N 2 2024-12-16 Fixed 3.43 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJJ4 13900000.000000 PA USD 12315212.350000 0.1944176 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.40663 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-5 N/A 68403HAA0 11003832.090000 PA USD 6954511.010000 0.1097894 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.16663 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-CP1 N/A 68402YAA4 5848642.910000 PA USD 4680156.580000 0.0738846 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.08663 N N N N N N OVERSEA-CHINESE BANKING CORP 5493007O3QFXCPOGWK22 ACI12PFS8 11600000.000000 PA USD 11548523.960000 0.1823140 Long DBT CORP SG N 2 2021-05-17 Floating 2.14163 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-3A N/A 69700LAA9 7692034.270000 PA USD 7494134.840000 0.1183083 Long ABS-CBDO CORP KY N 2 2026-08-15 Floating 2.54175 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-2A N/A 69689PAA5 13342316.770000 PA USD 13067022.880000 0.2062862 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 2.78913 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAC7 16700000.000000 PA USD 16813363.940000 0.2654289 Long DBT CORP US N 2 2024-10-01 Fixed 2.4 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AN4 2200000.000000 PA USD 2256542.550000 0.0356235 Long DBT CORP US N 2 2023-01-17 Fixed 4.25 N N N N N N PERNOD RICARD 52990097YFPX9J0H5D87 714264AD0 2600000.000000 PA USD 2672855.610000 0.0421958 Long DBT CORP FR N 2 2022-01-15 Fixed 4.45 N N N N N N PERNOD RICARD 52990097YFPX9J0H5D87 714264AA6 1400000.000000 PA USD 1440953.670000 0.0227480 Long DBT CORP FR N 2 2021-04-07 Fixed 5.75 N N N N N N PERNOD RICARD 52990097YFPX9J0H5D87 714264AH1 300000.000000 PA USD 302783.480000 0.0047800 Long DBT CORP FR N 2 2022-07-15 Fixed 4.25 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAR0 4347000.000000 PA USD 4372803.790000 0.0690325 Long DBT CORP NL N 2 2022-01-17 Fixed 6.125 N N N N N N PHILIP MORRIS INTERNATIONAL INC HL3H1H2BGXWVG3BSWR90 718172CA5 200000.000000 PA USD 203943.820000 0.0032196 Long DBT CORP US N 2 2022-08-17 Fixed 2.375 N N N N N N PHYSICIANS REALTY LP 549300P6Q1UMT0X60U20 71951QAA0 2250000.000000 PA USD 2102365.350000 0.0331896 Long DBT CORP US N 2 2027-03-15 Fixed 4.3 N N N N N N PIPER SANDLER COMPANIES QUQDBTUSOAKFEVMRMF78 724078AE0 11300000.000000 PA USD 10720875.000000 0.1692481 Long DBT CORP US N 2 2023-10-15 Fixed 5.2 N N N N N N PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP N/A 72650RAY8 1700000.000000 PA USD 1658966.280000 0.0261897 Long DBT CORP US N 2 2021-02-01 Fixed 5 N N N N N N PNC FINANCIAL SERVICES GROUP INC CFGNEKW0P8842LEUIA51 693475AY1 3000000.000000 PA USD 3113704.170000 0.0491554 Long DBT CORP US N 2 2024-11-01 Fixed 2.2 N N N N N N PRIME MORTGAGE TR 2006-CL1 N/A 74161QAA0 2482334.930000 PA USD 2240131.770000 0.0353645 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.44663 N N N N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 54546.670000 PA USD 50206.120000 0.0007926 Long ABS-MBS CORP US N 2 2034-02-25 Floating 1.34663 N N N N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XBH3 2600000.000000 PA USD 2696655.100000 0.0425715 Long DBT CORP US N 2 2028-09-15 Fixed 3.875 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 P1910WRC5 35575000.000000 PA 242045.550000 0.0038211 Long DBT NUSS AR N 2 2025-04-12 Floating 52.2701 N N N N N N PUBLIC STORAGE, INC. 549300LMZF40TKJ6DM64 74460DAC3 12000000.000000 PA USD 11234611.080000 0.1773584 Long DBT CORP US N 2 2027-09-15 Fixed 3.094 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CQH2 12500000.000000 PA USD 12759062.500000 0.2014245 Long DBT NUSS QA N 2 2024-03-14 Fixed 3.375 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPF7 4000000.000000 PA USD 4294360.000000 0.0677941 Long DBT NUSS QA N 2 2029-03-14 Fixed 4 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 18100000.000000 PA USD 18665878.400000 0.2946742 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 963TAKII9 3600000.000000 PA USD 3596400.000000 0.0567756 Long LON NUSS QA N 3 2020-12-21 Floating 2.7207 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 938CKDII3 6000000.000000 PA USD 5994000.000000 0.0946260 Long LON NUSS QA N 3 2020-12-21 Floating 2.571 N N N N N N QATAR NATIONAL BANK (QPSC) 549300FFSRVBS0SQXY75 963ZXGII9 9700000.000000 PA USD 9700000.000000 0.1531318 Long LON CORP QA N 3 2020-12-22 Floating 2.5946 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI0W6TY1 16800000.000000 PA USD 16502976.000000 0.2605289 Long DBT CORP KY N 2 2021-07-18 Floating 3.38913 N N N N N N RAAC SERIES 2006-SP2 N/A 74919PAD1 803222.060000 PA USD 785885.150000 0.0124066 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.28663 N N N N N N RBSSP RESECURITIZATION TRUST 2009-12 N/A 74928UBY2 4594186.590000 PA USD 4535228.470000 0.0715967 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.74259 N N N N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109AS3 7300000.000000 PA USD 6937346.590000 0.1095184 Long DBT CORP US N 2 2027-01-15 Fixed 3 N N N N N N RECKITT BENCKISER TREASURY SERVICES PLC 213800LAXWIUOOBZ3908 75625QAC3 9600000.000000 PA USD 9430526.590000 0.1488777 Long DBT CORP GB N 2 2022-06-24 Fixed 2.375 N N N N N N RELIANCE HOLDING USA INC LW0V2CUWFIITRBI06W51 759468AA9 4600000.000000 PA USD 4634182.650000 0.0731588 Long DBT CORP US N 2 2020-10-19 Fixed 4.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAE0 12719170.930000 PA USD 5601974.410000 0.0884372 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.285 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA13 N/A 761118PE2 359004.900000 PA USD 289320.970000 0.0045674 Long ABS-MBS CORP US N 2 2035-12-25 Variable 4.55736 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS13 N/A 75115DAK1 787012.470000 PA USD 663310.090000 0.0104715 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QA3 N/A 74923XAA4 7520372.320000 PA USD 6139044.620000 0.0969158 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.04663 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS12 N/A 751151AA9 5438195.390000 PA USD 3701255.900000 0.0584309 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N RESIDENTIAL ACCREDIT LOANS, INC. 2008-QR1 N/A 74925FAA1 1971704.000000 PA USD 1848229.190000 0.0291776 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.34663 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-RS4 N/A 76112BPF1 7300000.000000 PA USD 6953624.490000 0.1097754 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.62663 N N N N N N RESIDENTIAL ASSET SEC CORP 2007-KS3 N/A 74924YAC7 2545921.140000 PA USD 2492051.990000 0.0393415 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.19663 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-EMX5 N/A 76110W7R1 4172846.240000 PA USD 3200215.040000 0.0505211 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.60663 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS4 N/A 76110WU79 192533.570000 PA USD 192715.130000 0.0030424 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.81663 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-EMX2 N/A 75406AAD1 6500000.000000 PA USD 6131496.150000 0.0967966 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.34663 N N N N N N RESIDENTIAL ASSET SECURITIES 2006-KS7 N/A 75406XAD1 6228144.300000 PA USD 6041730.340000 0.0953795 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.18663 N N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A11 N/A 45660LZW2 1408825.680000 PA USD 945366.830000 0.0149243 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.39663 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-S6 N/A 762009AL2 2061309.960000 PA USD 1876921.660000 0.0296306 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBE8 1800000.000000 PA USD 1836236.930000 0.0289883 Long DBT CORP US N 2 2021-11-14 Fixed 3.375 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAL3 13390000.000000 PA USD 13563122.390000 0.2141181 Long DBT CORP US N 2 2022-11-06 Fixed 2.9 