NPORT-P false 0001047304 XXXXXXXX S000009669 C000139585 C000026496 C000026495 PIMCO Variable Insurance Trust 811-08399 0001047304 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO International Bond Portfolio (U.S. Dollar-Hedged) S000009669 549300P9300R3FCSTO42 2020-12-31 2020-06-30 N 1213286538.740000 662609972.590000 550676566.150000 0.000000 0.000000 106715185.140000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6070905.410000 ZAR AUD BRL CAD CHF CNY CZK ARS EUR GBP ILS JPY KRW MXN MYR PEN PLN SEK USD DKK N N/A N/A 000000000 1.000000 NC 5119.800000 0.0009297 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3834973.510000 PLN 974667.000000 USD 2020-09-10 5119.800000 N N N N/A N/A 000000000 1.000000 NC 439176.780000 0.0797522 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9530700.350000 AUD 14447000.000000 AUD 2020-07-02 439176.780000 N N N N/A N/A 000000000 1.000000 NC -4388.440000 -0.0007969 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1215514.230000 AUD 1755000.000000 AUD 2020-07-02 -4388.440000 N N N N/A N/A 000000000 1.000000 NC 31807.060000 0.0057760 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5140626.640000 CAD 7022095.990000 CAD 2020-07-02 31807.060000 N N N N/A N/A 000000000 1.000000 NC 6398.280000 0.0011619 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2893139.600000 DKK 19231185.000000 DKK 2020-07-01 6398.280000 N N N N/A N/A 000000000 1.000000 NC -14369.340000 -0.0026094 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3334380.040000 DKK 22019971.000000 DKK 2020-07-01 -14369.340000 N N N N/A N/A 000000000 1.000000 NC 1143.110000 0.0002076 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3988884.030000 DKK 26463855.000000 DKK 2020-07-01 1143.110000 N N N N/A N/A 000000000 1.000000 NC -4363.570000 -0.0007924 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 38355.000000 EUR 30000.000000 EUR 2021-06-28 -4363.570000 N N N N/A N/A 000000000 1.000000 NC -9825.210000 -0.0017842 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1231069.240000 EUR 1087000.000000 EUR 2020-07-02 -9825.210000 N N N N/A N/A 000000000 1.000000 NC -219374.110000 -0.0398372 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 23569073.780000 JPY 2521183822.000000 JPY 2020-07-02 -219374.110000 N N N N/A N/A 000000000 1.000000 NC -20425.590000 -0.0037092 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 5322209.780000 NZD 8216000.000000 NZD 2020-07-02 -20425.590000 N N N N/A N/A 000000000 1.000000 NC 1576.840000 0.0002863 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1073098.690000 SEK 10010000.000000 SEK 2020-08-04 1576.840000 N N N N/A N/A 000000000 1.000000 NC -383714.750000 -0.0696806 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 14447000.000000 AUD 9586162.380000 USD 2020-07-02 -383714.750000 N N N N/A N/A 000000000 1.000000 NC -31775.030000 -0.0057702 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7022095.990000 CAD 5141115.910000 USD 2020-08-04 -31775.030000 N N N N/A N/A 000000000 1.000000 NC -375.180000 -0.0000681 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 26000.000000 CHF 27066.900000 USD 2020-07-02 -375.180000 N N N N/A N/A 000000000 1.000000 NC -13442.090000 -0.0024410 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 876000.000000 CHF 911144.960000 USD 2020-07-02 -13442.090000 N N N N/A N/A 000000000 1.000000 NC -56122.210000 -0.0101915 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4276000.000000 CHF 4457044.710000 USD 2020-07-02 -56122.210000 N N N N/A N/A 000000000 1.000000 NC -10319.460000 -0.0018740 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2190000.000000 DKK 319872.780000 USD 2020-07-01 -10319.460000 N N N N/A N/A 000000000 1.000000 NC -5851.040000 -0.0010625 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19231185.000000 DKK 2899447.650000 USD 2020-10-01 -5851.040000 N N N N/A N/A 000000000 1.000000 NC 14778.990000 0.0026838 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 22019971.000000 DKK 3341385.900000 USD 2020-10-01 14778.990000 N N N N/A N/A 000000000 1.000000 NC -842.090000 -0.0001529 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 26463855.000000 DKK 3997112.440000 USD 2020-10-01 -842.090000 N N N N/A N/A 000000000 1.000000 NC 6618.110000 0.0012018 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 23202258.000000 DKK 3511835.790000 USD 2020-10-01 6618.110000 N N N N/A N/A 000000000 1.000000 NC 219833.410000 0.0399206 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2521183822.000000 JPY 23579103.220000 USD 2020-08-04 219833.410000 N N N N/A N/A 000000000 1.000000 NC -483.830000 -0.0000879 N/A DFE NO N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 615000.000000 NOK 63410.610000 USD 2020-07-02 -483.830000 N N N N/A N/A 000000000 1.000000 NC -1567.470000 -0.0002846 N/A DFE SE N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 10010000.000000 SEK 1072674.340000 USD 2020-07-02 -1567.470000 N N N N/A N/A 000000000 1.000000 NC USD -3401.090000 -0.0006176 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 REYNOLDS AMERICAN INC REYNOLDS AMERICAN INC SR UNSEC Y Single Leg Swap 2020-12-21 0.000000 USD -15275.560000 USD 700000.000000 USD 11874.470000 N N N N/A N/A 000000000 1.000000 NC 7290.680000 0.0013239 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 SHELL INTERNATIONAL FINANCE BV SHELL INTERNATIONAL FIN Y Single Leg Swap 2026-12-22 18029.910000 EUR 0.000000 EUR 500000.000000 EUR -10739.230000 N N N N/A N/A 000000000 1.000000 NC 2956.060000 0.0005368 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 3677819.060000 DKK 24412741.000000 DKK 2020-07-01 2956.060000 N N N N/A N/A 000000000 1.000000 NC -2680.550000 -0.0004868 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 24412741.000000 DKK 3685407.540000 USD 2020-10-01 -2680.550000 N N N N/A N/A 000000000 1.000000 NC USD -60230.310000 -0.0109375 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 -39831.770000 USD 900000.000000 USD -20398.540000 N N N N/A N/A 000000000 1.000000 NC USD -17260.620000 -0.0031344 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 SOUTH AFRICA GOVT REPUBLIC OF SOUTH AFRICA SR UNSECURED Y Single Leg Swap 2023-06-21 0.000000 USD -20741.000000 USD 400000.000000 USD 3480.380000 N N N N/A N/A 000000000 1.000000 NC USD -75954.950000 -0.0137930 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -72900.270000 USD 3000000.000000 USD -3054.680000 N N N N/A N/A 000000000 1.000000 NC USD -50636.630000 -0.0091953 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -51072.500000 USD 2000000.000000 USD 435.870000 N N N N/A N/A 000000000 1.000000 NC USD -20254.650000 -0.0036781 N/A DCR US N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -19955.850000 USD 800000.000000 USD -298.800000 N N N N/A N/A 000000000 1.000000 NC USD -5063.660000 -0.0009195 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 SOUTH KOREA GOVT REPUBLIC OF KOREA Y Single Leg Swap 2023-06-21 0.000000 USD -4790.110000 USD 200000.000000 USD -273.550000 N N N N/A N/A 000000000 1.000000 NC 35574.760000 0.0064602 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11505660.450000 AUD 16724000.000000 AUD 2020-07-02 35574.760000 N N N N/A N/A 000000000 1.000000 NC -19301.400000 -0.0035050 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2030939.590000 CAD 2731000.000000 CAD 2020-07-02 -19301.400000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 1360000.000000 PA 14793.720000 0.0026865 Long DBT NUSS AR N 2 2020-08-28 Floating 30.3128 N N N N N N N/A N/A 000000000 1.000000 NC 4644.150000 0.0008434 N/A DFE NO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 628664.780000 NOK 6095000.000000 NOK 2020-08-04 4644.150000 N N N N/A N/A 000000000 1.000000 NC -36536.390000 -0.0066348 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 16724000.000000 AUD 11506872.940000 USD 2020-08-04 -36536.390000 N N N N/A N/A 000000000 1.000000 NC -491214.520000 -0.0892020 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 46887916.960000 EUR 52187339.850000 USD 2020-07-02 -491214.520000 N N N N/A N/A 000000000 1.000000 NC -47192.130000 -0.0085698 N/A DFE HK N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 27160704.000000 HKD 3456000.000000 USD 2020-09-03 -47192.130000 N N N N/A N/A 000000000 1.000000 NC -4643.330000 -0.0008432 N/A DFE NO N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 6095000.000000 NOK 628586.980000 USD 2020-07-02 -4643.330000 N N N N/A N/A 000000000 1.000000 NC 674.970000 0.0001226 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 50886.610000 CAD 70000.000000 CAD 2020-07-02 674.970000 N N N N/A N/A 000000000 -15800000.000000 NC USD -1085.460000 -0.0001971 N/A DIR 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 DIR US IRS USD R 1.88000 09/17/21-3Y CME N/A N/A 2024-09-17 0.000000 USD 0.000000 USD N/A USD N/A 1.880000 USD 2021-09-15 XXXX 77336.690000 N N N N/A N/A 000000000 1900000.000000 NC USD 19157.130000 0.0034788 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Purchased BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.17500 09/17/21-30Y CME N/A N/A 2051-09-17 0.000000 USD 0.000000 USD N/A USD N/A 2.170000 USD 2021-09-15 XXXX -59321.130000 N N N N/A N/A 000000000 -11000000.000000 NC USD -1217.700000 -0.0002211 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.02000 12/23/21-3Y LCH N/A N/A 2024-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.020000 USD 2021-12-21 XXXX 49339.990000 N N N N/A N/A 000000000 1300000.000000 NC USD 14308.580000 0.0025984 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.30000 12/23/21-30Y LCH N/A N/A 2051-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2021-12-21 XXXX -36651.420000 N N N N/A N/A 000000000 800000.000000 NC USD 8805.280000 0.0015990 N/A DIR US N 2 Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 Put Purchased Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.30000 12/23/21-30Y LCH N/A N/A 2051-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.300000 USD 2021-12-21 XXXX -23194.720000 N N N N/A N/A 000000000 -6900000.000000 NC USD -763.830000 -0.0001387 N/A DIR 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 DIR US IRS USD R 2.02000 12/23/21-3Y LCH N/A N/A 2024-12-23 0.000000 USD 0.000000 USD N/A USD N/A 2.020000 USD 2021-12-21 XXXX 30713.510000 N N N N/A N/A 000000000 -21200000.000000 NC USD -255500.280000 -0.0463975 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45000 08/10/20-1Y (WHT) CME N/A N/A 2021-08-10 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2020-08-06 XXXX -225714.280000 N N N N/A N/A 000000000 -21200000.000000 NC USD -255828.880000 -0.0464572 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.45000 08/13/20-1Y (WHT) CME N/A N/A 2021-08-13 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2020-08-11 XXXX -225618.880000 N N N N/A N/A 000000000 -300000.000000 NC -9612.090000 -0.0017455 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/26/20-30Y LCH 2050-08-26 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-24 XXXX 708.630000 N N N N/A N/A 000000000 -300000.000000 NC -9754.590000 -0.0017714 N/A DIR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/27/20-30Y LCH 2050-08-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-25 XXXX -604.380000 N N N N/A N/A 000000000 -2250000.000000 NC -15939.150000 -0.0028945 N/A DIR GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB IRS GBP R 0.78000 02/26/21-10Y LCH N/A N/A 2031-02-26 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.780000 GBP 2021-02-26 XXXX 31403.180000 N N N N/A N/A 000000000 800000.000000 NC 22355.060000 0.0040596 N/A DIR GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB IRS GBP R 0.86000 02/26/21-30Y LCH N/A N/A 2051-02-26 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.860000 GBP 2021-02-26 XXXX -26340.510000 N N N N/A N/A 000000000 -700000.000000 NC -23396.090000 -0.0042486 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/31/20-30Y LCH 2050-08-31 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-27 XXXX -1847.850000 N N N N/A N/A 000000000 -1100000.000000 NC -37236.020000 -0.0067619 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 09/01/20-30Y LCH 2050-09-01 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-28 XXXX 6433.850000 N N N N/A N/A 000000000 -300000.000000 NC -9612.090000 -0.0017455 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/26/20-30Y LCH 2050-08-26 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-24 XXXX -244.490000 N N N N/A N/A 000000000 -14100000.000000 NC USD -2178.450000 -0.0003956 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.44800 08/25/21-3Y LCH N/A N/A 2024-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.450000 USD 2021-08-23 XXXX 123408.590000 N N N N/A N/A 000000000 1700000.000000 NC USD 35372.240000 0.0064234 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.75200 08/25/21-30Y LCH N/A N/A 2051-08-25 0.000000 USD 0.000000 USD N/A USD N/A 1.750000 USD 2021-08-23 XXXX -90606.710000 N N N N/A N/A 000000000 -16600000.000000 NC USD -3034.480000 -0.0005510 N/A DIR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.39900 08/31/21-3Y LCH N/A N/A 2024-08-31 0.000000 USD 0.000000 USD N/A USD N/A 1.400000 USD 2021-08-26 XXXX 144405.440000 N N N N/A N/A 000000000 2000000.000000 NC USD 43646.400000 0.0079260 N/A DIR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Purchased CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 1.73250 08/31/21-30Y LCH N/A N/A 2051-08-31 0.000000 USD 0.000000 USD N/A USD N/A 1.730000 USD 2021-08-26 XXXX -104179.690000 N N N N/A N/A 000000000 1.000000 NC USD 2165.610000 0.0003933 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-03-07 0.000000 USD 0.000000 USD 4300000.000000 USD 2165.610000 N N N N/A N/A 000000000 1.000000 NC USD -1907.610000 -0.0003464 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-04-26 0.000000 USD 0.000000 USD 30400000.000000 USD -1907.610000 N N N N/A N/A 000000000 1.000000 NC 15445.250000 0.0028048 N/A DFE AU N 2 Citibank International Limited N/A -2898000.000000 USD 4200000.000000 AUD 2029-07-31 14814.510000 N N N N/A N/A 000000000 1.000000 NC 15451.840000 0.0028060 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -2829000.000000 USD 4100000.000000 AUD 2029-08-01 30677.260000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 8070000.000000 PA 69614.540000 0.0126416 Long DBT NUSS AR N 2 2022-04-03 Floating 26.415 N N N N N N N/A N/A 000000000 1.000000 NC 15890.760000 0.0028857 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 0.000000 GBP 0.000000 GBP 800000.000000 GBP 15890.760000 N N N N/A N/A 000000000 1.000000 NC 11474.180000 0.0020837 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-02-15 0.000000 GBP 0.000000 GBP 500000.000000 GBP 11474.180000 N N N N/A N/A 000000000 1.000000 NC 35392.530000 0.0064271 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-02-15 1820.200000 GBP 0.000000 GBP 1400000.000000 GBP 33572.330000 N N N N/A N/A 000000000 1.000000 NC 72185.320000 0.0131085 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-02-15 0.000000 GBP 0.000000 GBP 2800000.000000 GBP 72185.320000 N N N N/A N/A 000000000 1.000000 NC -137557.040000 -0.0249796 N/A DIR AU N 2 London Clearing house N/A AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2030-06-17 0.000000 AUD -106626.620000 AUD 5000000.000000 AUD -30930.420000 N N N N/A N/A 000000000 1.000000 NC 95502.800000 0.0173428 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-03-03 0.000000 CAD 0.000000 CAD 6000000.000000 CAD 95502.800000 N N N N/A N/A 000000000 1.000000 NC 31924.150000 0.0057973 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2022-03-03 0.000000 CAD 0.000000 CAD 3800000.000000 CAD 31924.150000 N N N N/A N/A 000000000 1.000000 NC 315059.870000 0.0572132 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2030-06-17 0.000000 CAD -181568.190000 CAD 9000000.000000 CAD 496628.060000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0YQ3V9 200000.000000 PA 88542.530000 0.0160789 Long DBT NUSS AR N 2 2023-01-15 Fixed 3.375 N N N N N N N/A N/A 000000000 1.000000 NC 17819.660000 0.0032360 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2022-06-17 5713.390000 CAD 0.000000 CAD 1300000.000000 CAD 12106.270000 N N N N/A N/A 000000000 1.000000 NC 87033.960000 0.0158049 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2025-06-17 0.000000 CAD -25769.800000 CAD 3200000.000000 CAD 112803.760000 N N N N/A N/A 000000000 1.000000 NC 153573.570000 0.0278882 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-10-02 604.060000 CAD 0.000000 CAD 3100000.000000 CAD 152969.510000 N N N N/A N/A 000000000 1.000000 NC 37012.920000 0.0067214 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2046-12-17 0.000000 CAD -86138.650000 CAD 600000.000000 CAD 123151.570000 N N N N/A N/A 000000000 1.000000 NC 509395.490000 0.0925036 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-12-18 108788.780000 CAD 0.000000 CAD 8200000.000000 CAD 400606.710000 N N N N/A N/A 000000000 1.000000 NC 1181750.220000 0.2145997 N/A DIR CA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CAD-BA-CDOR 3M N/A N/A Y 2029-06-19 308962.740000 CAD 0.000000 CAD 11900000.000000 CAD 872787.480000 N N N N/A N/A 000000000 1.000000 NC 1768839.640000 0.3212121 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 89378.050000 CAD 0.000000 CAD 7100000.000000 CAD 1679461.590000 N N N N/A N/A 000000000 1.000000 NC 4212.090000 0.0007649 N/A DIR CH N 2 London Clearing house N/A CHF-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-06-30 36.690000 CHF 0.000000 CHF 9500000.000000 CHF 4175.400000 N N N N/A N/A 000000000 1.000000 NC 52288.940000 0.0094954 N/A DIR CH N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CHF-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-16 0.000000 CHF -24075.980000 CHF 1400000.000000 CHF 76364.920000 N N N N/A N/A 000000000 1.000000 NC 62701.780000 0.0113863 N/A DIR CZ N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2029-01-30 0.000000 CZK 0.000000 CZK 13900000.000000 CZK 62701.780000 N N N N/A N/A 000000000 1.000000 NC 483337.600000 0.0877716 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2025-12-15 310918.650000 EUR 0.000000 EUR 40500000.000000 EUR 172418.950000 N N N N/A N/A 000000000 1.000000 NC -70916.460000 -0.0128781 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2022-12-15 0.000000 EUR -40871.710000 EUR 26200000.000000 EUR -30044.750000 N N N N/A N/A 000000000 1.000000 NC 2791.040000 0.0005068 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2021-12-13 0.000000 EUR 0.000000 EUR 3300000.000000 EUR 2791.040000 N N N N/A N/A 000000000 1.000000 