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 8900000.000000 PA USD 8724892.500000 0.1377380 Long DBT CORP GB N 2 2021-08-15 Floating 8.625 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 10100000.000000 PA USD 9314270.500000 0.1470424 Long DBT CORP GB N 2 2020-08-10 Floating 7.5 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 2200000.000000 PA USD 2218398.340000 0.0350214 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBQ1 15200000.000000 PA USD 15473295.390000 0.2442735 Long DBT CORP US N 2 2024-11-21 Fixed 2.6 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBU2 6200000.000000 PA USD 6331756.880000 0.0999581 Long DBT CORP US N 2 2026-11-21 Fixed 2.95 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 ACI0LCK78 5200000.000000 PA 5695682.700000 0.0899165 Long DBT CORP GB N 2 2023-03-22 Fixed 2.5 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HKM0 11700000.000000 PA USD 11743040.560000 0.1853848 Long DBT CORP US N 2 2022-06-01 Fixed 2.875 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AE6 15480000.000000 PA USD 15234254.380000 0.2404999 Long DBT CORP US N 2 2021-02-01 Variable 5.625 N N N N N N SABRA HEALTH CARE LP 549300OVKLRFSIQG0H81 78572XAF8 1500000.000000 PA USD 1525023.960000 0.0240752 Long DBT CORP US N 2 2024-06-01 Fixed 4.8 N N N N N N SALES TAX SECURITIZATION CORP N/A 79467BDE2 5000000.000000 PA USD 5248200.000000 0.0828522 Long DBT MUN US N 2 2031-01-01 Fixed 2.857 N N N N N N SALES TAX SECURITIZATION CORP N/A 79467BDG7 2000000.000000 PA USD 2126740.000000 0.0335744 Long DBT MUN US N 2 2033-01-01 Fixed 3.007 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAE5 7100000.000000 PA USD 6992184.650000 0.1103841 Long DBT CORP GB N 2 2021-08-05 Fixed 2.875 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 6217735.960000 PA USD 5811719.050000 0.0917483 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.20663 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2A2 3000000.000000 PA USD 2941074.450000 0.0464301 Long DBT CORP SA N 2 2022-04-16 Fixed 2.75 N N N N N N SCHENCK PROCESS (PLATIN 1426 GMBH) 213800NMYXIGFN77O655 BGGC6YII2 11400000.000000 PA 10561364.770000 0.1667300 Long DBT CORP DE N 2 2023-06-15 Fixed 6.875 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5 N/A 81379EAA0 1110147.500000 PA USD 844961.350000 0.0133392 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.07663 Y N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 21300000.000000 PA USD 20993177.330000 0.3314147 Long DBT CORP US N 2 2021-03-15 Floating 1.1905 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAU6 6600000.000000 PA USD 6277464.860000 0.0991010 Long DBT CORP US N 2 2021-02-15 Fixed 4.25 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAW2 13100000.000000 PA USD 9953710.250000 0.1571371 Long DBT CORP US N 2 2027-02-15 Fixed 4.95 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAR3 4500000.000000 PA USD 3384307.760000 0.0534273 Long DBT CORP US N 2 2023-06-15 Fixed 4.5 N N N N N N SEVEN & I HOLDINGS CO LTD 52990037G8JRM3TWGY86 81783HAA3 13000000.000000 PA USD 13203904.480000 0.2084472 Long DBT CORP JP N 2 2021-09-17 Fixed 3.35 N N N N N N SG MORTGAGE SECURITIES TRUST 2006-FRE1 N/A 81879MAW9 2503284.680000 PA USD 1515945.140000 0.0239319 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.21663 N N N N N N SHIRE ACQUISITIONS INVESTMENTS IRELAND DESIGNATED ACTIVITY COMPANY 549300XK5HGW68R8K327 82481LAB5 5500000.000000 PA USD 5483756.300000 0.0865709 Long DBT CORP IE N 2 2021-09-23 Fixed 2.4 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DD6 3400000.000000 PA USD 3355400.980000 0.0529710 Long DBT CORP US N 2 2023-06-01 Fixed 2.75 N N N N N N SLM STUDENT LOAN TRUST 2003-10A N/A 78442GJG2 6823484.850000 PA USD 6767253.880000 0.1068332 Long ABS-O CORP US N 2 2027-12-15 Floating 1.2105 N N N N N N SLM STUDENT LOAN TRUST 2003-11 N/A 78442GJS6 9858410.360000 PA USD 9747711.260000 0.1538850 Long ABS-O CORP US N 2 2025-12-15 Floating 1.2905 N N N N N N ACTIVISION BLIZZARD INC (AKA: ACTIVISION INC) 549300TPQQDBP9GNOF40 00507VAH2 4500000.000000 PA USD 4534464.420000 0.0715846 Long DBT CORP US N 2 2021-09-15 Fixed 2.3 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2001-20A N/A 83162CLF8 1723.200000 PA USD 1740.730000 0.0000275 Long ABS-O CORP US N 2 2021-01-01 Fixed 6.29 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2003-20I N/A 83162CNF6 2673.230000 PA USD 2784.430000 0.0000440 Long ABS-O CORP US N 2 2023-09-01 Fixed 5.13 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-A N/A 78449PAA7 724527.830000 PA USD 723761.930000 0.0114259 Long ABS-O CORP US N 2 2026-03-16 Floating 1.05463 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 ACI084Z26 700000.000000 PA 741844.780000 0.0117113 Long DBT CORP FR N 2 2021-04-07 Floating 6.75 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RAL6 16300000.000000 PA USD 16722935.450000 0.2640013 Long DBT CORP FR N 2 2023-09-14 Fixed 4.25 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WJBII3 1400000.000000 PA USD 1406788.670000 0.0222087 Long DBT CORP US Y 2 2020-09-02 Floating 2.57699 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WJCII1 1400000.000000 PA USD 1421986.920000 0.0224486 Long DBT CORP US Y 2 2021-09-02 Floating 2.57699 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 ACI09S5G4 1700000.000000 PA 2154952.630000 0.0340198 Long DBT CORP GB N 2 2024-10-30 Fixed 4.75 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2019-2 N/A 83406CAA7 8853930.160000 PA USD 8599616.070000 0.1357603 Long ABS-O CORP US N 2 2028-04-25 Fixed 3.01 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2018-B N/A 83404RAA6 4520135.130000 PA USD 4495782.450000 0.0709739 Long ABS-O CORP US N 2 2047-08-25 Fixed 2.64 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAA9 18723342.060000 PA USD 14200198.280000 0.2241754 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.84663 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1 N/A 83612NAC9 1800512.980000 PA USD 529277.900000 0.0083556 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.05663 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 50064FAR5 1200000.000000 PA USD 1232342.410000 0.0194547 Long DBT NUSS KR N 2 2024-06-19 Fixed 2 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CS4 14500000.000000 PA USD 14547633.950000 0.2296603 Long DBT CORP US N 2 2021-07-01 Fixed 2.35 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1CLSY9 34300000.000000 PA 37748217.530000 0.5959229 Long DBT NUSS ES N 2 2029-10-31 Fixed 0.6 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI17SZK2 31300000.000000 PA 37125936.070000 0.5860991 Long DBT NUSS ES N 2 2029-04-30 Fixed 1.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BD35VZII7 6800000.000000 PA 8027194.870000 0.1267236 Long DBT NUSS ES N 2 2028-07-30 Fixed 1.4 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BJRJGGII7 4800000.000000 PA 5914814.100000 0.0933759 Long DBT NUSS ES N 2 2035-07-30 Fixed 1.85 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BFX170II2 10300000.000000 PA 14464593.600000 0.2283494 Long DBT NUSS ES N 2 2048-10-31 Fixed 2.7 N N N N N N SPECIALTY UNDERWRNG & RES FIN 2006-BC5 N/A 84751NAE4 15848585.390000 PA USD 10564641.660000 0.1667817 Long ABS-MBS CORP US N 2 2037-11-25 Floating 1.09663 N N N N N N SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP) 5493008I795YYBFWFU90 85172FAK5 18400000.000000 PA USD 18808480.000000 0.2969254 Long DBT CORP US N 2 2022-05-15 Fixed 6.125 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAA8 525000.000000 PA USD 524343.750000 0.0082777 Long DBT CORP US N 2 2023-03-20 Variable 3.36 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAD2 13800000.000000 PA USD 14196681.000000 0.2241199 Long DBT CORP US N 2 2029-09-20 Fixed 4.738 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAE0 10700000.000000 PA USD 11486904.750000 0.1813413 Long DBT CORP US N 2 2029-09-20 Fixed 5.152 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BN9 11000000.000000 PA USD 10872303.420000 0.1716387 Long DBT CORP GB N 2 2025-05-21 Floating 3.785 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BQ2 17000000.000000 PA USD 16833322.480000 0.2657440 Long DBT CORP GB N 2 2022-09-10 Floating 2.744 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 14500000.000000 PA USD 13416977.890000 0.2118109 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 1.78463 N N N N N N AEP TEXAS INC (AKA: CENTRAL & SOUTH WEST CORP) 5493001L78U618KXNZ75 00108WAD2 2200000.000000 PA USD 2217441.690000 0.0350063 Long DBT CORP US N 2 2022-10-01 Fixed 2.4 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-3 N/A 86363GAA2 1548673.970000 PA USD 1250567.700000 0.0197424 Long ABS-MBS CORP US N 2 2047-04-25 Floating 1.14663 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 13070.080000 PA USD 11987.250000 0.0001892 Long ABS-MBS CORP US N 2 2032-09-19 Floating 1.41 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAK1 6200000.000000 PA USD 5322595.650000 0.0840267 Long DBT CORP IE N 2 2024-01-16 Fixed 4.875 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAC9 700000.000000 PA USD 595848.790000 0.0094065 Long DBT CORP IE N 2 2025-01-15 Fixed 3.5 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAR2 2350000.000000 PA USD 2048678.250000 0.0323420 Long DBT CORP IE N 2 2022-02-01 Fixed 3.95 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 1056707.080000 PA USD 944385.460000 0.0149088 Long ABS-MBS CORP US N 2 2035-07-19 Floating 1 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAF8 1200000.000000 PA USD 1101096.840000 0.0173828 Long DBT CORP IE N 2 2021-05-15 Fixed 4.5 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAA3 4738000.000000 PA USD 3953739.470000 0.0624168 Long DBT CORP IE N 2 2022-05-26 Fixed 3.5 N N N N N N STRUCTURED ASSET SEC CORP 2007-GEL2 N/A 86363MAC5 6600000.000000 PA USD 5927314.140000 0.0935732 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.39663 N N N N N N STRUCTURED ASSET SECURITIES CP 2002-14A N/A 86358RR66 233.540000 PA USD 197.030000 0.0000031 Long ABS-MBS CORP US N 2 2032-07-25 Floating 3.80747 N N N N N N SUDBURY MILL CLO LTD 2013-1A N/A 864662AM3 5311829.310000 PA USD 5304418.030000 0.0837397 Long ABS-CBDO CORP KY N 2 2026-01-17 Floating 2.98613 N N N N N N SUDBURY MILL CLO LTD 2013-1A N/A 864662AN1 5311829.300000 PA USD 5304866.240000 0.0837468 Long ABS-CBDO CORP KY N 2 2026-01-17 Floating 3.00613 N N N N N N SUNTRUST ADJR MRTG LN TR 2007-1 N/A 78473NAC7 1610831.630000 PA USD 1349634.310000 0.0213064 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.96941 Y N N N N N SYMPHONY CLO XII LTD 2013-12A N/A 13080BAA9 9098457.930000 PA USD 9023412.670000 0.1424507 Long ABS-CBDO CORP KY N 2 2025-10-15 Floating 2.86125 N N N N N N SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK) 549300UATVPGSLE43Z27 87166FAC7 17500000.000000 PA USD 17288263.300000 0.2729261 Long DBT CORP US N 2 2021-05-24 Fixed 3.65 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAE4 12100000.000000 PA USD 11405596.970000 0.1800577 Long DBT CORP NL N 2 2021-04-23 Fixed 3.933 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060AQ9 19600000.000000 PA USD 19866492.580000 0.3136280 Long DBT CORP JP N 2 2021-11-26 Fixed 4 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAH8 4300000.000000 PA USD 3835860.410000 0.0605559 Long DBT CORP IE N 2 2021-12-16 Fixed 4.45 N N N N N N TELOS CLO LTD 2014-6A N/A 87970UAS5 6353755.160000 PA USD 6302274.750000 0.0994926 Long ABS-CBDO CORP KY N 2 2027-01-17 Floating 3.10613 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 ACI1285W8 11400000.000000 PA 11573621.290000 0.1827102 Long DBT CORP NL N 2 2025-03-01 Fixed 4.5 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 BWK1Q1II6 2290000.000000 PA 2242528.080000 0.0354023 Long DBT CORP NL N 2 2023-03-31 Fixed 1.25 N N N N N N TEXAS PUBLIC FINANCE AUTHORITY N/A 8827562Q1 3440000.000000 PA USD 3383412.000000 0.0534132 Long DBT MUN US N 2 2024-07-01 Fixed 8.25 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST 2018 N/A 88327HAA1 7938786.570000 PA USD 7614974.580000 0.1202159 Long ABS-MBS CORP US N 2 2034-11-11 Floating 1.75513 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 1085019.980000 PA USD 881163.930000 0.0139107 Long ABS-MBS CORP US N 2 2037-03-25 Floating 2.23738 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 7989725.390000 PA USD 6216716.640000 0.0981420 Long ABS-MBS CORP US N 2 2047-06-25 Floating 2.18738 Y N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 56115580.000000 PA 68259699.450000 1.0776010 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 1.61122 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 32668870.810000 PA 39417481.190000 0.6222752 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.72413 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 40179198.100000 PA USD 39359357.630000 0.6213576 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOYOTA INDUSTRIES CORPORATION 35380000WKGEAHEMW830 892330AD3 5000000.000000 PA USD 5059071.150000 0.0798665 Long DBT CORP JP N 2 2022-03-12 Fixed 3.11 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 935YHEII0 2300000.000000 PA USD 2240238.780000 0.0353662 Long LON CORP US N 3 2021-03-29 Floating 2.2046 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 933NLFII8 17500000.000000 PA USD 17237699.680000 0.2721278 Long LON CORP US N 3 2020-09-28 Floating 1.9546 N N N N N N TRALEE CLO V LTD 2018-5A N/A 89300JAA6 15100000.000000 PA USD 14544471.300000 0.2296104 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 2.92913 N N N N N N AIG GLOBAL FUNDING 54930057MDZ7KOVOTV71 00138CAG3 3800000.000000 PA USD 3828819.050000 0.0604447 Long DBT CORP US N 2 2021-06-25 Fixed 3.35 N N N N N N TWDC ENTERPRISES 18 CORP 7260JQNI6SCF9FIV2392 ACI0XKWF6 5000000.000000 PA USD 4916829.750000 0.0776209 Long DBT CORP US N 2 2022-09-13 Fixed 2.125 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 1700000.000000 PA USD 1717000.000000 0.0271059 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UBS AG/STAMFORD CT BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 3700000.000000 PA USD 3812813.000000 0.0601920 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI0BSNR7 1400000.000000 PA 1509317.850000 0.0238273 Long DBT CORP CH N 2 2022-02-19 Floating 5.75 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 ACI0BSPY0 300000.000000 PA USD 291023.400000 0.0045943 Long DBT CORP CH N 2 2025-02-19 Floating 7 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 BD1FLTII2 5200000.000000 PA USD 5101293.600000 0.0805330 Long DBT CORP CH N 2 2021-08-10 Floating 7.125 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 BYY97DII5 2100000.000000 PA USD 2058000.000000 0.0324892 Long DBT CORP CH N 2 2021-03-22 Floating 6.875 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAF4 10300000.000000 PA USD 10458766.160000 0.1651103 Long DBT CORP CH N 2 2026-04-15 Fixed 4.125 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 3800000.000000 PA USD 3955647.920000 0.0624470 Long DBT CORP CH N 2 2025-09-24 Fixed 4.125 N N N N N N UMBS PASS THRU POOLS N/A 01F032443 41700000.000000 PA USD 43865631.120000 0.6924972 Long ABS-MBS USGSE US N 2 2035-04-20 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032450 10300000.000000 PA USD 10831697.330000 0.1709976 Long ABS-MBS USGSE US N 2 2035-05-18 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022642 107000000.000000 PA USD 110887109.910000 1.7505507 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022642 -10000000.000000 PA USD -10363281.300000 -0.1636029 Short ABS-MBS USGSE US N 2 2050-04-15 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 55000000.000000 PA USD 56910364.500000 0.8984315 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022659 -50000000.000000 PA USD -51736695.000000 -0.8167559 Short ABS-MBS USGSE US N 2 2050-05-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022667 170200000.000000 PA USD 175666081.930000 2.7732022 Long ABS-MBS USGSE US N 2 2050-06-11 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030645 