NC 3570.030000 0.0006483 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-09-16 52374.880000 EUR 0.000000 EUR 2400000.000000 EUR -48804.850000 N N N N/A N/A 000000000 1.000000 NC 2321698.400000 0.4216084 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2030-12-16 1992605.310000 EUR 0.000000 EUR 47700000.000000 EUR 329093.090000 N N N N/A N/A 000000000 1.000000 NC -512319.730000 -0.0930346 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-12-15 0.000000 EUR -463413.730000 EUR 2500000.000000 EUR -48906.000000 N N N N/A N/A 000000000 1.000000 NC 297821.980000 0.0540829 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2029-06-19 119383.180000 EUR 0.000000 EUR 3600000.000000 EUR 178438.800000 N N N N/A N/A 000000000 1.000000 NC 32211.210000 0.0058494 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2022-12-16 9390.310000 GBP 0.000000 GBP 13100000.000000 GBP 22820.900000 N N N N/A N/A 000000000 1.000000 NC -117379.560000 -0.0213155 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-06-17 56259.190000 GBP 0.000000 GBP 3400000.000000 GBP -173638.750000 N N N N/A N/A 000000000 1.000000 NC -83696.980000 -0.0151989 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2030-12-16 0.000000 GBP -23461.640000 GBP 4800000.000000 GBP -60235.340000 N N N N/A N/A 000000000 1.000000 NC 135119.380000 0.0245370 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2050-12-16 37523.430000 GBP 0.000000 GBP 3900000.000000 GBP 97595.950000 N N N N/A N/A 000000000 1.000000 NC 320420.320000 0.0581867 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2025-12-16 214298.480000 GBP 0.000000 GBP 19300000.000000 GBP 106121.840000 N N N N/A N/A 000000000 1.000000 NC -37848.080000 -0.0068730 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2031-02-26 0.000000 GBP 0.000000 GBP 1000000.000000 GBP -37848.080000 N N N N/A N/A 000000000 1.000000 NC 40336.800000 0.0073250 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2051-02-27 0.000000 GBP 0.000000 GBP 350000.000000 GBP 40336.800000 N N N N/A N/A 000000000 1.000000 NC 108823.860000 0.0197618 N/A DIR GB N 2 London Clearing house N/A GBP-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2039-12-05 0.000000 GBP 0.000000 GBP 1300000.000000 GBP 108823.860000 N N N N/A N/A 000000000 1.000000 NC 9212.130000 0.0016729 N/A DIR IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 TELBOR ILS 3M N/A N/A Y 2027-05-18 0.000000 ILS 0.000000 ILS 4600000.000000 ILS 9212.130000 N N N N/A N/A 000000000 1.000000 NC 67294.770000 0.0122204 N/A DIR IL N 2 Citibank International Limited N/A TELBOR ILS 3M N/A N/A Y 2029-04-29 0.000000 ILS 0.000000 ILS 2100000.000000 ILS 67294.770000 N N N N/A N/A 000000000 1.000000 NC 68425.620000 0.0124257 N/A DIR IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 TELBOR ILS 3M N/A N/A Y 2029-04-25 1022.800000 ILS 0.000000 ILS 2100000.000000 ILS 67402.820000 N N N N/A N/A 000000000 1.000000 NC 58787.700000 0.0106755 N/A DIR IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 TELBOR ILS 3M N/A N/A Y 2029-04-30 0.000000 ILS 0.000000 ILS 1800000.000000 ILS 58787.700000 N N N N/A N/A 000000000 1.000000 NC 58959.400000 0.0107067 N/A DIR IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 TELBOR ILS 3M N/A N/A Y 2029-04-22 0.000000 ILS 0.000000 ILS 1800000.000000 ILS 58959.400000 N N N N/A N/A 000000000 1.000000 NC 26271.720000 0.0047708 N/A DIR IL N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 TELBOR ILS 3M N/A N/A Y 2029-04-25 0.000000 ILS 0.000000 ILS 800000.000000 ILS 26271.720000 N N N N/A N/A 000000000 1.000000 NC 45957.680000 0.0083457 N/A DIR IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 TELBOR ILS 3M N/A N/A Y 2029-05-01 0.000000 ILS 0.000000 ILS 1400000.000000 ILS 45957.680000 N N N N/A N/A 000000000 1.000000 NC 106.410000 0.0000193 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-11-29 8186.000000 JPY 0.000000 JPY 60000000.000000 JPY -8079.590000 N N N N/A N/A 000000000 1.000000 NC 172903.590000 0.0313984 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-06-19 185110.560000 JPY 0.000000 JPY 1170000000.000000 JPY -12206.970000 N N N N/A N/A 000000000 1.000000 NC 45831.400000 0.0083227 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-06-19 46548.880000 JPY 0.000000 JPY 164000000.000000 JPY -717.480000 N N N N/A N/A 000000000 1.000000 NC 42369.940000 0.0076942 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2039-06-20 0.000000 JPY -2341.610000 JPY 130881000.000000 JPY 44711.550000 N N N N/A N/A 000000000 1.000000 NC 10221.240000 0.0018561 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2049-06-21 0.000000 JPY -523.540000 JPY 20000000.000000 JPY 10744.780000 N N N N/A N/A 000000000 1.000000 NC 40151.410000 0.0072913 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2023-01-12 0.000000 MXN -94704.020000 MXN 27400000.000000 MXN 134855.430000 N N N N/A N/A 000000000 1.000000 NC 46657.830000 0.0084728 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2022-03-22 0.000000 MXN -4758.170000 MXN 21800000.000000 MXN 51416.000000 N N N N/A N/A 000000000 1.000000 NC 39291.190000 0.0071351 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 MEXICO INTERBANK TIIE 28 DAY N/A N/A Y 2022-03-23 0.000000 MXN -2602.320000 MXN 18100000.000000 MXN 41893.510000 N N N N/A N/A 000000000 1.000000 NC 59331.170000 0.0107742 N/A DIR PL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-01-30 0.000000 PLN 0.000000 PLN 1700000.000000 PLN 59331.170000 N N N N/A N/A 000000000 1.000000 NC 95927.500000 0.0174199 N/A DIR SE N 2 London Clearing house N/A N/A SEK-STIBOR-Bloomberg 3M Y 2029-06-19 51212.270000 SEK 0.000000 SEK 13200000.000000 SEK 44715.230000 N N N N/A N/A 000000000 1.000000 NC USD -72521.990000 -0.0131696 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD -65347.170000 USD 2300000.000000 USD -7174.820000 N N N N/A N/A 000000000 1.000000 NC USD -110663.700000 -0.0200960 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 0.000000 USD -105195.980000 USD 3500000.000000 USD -5467.720000 N N N N/A N/A 000000000 1.000000 NC USD -204299.130000 -0.0370997 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-30 0.000000 USD 0.000000 USD 7050000.000000 USD -204299.130000 N N N N/A N/A 000000000 1.000000 NC USD -617171.700000 -0.1120752 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-06-17 0.000000 USD -554251.960000 USD 10200000.000000 USD -62919.740000 N N N N/A N/A 000000000 1.000000 NC USD -546004.090000 -0.0991515 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-06-17 0.000000 USD -492443.250000 USD 11800000.000000 USD -53560.840000 N N N N/A N/A 000000000 1.000000 NC USD -181226.290000 -0.0329098 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-08-27 0.000000 USD 0.000000 USD 5950000.000000 USD -181226.290000 N N N N/A N/A 000000000 1.000000 NC USD -224575.350000 -0.0407817 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-08-21 0.000000 USD 0.000000 USD 6950000.000000 USD -224575.350000 N N N N/A N/A 000000000 1.000000 NC USD -142612.270000 -0.0258976 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-17 0.000000 USD 0.000000 USD 4450000.000000 USD -142612.270000 N N N N/A N/A 000000000 1.000000 NC USD 255627.480000 0.0464206 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-08-10 243520.450000 USD 0.000000 USD 21200000.000000 USD 12107.030000 N N N N/A N/A 000000000 1.000000 NC USD 255992.120000 0.0464868 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-08-13 243614.490000 USD 0.000000 USD 21200000.000000 USD 12377.630000 N N N N/A N/A 000000000 1.000000 NC USD -757098.980000 -0.1374852 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-06-17 0.000000 USD -887317.750000 USD 4800000.000000 USD 130218.770000 N N N N/A N/A 000000000 1.000000 NC USD -158391.380000 -0.0287631 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-18 21505.790000 USD 0.000000 USD 1900000.000000 USD -179897.170000 N N N N/A N/A 000000000 1.000000 NC USD -417263.440000 -0.0757729 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-12-18 95931.530000 USD 0.000000 USD 5000000.000000 USD -513194.970000 N N N N/A N/A 000000000 1.000000 NC USD -199710.920000 -0.0362665 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 38188.500000 USD 0.000000 USD 10500000.000000 USD -237899.420000 N N N AROUNDTOWN SA 529900H4DWG3KWMBMQ39 BG070KII6 700000.000000 PA 801900.880000 0.1456210 Long DBT CORP LU N 2 2028-01-31 Fixed 1.625 N N N N N N N/A N/A 000000000 1.000000 NC USD -314848.290000 -0.0571748 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 31326.530000 USD 0.000000 USD 5800000.000000 USD -346174.820000 N N N N/A N/A 000000000 1.000000 NC USD -237197.660000 -0.0430739 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-02-28 0.000000 USD -20581.250000 USD 8900000.000000 USD -216616.410000 N N N AROUNDTOWN SA 529900H4DWG3KWMBMQ39 BJH8G7II2 200000.000000 PA USD 226945.000000 0.0412120 Long DBT CORP LU N 2 2029-03-21 Fixed 5.375 N N N N N N N/A N/A 000000000 1.000000 NC USD -943813.220000 -0.1713916 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-07 0.000000 USD -185244.780000 USD 9500000.000000 USD -758568.440000 N N N N/A N/A 000000000 1.000000 NC USD -1285777.810000 -0.2334906 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-01-15 0.000000 USD -44384.030000 USD 9400000.000000 USD -1241393.780000 N N N N/A N/A 000000000 1.000000 NC USD -3434357.820000 -0.6236615 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-20 1360393.910000 USD 0.000000 USD 25100000.000000 USD -4794751.730000 N N N N/A N/A 000000000 1.000000 NC USD -542053.230000 -0.0984340 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2021-12-20 0.000000 USD -221029.440000 USD 15900000.000000 USD -321023.790000 N N N N/A N/A 000000000 1.000000 NC USD 119143.800000 0.0216359 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-12-18 118179.870000 USD 0.000000 USD 1200000.000000 USD 963.930000 N N N N/A N/A 000000000 1.000000 NC USD -585380.010000 -0.1063020 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-12-21 319398.840000 USD 0.000000 USD 46900000.000000 USD -904778.850000 N N N N/A N/A 000000000 1.000000 NC USD -627.240000 -0.0001139 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-10-04 0.000000 USD 0.000000 USD 10100000.000000 USD -627.240000 N N N N/A N/A 000000000 1.000000 NC USD -1559.320000 -0.0002832 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-27 0.000000 USD 0.000000 USD 12700000.000000 USD -1559.320000 N N N N/A N/A 000000000 1.000000 NC USD 2113.350000 0.0003838 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-12 0.000000 USD 0.000000 USD 3900000.000000 USD 2113.350000 N N N N/A N/A 000000000 1.000000 NC USD 3874.760000 0.0007036 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-04-27 0.000000 USD 0.000000 USD 17000000.000000 USD 3874.760000 N N N N/A N/A 000000000 1.000000 NC USD 1337.550000 0.0002429 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-12 0.000000 USD 0.000000 USD 5100000.000000 USD 1337.550000 N N N N/A N/A 000000000 1.000000 NC USD 4216.650000 0.0007657 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-19 0.000000 USD -1485.000000 USD 19800000.000000 USD 5701.650000 N N N N/A N/A 000000000 1.000000 NC USD 2797.220000 0.0005080 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-06 1231.800000 USD 0.000000 USD 12700000.000000 USD 1565.420000 N N N N/A N/A 000000000 1.000000 NC USD 3052.150000 0.0005543 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2029-05-23 0.000000 USD 0.000000 USD 4800000.000000 USD 3052.150000 N N N N/A N/A 000000000 1.000000 NC USD -14111.750000 -0.0025626 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-03-18 0.000000 USD -1161.110000 USD 132700000.000000 USD -12950.640000 N N N N/A N/A 000000000 1.000000 NC 38640.840000 0.0070170 N/A DIR ZA N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2023-06-20 3655.770000 ZAR 0.000000 ZAR 7600000.000000 ZAR 34985.070000 N N N N/A N/A 000000000 1.000000 NC -98640.830000 -0.0179127 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2039-12-05 0.000000 GBP 0.000000 GBP 1300000.000000 GBP -98640.830000 N N N N/A N/A 000000000 1.000000 NC 13718.490000 0.0024912 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2021-01-04 728.140000 BRL 0.000000 BRL 800000.000000 BRL 12990.350000 N N N N/A N/A 000000000 1.000000 NC 12878.400000 0.0023387 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC UNSUB EMTN Y Single Leg Swap 2022-06-21 194.140000 EUR 0.000000 EUR 800000.000000 EUR 12684.260000 N N N N/A N/A 000000000 1.000000 NC 3849.450000 0.0006990 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC UNSUB EMTN Y Single Leg Swap 2025-06-21 0.000000 EUR -13215.270000 EUR 400000.000000 EUR 17064.720000 N N N N/A N/A 000000000 1.000000 NC 14775.650000 0.0026832 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 2786032.390000 CAD 3802377.000000 CAD 2020-07-02 14775.650000 N N N N/A N/A 000000000 1.000000 NC -143447.460000 -0.0260493 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 15259841.520000 JPY 1632192649.000000 JPY 2020-07-02 -143447.460000 N N N N/A N/A 000000000 1.000000 NC -367794.160000 -0.0667895 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 14447000.000000 AUD 9602082.970000 USD 2020-07-02 -367794.160000 N N N N/A N/A 000000000 1.000000 NC -124018.740000 -0.0225212 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 11663272.990000 CAD 8467078.040000 USD 2020-07-02 -124018.740000 N N N N/A N/A 000000000 1.000000 NC -14768.050000 -0.0026818 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 3802377.000000 CAD 2786287.580000 USD 2020-08-04 -14768.050000 N N N N/A N/A 000000000 1.000000 NC 219591.690000 0.0398767 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 7924540932.000000 JPY 73611959.660000 USD 2020-07-02 219591.690000 N N N N/A N/A 000000000 1.000000 NC 143631.790000 0.0260828 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1632192649.000000 JPY 15266221.480000 USD 2020-08-04 143631.790000 N N N N/A N/A 000000000 1.000000 NC 27.030000 0.0000049 N/A DFE RU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 69377.100000 RUB 1000.000000 USD 2020-07-17 27.030000 N N N N/A N/A 000000000 1.000000 NC -1827.880000 -0.0003319 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 209675.300000 EUR 185000.000000 EUR 2020-07-02 -1827.880000 N N N N/A N/A 000000000 1.000000 NC -163283.440000 -0.0296514 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 16386772.550000 JPY 1751731237.000000 JPY 2020-07-02 -163283.440000 N N N N/A N/A 000000000 1.000000 NC 8159.580000 0.0014817 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 181356.590000 RUB 13531922.000000 RUB 2020-07-27 8159.580000 N N N N/A N/A 000000000 1.000000 NC -4320.260000 -0.0007845 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 173778.280000 RUB 12099721.000000 RUB 2020-07-27 -4320.260000 N N N N/A N/A 000000000 1.000000 NC -4160.530000 -0.0007555 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 172819.840000 RUB 12042691.000000 RUB 2020-07-27 -4160.530000 N N N N/A N/A 000000000 1.000000 NC -2478.770000 -0.0004501 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 255950.420000 RUB 18134265.000000 RUB 2020-08-14 -2478.770000 N N N N/A N/A 000000000 1.000000 NC 20689.180000 0.0037570 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 2053000.000000 CAD 1532916.640000 USD 2020-07-02 20689.180000 N N N N/A N/A 000000000 1.000000 NC 3758.780000 0.0006826 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 212116394.000000 JPY 1968254.210000 USD 2020-07-02 3758.780000 N N N N/A N/A 000000000 1.000000 NC 163611.800000 0.0297111 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 1751731237.000000 JPY 16393750.300000 USD 2020-08-04 163611.800000 N N N N/A N/A 000000000 -400000.000000 NC USD -2024.320000 -0.0003676 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% AUG 30YR N/A 100.640000 USD 2020-08-06 XXXX 975.680000 N N N N/A N/A 000000000 -200000.000000 NC USD -197.600000 -0.0000359 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.090000 USD 2020-08-06 XXXX 583.650000 N N N N/A N/A 000000000 -3400000.000000 NC USD -3438.420000 -0.0006244 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.130000 USD 2020-08-06 XXXX 9842.830000 N N N N/A N/A 000000000 -300000.000000 NC USD -319.290000 -0.0000580 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.220000 USD 2020-08-06 XXXX 911.180000 N N N N/A N/A 000000000 -600000.000000 NC USD -783.660000 -0.0001423 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.560000 USD 2020-08-06 XXXX 2403.840000 N N N N/A N/A 000000000 -2200000.000000 NC USD -0.020000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 102.500000 USD 2020-07-07 XXXX 10226.540000 N N N N/A N/A 000000000 -400000.000000 NC USD -2020.640000 -0.0003669 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% AUG 30YR N/A 100.630000 USD 2020-08-06 XXXX 1010.610000 N N N N/A N/A 000000000 -1000000.000000 NC USD -0.010000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 102.530000 USD 2020-07-07 XXXX 3515.620000 N N N N/A N/A 000000000 -1800000.000000 NC USD -612.720000 -0.0001113 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.720000 USD 2020-07-07 XXXX 11059.160000 N N N N/A N/A 000000000 -1800000.000000 NC USD -658.260000 -0.0001195 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.790000 USD 2020-07-07 XXXX 11013.620000 N N N N/A N/A 000000000 -1400000.000000 NC USD -641.200000 -0.0001164 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 101.000000 USD 2020-07-07 XXXX 9421.300000 N N N N/A N/A 000000000 -1400000.000000 NC USD -556.780000 -0.0001011 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.870000 USD 2020-07-07 XXXX 8630.720000 N N N N/A N/A 000000000 -600000.000000 NC USD -2960.040000 -0.0005375 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% AUG 30YR N/A 100.420000 USD 2020-08-06 XXXX 2102.460000 N N N N/A N/A 000000000 -800000.000000 NC USD -190.720000 -0.0000346 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.400000 USD 2020-07-07 XXXX 5309.280000 N N N N/A N/A 000000000 -1700000.000000 NC USD -432.480000 -0.0000785 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.460000 USD 2020-07-07 XXXX 11255.020000 N N N N/A N/A 000000000 -1100000.000000 NC USD -5436.640000 -0.0009873 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% AUG 30YR N/A 100.440000 USD 2020-08-06 XXXX 3844.610000 N N N N/A N/A 000000000 51.000000 NC -6717.550000 -0.0012199 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A UNITED KINGDOM GOVT 2020-09-28 8698039.870000 GBP -6717.550000 N N N N/A N/A 000000000 44.000000 NC USD 