60880000.000000 PA USD 63845521.420000 1.0079154 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030652 359900000.000000 PA USD 376895881.610000 5.9499733 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030660 145520000.000000 PA USD 152073696.930000 2.4007544 Long ABS-MBS USGSE US N 2 2050-06-11 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032641 325515000.000000 PA USD 344371979.790000 5.4365255 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032658 49680000.000000 PA USD 52547284.180000 0.8295525 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032658 -118200000.000000 PA USD -125021920.090000 -1.9736939 Short ABS-MBS USGSE US N 2 2050-05-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040644 238270000.000000 PA USD 254422568.720000 4.0165137 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040644 -517870000.000000 PA USD -552976940.710000 -8.7297267 Short ABS-MBS USGSE US N 2 2050-04-15 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 113000000.000000 PA USD 120625073.890000 1.9042818 Long ABS-MBS USGSE US N 2 2050-05-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 -321400000.000000 PA USD -343087599.540000 -5.4162493 Short ABS-MBS USGSE US N 2 2050-05-13 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F042657 -107700000.000000 PA USD -115861640.630000 -1.8290825 Short ABS-MBS USGSE US N 2 2050-05-13 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F052649 13000000.000000 PA USD 14237031.250000 0.2247569 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F060642 5000000.000000 PA USD 5538281.250000 0.0874316 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 6 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 14550000.000000 PA USD 14831285.690000 0.2341383 Long DBT CORP IT N 2 2022-01-14 Fixed 6.572 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 18700000.000000 PA USD 19994715.630000 0.3156522 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N ALBA PLC 2007-1 N/A 995NAMII0 9952800.000000 PA 11621754.040000 0.1834701 Long ABS-MBS CORP GB N 2 2039-03-17 Floating 0.68263 N N N N N N UNITED OVERSEAS BANK LIMITED IO66REGK3RCBAMA8HR66 91127KAA0 14400000.000000 PA USD 14516906.260000 0.2291752 Long DBT CORP SG N 2 2021-04-23 Fixed 3.2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962D0 292000.000000 PA USD 291992.880000 0.0046096 Long DBT UST US N 2 2020-04-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B25 8180478.000000 PA USD 8316781.860000 0.1312952 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 49392525.000000 PA USD 51044579.500000 0.8058297 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 36625883.000000 PA USD 37520139.460000 0.5923223 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 97515253.800000 PA USD 106071642.960000 1.6745300 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 27168176.000000 PA USD 30450090.570000 0.4807090 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 20253525.000000 PA USD 26005647.420000 0.4105455 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 6353146.000000 PA USD 7269013.750000 0.1147543 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 5443000.000000 PA USD 6619127.200000 0.1044947 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AH2 11199000.000000 PA USD 11575981.860000 0.1827475 Long DBT CORP US N 2 2026-01-15 Fixed 4.3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 16028250.000000 PA USD 19094225.980000 0.3014364 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 15376200.000000 PA USD 18957297.300000 0.2992747 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 6560320.000000 PA USD 8167622.670000 0.1289405 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Q60 53871840.000000 PA USD 52777697.540000 0.8331900 Long DBT UST US N 2 2021-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 19303284.000000 PA USD 19030354.480000 0.3004281 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N ALEXANDRIA REAL ESTATE EQUITIES INC MGCJBT4MKTQBVLNUIS88 015271AG4 4500000.000000 PA USD 4721049.860000 0.0745302 Long DBT CORP US N 2 2029-07-30 Fixed 4.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 6438328.000000 PA USD 6487977.360000 0.1024243 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828TE0 11216500.000000 PA USD 11111289.680000 0.1754115 Long DBT UST US N 2 2022-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 10985669.000000 PA USD 11210635.950000 0.1769799 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 6779304.000000 PA USD 6845119.860000 0.1080624 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 12442510.000000 PA USD 12811278.130000 0.2022489 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 99336158.600000 PA USD 106377929.020000 1.6793652 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 19865283.000000 PA USD 20651620.030000 0.3260226 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N ALLEGRO CLO I LTD 2013-1A N/A 01749GAJ7 432161.090000 PA USD 431745.060000 0.0068159 Long ABS-CBDO CORP KY N 2 2026-01-30 Floating 2.9895 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QZ4 7600000.000000 PA USD 10396562.500000 0.1641283 Long DBT UST US N 2 2043-02-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RE0 22400000.000000 PA USD 33150250.110000 0.5233358 Long DBT UST US N 2 2044-02-15 Fixed 3.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RK6 9800000.000000 PA USD 12241960.960000 0.1932612 Long DBT UST US N 2 2045-02-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SL3 47000000.000000 PA USD 54614550.840000 0.8621880 Long DBT UST US N 2 2050-02-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QW1 4300000.000000 PA USD 5774093.750000 0.0911544 Long DBT UST US N 2 2042-05-15 Fixed 3 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RG5 63300000.000000 PA USD 90514055.000000 1.4289257 Long DBT UST US N 2 2044-05-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RM2 41000000.000000 PA USD 55782422.080000 0.8806250 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAR2 1400000.000000 PA USD 1454513.140000 0.0229621 Long DBT CORP LU N 2 2022-03-15 Fixed 3.45 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SH2 31900000.000000 PA USD 43572160.240000 0.6878642 Long DBT UST US N 2 2049-05-15 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286Z8 47400000.000000 PA USD 50206968.750000 0.7926065 Long DBT UST US N 2 2024-06-30 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QS0 27700000.000000 PA USD 41158304.830000 0.6497572 Long DBT UST US N 2 2041-08-15 Fixed 3.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RH3 35700000.000000 PA USD 49225558.680000 0.7771132 Long DBT UST US N 2 2044-08-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RN0 10000000.000000 PA USD 13373828.100000 0.2111297 Long DBT UST US N 2 2045-08-15 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828L57 20665000.000000 PA USD 21444780.960000 0.3385441 Long DBT UST US N 2 2022-09-30 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QT8 20500000.000000 PA USD 28001718.750000 0.4420570 Long DBT UST US N 2 2041-11-15 Fixed 3.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QY7 8300000.000000 PA USD 10724832.050000 0.1693106 Long DBT UST US N 2 2042-11-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RJ9 155300000.000000 PA USD 210298038.290000 3.3199294 Long DBT UST US N 2 2044-11-15 Fixed 3 N N N N N N VB-S1 ISSUER LLC 2016-1A N/A 91823AAE1 2400000.000000 PA USD 2397496.320000 0.0378488 Long ABS-O CORP US N 2 2046-06-15 Fixed 6.901 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAJ6 4100000.000000 PA USD 3883366.130000 0.0613059 Long DBT CORP US N 2 2026-10-15 Fixed 3.25 N N N N N N VENTURE CLO LTD 2014-16A N/A 92329XAQ1 9700000.000000 PA USD 9475755.400000 0.1495917 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 2.68125 N N N N N N VENTURE XX CLO LTD 2015-20A N/A 92330JCC8 9816441.760000 PA USD 9586248.360000 0.1513360 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.65125 N N N N N N VEREIT OPERATING PARTNERSHIP LP 5493005TQOUJE1LCS698 92340LAD1 9600000.000000 PA USD 9411932.060000 0.1485841 Long DBT CORP US N 2 2025-11-01 Fixed 4.625 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEN0 27614000.000000 PA USD 29674198.800000 0.4684601 Long DBT CORP US N 2 2025-02-15 Fixed 3.376 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AB1 19933000.000000 PA USD 20007273.350000 0.3158505 Long DBT CORP US N 2 2022-08-21 Fixed 2.95 N N N N N N VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2018-2 N/A 92869BAB8 3845106.490000 PA USD 3847218.610000 0.0607352 Long ABS-O CORP US N 2 2021-08-20 Fixed 3.05 N N N N N N VOLKSWAGEN BANK GMBH 529900GJD3OQLRZCKW37 ACI134XC9 2500000.000000 PA 2719377.720000 0.0429302 Long DBT CORP DE N 2 2021-09-08 Fixed 0.625 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AW2 5575000.000000 PA USD 5107205.210000 0.0806263 Long DBT CORP US N 2 2021-09-24 Floating 2.06413 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BB7 16700000.000000 PA USD 16100480.520000 0.2541748 Long DBT CORP US N 2 2026-09-26 Fixed 3.2 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AN2 14415000.000000 PA USD 14370141.100000 0.2268583 Long DBT CORP US N 2 2020-11-13 Fixed 3.875 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AP7 12189000.000000 PA USD 12064940.600000 0.1904666 Long DBT CORP US N 2 2021-11-12 Fixed 4 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AU6 15000000.000000 PA USD 15373128.150000 0.2426922 Long DBT CORP US N 2 2028-11-13 Fixed 4.75 N N N N N N VOYA CLO LTD 2014-3A N/A 92912QAG1 3478798.370000 PA USD 3406608.120000 0.0537794 Long ABS-CBDO CORP KY N 2 2026-07-25 Floating 2.51413 N N N N N N WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP) 06BTX5UWZD0GQ5N5Y745 960386AP5 7390000.000000 PA USD 7175193.020000 0.1132732 Long DBT CORP US N 2 2021-09-15 Floating 2.0405 N N N N N N WACHOVIA MTGE LOAN TRUST 2006-A N/A 92977TAC6 1683559.410000 PA USD 1548438.950000 0.0244449 Long ABS-MBS CORP US N 2 2036-05-20 Floating 4.18035 Y N N N N N WAMU ASSET-BACKED CERTIFICATES 2007-HE2 N/A 92926SAD8 6154269.120000 PA USD 2756193.730000 0.0435114 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.19663 N N N N N N ALLY MASTER OWNER TRUST 2018-3 N/A 02005AGZ5 19600000.000000 PA USD 19228042.960000 0.3035489 Long ABS-O CORP US N 2 2022-07-15 Floating 1.02463 N N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAC7 3001605.290000 PA USD 2373055.940000 0.0374629 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.42989 Y N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAM3 1997919.620000 PA USD 1585694.460000 0.0250330 Long ABS-MBS CORP US N 2 2037-07-25 Floating 3.98271 Y N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 19142410.770000 PA 23509881.910000 0.3711454 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 1.32225 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 2259000.000000 PA 2771432.230000 0.0437520 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 2.02225 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 1179000.000000 PA 1447725.070000 0.0228549 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 2.52225 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 674000.000000 PA 827268.760000 0.0130599 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 3.02225 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 674000.000000 PA 814651.850000 0.0128607 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 3.52225 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 184.000000 PA 298774.590000 0.0047167 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 184.000000 PA 446323.710000 0.0070460 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 228831.330000 PA USD 210166.410000 0.0033179 Long ABS-MBS CORP US N 2 2045-10-25 Floating 1.23663 N N N N N N WASHINGTON MUTUAL 2005-AR6 N/A 92922FH84 8614023.720000 PA USD 8097722.400000 0.1278370 Long ABS-MBS CORP US N 2 2045-02-25 Floating 1.44663 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 279374.400000 PA USD 232270.420000 0.0036668 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.52275 Y N N N N N WASHINGTON PRIME GROUP LP 549300K4BNOIQ154O537 939648AE1 7000000.000000 PA USD 4156285.000000 0.0656144 Long DBT CORP US N 2 2024-08-15 Fixed 6.45 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-3 N/A 9497ENAD5 262699.070000 PA USD 263138.330000 0.0041541 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.83163 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040QAJ3 7000000.000000 PA USD 6636562.800000 0.1047700 Long DBT CORP US N 2 2030-01-15 Fixed 3.1 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2018-3A N/A 96042GAC6 1896372.110000 PA USD 1894267.900000 0.0299044 Long ABS-O CORP US N 2 2022-01-18 Fixed 2.98 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 72925PAC9 600000.000000 PA USD 605641.160000 0.0095611 Long DBT CORP US N 2 2021-03-15 Fixed 4.7 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 1390839.450000 PA USD 1331699.570000 0.0210233 Long DBT CORP KY N 2 2023-02-12 Floating 6.45013 N N N N N N WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP N/A 983130AV7 18000000.000000 PA USD 16874460.000000 0.2663934 Long DBT CORP US N 2 2025-03-01 Fixed 5.5 N N N N N N ZAIS CLO 1 LTD 2014-1A N/A 98886MBA1 17700000.000000 PA USD 17254127.970000 0.2723872 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 2.98125 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAK8 700000.000000 PA USD 700000.000000 0.0110507 Long DBT CORP US N 2 2020-04-01 Fixed 2.7 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAR4 7500000.000000 PA USD 6883823.250000 0.1086734 Long DBT CORP US N 2 2021-08-20 Floating 2.13463 N N N N N N N/A N/A 000000000 -45694811.480000 PA -50374378.570000 -0.7952494 Short RA LU N 2 Reverse repurchase N -0.4700000 2020-05-27 40000000.000000 EUR 42668649.500000 EUR N N N AMERICAN AIRLINES 2016-3 CLASS A PASS THROUGH TRUST N/A 023771S25 3661677.460000 PA USD 3330558.190000 0.0525788 Long DBT CORP US N 2 2030-04-15 Fixed 3.25 N N N N N N AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST N/A 023771R91 7149255.170000 PA USD 6769217.920000 0.1068642 Long DBT CORP US N 2 2030-04-15 Fixed 3 N N N N N N N/A N/A 000000000 -33985622.950000 PA -37467479.930000 -0.5914910 Short RA FR N 2 Reverse repurchase N -0.4300000 2020-05-27 30000000.000000 EUR 32264016.000000 EUR N N N AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST N/A 02378MAA9 6793763.220000 PA USD 5711688.620000 0.0901692 Long DBT CORP US N 2 2033-08-15 Fixed 3.5 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816CD9 6300000.000000 PA USD 6436806.580000 0.1016165 Long DBT CORP US N 2 2022-05-20 Fixed 2.75 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816CE7 16300000.000000 PA USD 15637465.310000 0.2468653 Long DBT CORP US N 2 2022-05-20 Floating 2.31463 N N N N N N N/A N/A 000000000 -1862000.000000 PA USD -1862090.510000 -0.0293964 Short RA US N 2 Reverse repurchase N 0.2500000 2022-03-25 4970000.000000 USD 2950962.350000 USD CDS N N N N/A N/A 000000000 -11272000.000000 PA USD -11277166.330000 -0.1780302 Short RA US N 2 Reverse repurchase N 1.1000000 2022-03-16 12000000.000000 USD 11228069.160000 USD CDS N N N N/A N/A 000000000 -96973730.000000 PA USD -97347024.990000 -1.5367963 Short RA US N 2 Reverse repurchase N 1.6900000 2020-04-09 87884219.000000 USD 111354290.200000 USD UST N N N N/A N/A 000000000 -230143979.000000 PA USD -230997493.500000 -3.6467072 Short RA US N 2 Reverse repurchase N 1.6900000 2020-04-13 210952989.100000 USD 242365934.100000 USD UST N N N N/A N/A 000000000 -7728000.000000 PA USD -7742854.940000 -0.1222348 Short RA US N 2 Reverse repurchase N 1.7300000 2020-04-20 6400000.000000 USD 8678750.020000 USD UST N N N N/A N/A 000000000 -20059125.000000 PA USD -20069377.440000 -0.3168309 Short RA US N 2 Reverse repurchase N 0.9200000 2020-04-13 14900000.000000 USD 20205214.880000 USD UST N N N N/A N/A 000000000 -24727875.000000 PA USD -24741887.460000 -0.3905948 Short RA US N 2 Reverse repurchase N 1.0200000 2020-04-13 18300000.000000 USD 24815800.830000 USD UST N N N N/A N/A 000000000 -19369875.000000 PA USD -19380496.150000 -0.3059557 Short RA US N 2 Reverse repurchase N 0.9400000 2020-04-09 14100000.000000 USD 19120371.130000 USD UST N N N N/A N/A 000000000 1.000000 NC -5535666.040000 -0.0873904 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 69679928.080000 BRL 333300000.000000 BRL 2020-04-02 -5535666.040000 N N N N/A N/A 000000000 1.000000 NC -6175160.730000 -0.0974859 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 73610352.510000 BRL 350400000.000000 BRL 2020-04-02 -6175160.730000 N N N N/A N/A 000000000 1.000000 NC 29648377.130000 0.4680525 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 630200000.000000 BRL 150931647.270000 USD 2020-04-02 29648377.130000 N N N AMERICAN HOME MTGE INV TRUST 2004-4 N/A 02660TCS0 233095.330000 PA USD 226200.630000 0.0035710 Long ABS-MBS CORP US N 2 2045-02-25 Floating 3.53325 N N N N N N N/A N/A 000000000 1.000000 NC -3089153.450000 -0.0487678 N/A DFE BR N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 35116058.240000 BRL 166415000.000000 BRL 2020-04-02 -3089153.450000 N N N N/A N/A 000000000 1.000000 NC -74076.940000 -0.0011694 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 5985484.120000 EUR 5351000.000000 EUR 2020-05-15 -74076.940000 N N N N/A N/A 000000000 1.000000 NC 562690.180000 0.0088831 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 21435786.940000 EUR 19913000.000000 EUR 2020-05-15 562690.180000 N N N N/A N/A 000000000 1.000000 NC 295277.920000 0.0046615 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 9150158.700000 EUR 8550000.000000 EUR 2020-05-15 295277.920000 N N N N/A N/A 000000000 1.000000 NC -790101.920000 -0.0124732 N/A DFE GB N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 21538716.840000 GBP 16704460.890000 GBP 2020-04-02 -790101.920000 N N N N/A N/A 000000000 1.000000 NC -8992.540000 -0.0001420 N/A DFE KR N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 365969.800000 KRW 433985293.000000 KRW 2020-06-17 -8992.540000 N N N N/A N/A 000000000 1.000000 NC -101845.680000 -0.0016078 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 5165000.000000 EUR 5604081.820000 USD 2020-05-15 -101845.680000 N N N N/A N/A 000000000 1.000000 NC 548368.270000 0.0086570 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 16227000.000000 EUR 18474812.720000 USD 2020-05-15 548368.270000 N N N N/A N/A 000000000 1.000000 NC 363151.670000 0.0057330 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 22937000.000000 EUR 25702330.590000 USD 2020-05-15 363151.670000 N N N N/A N/A 000000000 1.000000 NC 57952.210000 0.0009149 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 17067000.000000 EUR 18912369.380000 USD 2020-05-15 57952.210000 N N N N/A N/A 000000000 1.000000 NC -182520.700000 -0.0028814 N/A DFE N/A N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 13034000.000000 EUR 14216522.680000 USD 2020-05-15 -182520.700000 N N N AMERICAN HOME MTGE INV TRUST 2006-2 N/A 02660YAU6 11859590.370000 PA USD 3490928.540000 0.0551105 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.7 Y N N N N N N/A N/A 000000000 1.000000 NC -12998.570000 -0.0002052 N/A DFE IL N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1659000.000000 ILS 455628.290000 USD 2020-04-16 -12998.570000 N N N N/A N/A 000000000 1.000000 NC 481671.670000 0.0076040 N/A DFE JP N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1858200000.000000 JPY 17796822.010000 USD 2020-05-15 481671.670000 N N N N/A N/A 000000000 1.000000 NC 325924.770000 0.0051453 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 20437223.020000 GBP 16704460.890000 GBP 2020-05-04 325924.770000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WDE8 2300000.000000 PA USD 2210400.510000 0.0348951 Long DBT CORP US N 2 2022-02-15 Floating 2.14175 N N N N N N N/A N/A 000000000 1.000000 NC -324838.990000 -0.0051282 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 16704460.890000 GBP 20423775.930000 USD 2020-04-02 -324838.990000 N N N N/A N/A 000000000 1.000000 NC -1346510.120000 -0.0212571 N/A DFE AU N 2 BNP Paribas S.A. N/A 18071693.300000 AUD 27191000.000000 AUD 2020-04-02 -1346510.120000 N N N N/A N/A 000000000 1.000000 NC -657436.910000 -0.0103788 N/A DFE CA N 2 BNP Paribas S.A. N/A 13806152.780000 CAD 18504000.000000 CAD 2020-04-02 -657436.910000 N N N N/A N/A 000000000 1.000000 NC 66284.210000 0.0010464 N/A DFE N/A N 2 BNP Paribas S.A. N/A 2997130.500000 EUR 2773000.000000 EUR 2020-05-15 66284.210000 N N N N/A N/A 000000000 1.000000 NC 85354.400000 0.0013475 N/A DFE JP N 2 BNP Paribas S.A. N/A 3774259.890000 JPY 414200000.000000 JPY 2020-05-15 85354.400000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAX8 13400000.000000 PA USD 13000545.870000 0.2052368 Long DBT CORP US N 2 2027-01-15 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC 1436280.210000 0.0226742 N/A DFE BR N 2 BNP Paribas S.A. N/A 48608059.500000 BRL 10791000.000000 USD 2020-04-02 1436280.210000 N N N N/A N/A 000000000 1.000000 NC 28128.110000 0.0004441 N/A DFE CA N 2 BNP Paribas S.A. N/A 766000.000000 CAD 572438.330000 USD 2020-04-02 28128.110000 N N N N/A N/A 000000000 1.000000 NC 24161.770000 0.0003814 N/A DFE CA N 2 BNP Paribas S.A. N/A 683000.000000 CAD 509493.210000 USD 2020-04-02 24161.770000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAT7 5000000.000000 PA USD 5032424.950000 0.0794458 Long DBT CORP US N 2 2024-05-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 11709.740000 0.0001849 N/A DFE IN N 2 BNP Paribas S.A. N/A 14379788.200000 INR 198711.920000 USD 2020-06-17 11709.740000 N N N N/A N/A 000000000 1.000000 NC 9284562.540000 0.1465734 N/A DFE MX N 2 BNP Paribas S.A. N/A 938632000.000000 MXN 48738582.960000 USD 2020-04-22 9284562.540000 N N N N/A N/A 000000000 1.000000 NC 12953.310000 0.0002045 N/A DFE NO N 2 BNP Paribas S.A. N/A 1090000.000000 NOK 117821.110000 USD 2020-05-15 12953.310000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAQ3 1400000.000000 PA USD 1403642.520000 0.0221590 Long DBT CORP US N 2 2023-06-15 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 41655.090000 0.0006576 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.31 N/A N/A Y Single Leg Swap 2023-12-21 182855.600000 USD 0.000000 USD 21700000.000000 USD -141200.510000 N N N N/A N/A 000000000 1.000000 NC USD -1203.750000 -0.0000190 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX.NA.IG.32 N/A N/A Y Single Leg Swap 2024-06-21 41283.190000 USD 0.000000 USD 1900000.000000 USD -42486.940000 N N N N/A N/A 000000000 -9400000.000000 NC USD -151215.070000 -0.0023872 N/A DCR US N 2 Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. Incorporated 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2020-06-17 XXXX -139089.070000 N N N N/A N/A 000000000 -14300000.000000 NC USD -249611.930000 -0.0039406 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-06-17 XXXX -232165.930000 N N N N/A N/A 000000000 -7100000.000000 NC USD -28.470000 -0.0000004 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.480000 USD 2020-04-15 XXXX 3379.530000 N N N N/A N/A 000000000 -6300000.000000 NC USD -101346.270000 -0.0015999 N/A DCR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Written Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2020-06-17 XXXX -94101.270000 N N N N/A N/A 000000000 -9500000.000000 NC USD -172402.770000 -0.0027217 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2020-04-15 XXXX -162332.770000 N N N N/A N/A 000000000 -7100000.000000 NC USD -128848.390000 -0.0020341 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2020-04-15 XXXX -122813.390000 N N N N/A N/A 000000000 -9500000.000000 NC USD -38.100000 -0.0000006 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.480000 USD 2020-04-15 XXXX 4426.900000 N N N N/A N/A 000000000 -11800000.000000 NC USD -205973.480000 -0.0032517 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2020-06-17 XXXX -193701.480000 N N N