44.000000 0.0000080 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call 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 09/21/20 2020-09-22 N/A USD N/A 179.000000 USD 2020-08-21 XXXX -319.440000 N N N N/A N/A 000000000 -171.000000 NC USD -65691.880000 -0.0119293 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -23798390.630000 USD -65691.880000 N N N N/A N/A 000000000 52.000000 NC USD 52.000000 0.0000094 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 09/30/20 2020-10-01 N/A USD N/A 111.750000 USD 2020-08-21 XXXX -419.640000 N N N N/A N/A 000000000 4.000000 NC USD 31.250000 0.0000057 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 09/30/20 2020-10-01 N/A USD N/A 112.750000 USD 2020-08-21 XXXX -5.030000 N N N AT&T INC 549300Z40J86GGSTL398 ACI1K11M9 700000.000000 PA 748442.940000 0.1359133 Long DBT CORP US N 2 2025-03-02 Floating 2.875 N N N N N N N/A N/A 000000000 56.000000 NC USD 16552.260000 0.0030058 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-30 7041562.530000 USD 16552.260000 N N N N/A N/A 000000000 1.000000 NC USD 717.300000 0.0001303 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-21 218156.250000 USD 717.300000 N N N N/A N/A 000000000 1.000000 NC -1051.130000 -0.0001909 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 UNITED UTILITIES PLC UNITED UTILITIES PLC SR UNSEC Y Single Leg Swap 2020-12-21 0.000000 EUR -4563.050000 EUR 200000.000000 EUR 3511.920000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 2700000.000000 PA USD 2713923.870000 0.4928345 Long DBT CORP US N 2 2021-06-01 Floating 1.1 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 1600000.000000 PA USD 1603781.460000 0.2912384 Long DBT CORP US N 2 2024-06-12 Floating 1.49838 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 1400000.000000 PA USD 1411628.060000 0.2563443 Long DBT CORP US N 2 2021-07-15 Floating 2.16888 N N N N N N AT&T INC 549300Z40J86GGSTL398 ACI1674M9 1000000.000000 PA 1175851.280000 0.2135285 Long DBT CORP US N 2 2026-09-05 Fixed 1.8 N N N N N N AURIUM CLO III DAC 3A N/A ACI1FVVB0 500000.000000 PA 556955.570000 0.1011402 Long ABS-CBDO CORP IE N 2 2030-04-16 Floating 0.67 N N N N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513BD6 500000.000000 NS USD 535410.000000 0.0972277 Long EP CORP US N 2 N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 200000.000000 PA 281908.800000 0.0511932 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B5BMDRII6 1000000.000000 PA 1185623.500000 0.2153031 Long DBT NUSS ES N 2 2021-09-15 Fixed 4.9 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2006-3 N/A 05948K4Q9 376075.280000 PA USD 385053.590000 0.0699237 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6.5 Y N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1FC9D3 1600000.000000 PA 1808411.870000 0.3283982 Long DBT CORP IT N 2 2022-05-25 Floating 1.218 N N N N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1BW9L5 1600000.000000 PA 1809903.870000 0.3286691 Long DBT CORP IT N 2 2021-10-25 Floating 1.539 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 1000000.000000 PA 1164155.650000 0.2114046 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 BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 200000.000000 PA 219090.950000 0.0397858 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO DE CREDITO DEL PERU 549300EQYQ8SCQZ4BY14 05971U2B2 1900000.000000 PA 551502.150000 0.1001499 Long DBT CORP PE N 2 2024-09-17 Fixed 4.65 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 400000.000000 PA 431505.620000 0.0783592 Long DBT CORP ES N 2 2021-09-11 Floating 6.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 200000.000000 PA 212905.410000 0.0386625 Long DBT CORP ES N 2 2023-09-29 Floating 5.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAG0 200000.000000 PA USD 212917.150000 0.0386646 Long DBT CORP ES N 2 2023-04-12 Fixed 3.848 N N N N N N BANK OF AMERICA MTGE SECS-2006-A N/A 05949CRS7 38176.120000 PA USD 35143.990000 0.0063820 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.75584 Y N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 3300000.000000 PA USD 3594678.350000 0.6527749 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI07CRC6 400000.000000 PA 451860.290000 0.0820555 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 06738EBG9 400000.000000 PA USD 414710.250000 0.0753092 Long DBT CORP GB N 2 2024-06-15 Floating 8 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0SSSH6 700000.000000 PA 864070.050000 0.1569106 Long DBT CORP GB N 2 2023-03-15 Floating 7.25 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CH093 500000.000000 PA 614284.100000 0.1115508 Long DBT CORP GB N 2 2025-06-15 Floating 7.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 300000.000000 PA USD 339081.000000 0.0615753 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 800000.000000 PA USD 842552.460000 0.1530031 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBF1 700000.000000 PA USD 698223.910000 0.1267938 Long DBT CORP GB N 2 2023-02-15 Floating 1.82238 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAE5 600000.000000 PA USD 651906.000000 0.1183827 Long DBT CORP GB N 2 2025-03-16 Fixed 3.65 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAR6 600000.000000 PA USD 609350.980000 0.1106550 Long DBT CORP GB N 2 2021-08-10 Floating 2.55763 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAW5 1000000.000000 PA USD 1098122.770000 0.1994134 Long DBT CORP GB N 2 2028-05-09 Fixed 4.836 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBK0 1000000.000000 PA USD 1140739.350000 0.2071523 Long DBT CORP GB N 2 2030-06-20 Floating 5.088 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAC7 300000.000000 PA USD 299676.120000 0.0544196 Long DBT CORP US N 2 2021-06-25 Floating 0.92688 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAE3 300000.000000 PA USD 329325.590000 0.0598038 Long DBT CORP US N 2 2023-12-15 Fixed 3.875 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAG8 500000.000000 PA USD 499887.470000 0.0907770 Long DBT CORP US N 2 2023-12-15 Floating 1.32338 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 300000.000000 PA USD 344928.900000 0.0626373 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 700000.000000 PA USD 818472.400000 0.1486303 Long DBT CORP US N 2 2028-12-15 Fixed 4.375 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 20588.470000 PA USD 18071.760000 0.0032817 Long ABS-MBS CORP US N 2 2046-12-26 Floating 4.25087 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWG3 995.090000 PA USD 974.740000 0.0001770 Long ABS-MBS CORP US N 2 2033-08-25 Floating 3.17076 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 19315.430000 PA USD 15171.300000 0.0027550 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.73613 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 21320.300000 PA USD 19075.970000 0.0034641 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.85314 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-2 N/A 07386HF71 93815.460000 PA USD 78042.900000 0.0141722 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.76105 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AK7 33378.290000 PA USD 21660.100000 0.0039334 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.69728 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 30531.650000 PA USD 27872.850000 0.0050616 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.32825 N N N N N N BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A N/A ACI0ZL547 642848.480000 PA 718260.380000 0.1304323 Long ABS-CBDO CORP IE N 2 2029-10-03 Floating 0.65 N N N N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SA RL 213800Y3B5GQFBGVHP79 ACI13P7K3 400000.000000 PA 454473.640000 0.0825300 Long DBT CORP LU N 2 2022-07-06 Fixed 1.4 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAC4 1000000.000000 PA USD 1001220.000000 0.1818163 Long DBT CORP SG N 2 2021-09-15 Fixed 2.375 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAE0 300000.000000 PA USD 309742.720000 0.0562477 Long DBT CORP SG N 2 2027-09-18 Fixed 3.5 N N N N N N BRUNEL RESIDENTIAL MORTGAGE SECURITISATION PLC 2007-1X N/A B1VGHBII7 926627.360000 PA 1146872.800000 0.2082661 Long ABS-MBS CORP GB N 2 2039-01-13 Floating 0.88575 N N N N N N BUSINESS MORTGAGE FINANCE 7 PLC X N/A ACI085MJ0 162437.110000 PA 196999.900000 0.0357742 Long ABS-MBS CORP GB N 2 2041-02-15 Floating 2.29225 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BD0 200000.000000 PA USD 203416.200000 0.0369393 Long DBT CORP US N 2 2021-03-15 Fixed 3.3 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 229000.000000 PA USD 244408.260000 0.0443833 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -6100000.000000 PA -6450097.180000 -1.1713041 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087ZH0 469652.000000 PA 475095.140000 0.0862748 Long DBT NUSS CA N 2 2044-12-01 Fixed 1.5 N N N N N N CANADA MORTGAGE & HOUSING POOL N/A 62941ZPB4 157112.890000 PA 115730.610000 0.0210161 Long DBT NUSS CA N 2 2020-07-01 Floating 0.825 N N N N N N CANADA MORTGAGE & HOUSING POOL N/A 62941ZZA5 133625.390000 PA 98438.580000 0.0178759 Long DBT NUSS CA N 2 2020-08-01 Floating 0.815 N N N N N N CENT CLO LTD 2015-24A N/A 15137KAE9 1400000.000000 PA USD 1382795.010000 0.2511084 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 2.28888 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 15189WAK6 200000.000000 PA USD 213220.210000 0.0387197 Long DBT CORP US N 2 2023-04-01 Fixed 3.55 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0WD1P5 2600000.000000 PA USD 2601605.210000 0.4724380 Long DBT CORP JP N 2 2020-08-04 Floating 1.014 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0PN1Y2 700000.000000 PA USD 709303.000000 0.1288057 Long DBT CORP JP N 2 2021-09-14 Fixed 2.091 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 15669GAH7 383904.170000 PA USD 363089.270000 0.0659351 Long LON CORP US N 2 2027-03-15 Floating 2.4282 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 576302.580000 PA USD 555491.720000 0.1008744 Long LON CORP US N 2 2027-02-01 Floating 1.93 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BJ2 100000.000000 PA USD 109167.500000 0.0198243 Long DBT CORP US N 2 2028-02-15 Fixed 3.75 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 1300000.000000 PA USD 1386538.490000 0.2517882 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 40051.410000 PA USD 34917.540000 0.0063408 Long ABS-MBS CORP US N 2 2037-07-25 Variable 3.38606 Y N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BZ82X0II5 5000000.000000 PA 713430.850000 0.1295553 Long DBT CORP CN N 2 2036-01-25 Fixed 3.8 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI19HN43 80400000.000000 PA 11617151.940000 2.1096144 Long DBT CORP CN N 2 2026-02-26 Fixed 3.68 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI112JW7 31400000.000000 PA 4881001.610000 0.8863645 Long DBT CORP CN N 2 2028-02-09 Fixed 4.88 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI0NHCM1 20800000.000000 PA 2930693.950000 0.5321988 Long DBT CORP CN N 2 2026-04-05 Fixed 3.18 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BDG28WII3 34300000.000000 PA 5052275.960000 0.9174670 Long DBT CORP CN N 2 2027-04-10 Fixed 4.04 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI140DZ7 17300000.000000 PA 2556715.520000 0.4642862 Long DBT CORP CN N 2 2028-07-06 Fixed 4.04 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BD0F7YII8 18200000.000000 PA 2540423.410000 0.4613277 Long DBT CORP CN N 2 2026-08-25 Fixed 3.05 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BK5TNXII1 11700000.000000 PA 1673508.670000 0.3039005 Long DBT CORP CN N 2 2026-08-13 Fixed 3.5 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI0XJLS3 56700000.000000 PA 8450954.220000 1.5346493 Long DBT CORP CN N 2 2027-08-24 Fixed 4.24 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BYQC6DII8 10200000.000000 PA 1480373.940000 0.2688282 Long DBT CORP CN N 2 2025-09-10 Fixed 3.74 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI16C869 2600000.000000 PA 384525.740000 0.0698279 Long DBT CORP CN N 2 2025-10-26 Fixed 4.15 N N N N N N CHINA GOVT N/A BD040RII5 2200000.000000 PA 316148.180000 0.0574109 Long DBT NUSS CN N 2 2023-06-16 Fixed 2.95 N N N N N N CHINA GOVT N/A BD1F1VII9 43800000.000000 PA 6191825.590000 1.1244033 Long DBT NUSS CN N 2 2026-08-04 Fixed 2.74 N N N N N N CHINA GOVT N/A BGKF9LII5 6500000.000000 PA 941980.590000 0.1710588 Long DBT NUSS CN N 2 2023-10-18 Fixed 3.29 N N N N N N CHINA GOVT N/A ACI0Z7CD0 7300000.000000 PA 1102086.320000 0.2001331 Long DBT NUSS CN N 2 2027-11-02 Fixed 3.82 N N N N N N CHINA GOVT N/A ACI16YPH8 2200000.000000 PA 318566.650000 0.0578500 Long DBT NUSS CN N 2 2025-12-06 Fixed 3.22 N N N N N N CHINA GOVT N/A ACI0RDPV2 500000.000000 PA 81443.170000 0.0147897 Long DBT NUSS CN N 2 2046-12-12 Fixed 4.4 N N N N N N CIFI HOLDINGS (GROUP) CO LTD 549300WGKSV867C0JF48 ACI18JR53 300000.000000 PA USD 315365.120000 0.0572687 Long DBT CORP KY N 2 2023-02-28 Fixed 7.625 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAX6 1900000.000000 PA USD 1903669.410000 0.3456965 Long DBT CORP US N 2 2022-05-20 Floating 0.97663 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAY4 900000.000000 PA USD 917999.600000 0.1667040 Long DBT CORP US N 2 2022-05-20 Floating 2.844 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-8 N/A 17310CAC6 1571315.520000 PA USD 1050623.510000 0.1907878 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.5345 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 528890.110000 PA USD 353073.820000 0.0641164 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.3445 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH3 N/A 17313CAD1 2700000.000000 PA USD 2532477.690000 0.4598848 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.4445 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXP8 2468.010000 PA USD 2497.220000 0.0004535 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.84 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-7 N/A 17307GA57 170364.820000 PA USD 150999.180000 0.0274207 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.41288 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-OPT4 N/A 17307GUW6 1200000.000000 PA USD 1126860.360000 0.2046320 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.15825 N N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 70000.000000 PA 692.940000 0.0001258 Long DBT MUN AR N 2 2022-01-23 Floating 36.9462 N N N N N N CO-OPERATIVE GROUP HOLDINGS (2011) LIMITED 213800TAO69X5H284Q39 B4YD7NII0 400000.000000 PA 493660.920000 0.0896463 Long DBT CORP GB N 2 2020-07-08 Variable 6.875 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 ACI1JXW05 500000.000000 PA 552267.450000 0.1002889 Long DBT CORP US N 2 2027-05-20 Fixed 0.25 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BW1 900000.000000 PA USD 900540.910000 0.1635335 Long DBT CORP US N 2 2020-10-09 Floating 0.76838 N N N N N N COOPERATIEVE RABOBANK UA/NEW YORK BRANCH DG3RU1DBUFHT4ZF9WN62 21688AAN2 400000.000000 PA USD 409102.470000 0.0742909 Long DBT CORP NL N 2 2021-04-26 Fixed 3.125 N N N N N N COUNTRY GARDEN HOLDINGS COMPANY LIMITED 549300MGHLPT1EFHGF84 ACI17Q545 200000.000000 PA USD 211243.630000 0.0383607 Long DBT CORP KY N 2 2022-04-25 Fixed 7.125 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668ALV5 8693.270000 PA USD 7654.330000 0.0013900 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.00382 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 39558.470000 PA USD 35342.640000 0.0064180 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.50382 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 38534.920000 PA USD 33436.290000 0.0060719 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.4645 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 50279.760000 PA USD 42170.880000 0.0076580 Long ABS-MBS CORP US N 2 2046-03-20 Floating 0.4 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 6118.210000 PA USD 5712.650000 0.0010374 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-20 N/A 12667HAD3 274852.460000 PA USD 263958.600000 0.0479335 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.3345 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-22 N/A 12666BAA3 351670.780000 PA USD 303974.590000 0.0552002 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.3245 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-25 N/A 12667TAA3 1114753.440000 PA USD 979972.950000 0.1779580 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.3245 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-BC5 N/A 12666SAA6 1566658.620000 PA USD 1500969.720000 0.2725683 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.3245 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-15 N/A 126673UR1 1000000.000000 PA USD 979190.200000 0.1778158 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.51825 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 375230.430000 PA USD 339677.460000 0.0616837 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.3145 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 347782.710000 PA USD 309206.720000 0.0561503 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.3245 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAA8 454726.830000 PA USD 405030.510000 0.0735514 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.3245 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-4 N/A 126670WU8 254697.590000 PA USD 252090.940000 0.0457784 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.4745 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 325001.550000 PA USD 285008.060000 0.0517560 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.3245 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-4 N/A 12668WAF4 352566.620000 PA USD 336073.340000 0.0610292 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.683 Y N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9 N/A 12669GFK2 324189.180000 PA USD 335991.900000 0.0610144 Long ABS-MBS CORP US N 2 2035-01-25 Fixed 5.5 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN58 6848.530000 PA USD 6596.870000 0.0011980 Long ABS-MBS CORP US N 2 2034-08-25 Floating 3.42682 Y N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 4383.640000 PA USD 4275.950000 0.0007765 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.81915 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 4604.820000 PA USD 4353.880000 0.0007906 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.8445 N N N N N N COUNTRYWIDE HOME LOANS 2005-1 N/A 12669GRM5 18990.540000 PA USD 16172.000000 0.0029368 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.8245 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 10740.390000 PA USD 9204.650000 0.0016715 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.8245 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 3956.490000 PA USD 3692.190000 0.0006705 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.8245 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZQ7 19034.570000 PA USD 16389.240000 0.0029762 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.6445 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB3 N/A 12489WQX5 547258.320000 PA USD 507485.390000 0.0921567 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.4445 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 ACI06K5Q2 200000.000000 PA USD 219233.600000 0.0398117 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE AG/GUERNSEY BRANCH ANGGYXNX0JLX3X63JN86 ACI09D6B7 200000.000000 PA 227610.690000 0.0413329 Long DBT CORP CH N 2 2021-09-17 Fixed 0.75 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AC2 250000.000000 PA USD 280116.930000 0.0508678 Long DBT CORP CH N 2 2028-01-09 Fixed 4.282 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AF5 250000.000000 PA USD 276148.460000 0.0501471 Long DBT CORP CH N 2 2029-01-12 Floating 3.869 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AQ1 1200000.000000 PA USD 1216410.580000 0.2208938 Long DBT CORP CH N 2 2026-06-05 Floating 2.193 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AE8 800000.000000 PA USD 800765.370000 0.1454148 Long DBT CORP CH N 2 2023-12-14 Floating 1.51338 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AT8 800000.000000 PA USD 862162.980000 0.1565643 Long DBT CORP GG N 2 2023-06-09 Fixed 3.8 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-1 N/A 126378AL2 175381.470000 PA USD 68174.390000 0.0123801 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 5.8631 Y N N N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KBD1 1312733.910000 PA USD 1187967.480000 0.2157287 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.5 Y N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 737.310000 PA USD 694.340000 0.0001261 Long ABS-MBS CORP US N 2 2032-01-25 Floating 0.78825 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-8 N/A 22541NX20 422.450000 PA USD 446.010000 0.0000810 Long ABS-MBS CORP US N 2 2033-04-25 Fixed 6.5 N N N N N N CVC CORDATUS LOAN FUND IV LTD 4A N/A ACI18JLV2 800000.000000 PA 895602.420000 0.1626367 Long ABS-CBDO CORP IE N 2 2030-04-22 Floating 0.97 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DC1 107000.000000 PA USD 109130.280000 0.0198175 Long DBT CORP US N 2 2021-03-09 Fixed 3.35 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CV0 400000.000000 PA USD 429958.730000 0.0780783 Long DBT CORP US N 2 2023-03-09 Fixed 3.7 N N N N N N D.R. HORTON INC 529900ZIUEYVSB8QDD25 23331ABH1 1300000.000000 PA USD 1470759.230000 0.2670822 Long DBT CORP US N 2 2023-08-15 Fixed 5.75 N N N N N N DBS BANK LTD ATUEL7OJR5057F2PV266 23304RAB1 400000.000000 PA USD 416140.760000 0.0755690 Long DBT CORP SG N 2 2021-11-27 Fixed 3.3 N N N N N N DBUBS MORTGAGE TRUST 2011-LC1A N/A 233050AD5 168398.300000 PA USD 21.180000 0.0000038 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.874138 N N N N N N DBUBS MORTGAGE TRUST 2011-LC1A N/A 233050AE3 400000.000000 PA USD 355.440000 0.0000645 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.381404 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3 N/A 25151KAC3 735410.330000 PA USD 652397.580000 0.1184720 Long ABS-MBS CORP US N 2 2047-10-25 Floating 0.91825 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI183TV9 600000.000000 PA 708435.680000 0.1286482 Long DBT CORP DE N 2 2026-02-12 Fixed 2.625 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BP3 500000.000000 PA USD 502467.810000 0.0912455 Long DBT CORP DE N 2 2021-01-22 Fixed 3.15 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BQ1 1300000.000000 PA USD 1290636.000000 0.2343728 Long DBT CORP DE N 2 2021-01-22 Floating 1.91263 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251525AT8 600000.000000 PA USD 600128.780000 0.1089803 Long DBT CORP DE N 2 2020-07-13 Fixed 2.7 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 1800000.000000 PA USD 1847869.380000 0.3355635 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 251526CB3 1400000.000000 PA USD 1470190.580000 0.2669790 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DNB BOLIGKREDITT AS 5967007LIEEXZX659K67 25600WAG5 500000.000000 PA USD 539084.050000 0.0978949 Long DBT CORP NO N 2 2023-06-28 Fixed 3.25 N N N N N N DOMINION ENERGY GAS HOLDINGS LLC 549300BFOD6TDMVV4O24 257375AM7 800000.000000 PA USD 798929.170000 0.1450814 Long DBT CORP US N 2 2021-06-15 Floating 0.91338 N N N N N N DRIVER AUSTRALIA-5 N/A BD6SPWII8 315739.300000 PA 217509.030000 0.0394985 Long ABS-O CORP AU N 2 2026-07-21 Floating 1.02 N N N N N N DRYDEN EURO CLO 16-46A N/A ACI1C3DT6 1200000.000000 PA 1342495.400000 0.2437902 Long ABS-CBDO CORP NL N 2 2030-01-15 Floating 0.88 N N N N N N DRYDEN XXV SENIOR LOAN FUND 2012-25A N/A 26250JAS9 1168319.970000 PA USD 1158393.870000 0.2103583 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.11888 N N N N N N DT AUTO OWNER TRUST 2020-2A N/A 23343RAA6 1400000.000000 PA USD 1402795.520000 0.2547404 Long ABS-O CORP US N 2 2024-01-16 Fixed 1.14 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CBD6 1300000.000000 PA USD 1299267.440000 0.2359402 Long DBT CORP US N 2 2022-03-11 Floating 0.96463 N N N N N N DUKINFIELD PLC 1 N/A ACI0GW577 445805.590000 PA 552433.090000 0.1003190 Long ABS-MBS CORP GB N 2 2045-08-15 Floating 1.29225 N N N N N N DURHAM MORTGAGES B PLC 18-BX N/A ACI192FB9 881524.970000 PA 1085055.490000 0.1970404 Long ABS-MBS CORP GB N 2 2054-03-31 Floating 0.85613 N N N N N N EGCLO 2018-1A N/A 29915RAA1 297457.540000 PA USD 293569.280000 0.0533107 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.29125 N N N N N N EMERALD BAY SA 2221008SU8XG8LZVS860 ACI0YB9V6 289000.000000 PA 318035.200000 0.0577535 Long DBT CORP LU N 2 2020-10-08 None 0 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAB4 1100000.000000 PA USD 1138350.610000 0.2067185 Long DBT CORP NL N 2 2022-05-25 Fixed 2.875 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAL2 1300000.000000 PA USD 1359552.620000 0.2468877 Long DBT CORP NL N 2 2024-09-10 Fixed 2.65 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AC9 100000.000000 PA USD 107081.280000 0.0194454 Long DBT CORP US N 2 2023-04-20 Fixed 3.9 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AJ4 200000.000000 PA USD 224116.400000 0.0406984 Long DBT CORP US N 2 2028-04-20 Fixed 4.35 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAQ5 1200000.000000 PA USD 1217180.100000 0.2210336 Long DBT CORP US N 2 2021-12-01 Fixed 2.6 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 316291.320000 PA 377550.220000 0.0685612 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 0.34325 N N N N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 B764JTII8 500000.000000 PA 343106.380000 0.0623063 Long DBT CORP N/A N 2 2023-06-21 Fixed 0.5 N N N N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 B42XTXII5 400000.000000 PA 275300.340000 0.0499931 Long DBT CORP N/A N 2 2023-08-10 Fixed 0.5 N N N N N N EUROSAIL PLC 2006-1X N/A B15CVSII2 5102.080000 PA 6307.220000 0.0011454 Long ABS-MBS CORP GB N 2 2044-06-10 Floating 0.362 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 444639.390000 PA 545746.420000 0.0991047 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 1.14325 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 500000.000000 PA 583682.180000 0.1059936 Long DBT CORP CA N 2 2028-03-29 Fixed 2.75 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 1895.670000 PA USD 1888.780000 0.0003430 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 0.3045 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 1261.500000 PA USD 1251.660000 0.0002273 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 0.3345 N N N N N N FANNIE MAE 2006-48 N/A 31395NLE5 19393.860000 PA USD 19412.310000 0.0035252 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 0.5845 N N N N N N FANNIE MAE 2006-5 N/A 31394VL73 4926.270000 PA USD 5160.680000 0.0009372 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 3.6679 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 10889.320000 PA USD 10891.380000 0.0019778 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 0.51825 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 6980.340000 PA USD 8111.670000 0.0014730 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N FCE BANK PLC TU5V87TL5Q0UV1EW4H93 ACI0KHKC7 200000.000000 PA 222115.190000 0.0403350 Long DBT CORP GB N 2 2021-02-11 Fixed 1.66 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCE83 4409.850000 PA USD 4432.680000 0.0008050 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.625 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCFN9 39119.660000 PA USD 39643.570000 0.0071991 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 3.535 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDZD4 1153.910000 PA USD 1160.550000 0.0002107 Long ABS-MBS USGSE US N 2 2029-02-01 Floating 4.104 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 28180.270000 PA USD 28482.180000 0.0051722 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 2.70382 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI0W0017 200000.000000 PA 224862.370000 0.0408338 Long DBT CORP US N 2 2021-01-15 Fixed 0.4 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI0VZZX3 200000.000000 PA 251409.400000 0.0456546 Long DBT CORP US N 2 2022-06-30 Fixed 1.7 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI1C01S7 300000.000000 PA 339630.820000 0.0616752 Long DBT CORP US N 2 2023-05-21 Fixed 0.75 N N N N N N FINLAND GOVT 743700M6Y2OQRVSBRD14 ACI0L17T9 2600000.000000 PA 3090851.730000 0.5612826 Long DBT NUSS FI N 2 2026-04-15 Fixed 0.5 N N N N N N FINLAND GOVT 743700M6Y2OQRVSBRD14 ACI0GM7B8 2700000.000000 PA 3259523.640000 0.5919125 Long DBT NUSS FI N 2 2025-09-15 Fixed 0.875 N N N N N N FINSBURY SQUARE 2018-2 PLC 18-2 N/A ACI163WL9 870768.500000 PA 1078776.820000 0.1959003 Long ABS-MBS CORP GB N 2 2068-09-12 Floating 1.14763 N N N N N N FINSBURY SQUARE 2020-1 PLC 20-1A N/A ACI1JHW34 1066010.910000 PA 1312991.140000 0.2384324 Long ABS-MBS CORP GB N 2 2070-03-16 Floating 1.0226 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 ACI0TC3G9 200000.000000 PA USD 206108.000000 0.0374281 Long DBT CORP AE N 2 2022-03-30 Fixed 3 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF10 N/A 32028HAA1 1091545.020000 PA USD 1004575.300000 0.1824256 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.2995 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 1681.240000 PA USD 1750.420000 0.0003179 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.519 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 8689.460000 PA USD 8733.920000 0.0015860 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 2.523 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 14770.080000 PA USD 15548.090000 0.0028235 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.773 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 960.000000 NS 186162.470000 0.0338061 Long EP CORP GB N 2 N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 1883705.750000 PA USD 2050740.040000 0.3724037 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HAU57 336262.820000 PA USD 367432.270000 0.0667238 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QBZL5 1371946.740000 PA USD 1478378.120000 0.2684658 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X47J9 362543.440000 PA USD 390734.010000 0.0709553 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S77 2873630.000000 PA USD 3041069.380000 0.5522424 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S93 872538.600000 PA USD 929057.660000 0.1687120 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 6803829.900000 PA USD 7184138.200000 1.3046021 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FORD CREDIT AUTO LEASE TRUST 2018-A N/A 34531JAE5 1300000.000000 PA USD 1305029.570000 0.2369866 Long ABS-O CORP US N 2 2021-08-15 Fixed 3.05 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YY3 600000.000000 PA USD 575906.920000 0.1045817 Long DBT CORP US N 2 2021-04-05 Floating 1.11375 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI10JHM5 100000.000000 PA 102398.670000 0.0185951 Long DBT CORP US N 2 2022-12-07 Floating 0.068 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI18M3K9 800000.000000 PA 1133432.680000 0.2058255 Long DBT NUSS FR N 2 2050-05-25 Fixed 1.5 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI05M6Y1 800000.000000 PA 1490572.960000 0.2706803 Long DBT NUSS FR N 2 2045-05-25 Fixed 3.25 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 7400000.000000 PA 11535831.680000 2.0948470 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N FREDDIE MAC 2610 N/A 31393QX80 3744.100000 PA USD 3749.590000 0.0006809 Long ABS-MBS USGSE US N 2 2032-12-15 Floating 0.68475 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 5469.070000 PA USD 5517.740000 0.0010020 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 0.78475 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 267675.920000 PA USD 267097.870000 0.0485036 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 0.52263 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 267675.920000 PA USD 14948.870000 0.0027146 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 3.39365 N N N N N N FRONTIER FINANCE PLC 213800XVLIFOCEEVIS52 ACI0T8JS5 1500000.000000 PA 1923183.200000 0.3492401 Long DBT CORP GB N 2 2022-03-23 Fixed 8 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448BB8 1200000.000000 PA USD 1183924.700000 0.2149946 Long DBT CORP US N 2 2021-11-05 Floating 2.461 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 29722.000000 PA USD 296476.910000 0.0538387 Long STIV RF US N 1 N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CD4 100000.000000 PA USD 102204.010000 0.0185597 Long DBT CORP US N 2 2021-04-16 Fixed 3.2 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CE2 100000.000000 PA USD 108920.180000 0.0197793 Long DBT CORP US N 2 2023-10-17 Fixed 3.7 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCU8 700000.000000 PA USD 717990.920000 0.1303834 Long DBT CORP US N 2 2022-07-08 Fixed 3.55 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAG6 400000.000000 PA USD 411372.430000 0.0747031 Long DBT CORP US N 2 2021-11-15 Fixed 3.163 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 205649.640000 PA USD 2027499.770000 0.3681834 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36225CF50 233.000000 PA USD 234.760000 0.0000426 Long ABS-MBS USGSE US N 2 2028-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CNP7 281.310000 PA USD 295.860000 0.0000537 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CN36 517.470000 PA USD 544.380000 0.0000989 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CN85 757.240000 PA USD 765.030000 0.0001389 Long ABS-MBS USGSE US N 2 2030-06-20 Floating 2.875 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 100000.000000 PA USD 116412.160000 0.0211398 Long DBT CORP US N 2 2029-05-01 Floating 4.223 N N N N N N GOODMAN US FINANCE THREE LLC N/A 38239JAA9 600000.000000 PA USD 649578.880000 0.1179601 Long DBT CORP US N 2 2028-03-15 Fixed 3.7 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UXM7 2139993.770000 PA USD 2160355.380000 0.3923093 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 1.10338 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14 N/A 38376RVV5 1476301.340000 PA USD 1490575.700000 0.2706808 Long ABS-MBS USGSE US N 2 2066-06-20 Floating 1.10338 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24 N/A 38376RJ72 622823.260000 PA USD 630443.500000 0.1144853 Long ABS-MBS USGSE US N 2 2066-11-20 Floating 1.15338 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 114357.870000 PA USD 117482.490000 0.0213342 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133 N/A 38380HCH3 52956.700000 PA USD 54440.900000 0.0098862 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 3 N N N N N N GSAMP TRUST 2005-WMC2 N/A 362341VA4 1324110.650000 PA USD 995177.860000 0.1807191 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.8295 Y N N N N N GSR MORTGAGE LOAN TRUST 2004-14 N/A 36242DPB3 30654.560000 PA USD 27840.400000 0.0050557 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.49825 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR2 N/A 36242DH89 116134.860000 PA USD 118068.180000 0.0214406 Long ABS-MBS CORP US N 2 2035-04-25 Floating 4.00797 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 30016.000000 PA USD 29349.840000 0.0053298 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.85176 Y N N N N N HARBEN FINANCE 2017-1 PLC 17-1X N/A ACI12FW02 958602.010000 PA 1184463.120000 0.2150923 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.05613 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAT2 400000.000000 PA USD 397720.200000 0.0722239 Long DBT CORP US N 2 2021-03-02 Floating 1.284 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 1795796.200000 PA 2224619.790000 0.4039794 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.28692 N N N N N N HAWKSMOOR MORTGAGES 19-1X N/A ACI1DHG20 987687.910000 PA 1223540.890000 0.2221887 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.28692 N N N N N N HSBC BANK CANADA DMB80L5QKUQ124HSYW98 40427HTF0 1200000.000000 PA USD 1245842.280000 0.2262385 Long DBT CORP CA N 2 2021-11-28 Fixed 3.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BP3 700000.000000 PA USD 718945.500000 0.1305568 Long DBT CORP GB N 2 2028-03-23 Floating 6.5 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BFM4XMII1 300000.000000 PA 365247.940000 0.0663271 Long DBT CORP GB N 2 2026-09-28 Floating 5.875 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 BYXL2ZII5 200000.000000 PA 213366.950000 0.0387463 Long DBT CORP GB N 2 2029-07-04 Floating 4.75 N N N N Y HSBC HOLDINGS PLC GBP XXXX N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 400000.000000 PA USD 442282.210000 0.0803161 Long DBT CORP GB N 2 2028-03-13 Floating 4.041 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 300000.000000 PA USD 297766.030000 0.0540728 Long DBT CORP GB N 2 2024-05-18 Floating 1.38563 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 800000.000000 PA USD 924703.760000 0.1679214 Long DBT CORP GB N 2 2029-06-19 Floating 4.583 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE2 N/A 40430RAD8 750422.390000 PA USD 466525.970000 0.0847187 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.42825 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AD7 800000.000000 PA USD 800785.220000 0.1454184 Long DBT CORP GB N 2 2020-07-21 Fixed 2.95 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR4 N/A 45661EAV6 395375.250000 PA USD 361306.200000 0.0656113 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.58825 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 15053.280000 PA USD 13834.280000 0.0025122 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.6645 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 543684.230000 PA USD 392274.970000 0.0712351 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.4245 N N N N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GF6 500000.000000 PA USD 511866.580000 0.0929523 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 ACI0K0SG7 200000.000000 PA 224234.780000 0.0407199 Long DBT CORP IT N 2 2021-01-19 Floating 7 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJH2 200000.000000 PA USD 226900.000000 0.0412039 Long DBT NUSS IL N 2 2028-01-17 Fixed 3.25 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 300000.000000 PA USD 372837.600000 0.0677054 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1M29S4 1100000.000000 PA USD 1280125.000000 0.2324640 Long DBT NUSS IL N 2 2060-05-13 Fixed 3.8 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI0Q3KW8 2600000.000000 PA 2938198.750000 0.5335616 Long DBT NUSS IT N 2 2021-11-01 Fixed 0.35 N N N N N N ITALY GOVT 815600DE60799F5A9309 BFWK4SII3 1200000.000000 PA 1576168.960000 0.2862241 Long DBT NUSS IT N 2 2038-09-01 Fixed 2.95 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1J42T9 1100000.000000 PA 1300507.690000 0.2361654 Long DBT NUSS IT N 2 2050-09-01 Fixed 2.45 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1MV5H8 400000.000000 PA 464442.270000 0.0843403 Long DBT NUSS IT N 2 2030-12-01 Fixed 1.65 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI19Z2M6 3000000.000000 PA 3536145.030000 0.6421455 Long DBT NUSS IT N 2 2024-07-01 Fixed 1.75 N N N N N N ITALY GOVT 815600DE60799F5A9309 551287II8 400000.000000 PA 616745.800000 0.1119978 Long DBT NUSS IT N 2 2028-08-04 Fixed 6 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LTM3 1400000.000000 PA USD 1441781.850000 0.2618201 Long DBT CORP US N 2 2022-09-15 Fixed 2.375 N N N N N N JAPAN BANK FOR INTERNATIONAL COOPERATION 549300TJ3QFYVCTSCJ29 471048BS6 700000.000000 PA USD 757863.230000 0.1376240 Long DBT NUSS JP N 2 2023-07-20 Fixed 3.25 N N N N N N JAPAN BANK FOR INTERNATIONAL COOPERATION 549300TJ3QFYVCTSCJ29 471048BU1 300000.000000 PA USD 328013.590000 0.0595656 Long DBT NUSS JP N 2 2023-10-31 Fixed 3.375 N N N N N N JAPAN BANK FOR INTERNATIONAL COOPERATION 549300TJ3QFYVCTSCJ29 471048CD8 500000.000000 PA USD 523413.250000 0.0950491 Long DBT NUSS JP N 2 2024-10-17 Fixed 1.75 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B1D95 2400000000.000000 PA 22470090.300000 4.0804515 Long DBT NUSS JP N 2 2029-03-20 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1LHMV0 360000000.000000 PA 3358344.060000 0.6098578 Long DBT NUSS JP N 2 2030-03-20 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1D1NX9 610000000.000000 PA 5705216.020000 1.0360376 Long DBT NUSS JP N 2 2029-06-20 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0CWBV1 340000000.000000 PA 3625963.420000 0.6584561 Long DBT NUSS JP N 2 2035-06-20 Fixed 1.3 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0GYYD8 1340000000.000000 PA 14118307.020000 2.5638111 Long DBT NUSS JP N 2 2035-09-20 Fixed 1.2 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B32J1 258000000.000000 PA 2345261.220000 0.4258872 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0MYW19 620000000.000000 PA 5428150.960000 0.9857240 Long DBT NUSS JP N 2 2046-06-20 Fixed 0.3 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI0PP6W6 402000000.000000 PA 3697357.540000 0.6714209 Long DBT NUSS JP N 2 2046-09-20 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 772000000.000000 PA 7395541.930000 1.3429919 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 454468500.000000 PA 4194284.420000 0.7616602 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A1 N/A 466247F57 17583.920000 PA USD 14788.270000 0.0026855 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.48967 Y N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 64723.480000 PA USD 65952.290000 0.0119766 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.34265 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 BJBQCWII7 150000.000000 NS 179839.020000 0.0326578 Long EP CORP NL N 2 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BWK1VJII1 1.270000 PA 0.200000 0.0000000 Long DBT CORP DK N 2 2037-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI09QH00 18569.590000 PA 2945.380000 0.0005349 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BKLH46II9 16469466.370000 PA 2453348.330000 0.4455153 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BD9H2PII9 2576909.620000 PA 397071.370000 0.0721061 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 BVXBNZII0 3393378.770000 PA 534268.490000 0.0970204 Long DBT CORP DK N 2 2047-10-01 Fixed 2 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 26806382.760000 PA 4023483.460000 0.7306437 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAM4 100000.000000 PA USD 104953.900000 0.0190591 Long DBT CORP US N 2 2024-12-15 Fixed 3.45 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAA9 400000.000000 PA USD 408652.110000 0.0742091 Long DBT CORP US N 2 2021-02-15 Fixed 5 N N N N N N KOOKMIN BANK 549300XXMOJSIW8P4769 Y4822WCS7 400000.000000 PA USD 401588.000000 0.0729263 Long DBT CORP KR N 2 2020-10-21 Fixed 2.125 N N N N N N KOREA HYDRO & NUCLEAR POWER CO LTD 9884008CRY5MLCN8OQ43 50064YAN3 200000.000000 PA USD 216944.380000 0.0393960 Long DBT CORP KR N 2 2023-07-25 Fixed 3.75 N N N N N N KUWAIT GOVT 549300FSC1YD0D9XX589 M6417JAA6 2800000.000000 PA USD 3130929.200000 0.5685605 Long DBT NUSS KW N 2 2027-03-20 Fixed 3.5 N N N N N N LANARK MASTER ISSUER PLC 19-1A N/A ACI189DK7 760000.000000 PA 944377.900000 0.1714941 Long ABS-MBS CORP GB N 2 2069-12-22 Floating 1.07325 N N N N N N LCM XX LP 20A N/A 50188WAE8 1400000.000000 PA USD 1376469.290000 0.2499597 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 2.17525 N N N N N N LITHUANIA GOVT 529900F7Y171QF1RSU09 ACI0ZC2H1 600000.000000 PA 719399.200000 0.1306392 Long DBT NUSS LT N 2 2027-04-26 Fixed 1.1 N N N N N N LITHUANIA GOVT 529900F7Y171QF1RSU09 X5048HDW6 1000000.000000 PA USD 1038858.000000 0.1886512 Long DBT NUSS LT N 2 2021-03-09 Fixed 6.125 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 971QYMII5 700000.000000 PA 1044254.100000 0.1896311 Long DBT CORP GB N 2 2025-03-07 Fixed 5.125 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 ACI01SSR3 500000.000000 PA 786869.130000 0.1428913 Long DBT CORP GB N 2 2027-03-30 Fixed 4.875 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI1GWB29 500000.000000 PA 567749.680000 0.1031004 Long DBT CORP GB N 2 2024-12-27 Floating 5.125 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAH6 700000.000000 PA USD 767095.030000 0.1393005 Long DBT CORP GB N 2 2024-03-12 Fixed 3.9 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AS8 1300000.000000 PA USD 1414853.280000 0.2569300 Long DBT CORP GB N 2 2023-08-16 Fixed 4.05 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAB9 800000.000000 PA USD 891415.520000 0.1618764 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AM1 500000.000000 PA USD 555721.500000 0.1009161 Long DBT CORP GB N 2 2025-12-10 Fixed 4.582 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 12369.070000 PA USD 10807.600000 0.0019626 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.7445 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 B1YBKVII7 1700000.000000 PA 417938.650000 0.0758955 Long DBT NUSS MY N 2 2027-05-31 Fixed 3.502 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI17M353 3900000.000000 PA 972424.250000 0.1765872 Long DBT NUSS MY N 2 2026-07-15 Fixed 3.906 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI17H4J3 2200000.000000 PA 560425.080000 0.1017703 Long DBT NUSS MY N 2 2029-07-09 Fixed 4.13 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1BBG09 2200000.000000 PA 537378.820000 0.0975852 Long DBT NUSS MY N 2 2024-10-15 Fixed 3.655 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI12HLK6 1300000.000000 PA 335863.330000 0.0609910 Long DBT NUSS MY N 2 2028-10-31 Fixed 4.369 N N N N N N MANSARD MORTGAGES PLC 2007-2X N/A B29VVWII5 126417.550000 PA 151474.790000 0.0275070 Long ABS-MBS CORP GB N 2 2049-12-15 Floating 0.84325 N N N N N N MARATHON CLO V LTD 2013-5A N/A 56576QAN8 1187486.460000 PA USD 1176799.080000 0.2137006 Long ABS-CBDO CORP KY N 2 2027-11-21 Floating 1.24413 N N N N N N MASSMUTUAL GLOBAL FUNDING II 549300K1IE3K7YU6VG29 57629WCK4 1400000.000000 PA USD 1443442.640000 0.2621217 Long DBT CORP US N 2 2022-07-01 Fixed 2.25 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 300000.000000 PA USD 300737.410000 0.0546123 Long DBT CORP US N 2 2021-10-28 Floating 1.31713 N N N N N N MEIJI YASUDA LIFE INSURANCE COMPANY 549300SLU4LP6YMRLK07 585270AC5 200000.000000 PA USD 233187.900000 0.0423457 Long DBT CORP JP N 2 2048-04-26 Floating 5.1 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 3592.350000 PA USD 3454.340000 0.0006273 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.62475 N N N N N N MERLIN PROPERTIES SOCIMI SA 959800L8KD863DP30X04 BZBXG0II2 200000.000000 PA 227439.010000 0.0413017 Long DBT CORP ES N 2 2023-04-25 Fixed 2.225 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 1332634.180000 PA USD 820636.260000 0.1490233 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.3345 N N N N N N METROPOLIS OF TOKYO JAPAN 353800FABE4GGB1BMO18 59173LAA8 700000.000000 PA USD 708595.920000 0.1286773 Long DBT NUSS JP N 2 2021-05-17 Fixed 2 N N N N N N METROPOLIS OF TOKYO JAPAN 353800FABE4GGB1BMO18 889124AK9 600000.000000 PA USD 621368.330000 0.1128373 Long DBT NUSS JP N 2 2022-06-08 Fixed 2.5 N N N N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 59217GDB2 600000.000000 PA USD 622373.050000 0.1130197 Long DBT CORP US N 2 2022-06-17 Fixed 2.4 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAK6 200000.000000 PA USD 221000.000000 0.0401325 Long DBT NUSS MX N 2 2032-04-27 Fixed 4.75 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 91087BAL4 300000.000000 PA USD 324300.000000 0.0588912 Long DBT NUSS MX N 2 2051-04-27 Fixed 5 N N N N N N MID-AMERICA APARTMENTS LP 549300FXWGE3QSYCUJ38 59523UAP2 600000.000000 PA USD 696216.050000 0.1264292 Long DBT CORP US N 2 2028-06-15 Fixed 4.2 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AA2 230000.000000 PA USD 233710.970000 0.0424407 Long DBT CORP JP N 2 2021-03-01 Fixed 2.95 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AT1 600000.000000 PA USD 640936.770000 0.1163908 Long DBT CORP JP N 2 2023-03-02 Fixed 3.455 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 700000.000000 NS USD 716473.400000 0.1301078 Long EP CORP US N 2 N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAN9 700000.000000 PA USD 702350.310000 0.1275432 Long DBT CORP JP N 2 2022-09-11 Floating 1.19463 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAS8 500000.000000 PA USD 541386.550000 0.0983130 Long DBT CORP JP N 2 2024-09-11 Floating 3.922 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAU3 900000.000000 PA USD 893767.130000 0.1623035 Long DBT CORP JP N 2 2024-09-11 Floating 1.31463 N N N N N N MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV 549300CW356R8I7N8D33 60920LAC8 500000.000000 PA USD 508965.800000 0.0924255 Long DBT CORP NL N 2 2021-10-28 Fixed 2 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468M4 3300000.000000 PA 2364619.180000 0.4294025 Long DBT CORP US Y 2 2023-02-03 Floating 0.95875 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 137133.260000 PA USD 118456.810000 0.0215111 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.29825 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C8 N/A 61761QAF0 900115.660000 PA USD 17185.550000 0.0031208 Long ABS-MBS CORP US N 2 2048-12-15 Variable 1.11008 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-1 N/A 61751QAB1 966443.260000 PA USD 530851.430000 0.0963999 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.2845 N N N N N N MORGAN STANLEY HOME EQUITY LN 2007-2 N/A 61752UAC9 806772.670000 PA USD 534717.950000 0.0971020 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.39825 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 17630.120000 PA USD 17532.930000 0.0031839 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.22619 N N N N N N MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS N/A 61752JAE0 157298.530000 PA USD 60478.480000 0.0109826 Long ABS-MBS CORP US N 2 2046-09-25 Variable 5.9188 Y N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 1500000.000000 PA USD 1467067.890000 0.2664119 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 2.26613 N N N N N N MOUNTAIN VIEW CLO LTD 2014-1A N/A 62431XAU0 148547.860000 PA USD 146635.580000 0.0266283 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 2.01888 N N N N N N MUFG AMERICAS HOLDINGS CORP (AKA: UNIONBANCAL CORPORATION) 5493004K1ECE43Q0BX47 553794AC2 560000.000000 PA USD 596860.850000 0.1083868 Long DBT CORP US N 2 2025-02-10 Fixed 3 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAA5 1200000.000000 PA USD 1265454.980000 0.2298000 Long DBT CORP GB N 2 2024-03-08 Floating 3.766 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAB3 1400000.000000 PA USD 1588898.140000 0.2885356 Long DBT CORP GB N 2 2029-03-08 Floating 4.302 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 ACI115315 300000.000000 PA 336041.420000 0.0610234 Long DBT CORP GB N 2 2022-03-02 Fixed 0.625 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 ACI1C3V82 800000.000000 PA 896399.900000 0.1627816 Long DBT CORP GB N 2 2024-05-28 Fixed 1 N N N N N N NCUA GUARANTEED NOTES 2010-R2 N/A 62888UAB6 458834.000000 PA USD 458907.600000 0.0833352 Long ABS-MBS CORP US N 2 2020-11-05 Floating 0.63588 N N N N N N NCUA GUARANTEED NOTES 2010-R3 N/A 62888WAA4 29142.610000 PA USD 29093.120000 0.0052832 Long ABS-MBS CORP US N 2 2020-12-08 Floating 0.72588 N N N N N N NCUA GUARANTEED NOTES 2010-R3 N/A 62888WAB2 125358.670000 PA USD 125371.690000 0.0227668 Long ABS-MBS CORP US N 2 2020-12-08 Floating 0.72588 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 1571543.750000 PA USD 1651587.820000 0.2999198 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 1338079.560000 PA USD 1412775.980000 0.2565528 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 ACI1DKMP5 1100000.000000 PA 800742.910000 0.1454107 Long DBT NUSS AU N 2 2031-03-20 Fixed 2 N N N N N N NEW SOUTH WALES TREASURY CORPORATION TC7LRO17HPNPLTAV0H77 BZ30FCII8 1900000.000000 PA 1512024.950000 0.2745759 Long DBT NUSS AU N 2 2030-02-20 Fixed 3 N N N N N N NEWGATE FUNDING PLC 2007-3X N/A B2NDQFII2 227706.800000 PA 262952.640000 0.0477508 Long ABS-MBS CORP GB N 2 2050-12-15 Floating 1.19325 N N N N N N NEWGATE FUNDING PLC-2007-1X N/A 994BNLII5 262430.400000 PA 303697.360000 0.0551499 Long ABS-MBS CORP GB N 2 2050-12-01 Floating 0.3965 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBC3 800000.000000 PA USD 804564.400000 0.1461047 Long DBT CORP US N 2 2022-02-25 Floating 1.0795 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BE8 1000000.000000 PA USD 924826.560000 0.1679437 Long DBT CORP US N 2 2022-09-28 Floating 0.996 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-WF1 N/A 65536RAF3 700000.000000 PA USD 669826.710000 0.1216370 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.60325 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BVG7BHII1 591522.550000 PA 92048.310000 0.0167155 Long DBT CORP DK N 2 2037-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0BN1Z4 1.100000 PA 0.170000 0.0000000 Long DBT CORP DK N 2 2047-10-01 Fixed 2 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 25091060.120000 PA 3739542.090000 0.6790814 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 5433251.530000 PA 833317.020000 0.1513260 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 22275030.920000 PA 3339995.210000 0.6065258 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0WLGL0 1433941.350000 PA 223160.840000 0.0405248 Long DBT CORP DK N 2 2050-10-01 Fixed 2 N N N N N N NORTHERN TERRITORY TREASURY CORPORATION 254900V4FQ2K6E3VJ628 ACI1K8177 800000.000000 PA 560186.500000 0.1017270 Long DBT MUN AU N 2 2031-04-21 Fixed 2 N N N N N N NORTHWELL HEALTHCARE INC 54930073NUTKK4QD3P47 667274AC8 400000.000000 PA USD 446713.460000 0.0811208 Long DBT CORP US N 2 2047-11-01 Fixed 4.26 N N N N N N NOVASTAR HOME EQUITY LOAN 2007-1 N/A 669971AA1 695741.230000 PA USD 502131.260000 0.0911844 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.3145 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAU2 800000.000000 PA USD 824052.870000 0.1496437 Long DBT CORP NL N 2 2021-06-01 Fixed 4.125 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BQ13RXII5 113922.800000 PA 18012.940000 0.0032711 Long DBT CORP DK N 2 2036-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BW0DGYII1 1254408.540000 PA 196128.410000 0.0356159 Long DBT CORP DK N 2 2037-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI0XJPZ3 1400000.000000 PA 1582428.460000 0.2873608 Long DBT CORP DK N 2 2022-10-01 Floating 0.087 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 8836.500000 PA 1401.920000 0.0002546 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 35337183.070000 PA 5259952.350000 0.9551800 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI19Y843 20705562.530000 PA 3173344.030000 0.5762628 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BDDX39II4 19545389.220000 PA 3012480.080000 0.5470507 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI0X8XB1 1559796.190000 PA 242841.390000 0.0440987 Long DBT CORP DK N 2 2050-10-01 Fixed 2 N N N N N N OCTAGON INVESTMENT PARTNERS XIX LTD 2014-1A N/A 67590LAN8 12141.740000 PA USD 12143.550000 0.0022052 Long ABS-CBDO CORP KY N 2 2026-04-15 Floating 2.31888 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAA2 410510.440000 PA USD 293952.160000 0.0533802 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.30825 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 686330AK7 200000.000000 PA USD 216010.820000 0.0392264 Long DBT CORP JP N 2 2024-12-04 Fixed 3.25 N N N N N N OVERSEA-CHINESE BANKING CORP 5493007O3QFXCPOGWK22 ACI12PFS8 700000.000000 PA USD 700508.470000 0.1272087 Long DBT CORP SG N 2 2021-05-17 Floating 0.83563 N N N N N N PARAGON MORTGAGES PLC 13X N/A 991RESII8 660341.630000 PA 781555.240000 0.1419264 Long ABS-MBS CORP GB N 2 2039-01-15 Floating 0.90775 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AZ7 1400000.000000 PA USD 1519406.640000 0.2759163 Long DBT CORP US N 2 2025-03-10 Fixed 3.95 N N N N N N PENTA CLO 2 BV 2015-2A N/A ACI0W8H61 452478.600000 PA 505799.310000 0.0918505 Long ABS-CBDO CORP NL N 2 2028-08-04 Floating 0.79 N N N N N N PEPPER RESIDENTIAL SECURITIES TRUST NO. 25A N/A 71336JAA2 829993.250000 PA USD 827744.380000 0.1503141 Long ABS-MBS CORP AU N 2 2061-03-12 Floating 1.1205 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DB5 1100000.000000 PA 312114.820000 0.0566784 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 200000.000000 PA 65231.340000 0.0118457 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BV3 9400000.000000 PA 3142922.170000 0.5707383 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AE9 600000.000000 PA 195694.040000 0.0355370 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAR0 102000.000000 PA USD 107203.530000 0.0194676 Long DBT CORP NL N 2 2022-01-17 Fixed 6.125 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 1878000.000000 PA USD 1874244.000000 0.3403530 Long DBT CORP NL N 2 2030-01-15 Fixed 5.093 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AP4 300000.000000 PA USD 334035.340000 0.0606591 Long DBT CORP MY N 2 2030-04-21 Fixed 3.5 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AR0 200000.000000 PA USD 254605.730000 0.0462351 Long DBT CORP MY N 2 2050-04-21 Fixed 4.55 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AS8 200000.000000 PA USD 275719.830000 0.0500693 Long DBT CORP MY N 2 2060-04-21 Fixed 4.8 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI0QJL02 6600000.000000 PA 1734829.940000 0.3150361 Long DBT NUSS PL N 2 2022-04-25 Fixed 2.25 N N N N N N PREFERRED TERM SECS XVII LTD N/A 74042EAA2 793604.040000 PA USD 710315.300000 0.1289896 Long DBT CORP KY N 2 2035-06-23 Floating 0.699 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 683234NM6 100000.000000 PA 109735.910000 0.0199275 Long DBT NUSS CA N 2 2031-06-02 Fixed 6.2 N N N N N N PROVINCE OF ONTARIO CANADA C7PVKCRGLG18EBQGZV36 68323AEE0 3500000.000000 PA 2838602.500000 0.5154754 Long DBT NUSS CA N 2 2027-06-02 Fixed 2.6 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74814ZEP4 1100000.000000 PA 871952.590000 0.1583421 Long DBT NUSS CA N 2 2023-09-01 Fixed 3 N N N N N N PSA TREASURY PTE LTD 254900X7FR3V7789SL36 ACI0LV3H3 400000.000000 PA USD 427991.510000 0.0777210 Long DBT CORP SG N 2 2026-04-12 Fixed 2.5 N N N N N N PUBLIC SERVICE COMPANY OF OKLAHOMA F3TJNSIZRGXRH8GEIK79 744533BL3 200000.000000 PA USD 204569.090000 0.0371487 Long DBT CORP US N 2 2021-02-01 Fixed 4.4 N N N N N N PUBLIC SERVICE ENTERPRISE GROUP INC (AKA: PSEG INC) PUSS41EMO3E6XXNV3U28 744573AK2 400000.000000 PA USD 406661.310000 0.0738476 Long DBT CORP US N 2 2021-11-15 Fixed 2 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 74727PBD2 400000.000000 PA USD 456470.800000 0.0828927 Long DBT NUSS QA N 2 2030-04-16 Fixed 3.75 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 74727PBE0 400000.000000 PA USD 496072.400000 0.0900842 Long DBT NUSS QA N 2 2050-04-16 Fixed 4.4 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CQH2 400000.000000 PA USD 429157.200000 0.0779327 Long DBT NUSS QA N 2 2024-03-14 Fixed 3.375 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPF7 2200000.000000 PA USD 2535805.800000 0.4604891 Long DBT NUSS QA N 2 2029-03-14 Fixed 4 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPD2 200000.000000 PA USD 263723.000000 0.0478907 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.817 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 3800000.000000 PA USD 4084582.000000 0.7417388 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 M8489SAH0 1800000.000000 PA USD 2126016.000000 0.3860734 Long DBT NUSS QA N 2 2028-04-23 Fixed 4.5 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 BD93CFII1 4500000.000000 PA USD 4525785.000000 0.8218590 Long DBT CORP KY N 2 2021-05-31 Floating 1.7125 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI1BFTD8 1000000.000000 PA USD 990391.620000 0.1798500 Long DBT CORP KY N 2 2022-05-02 Floating 1.55613 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI0Y7JW2 2300000.000000 PA 1910116.650000 0.3468672 Long DBT CORP AU N 2 2030-08-21 Fixed 3.5 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI1G3SL3 1300000.000000 PA 919896.330000 0.1670484 Long DBT CORP AU N 2 2031-08-21 Fixed 1.75 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCE7 600000.000000 PA USD 630027.030000 0.1144096 Long DBT CORP US N 2 2021-12-15 Fixed 5 N N N N N N RAC BOND CO PLC 2138008FCM2SUNLC7B21 BYZ89RII3 300000.000000 PA 371623.740000 0.0674849 Long DBT CORP GB N 2 2046-05-06 Fixed 4.87 N N N N N N RAYTHEON TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 75513EBB6 900000.000000 PA USD 928765.760000 0.1686590 Long DBT CORP US N 2 2022-03-15 Fixed 2.8 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQL2 465215.140000 PA 348541.260000 0.0632933 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.072 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRT4 493188.400000 PA 360020.990000 0.0653779 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.381 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A N/A 75585RRU1 1000000.000000 PA 725500.880000 0.1317472 Long ABS-MBS CORP CA N 2 2055-02-12 Fixed 2.867 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BQ13RFII4 66828.290000 PA 10552.470000 0.0019163 Long DBT CORP DK N 2 2036-04-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 19852.130000 PA 3138.630000 0.0005700 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N RECKITT BENCKISER TREASURY SERVICES PLC 213800LAXWIUOOBZ3908 75625QAC3 600000.000000 PA USD 618368.720000 0.1122925 Long DBT CORP GB N 2 2022-06-24 Fixed 2.375 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAH3 400000.000000 PA USD 441725.600000 0.0802151 Long DBT NUSS AE N 2 2030-04-16 Fixed 3.125 N N N N N N RENAISSANCE HOME EQ LN TRUST 2002-3 N/A 75970NAC1 289127.600000 PA USD 285878.900000 0.0519141 Long ABS-MBS CORP US N 2 2032-12-25 Floating 2.71825 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-3 N/A 75971EAJ5 998577.460000 PA USD 536944.290000 0.0975063 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.731 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAF7 640533.790000 PA USD 305058.250000 0.0553970 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.294 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-2 N/A 75970QAE0 1052816.740000 PA USD 331114.130000 0.0601286 Long ABS-MBS CORP US N 2 2037-06-25 Variable 5.675 Y N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAJ9 300000.000000 PA USD 355725.000000 0.0645978 Long DBT NUSS AE N 2 2050-04-16 Fixed 3.875 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 434267.190000 PA USD 168255.090000 0.0305542 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.3945 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO6 N/A 75114NAA2 267007.680000 PA USD 93761.400000 0.0170266 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.3645 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 259391.050000 PA USD 228700.680000 0.0415309 Long ABS-MBS CORP US N 2 2037-10-25 Variable 2.62356 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAC4 500000.000000 PA USD 517435.000000 0.0939635 Long DBT NUSS AE N 2 2022-10-11 Fixed 2.5 N N N N N N ABU DHABI GOVT 213800FER4348CINTA77 29135LAA8 900000.000000 PA USD 985899.600000 0.1790342 Long DBT NUSS AE N 2 2027-10-11 Fixed 3.125 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QO2 N/A 75116AAA8 27200.410000 PA USD 13324.060000 0.0024196 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.3345 N N N N N N RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7 N/A 76112BR85 903730.910000 PA USD 751577.780000 0.1364826 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.62825 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR36 333584.810000 PA USD 290462.800000 0.0527465 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.6245 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-KS9 N/A 75406YAD9 2009720.500000 PA USD 1736715.850000 0.3153786 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.4345 Y N N N N N RESIDENTIAL MORTGAGE SECURITIES 29 PLC N/A ACI0TDXZ2 772534.600000 PA 957209.290000 0.1738242 Long ABS-MBS CORP GB N 2 2046-12-20 Floating 1.13188 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 31 PLC 31 N/A ACI16FGD8 796869.210000 PA 990879.900000 0.1799386 Long ABS-MBS CORP GB N 2 2065-09-20 Floating 1.38188 N N N N N N RESIMAC BASTILLE TRUST SERIES 2019-1NC N/A 76119UAA9 989356.290000 PA USD 985037.750000 0.1788777 Long ABS-MBS CORP AU N 2 2057-09-05 Floating 1.09375 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 2262740.840000 PA 2794437.010000 0.5074552 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.05613 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 891382.760000 PA 1100838.820000 0.1999066 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 1.05613 N N N N N N RMAC SECURITIES PLC 2006-NS3X N/A B1FJ01II9 405963.890000 PA 474634.040000 0.0861911 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 0.34763 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 900000.000000 PA USD 937773.000000 0.1702947 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 500000.000000 PA USD 502000.000000 0.0911606 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 780099CK1 500000.000000 PA USD 553040.000000 0.1004292 Long DBT CORP GB N 2 2025-08-10 Floating 8 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BQ3 800000.000000 PA USD 812400.000000 0.1475276 Long DBT CORP GB N 2 2025-12-29 Floating 6 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 1300000.000000 PA USD 1414205.090000 0.2568123 Long DBT CORP GB N 2 2025-03-22 Floating 4.269 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BL4 500000.000000 PA USD 580805.250000 0.1054712 Long DBT CORP GB N 2 2030-05-08 Floating 4.445 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 800000.000000 PA USD 800697.270000 0.1454025 Long DBT CORP GB N 2 2024-06-25 Floating 1.84688 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 1200000.000000 PA USD 1304778.800000 0.2369410 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BD2 300000.000000 PA USD 323638.900000 0.0587711 Long DBT CORP GB N 2 2023-09-12 Fixed 3.875 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AW6 600000.000000 PA USD 663786.730000 0.1205402 Long DBT CORP US N 2 2030-05-15 Fixed 4.5 N N N N N N ACE SECURITIES CORP 2006-NC2 N/A 00441XAA2 1286723.380000 PA USD 1002124.100000 0.1819805 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.30825 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAB1 300000.000000 PA USD 316590.000000 0.0574911 Long DBT CORP KY N 2 2023-08-08 Fixed 4.6 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 200000.000000 PA USD 217391.000000 0.0394771 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 500000.000000 PA USD 553670.000000 0.1005436 Long DBT CORP KY N 2 2028-08-08 Fixed 5.4 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 ACI0CTJV0 200000.000000 PA 254046.590000 0.0461335 Long DBT CORP GB N 2 2022-06-24 Floating 7.375 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAE5 400000.000000 PA USD 409509.920000 0.0743649 Long DBT CORP GB N 2 2021-08-05 Fixed 2.875 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAC9 1700000.000000 PA USD 1712015.550000 0.3108931 Long DBT CORP GB N 2 2020-10-16 Fixed 2.875 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 2400000.000000 PA USD 2656178.380000 0.4823482 Long DBT CORP GB N 2 2024-11-15 Floating 4.796 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 ACI1JX7D5 500000.000000 PA 616539.270000 0.1119603 Long DBT CORP GB N 2 2027-02-12 Floating 0.8818 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 48266XAA3 500000.000000 PA USD 515287.000000 0.0935734 Long DBT NUSS KY N 2 2022-04-20 Fixed 2.894 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0Y0CZ7 1000000.000000 PA USD 1045016.000000 0.1897695 Long DBT NUSS SA N 2 2023-03-04 Fixed 2.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAG4 500000.000000 PA USD 550655.000000 0.0999961 Long DBT NUSS SA N 2 2028-03-04 Fixed 3.625 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 1900000.000000 PA USD 2110755.600000 0.3833022 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAT6 400000.000000 PA USD 466064.000000 0.0846348 Long DBT NUSS SA N 2 2029-04-16 Fixed 4.375 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG399 2400000.000000 PA USD 2439211.200000 0.4429481 Long DBT NUSS SA N 2 2021-10-26 Fixed 2.375 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG3C2 400000.000000 PA USD 433002.000000 0.0786309 Long DBT NUSS SA N 2 2026-10-26 Fixed 3.25 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2A2 400000.000000 PA USD 408572.620000 0.0741947 Long DBT CORP SA N 2 2022-04-16 Fixed 2.75 N N N N N N SAXON ASSET SECURITIES TRUST 2007-4 N/A 80557CAB8 367957.080000 PA USD 334713.520000 0.0607822 Long ABS-MBS CORP US N 2 2037-12-25 Floating 1.9345 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAE8 900000.000000 PA USD 917266.500000 0.1665708 Long DBT CORP DE N 2 2027-05-15 Fixed 6 N N Y N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 ACI1C6196 200000.000000 PA 221778.810000 0.0402739 Long DBT CORP DE N 2 2027-05-15 Fixed 3.875 N N Y N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 800000.000000 PA USD 801422.520000 0.1455342 Long DBT CORP US N 2 2021-03-15 Floating 0.76338 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 Y7758EEC1 500000.000000 PA USD 458515.000000 0.0832639 Long DBT CORP IN N 2 2022-10-24 Fixed 5.95 N N N N N N SL GREEN OPERATING PARTNERSHIP LP 2K1OXW4LY7IS2U150Y32 78444FAF3 500000.000000 PA USD 498125.070000 0.0904569 Long DBT CORP US N 2 2022-10-15 Fixed 3.25 N N N N N N SLM STUDENT LOAN TRUST 2003-12X N/A 772149II3 533983.410000 PA 632883.820000 0.1149284 Long DBT CORP US N 2 2038-03-15 Floating 0.74325 N N N N N N SLOVENIA GOVT 485100000LWQHIX4XX88 831594AG1 396000.000000 PA USD 456927.370000 0.0829756 Long DBT NUSS SI N 2 2024-02-18 Fixed 5.25 N N N N N N SLOVENIA GOVT 485100000LWQHIX4XX88 ACI07T7X5 1023000.000000 PA USD 1180395.710000 0.2143537 Long DBT NUSS SI N 2 2024-02-18 Fixed 5.25 N N N N N N SOUNDVIEW HOME EQUITY LN TR 2006-3 N/A 83612HAD0 1400000.000000 PA USD 1244154.800000 0.2259320 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.66825 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1 N/A 83612TAC6 80308.050000 PA USD 60475.050000 0.0109820 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.31825 N N N N N N SOUTH AFRICA GOVT N/A 836205BA1 500000.000000 PA USD 475185.000000 0.0862911 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85 N N N N N N SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY 254900TDPILDN6AUAD69 ACI18FDS6 500000.000000 PA 387818.530000 0.0704258 Long DBT MUN AU N 2 2030-05-24 Fixed 2.75 N N N N N N SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY 254900TDPILDN6AUAD69 BLLCYZII1 800000.000000 PA 558089.980000 0.1013462 Long DBT MUN AU N 2 2032-05-24 Fixed 1.75 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 B2QK2VII4 1350000000.000000 PA 1486473.860000 0.2699359 Long DBT NUSS KR N 2 2028-03-10 Fixed 5.5 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BD6K2YII6 1225000000.000000 PA 1080523.390000 0.1962174 Long DBT NUSS KR N 2 2027-06-10 Fixed 2.125 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI12HKN1 2450000000.000000 PA 2245417.230000 0.4077561 Long DBT NUSS KR N 2 2028-06-10 Fixed 2.625 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 ACI0Z91H9 1350000000.000000 PA 1212392.640000 0.2201642 Long DBT NUSS KR N 2 2027-12-10 Fixed 2.375 N N N N N N SOUTH KOREA GOVT 549300O0QCVSQGPGDT58 BGGL77II0 5820000000.000000 PA 5243110.530000 0.9521216 Long DBT NUSS KR N 2 2028-12-10 Fixed 2.375 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CS4 500000.000000 PA USD 508590.500000 0.0923574 Long DBT CORP US N 2 2021-07-01 Fixed 2.35 N N N N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 843646AV2 600000.000000 PA USD 600041.170000 0.1089644 Long DBT CORP US N 2 2020-12-20 Floating 0.85638 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI17SZK2 2200000.000000 PA 2716689.820000 0.4933367 Long DBT NUSS ES N 2 2029-04-30 Fixed 1.45 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1B8TR3 2200000.000000 PA 2519227.590000 0.4574786 Long DBT NUSS ES N 2 2024-07-30 Fixed 0.25 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BD35VZII7 5200000.000000 PA 6392543.990000 1.1608527 Long DBT NUSS ES N 2 2028-07-30 Fixed 1.4 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BMWWMLII7 5400000.000000 PA 6547679.940000 1.1890246 Long DBT NUSS ES N 2 2030-10-31 Fixed 1.25 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI0L6D04 1600000.000000 PA 2493728.770000 0.4528482 Long DBT NUSS ES N 2 2046-10-31 Fixed 2.9 N N N N N N SPAIN GOVT 9598007A56S18711AH60 BFX170II2 400000.000000 PA 607927.670000 0.1103965 Long DBT NUSS ES N 2 2048-10-31 Fixed 2.7 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAJ9 600000.000000 PA USD 510000.000000 0.0926133 Long DBT CORP US N 2 2023-06-15 Fixed 3.95 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAQ4 800000.000000 PA USD 803504.600000 0.1459123 Long DBT CORP IE N 2 2020-10-30 Fixed 4.625 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAA8 187500.000000 PA USD 190077.190000 0.0345170 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 300000.000000 PA USD 325843.500000 0.0591715 Long DBT CORP US N 2 2029-09-20 Fixed 4.738 N N N N N N STADSHYPOTEK AB 549300UOX05QGUJJ5707 85235XAF2 300000.000000 PA USD 310744.770000 0.0564296 Long DBT CORP SE N 2 2022-04-05 Fixed 2.5 N N N N N N STATE BANK OF INDIA/LONDON BRANCH 5493001JZ37UBBZF6L49 85628UAH9 200000.000000 PA USD 205040.510000 0.0372343 Long DBT CORP IN N 2 2022-01-24 Fixed 4 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 2488.610000 PA USD 2410.580000 0.0004377 Long ABS-MBS CORP US N 2 2034-04-25 Floating 3.83216 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 974.630000 PA USD 940.190000 0.0001707 Long ABS-MBS CORP US N 2 2032-09-19 Floating 0.85388 N N N N N N STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1 N/A 86358EA97 1136307.620000 PA USD 1008189.050000 0.1830819 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.78825 N N N N N N STRUCTURED ASSET INVST LN TR 2006-4 N/A 86360WAB8 447560.310000 PA USD 345123.470000 0.0626726 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.29825 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 2512.420000 PA USD 2438.940000 0.0004429 Long ABS-MBS CORP US N 2 2034-03-19 Floating 0.89388 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 1229.320000 PA USD 1191.120000 0.0002163 Long ABS-MBS CORP US N 2 2034-07-19 Floating 0.77388 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR2 N/A 86359LJA8 14374.890000 PA USD 13553.460000 0.0024612 Long ABS-MBS CORP US N 2 2045-05-25 Floating 0.6445 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 67317.390000 PA USD 63316.600000 0.0114980 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.4045 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR4 N/A 86364MAC4 85967.860000 PA USD 73480.280000 0.0133436 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.4045 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 8714.310000 PA USD 7804.320000 0.0014172 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3945 N N N N N N STRUCTURED ASSET MTGE INVEST 2007-AR6 N/A 86364RAA7 28845.570000 PA USD 26419.210000 0.0047976 Long ABS-MBS CORP US N 2 2047-08-25 Floating 3.00382 Y N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 226144.740000 PA USD 200618.090000 0.0364312 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.4645 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 462644.350000 PA USD 392739.020000 0.0713194 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.4745 N N N N N N SUMITG GUARANTEED SECURED OBLIGATION ISSUER DESIGNATED ACTIVITY COMPANY 635400U2UQM3MX4UHZ18 ACI0HRS72 400000.000000 PA USD 401616.340000 0.0729314 Long DBT CORP IE N 2 2020-11-02 Fixed 2.251 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MAD2 600000.000000 PA USD 606013.650000 0.1100489 Long DBT CORP JP N 2 2021-03-09 Floating 1.99288 N N N N N N AIB GROUP PLC (AKA: ALLIED IRISH BANKS) 635400AKJBGNS5WNQL34 00135TAA2 200000.000000 PA USD 215861.830000 0.0391994 Long DBT CORP IE N 2 2023-10-12 Fixed 4.75 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MCB4 1200000.000000 PA USD 1205239.780000 0.2188653 Long DBT CORP JP N 2 2030-07-08 Fixed 2.13 N N N N N N SUNAC CHINA HOLDINGS LIMITED 549300OLARYHDXP3WK18 ACI18F1D2 200000.000000 PA USD 205871.150000 0.0373851 Long DBT CORP KY N 2 2022-02-15 Fixed 7.875 N N N N N N AIG GLOBAL FUNDING 54930057MDZ7KOVOTV71 00138CAK4 900000.000000 PA USD 927498.660000 0.1684289 Long DBT CORP US N 2 2022-07-01 Fixed 2.3 N N N N N N SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED 549300MJAANHLHOVTO40 87124VAD1 300000.000000 PA USD 312649.420000 0.0567755 Long DBT CORP AU N 2 2023-03-22 Fixed 3.9 N N N N N N SYMPHONY CLO XIV LTD 2014-14A N/A 87159QBV9 1207193.010000 PA USD 1195735.730000 0.2171394 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 2.26138 N N N N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 92320.000000 PA USD 84040.700000 0.0152614 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060AX4 400000.000000 PA USD 396785.190000 0.0720541 Long DBT CORP JP N 2 2030-03-31 Fixed 2.05 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 ACI16G2T6 500000.000000 PA 572012.390000 0.1038745 Long DBT CORP JP N 2 2022-11-21 Fixed 1.125 N N N N N N TBW MTGE BACKED PASS THRU CERT 2006-4 N/A 872224AG5 189270.430000 PA USD 10442.670000 0.0018963 Long ABS-MBS CORP US N 2 2036-09-25 Variable 5.97 Y N N N N N TENCENT HOLDINGS LIMITED 254900N4SLUMW4XUYY11 88032XAG9 200000.000000 PA USD 218427.720000 0.0396653 Long DBT CORP KY N 2 2028-01-19 Fixed 3.595 N N N N N N TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE N/A 881561CE2 23086.300000 PA USD 21622.550000 0.0039265 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.10825 N N N N N N TESCO PLC 2138002P5RNKC5W2JZ46 G87623HR1 50000.000000 PA 67010.870000 0.0121688 Long DBT CORP GB N 2 2022-02-24 Fixed 6.125 N N N N N N TESCO PROPERTY FINANCE 5 PLC 213800BN1HYPUZMXAF92 ACI01EQ39 97999.030000 PA 164025.810000 0.0297862 Long DBT CORP GB N 2 2041-10-13 Fixed 5.6611 N N N N N N TESCO PROPERTY FINANCE 6 PLC 213800FORYFOB97FHO66 B9JST3II3 189630.250000 PA 311390.060000 0.0565468 Long DBT CORP GB N 2 2044-07-13 Fixed 5.4111 N N N N N N TEXTRON INC 3PPKBHUG1HD6BO7RNR87 883203BZ3 700000.000000 PA USD 697922.090000 0.1267390 Long DBT CORP US N 2 2020-11-10 Floating 0.99763 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 8186.090000 PA USD 7636.780000 0.0013868 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.93488 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAE1 15594.070000 PA USD 13229.840000 0.0024025 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.93488 Y N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAG6 2588.320000 PA USD 2394.100000 0.0004348 Long ABS-MBS CORP US N 2 2047-06-25 Floating 1.93488 Y N N N N N TORO EUROPEAN CLO 2 DAC 2A N/A ACI157J36 1300000.000000 PA 1443012.070000 0.2620435 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 0.9 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 2167083.000000 PA 2678352.850000 0.4863749 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 1.3921 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 1348949.540000 PA 1671812.920000 0.3035925 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.67675 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 4964250.240000 PA USD 5234385.380000 0.9505372 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 928067.860000 PA USD 924977.950000 0.1679712 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.1845 N N N N N N TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A N/A 89231XAA9 1400000.000000 PA USD 1492141.700000 0.2709652 Long ABS-O CORP US N 2 2031-11-25 Fixed 2.56 N N N N N N TRALEE CLO V LTD 2018-5A N/A 89300JAA6 1300000.000000 PA USD 1281194.380000 0.2326582 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 2.24525 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 BJ1DHKII8 200000.000000 PA 153722.680000 0.0279152 Long DBT MUN AU N 2 2029-10-22 Fixed 2.5 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI1K5116 1400000.000000 PA 980108.170000 0.1779825 Long DBT MUN AU N 2 2030-11-20 Fixed 1.5 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI06FV19 1200000.000000 PA 1084849.380000 0.1970030 Long DBT MUN AU N 2 2032-12-20 Fixed 4.25 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 BMJ6SQII2 400000.000000 PA USD 435354.800000 0.0790582 Long DBT CORP CH N 2 2024-05-15 Fixed 5.125 N N N N N N UMBS PASS THRU POOLS N/A 01F032476 -400000.000000 PA USD -420265.630000 -0.0763181 Short ABS-MBS USGSE US N 2 2035-07-16 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F020687 1900000.000000 PA USD 1939355.950000 0.3521770 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F020695 8400000.000000 PA USD 8553996.280000 1.5533612 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 57400000.000000 PA USD 59710057.830000 10.8430359 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022691 11600000.000000 PA USD 12041036.520000 2.1865896 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030686 -12800000.000000 PA USD -13459056.770000 -2.4440947 Short ABS-MBS USGSE US N 2 2050-08-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F030694 -19500000.000000 PA USD -20467991.510000 -3.7168808 Short ABS-MBS USGSE US N 2 2050-09-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 46200000.000000 PA USD 48593524.060000 8.8243312 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 21000000.000000 PA USD 22252617.030000 4.0409595 Long ABS-MBS USGSE US N 2 2050-07-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 70333000.000000 PA USD 74566717.440000 13.5409280 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 ACI19LDR4 200000.000000 PA 235766.380000 0.0428139 Long DBT CORP IT N 2 2026-06-03 Floating 7.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 1200000.000000 PA USD 1389312.880000 0.2522920 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BMBL1FII0 700000.000000 PA 865769.540000 0.1572192 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.625 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI14WP35 2600000.000000 PA 4161404.290000 0.7556894 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B84Z9VII5 900000.000000 PA 1751714.320000 0.3181022 Long DBT NUSS GB N 2 2044-01-22 Fixed 3.25 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B64605II9 1200000.000000 PA 2535928.850000 0.4605115 Long DBT NUSS GB N 2 2040-12-07 Fixed 4.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XG9 521000.000000 PA USD 520898.950000 0.0945925 Long DBT UST US N 2 2020-08-27 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962G3 351000.000000 PA USD 350901.130000 0.0637218 Long DBT UST US N 2 2020-09-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TJ8 268000.000000 PA USD 267935.250000 0.0486556 Long DBT UST US N 2 2020-09-10 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796XH7 221000.000000 PA USD 220949.420000 0.0401233 Long DBT UST US N 2 2020-09-03 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 113304.000000 PA USD 114954.160000 0.0208751 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 215854.000000 PA USD 234026.410000 0.0424980 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FS2 129207.000000 PA USD 150349.000000 0.0273026 Long DBT UST US N 2 2026-01-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 9252885.000000 PA USD 10143848.720000 1.8420702 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 2319878.000000 PA USD 2356190.610000 0.4278720 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 619458.000000 PA USD 644816.460000 0.1170953 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 779980.000000 PA USD 1103404.170000 0.2003725 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 9029690.000000 PA USD 9657042.790000 1.7536687 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284M9 10600000.000000 PA USD 11921066.450000 2.1648037 Long DBT UST US N 2 2025-04-30 Fixed 2.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YB0 3300000.000000 PA USD 3600867.200000 0.6538988 Long DBT UST US N 2 2029-08-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828M56 100000.000000 PA USD 110201.170000 0.0200120 Long DBT UST US N 2 2025-11-15 Fixed 2.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YS3 3300000.000000 PA USD 3643664.050000 0.6616704 Long DBT UST US N 2 2029-11-15 Fixed 1.75 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 297693.620000 PA USD 292499.940000 0.0531165 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.09888 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEP5 700000.000000 PA USD 709009.150000 0.1287524 Long DBT CORP US N 2 2025-05-15 Floating 1.49238 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VER1 1012000.000000 PA USD 1219133.520000 0.2213883 Long DBT CORP US N 2 2028-09-21 Fixed 4.329 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 931FXZII0 500000.000000 PA 646448.060000 0.1173916 Long DBT CORP GB N 2 2027-04-15 Fixed 5 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBN9 500000.000000 PA USD 497932.560000 0.0904220 Long DBT CORP GB N 2 2024-01-16 Floating 2.16613 N N N N N N VOLKSWAGEN BANK GMBH 529900GJD3OQLRZCKW37 ACI17VW51 400000.000000 PA 451442.250000 0.0819796 Long DBT CORP DE N 2 2022-08-01 Fixed 1.25 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BF8 400000.000000 PA USD 443270.720000 0.0804957 Long DBT CORP US N 2 2030-05-13 Fixed 3.75 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 9.590000 PA USD 12.870000 0.0000023 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AN2 200000.000000 PA USD 201908.360000 0.0366655 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 928668AV4 300000.000000 PA USD 300193.980000 0.0545137 Long DBT CORP US N 2 2020-11-13 Floating 1.2035 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AP7 300000.000000 PA USD 312454.790000 0.0567402 Long DBT CORP US N 2 2021-11-12 Fixed 4 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AQ5 300000.000000 PA USD 299141.870000 0.0543226 Long DBT CORP US N 2 2021-11-12 Floating 1.37463 N N N N N N VOLKSWAGEN LEASING GESELLSCHAFT MIT BESCHRAENKTER HAFTUNG 5299004GLEUX88BSNB74 ACI14DR84 1000000.000000 PA 1122591.780000 0.2038568 Long DBT CORP DE N 2 2021-02-16 Fixed 0.25 N N N N N N VONOVIA FINANCE BV 5299009XLZLD9TALOZ03 25155FAB2 100000.000000 PA USD 108068.950000 0.0196248 Long DBT CORP NL N 2 2023-10-02 Fixed 5 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 37.980000 PA USD 37.620000 0.0000068 Long DBT CORP KY N 2 2023-02-12 Floating 6 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-B N/A 92977YBW0 50595.570000 PA USD 48172.880000 0.0087479 Long ABS-MBS CORP US N 2 2035-10-20 Floating 4.21907 Y N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FV3 300000.000000 PA USD 309060.970000 0.0561239 Long DBT CORP US N 2 2026-01-13 Fixed 1.75 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FW1 200000.000000 PA USD 209098.660000 0.0379712 Long DBT CORP US N 2 2028-01-13 Fixed 2.2 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FX9 200000.000000 PA USD 212439.640000 0.0385779 Long DBT CORP US N 2 2031-01-13 Fixed 2.65 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FZ4 200000.000000 PA USD 223444.300000 0.0405763 Long DBT CORP US N 2 2051-01-13 Fixed 3.6 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FY7 100000.000000 PA USD 109354.710000 0.0198582 Long DBT CORP US N 2 2040-05-13 Fixed 3.5 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 2895.660000 PA USD 2779.300000 0.0005047 Long ABS-MBS CORP US N 2 2034-02-27 Floating 1.99 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PB3 6240.720000 PA USD 6030.210000 0.0010951 Long ABS-MBS CORP US N 2 2033-03-25 Floating 3.52811 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 62584.180000 PA USD 59427.050000 0.0107916 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.4945 N N N N N N WASHINGTON MUTUAL 2005-AR3 N/A 939336Z48 27896.500000 PA USD 27408.750000 0.0049773 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.61751 N N N N N N WASHINGTON MUTUAL 2005-AR4 N/A 92922FG77 22154.400000 PA USD 21535.180000 0.0039107 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.57133 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAC7 145578.690000 PA USD 132534.340000 0.0240675 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.33236 Y N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 67234.320000 PA USD 64163.530000 0.0116518 Long ABS-MBS CORP US N 2 2046-02-25 Floating 2.50382 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 28334.690000 PA USD 26714.360000 0.0048512 Long ABS-MBS CORP US N 2 2046-06-25 Floating 2.48382 N N N N N N AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST N/A 023771R91 254045.950000 PA USD 233772.500000 0.0424519 Long DBT CORP US N 2 2030-04-15 Fixed 3 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 N/A 93935AAC6 20911.490000 PA USD 14128.530000 0.0025657 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.44382 Y N N N N N WESTERN AUSTRALIA TREASURY CORP 213800FKHP5ME5Y3CF47 ACI18LWW3 200000.000000 PA 155898.240000 0.0283103 Long DBT MUN AU N 2 2029-07-24 Fixed 2.75 N N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 124110.050000 PA USD 123361.720000 0.0224018 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 2.06488 N N N N N N WIND RIVER CLO LTD 2012-1A N/A 87244ABL3 333137.190000 PA USD 331827.440000 0.0602581 Long ABS-CBDO CORP KY N 2 2026-01-15 Floating 2.09888 N N N N N N WRKCO INC 549300JEB576INN13W07 96145DAF2 300000.000000 PA USD 332939.630000 0.0604601 Long DBT CORP US N 2 2025-03-15 Fixed 3.75 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 3810000.000000 PA 39243.880000 0.0071265 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N ZAIS CLO 1 LTD 2014-1A N/A 98886MBA1 1383122.540000 PA USD 1369823.840000 0.2487529 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 2.36888 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAL6 2100000.000000 PA USD 2180855.460000 0.3960320 Long DBT CORP US N 2 2022-04-01 Fixed 3.15 N N N N N N N/A N/A 000000000 5529000.000000 PA USD 5529000.000000 1.0040376 Long RA US N 2 Repurchase N 0.0000001 2020-07-01 5452500.000000 USD 5639624.460000 USD UST N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEQ2 10300.790000 PA USD 10221.520000 0.0018562 Long ABS-MBS CORP US N 2 2045-09-25 Floating 2.015 N N N N N N N/A N/A 000000000 -2314961.750000 PA -2599848.120000 -0.4721189 Short RA LU N 2 Reverse repurchase N -0.4000000 2020-08-20 2200000.000000 EUR 2327847.870000 EUR N N N N/A N/A 000000000 -10665231.590000 PA -11977611.660000 -2.1750720 Short RA LU N 2 Reverse repurchase N -0.4100000 2020-08-20 7800000.000000 EUR 11039475.710000 EUR N N N N/A N/A 000000000 -8035669.680000 PA -9024739.450000 -1.6388457 Short RA LU N 2 Reverse repurchase N -0.3800000 2020-08-20 7400000.000000 EUR 8107910.400000 EUR N N N N/A N/A 000000000 -3274076.690000 PA -3675467.130000 -0.6674457 Short RA LU N 2 Reverse repurchase N -0.3000000 2020-08-20 3100000.000000 EUR 3324468.830000 EUR N N N N/A N/A 000000000 -2537056.000000 PA -2848208.000000 -0.5172198 Short RA LU N 2 Reverse repurchase N -0.3000000 2020-08-20 2500000.000000 EUR 2622864.850000 EUR N N N N/A N/A 000000000 -3185622.060000 PA -3948195.850000 -0.7169718 Short RA GB N 2 Reverse repurchase N 0.2400000 2020-08-12 1900000.000000 GBP 3146131.500000 GBP N N N N/A N/A 000000000 -12125100.000000 PA USD -12126379.880000 -2.2020875 Short RA US N 2 Reverse repurchase N 0.2000000 2020-07-13 10979000.000000 USD 12072178.210000 USD UST N N N N/A N/A 000000000 -2765625.000000 PA USD -2765638.830000 -0.5022256 Short RA US N 2 Reverse repurchase N 0.1800000 2020-07-01 2500000.000000 USD 2760644.520000 USD UST N N N N/A N/A 000000000 -2384662.500000 PA USD -2385027.480000 -0.4331086 Short RA US N 2 Reverse repurchase N 0.1900000 2020-07-02 2115000.000000 USD 2378672.760000 USD UST N N N N/A N/A 000000000 -12638475.000000 PA USD -12645131.270000 -2.2962901 Short RA US N 2 Reverse repurchase N 0.2400000 2020-07-13 11770738.320000 USD 12914266.700000 USD UST N N N N/A N/A 000000000 -7.000000 NC -11411.080000 -0.0020722 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2020-09-15 -718752.150000 AUD -11411.080000 N N N N/A N/A 000000000 242.000000 NC 7804.110000 0.0014172 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Long N/A AUSTRALIA GOVT 2020-09-15 19549479.670000 AUD 7804.110000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAV2 800000.000000 PA USD 870291.660000 0.1580404 Long DBT CORP US N 2 2025-01-15 Fixed 2.95 N N N N N N N/A N/A 000000000 1.000000 NC -196597.290000 -0.0357010 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 18868971.620000 JPY 2016149618.000000 JPY 2020-07-02 -196597.290000 N N N N/A N/A 000000000 1.000000 NC 8141.730000 0.0014785 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 90406.970000 RUB 7026972.000000 RUB 2020-07-17 8141.730000 N N N N/A N/A 000000000 1.000000 NC -2967.160000 -0.0005388 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 98640.800000 RUB 6844833.000000 RUB 2020-08-14 -2967.160000 N N N N/A N/A 000000000 1.000000 NC 24876.220000 0.0045174 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 265549.620000 ZAR 5043000.000000 ZAR 2020-07-08 24876.220000 N N N N/A N/A 000000000 1.000000 NC -408245.390000 -0.0741352 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 315812513.960000 CNY 44080188.980000 USD 2020-09-16 -408245.390000 N N N N/A N/A 000000000 1.000000 NC 46.550000 0.0000085 N/A DFE ID N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 43524000.000000 IDR 3000.000000 USD 2020-09-16 46.550000 N N N N/A N/A 000000000 1.000000 NC 1016.650000 0.0001846 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 435941.770000 ILS 127118.000000 USD 2020-09-15 1016.650000 N N N N/A N/A 000000000 1.000000 NC 802.490000 0.0001457 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 519586.310000 ILS 151099.020000 USD 2020-09-15 802.490000 N N N N/A N/A 000000000 1.000000 NC 196894.240000 0.0357550 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2016149618.000000 JPY 18876921.660000 USD 2020-08-04 196894.240000 N N N N/A N/A 000000000 1.000000 NC 17243.720000 0.0031314 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 41767096.500000 RUB 603000.000000 USD 2020-07-17 17243.720000 N N N N/A N/A 000000000 1.000000 NC 48072.670000 0.0087297 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 126916943.200000 RUB 1828000.000000 USD 2020-07-17 48072.670000 N N N N/A N/A 000000000 1.000000 NC 123754.360000 0.0224731 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 12400000.000000 ZAR 836768.640000 USD 2020-07-22 123754.360000 N N N N/A N/A 000000000 1.000000 NC -659.810000 -0.0001198 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 564450.570000 GBP 455000.000000 GBP 2020-07-02 -659.810000 N N N N/A N/A 000000000 1.000000 NC 43374.710000 0.0078766 N/A DFE HK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3765000.000000 HKD 29526824.250000 HKD 2020-09-03 43374.710000 N N N N/A N/A 000000000 1.000000 NC -33549.880000 -0.0060925 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1154951.230000 MXN 26289000.000000 MXN 2020-12-09 -33549.880000 N N N N/A N/A 000000000 1.000000 NC -841754.240000 -0.1528582 N/A DFE DK N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 174035858.990000 DKK 25398103.880000 USD 2020-07-01 -841754.240000 N N N N/A N/A 000000000 1.000000 NC 35195.190000 0.0063913 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 26289000.000000 MXN 1178244.890000 USD 2020-07-07 35195.190000 N N N N/A N/A 000000000 1.000000 NC -1052.420000 -0.0001911 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BASF SE BASF SE SR UNSEC EMTN Y Single Leg Swap 2020-12-21 0.000000 EUR -5907.440000 EUR 200000.000000 EUR 4855.020000 N N N N/A N/A 000000000 1.000000 NC USD 15277.720000 0.0027744 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BERKSHIRE HATHAWAY INC BERKSHIRE HATHAWAY INC SR UNSEC Y Single Leg Swap 2022-12-21 13494.760000 USD 0.000000 USD 700000.000000 USD 1782.960000 N N N N/A N/A 000000000 1.000000 NC 1898.900000 0.0003448 N/A DFE AU N 2 BNP Paribas S.A. N/A 968381.940000 AUD 1406000.000000 AUD 2020-07-02 1898.900000 N N N N/A N/A 000000000 1.000000 NC -4051.680000 -0.0007358 N/A DFE CA N 2 BNP Paribas S.A. N/A 581541.370000 CAD 784000.000000 CAD 2020-07-02 -4051.680000 N N N N/A N/A 000000000 1.000000 NC 10212.480000 0.0018545 N/A DFE N/A N 2 BNP Paribas S.A. N/A 4161341.410000 EUR 3713000.000000 EUR 2020-07-02 10212.480000 N N N N/A N/A 000000000 1.000000 NC -2847.590000 -0.0005171 N/A DFE N/A N 2 BNP Paribas S.A. N/A 332032.960000 EUR 293000.000000 EUR 2020-07-02 -2847.590000 N N N N/A N/A 000000000 1.000000 NC -29736.450000 -0.0054000 N/A DFE N/A N 2 BNP Paribas S.A. N/A 5137165.480000 EUR 4546000.000000 EUR 2020-07-02 -29736.450000 N N N N/A N/A 000000000 1.000000 NC -13129.980000 -0.0023843 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1263585.000000 EUR 1113000.000000 EUR 2020-07-02 -13129.980000 N N N N/A N/A 000000000 1.000000 NC -4540.960000 -0.0008246 N/A DFE N/A N 2 BNP Paribas S.A. N/A 568537.740000 EUR 502000.000000 EUR 2020-07-02 -4540.960000 N N N N/A N/A 000000000 1.000000 NC 783.680000 0.0001423 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1024971.420000 EUR 913000.000000 EUR 2020-07-02 783.680000 N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAE0 500000.000000 PA USD 517509.000000 0.0939769 Long DBT CORP US N 2 2021-09-15 Fixed 3.45 N N N N N N N/A N/A 000000000 1.000000 NC -18494.280000 -0.0033585 N/A DFE RU N 2 BNP Paribas S.A. N/A 611777.810000 RUB 42303824.000000 RUB 2020-07-17 -18494.280000 N N N N/A N/A 000000000 1.000000 NC -909.160000 -0.0001651 N/A DFE RU N 2 BNP Paribas S.A. N/A 86506.310000 RUB 6103467.330000 RUB 2020-07-17 -909.160000 N N N N/A N/A 000000000 1.000000 NC -2101.540000 -0.0003816 N/A DFE RU N 2 BNP Paribas S.A. N/A 105787.500000 RUB 7418063.000000 RUB 2020-08-14 -2101.540000 N N N N/A N/A 000000000 1.000000 NC 55517.760000 0.0100817 N/A DFE ZA N 2 BNP Paribas S.A. N/A 657496.520000 ZAR 12400000.000000 ZAR 2020-07-22 55517.760000 N N N N/A N/A 000000000 1.000000 NC -59524.810000 -0.0108094 N/A DFE CN N 2 BNP Paribas S.A. N/A 30513399.580000 CNY 4238890.590000 USD 2020-09-16 -59524.810000 N N N N/A N/A 000000000 1.000000 NC -10456.410000 -0.0018988 N/A DFE DK N 2 BNP Paribas S.A. N/A 1960000.000000 DKK 285058.100000 USD 2020-07-01 -10456.410000 N N N N/A N/A 000000000 1.000000 NC 128221.990000 0.0232844 N/A DFE GB N 2 BNP Paribas S.A. N/A 3433000.000000 GBP 4382054.220000 USD 2020-07-02 128221.990000 N N N N/A N/A 000000000 1.000000 NC -4603.890000 -0.0008360 N/A DFE HK N 2 BNP Paribas S.A. N/A 2687265.000000 HKD 342000.000000 USD 2020-09-03 -4603.890000 N N N N/A N/A 000000000 1.000000 NC 9557.750000 0.0017356 N/A DFE ID N 2 BNP Paribas S.A. N/A 8819040000.000000 IDR 608000.000000 USD 2020-09-16 9557.750000 N N N N/A N/A 000000000 1.000000 NC 4921.160000 0.0008937 N/A DFE MY N 2 BNP Paribas S.A. N/A 12225248.910000 MYR 2847385.330000 USD 2020-09-24 4921.160000 N N N N/A N/A 000000000 -80.000000 NC -15384.500000 -0.0027937 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Short N/A CANADA GOVT 2020-09-21 -9064231.000000 CAD -15384.500000 N N N N/A N/A 000000000 -400000.000000 NC USD -740.200000 -0.0001344 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY34 (V5 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 104.000000 USD 2020-08-19 XXXX 987.800000 N N N N/A N/A 000000000 -400000.000000 NC USD -4215.880000 -0.0007656 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 HY34 (V5 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 92.000000 USD 2020-08-19 XXXX -1220.680000 N N N N/A N/A 000000000 -400000.000000 NC USD -585.960000 -0.0001064 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 HY34 (V5 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 105.000000 USD 2020-08-19 XXXX 1142.040000 N N N N/A N/A 000000000 -400000.000000 NC USD -4832.780000 -0.0008776 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 HY34 (V5 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 93.000000 USD 2020-08-19 XXXX -800.780000 N N N N/A N/A 000000000 1.000000 NC USD 375939.200000 0.0682686 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.33 Y Single Leg Swap 2029-12-21 110049.740000 USD 0.000000 USD 41500000.000000 USD 265889.460000 N N N N/A N/A 000000000 -1000000.000000 NC USD -761.470000 -0.0001383 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.630000 USD 2020-08-19 XXXX -61.470000 N N N N/A N/A 000000000 -1300000.000000 NC USD -2288.950000 -0.0004157 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Put Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2020-09-16 XXXX -462.450000 N N N N/A N/A 000000000 -800000.000000 NC USD -389.310000 -0.0000707 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2020-09-16 XXXX 170.690000 N N N N/A N/A 000000000 -1000000.000000 NC USD -1271.280000 -0.0002309 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 28.720000 N N N N/A N/A 000000000 -1100000.000000 NC USD -1398.410000 -0.0002539 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 724.590000 N N N N/A N/A 000000000 -1100000.000000 NC USD -577.580000 -0.0001049 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 181.420000 N N N N/A N/A 000000000 -1000000.000000 NC USD -525.070000 -0.0000953 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 274.930000 N N N N/A N/A 000000000 -1100000.000000 NC USD -577.580000 -0.0001049 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 82.420000 N N N N/A N/A 000000000 -1200000.000000 NC USD -1317.950000 -0.0002393 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.150000 USD 2020-08-19 XXXX 362.050000 N N N N/A N/A 000000000 -1000000.000000 NC USD -957.630000 -0.0001739 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2020-08-19 XXXX 492.370000 N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 752.570000 PA USD 722.670000 0.0001312 Long ABS-MBS CORP US N 2 2031-10-25 Floating 0.86825 N N N N N N N/A N/A 000000000 -800000.000000 NC USD -1757.720000 -0.0003192 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-09-16 XXXX -137.720000 N N N N/A N/A 000000000 -1100000.000000 NC USD -1398.410000 -0.0002539 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 IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 361.590000 N N N N/A N/A 000000000 -1300000.000000 NC USD -632.630000 -0.0001149 N/A DCR US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Call Written CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2020-09-16 XXXX 888.370000 N N N N/A N/A 000000000 1.000000 NC USD 25397.450000 0.0046120 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.34 Y Single Leg Swap 2030-06-21 37951.540000 USD 0.000000 USD 2600000.000000 USD -12554.090000 N N N N/A N/A 000000000 1.000000 NC USD -18404.060000 -0.0033421 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 CHINA GOVT CHINA (PEOPLES REP OF) GLOBAL Y Single Leg Swap 2023-06-21 0.000000 USD -15258.610000 USD 800000.000000 USD -3145.450000 N N N AMRESCO RES SEC 1999-1 N/A 03215PFN4 647.530000 PA USD 590.560000 0.0001072 Long ABS-MBS CORP US N 2 2029-06-25 Floating 1.10825 N N N N N N N/A N/A 000000000 1.000000 NC USD -36808.120000 -0.0066842 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 CHINA GOVT CHINA (PEOPLES REP OF) GLOBAL Y Single Leg Swap 2023-06-21 0.000000 USD -30891.180000 USD 1600000.000000 USD -5916.940000 N N N N/A N/A 000000000 1.000000 NC 593.940000 0.0001079 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 758285.160000 CHF 719000.000000 CHF 2020-07-02 593.940000 N N N N/A N/A 000000000 1.000000 NC -3064.200000 -0.0005564 N/A DFE CH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2188931.530000 CHF 2071000.000000 CHF 2020-07-02 -3064.200000 N N N N/A N/A 000000000 1.000000 NC 6722.480000 0.0012208 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 553375.700000 CNY 3976000.000000 CNY 2020-09-16 6722.480000 N N N N/A N/A 000000000 1.000000 NC -26686.920000 -0.0048462 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2978095.140000 DKK 19575215.000000 DKK 2020-07-01 -26686.920000 N N N N/A N/A 000000000 1.000000 NC 11971.140000 0.0021739 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3776802.630000 DKK 25129042.000000 DKK 2020-07-01 11971.140000 N N N N/A N/A 000000000 1.000000 NC -5647.120000 -0.0010255 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 664017.870000 EUR 586000.000000 EUR 2020-07-02 -5647.120000 N N N N/A N/A 000000000 1.000000 NC 90732.030000 0.0164765 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1052317.670000 MXN 26289000.000000 MXN 2020-07-07 90732.030000 N N N N/A N/A 000000000 1.000000 NC -16328.910000 -0.0029652 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 888599.290000 PEN 3089482.010000 PEN 2020-07-07 -16328.910000 N N N N/A N/A 000000000 1.000000 NC -14221.800000 -0.0025826 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1836448.900000 PEN 6454016.000000 PEN 2020-07-06 -14221.800000 N N N N/A N/A 000000000 1.000000 NC -4389.600000 -0.0007971 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 875877.300000 PEN 3089482.010000 PEN 2020-08-25 -4389.600000 N N N N/A N/A 000000000 1.000000 NC -5667.960000 -0.0010293 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 145757.290000 RUB 10022490.000000 RUB 2020-08-14 -5667.960000 N N N N/A N/A 000000000 1.000000 NC 3965.070000 0.0007200 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 78829.000000 ZAR 1437649.250000 ZAR 2020-07-08 3965.070000 N N N N/A N/A 000000000 1.000000 NC -7574.000000 -0.0013754 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 841000.000000 CAD 611901.550000 USD 2020-07-02 -7574.000000 N N N N/A N/A 000000000 1.000000 NC -32084.040000 -0.0058263 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22921263.260000 CNY 3196828.910000 USD 2020-09-16 -32084.040000 N N N N/A N/A 000000000 1.000000 NC 27204.450000 0.0049402 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19575215.000000 DKK 2984476.530000 USD 2020-10-01 27204.450000 N N N N/A N/A 000000000 1.000000 NC -11657.530000 -0.0021169 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 25129042.000000 DKK 3784643.780000 USD 2020-10-01 -11657.530000 N N N N/A N/A 000000000 1.000000 NC -1488.490000 -0.0002703 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1257000.000000 EUR 1410750.460000 USD 2020-07-02 -1488.490000 N N N N/A N/A 000000000 1.000000 NC -299312.150000 -0.0543535 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13433815739.000000 KRW 10904071.220000 USD 2020-09-16 -299312.150000 N N N N/A N/A 000000000 1.000000 NC 39653.920000 0.0072009 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3750782.040000 PEN 1098100.550000 USD 2020-08-04 39653.920000 N N N N/A N/A 000000000 1.000000 NC 28496.190000 0.0051748 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2794311.600000 PEN 816572.650000 USD 2020-09-04 28496.190000 N N N N/A N/A 000000000 1.000000 NC 73726.600000 0.0133884 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6454016.000000 PEN 1895953.700000 USD 2020-07-06 73726.600000 N N N N/A N/A 000000000 1.000000 NC 10150.670000 0.0018433 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1104540.000000 PEN 321929.470000 USD 2020-07-20 10150.670000 N N N N/A N/A 000000000 1.000000 NC 11296.340000 0.0020514 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6454016.000000 PEN 1826367.080000 USD 2020-12-22 11296.340000 N N N N/A N/A 000000000 1.000000 NC 4924.970000 0.0008943 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3089482.010000 PEN 877195.350000 USD 2020-07-07 4924.970000 N N N N/A N/A 000000000 1.000000 NC -511.980000 -0.0000930 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 490000.000000 SEK 52073.280000 USD 2020-07-02 -511.980000 N N N N/A N/A 000000000 1.000000 NC -42106.940000 -0.0076464 N/A DFE ID N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 1149827.120000 IDR 16324095672.000000 IDR 2020-09-16 -42106.940000 N N N N/A N/A 000000000 1.000000 NC -275.390000 -0.0000500 N/A DFE HK N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 3683000.000000 HKD 474711.280000 USD 2020-09-16 -275.390000 N N N ANNINGTON FUNDING PLC 549300KK63W8VZIONZ83 ACI0W49K8 800000.000000 PA 922901.880000 0.1675942 Long DBT CORP GB N 2 2024-07-12 Fixed 1.65 N N N N N N N/A N/A 000000000 1.000000 NC 790.420000 0.0001435 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DAIMLER AG DAIMLER AG Y Single Leg Swap 2020-12-21 4754.750000 EUR 0.000000 EUR 200000.000000 EUR -3964.330000 N N N N/A N/A 000000000 38.000000 NC USD 22562.500000 0.0040972 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (RED) 06/13/22 2022-06-14 N/A USD N/A 99.750000 USD 2022-06-13 XXXX 13963.860000 N N N N/A N/A 000000000 21.000000 NC USD 11287.500000 0.0020498 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT EURO$ CME (RED) 03/14/22 2022-03-15 N/A USD N/A 99.750000 USD 2022-03-14 XXXX 6792.870000 N N N N/A N/A 000000000 2402000.000000 NC 8908.230000 0.0016177 N/A DFE DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased None N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2020-09-15 N/A 1.160000 EUR 2020-09-15 XXXX -7292.230000 N N N N/A N/A 000000000 -2402000.000000 NC -16016.460000 -0.0029085 N/A DFE DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written None N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2020-09-15 N/A 1.100000 EUR 2020-09-15 XXXX 254.660000 N N N N/A N/A 000000000 2447000.000000 NC 31879.760000 0.0057892 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased None N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-01-29 N/A 1.160000 EUR 2021-01-29 XXXX 56.970000 N N N N/A N/A 000000000 -2447000.000000 NC -28830.900000 -0.0052355 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written None N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-01-29 N/A 1.090000 EUR 2021-01-29 XXXX 2796.820000 N N N N/A N/A 000000000 10.000000 NC 25156.730000 0.0045683 N/A DIR DE N 1 Eurex N/A Long N/A FRANCE GOVT 2020-09-08 1883547.020000 EUR 25156.730000 N N N N/A N/A 000000000 202.000000 NC -195.170000 -0.0000354 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 09/08/20 2020-09-09 N/A EUR N/A 116.000000 EUR 2020-08-21 XXXX -195.170000 N N N N/A N/A 000000000 132.000000 NC 68858.700000 0.0125044 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 20017796.230000 EUR 68858.700000 N N N N/A N/A 000000000 -169.000000 NC -304685.600000 -0.0553293 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-09-08 -33516104.240000 EUR -304685.600000 N N N N/A N/A 000000000 18.000000 NC 76632.800000 0.0139161 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 4448249.360000 EUR 76632.800000 N N N N/A N/A 000000000 -202.000000 NC -8643.330000 -0.0015696 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-09-08 -25449826.760000 EUR