N/A N/A 000000000 1.000000 NC USD -289251.660000 -0.0045664 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2024-12-21 1861785.680000 USD 0.000000 USD 88800000.000000 USD -2151037.340000 N N N N/A N/A 000000000 1.000000 NC USD -368961.500000 -0.0058247 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2025-06-21 0.000000 USD -938542.010000 USD 55200000.000000 USD 569580.510000 N N N N/A N/A 000000000 1.000000 NC -12945.130000 -0.0002044 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 8294035.970000 AUD 13463000.000000 AUD 2020-04-02 -12945.130000 N N N N/A N/A 000000000 1.000000 NC -75262.410000 -0.0011882 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2486077.250000 BRL 12544000.000000 BRL 2020-04-23 -75262.410000 N N N N/A N/A 000000000 1.000000 NC -62232.460000 -0.0009825 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5170469.750000 GBP 4109000.000000 GBP 2020-05-15 -62232.460000 N N N N/A N/A 000000000 1.000000 NC 49109.370000 0.0007753 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2059328.310000 GBP 1696000.000000 GBP 2020-05-15 49109.370000 N N N N/A N/A 000000000 1.000000 NC 121653.950000 0.0019205 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2742638.750000 GBP 2304000.000000 GBP 2020-05-15 121653.950000 N N N AMERIQUEST MTGE SECURITIES INC 2005-R9 N/A 03072SQ32 8352353.920000 PA USD 7907827.450000 0.1248392 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.41663 N N N N N N N/A N/A 000000000 1.000000 NC 2421191.800000 0.0382228 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 127078092.670000 JPY 13897400000.000000 JPY 2020-05-15 2421191.800000 N N N N/A N/A 000000000 1.000000 NC -229068.500000 -0.0036163 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 14429131.790000 JPY 1523900000.000000 JPY 2020-05-15 -229068.500000 N N N N/A N/A 000000000 1.000000 NC 1927246.830000 0.0304250 N/A DFE AU N 2 Citibank NA E57ODZWZ7FF32TWEFA76 40109000.000000 AUD 26598291.370000 USD 2020-04-02 1927246.830000 N N N N/A N/A 000000000 1.000000 NC 1591899.560000 0.0251310 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 45004340.500000 BRL 10253076.310000 USD 2020-04-02 1591899.560000 N N N N/A N/A 000000000 1.000000 NC 479484.520000 0.0075695 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 30030000.000000 BRL 6250910.680000 USD 2020-04-23 479484.520000 N N N N/A N/A 000000000 1.000000 NC -138312.000000 -0.0021835 N/A DFE N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 7648000.000000 EUR 8310658.670000 USD 2020-05-15 -138312.000000 N N N N/A N/A 000000000 1.000000 NC 767204.000000 0.0121117 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 13046000.000000 GBP 16985764.150000 USD 2020-05-15 767204.000000 N N N N/A N/A 000000000 1.000000 NC 2198344.460000 0.0347048 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 43571000.000000 GBP 56365053.370000 USD 2020-05-15 2198344.460000 N N N N/A N/A 000000000 1.000000 NC 646629.700000 0.0102082 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 13481000.000000 GBP 17405974.280000 USD 2020-05-15 646629.700000 N N N N/A N/A 000000000 1.000000 NC 1265865.330000 0.0199839 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 26562000.000000 GBP 34287281.460000 USD 2020-05-15 1265865.330000 N N N N/A N/A 000000000 1.000000 NC 1646444.430000 0.0259921 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 43984000.000000 GBP 56326587.750000 USD 2020-05-15 1646444.430000 N N N N/A N/A 000000000 1.000000 NC 323681.120000 0.0051099 N/A DFE GB N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4865000.000000 GBP 6371764.450000 USD 2020-05-15 323681.120000 N N N N/A N/A 000000000 1.000000 NC -376490.210000 -0.0059436 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2170800000.000000 JPY 19851541.420000 USD 2020-05-15 -376490.210000 N N N N/A N/A 000000000 1.000000 NC -653876.530000 -0.0103226 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2869000000.000000 JPY 26080149.050000 USD 2020-05-15 -653876.530000 N N N N/A N/A 000000000 1.000000 NC -95383.970000 -0.0015058 N/A DFE JP N 2 Citibank NA E57ODZWZ7FF32TWEFA76 420800000.000000 JPY 3825730.690000 USD 2020-05-15 -95383.970000 N N N N/A N/A 000000000 1.000000 NC 782.870000 0.0000124 N/A DFE MX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 79000.000000 MXN 4103.520000 USD 2020-04-22 782.870000 N N N N/A N/A 000000000 1.000000 NC USD 1650.520000 0.0000261 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-12 0.000000 USD -211666.270000 USD 9776219.050000 USD 213316.790000 N N N N/A N/A 000000000 1.000000 NC -3685.540000 -0.0000582 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 271413.910000 BRL 1394120.270000 BRL 2020-05-05 -3685.540000 N N N N/A N/A 000000000 1.000000 NC 3457.060000 0.0000546 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1394120.270000 BRL 271758.340000 USD 2020-04-02 3457.060000 N N N N/A N/A 000000000 -158.000000 NC 65170.790000 0.0010288 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A EUIB 2020-12-14 -43745319.570000 EUR 65170.790000 N N N N/A N/A 000000000 -158.000000 NC 102200.640000 0.0016134 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A EUIB 2020-09-14 -43738784.890000 EUR 102200.640000 N N N N/A 3C7474T6CDKPR9K6YT90 000000000 1.000000 NC USD -202310.590000 -0.0031938 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO Y Single Leg Swap 2023-12-21 0.000000 USD -427517.880000 USD 6100000.000000 USD 225207.290000 N N N N/A 3C7474T6CDKPR9K6YT90 000000000 1.000000 NC USD -220908.200000 -0.0034874 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO Y Single Leg Swap 2024-06-21 0.000000 USD -66067.340000 USD 5400000.000000 USD -154840.860000 N N N N/A 3C7474T6CDKPR9K6YT90 000000000 1.000000 NC USD -251736.310000 -0.0039741 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO Y Single Leg Swap 2024-12-21 0.000000 USD -78178.920000 USD 5000000.000000 USD -173557.390000 N N N N/A 529900AQBND3S6YJLY83 000000000 269.000000 NC 4298.890000 0.0000679 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 06/08/20 2020-06-09 N/A EUR N/A 113.500000 EUR 2020-05-22 XXXX 4298.890000 N N N N/A 529900AQBND3S6YJLY83 000000000 -1009.000000 NC 854009.710000 0.0134821 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-06-08 -150465136.800000 EUR 854009.710000 N N N N/A 529900AQBND3S6YJLY83 000000000 247.000000 NC -237263.570000 -0.0037456 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-06-08 46994510.870000 EUR -237263.570000 N N N N/A 529900AQBND3S6YJLY83 000000000 62.000000 NC -544368.560000 -0.0085938 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-06-08 14352912.370000 EUR -544368.560000 N N N N/A 529900AQBND3S6YJLY83 000000000 -1708.000000 NC 417127.940000 0.0065851 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-06-08 -211338158.890000 EUR 417127.940000 N N N N/A 529900AQBND3S6YJLY83 000000000 579.000000 NC 25217.480000 0.0003981 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 06/08/20 2020-06-09 N/A EUR N/A 155.000000 EUR 2020-05-22 XXXX 25217.480000 N N N N/A N/A 000000000 1.000000 NC -710789.000000 -0.0112211 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6558925.100000 BRL 30387500.000000 BRL 2020-04-02 -710789.000000 N N N N/A N/A 000000000 1.000000 NC -3644759.920000 -0.0575390 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 33632635.440000 BRL 155820000.000000 BRL 2020-04-02 -3644759.920000 N N N N/A N/A 000000000 1.000000 NC -702426.780000 -0.0110891 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6481761.280000 BRL 30030000.000000 BRL 2020-04-02 -702426.780000 N N N N/A N/A 000000000 1.000000 NC -98059.100000 -0.0015480 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3458670.410000 BRL 17486000.000000 BRL 2020-04-23 -98059.100000 N N N N/A N/A 000000000 1.000000 NC 46439.620000 0.0007331 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2385069.850000 EUR 2201000.000000 EUR 2020-05-15 46439.620000 N N N N/A N/A 000000000 1.000000 NC 884639.090000 0.0139656 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 83455354.620000 GBP 67842000.000000 GBP 2020-05-15 884639.090000 N N N N/A N/A 000000000 1.000000 NC 440589.260000 0.0069555 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6526206.010000 GBP 5604000.000000 GBP 2020-05-15 440589.260000 N N N N/A N/A 000000000 1.000000 NC 868717.290000 0.0137143 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26647069.800000 BRL 5997000.000000 USD 2020-04-02 868717.290000 N N N N/A N/A 000000000 1.000000 NC -31384.110000 -0.0004955 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4414000.000000 EUR 4844891.590000 USD 2020-05-15 -31384.110000 N N N N/A N/A 000000000 1.000000 NC -329943.060000 -0.0052087 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4338000.000000 GBP 5062983.040000 USD 2020-05-15 -329943.060000 N N N N/A N/A 000000000 1.000000 NC 79443.720000 0.0012542 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 737551337.000000 TWD 24745062.640000 USD 2020-06-17 79443.720000 N N N N/A N/A 000000000 1.000000 NC -536803.420000 -0.0084744 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 40049822.330000 CNY 280500945.610000 CNY 2020-06-17 -536803.420000 N N N N/A N/A 000000000 1.000000 NC 18322.230000 0.0002892 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 1649819.210000 EUR 1510000.000000 EUR 2020-05-15 18322.230000 N N N N/A N/A 000000000 1.000000 NC -1423126.760000 -0.0224666 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 50266529.010000 EUR 44213000.000000 EUR 2020-05-15 -1423126.760000 N N N N/A N/A 000000000 1.000000 NC -171211.710000 -0.0027029 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 8983638.370000 EUR 7977000.000000 EUR 2020-05-15 -171211.710000 N N N N/A N/A 000000000 1.000000 NC -520465.380000 -0.0082165 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 39153958.250000 EUR 34971000.000000 EUR 2020-05-15 -520465.380000 N N N N/A N/A 000000000 1.000000 NC 636068.810000 0.0100415 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 34716377.650000 EUR 32001000.000000 EUR 2020-05-15 636068.810000 N N N N/A N/A 000000000 1.000000 NC -1133706.990000 -0.0178976 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 47463392.810000 GBP 37267000.000000 GBP 2020-05-15 -1133706.990000 N N N N/A N/A 000000000 1.000000 NC 5851.070000 0.0000924 N/A DFE JP N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 2142934.670000 JPY 230600000.000000 JPY 2020-05-15 5851.070000 N N N N/A N/A 000000000 1.000000 NC -8249246.240000 -0.1302291 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 47744207.320000 MXN 939606000.000000 MXN 2020-04-22 -8249246.240000 N N N N/A N/A 000000000 1.000000 NC -498039.410000 -0.0078624 N/A DFE MX N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 12252347.110000 MXN 279280000.000000 MXN 2020-04-13 -498039.410000 N N N N/A N/A 000000000 1.000000 NC 230231.060000 0.0036346 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 6930396.800000 BRL 1564000.000000 USD 2020-04-02 230231.060000 N N N N/A N/A 000000000 1.000000 NC 354537.170000 0.0055970 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 12176867.210000 BRL 2698000.000000 USD 2020-04-02 354537.170000 N N N N/A N/A 000000000 1.000000 NC 534657.740000 0.0084405 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 17959500.000000 BRL 3991000.000000 USD 2020-04-02 534657.740000 N N N N/A N/A 000000000 1.000000 NC 523381.570000 0.0082625 N/A DFE BR N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 16661910.000000 BRL 3730000.000000 USD 2020-04-02 523381.570000 N N N N/A N/A 000000000 1.000000 NC 457609.430000 0.0072242 N/A DFE CN N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 278501834.640000 CNY 39689021.770000 USD 2020-06-17 457609.430000 N N N N/A N/A 000000000 1.000000 NC 34361.940000 0.0005425 N/A DFE N/A N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 2951000.000000 EUR 3294418.490000 USD 2020-05-15 34361.940000 N N N N/A N/A 000000000 1.000000 NC 1785799.090000 0.0281920 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 39500000.000000 GBP 50891511.650000 USD 2020-05-15 1785799.090000 N N N N/A N/A 000000000 1.000000 NC 445778.080000 0.0070374 N/A DFE GB N 2 HSBC Bank PLC and HSBC Bank USA National Association MP6I5ZYZBEU3UXPYFY54 11978000.000000 GBP 15336619.220000 USD 2020-05-15 445778.080000 N N N N/A N/A 000000000 -31400000.000000 NC USD -3.140000 0.0000000 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2020-04-07 XXXX 280176.860000 N N N N/A N/A 000000000 -15400000.000000 NC USD -1.540000 0.0000000 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2020-10-13 XXXX 150918.460000 N N N N/A N/A 000000000 -14500000.000000 NC USD -1.450000 0.0000000 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2020-09-29 XXXX 187048.550000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAQ2 18032972.970000 PA USD 6710141.370000 0.1059315 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.09663 N N N N N N N/A 815600DE60799F5A9309 000000000 2517.000000 NC -17683659.570000 -0.2791681 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-06-08 392553851.820000 EUR -17683659.570000 N N N N/A 815600DE60799F5A9309 000000000 190.000000 NC -106.870000 -0.0000017 N/A DIR DE N 1 Eurex N/A Put Purchased Eurex N/A N/A 815600DE60799F5A9309 000000000 0.000000 NC 0.000000 0.000000 DIR IT N/A N/A FIN FUT EUX EURO-BTP 06/08/20 2020-06-09 N/A EUR N/A 106.000000 EUR 2020-05-22 XXXX -106.870000 N N N N/A 815600DE60799F5A9309 000000000 1.000000 NC USD -47785.280000 -0.0007544 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2024-06-21 0.000000 USD -221140.160000 USD 8300000.000000 USD 173354.880000 N N N N/A 815600DE60799F5A9309 000000000 741.000000 NC -1104069.990000 -0.0174297 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-06-08 91172238.700000 EUR -1104069.990000 N N N ARGENT SECURITIES INC. 2006-W2 N/A 040104RV5 6056903.020000 PA USD 3858748.740000 0.0609172 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.13663 N N N N N N N/A N/A 000000000 1.000000 NC -31011.080000 -0.0004896 N/A DFE JP N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1247973.000000 JPY 130600000.000000 JPY 2020-05-15 -31011.080000 N N N N/A N/A 000000000 1.000000 NC 424600.060000 0.0067031 N/A DFE CA N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 11826217.000000 CAD 8828165.080000 USD 2020-04-02 424600.060000 N N N N/A N/A 000000000 1.000000 NC -645298.140000 -0.0101872 N/A DFE N/A N 2 JP Morgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 58508000.000000 EUR 63990211.300000 USD 2020-05-15 -645298.140000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1DM1J8 970000.000000 PA 7164.710000 0.0001131 Long DBT NUSS AR N 2 2020-05-13 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -29746.050000 -0.0004696 N/A DFE TR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 467249.480000 TRY 2904070.000000 TRY 2020-04-14 -29746.050000 N N N N/A N/A 000000000 1.000000 NC 2411654.800000 0.0380723 N/A DFE BR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 53500000.000000 BRL 12707838.480000 USD 2020-04-02 2411654.800000 N N N N/A N/A 000000000 1.000000 NC 303487.770000 0.0047911 N/A DFE BR N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 12961735.000000 BRL 2798000.000000 USD 2020-04-02 303487.770000 N N N N/A IGJSJL3JD5P30I6NJZ34 000000000 1.000000 NC USD 22985.500000 0.0003629 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 MORGAN STANLEY MORGAN STANLEY Y Single Leg Swap 2020-12-21 200754.130000 USD 0.000000 USD 12100000.000000 USD -177768.630000 N N N N/A N/A 000000000 1.000000 NC -2102315.630000 -0.0331888 N/A DFE BR N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 23624226.290000 BRL 111830000.000000 BRL 2020-04-02 -2102315.630000 N N N N/A N/A 000000000 1.000000 NC 51974.860000 0.0008205 N/A DFE TH N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 32947493.000000 THB 1056280.230000 USD 2020-06-17 51974.860000 N N N 2020-05-04 PIMCO Variable Insurance Trust /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX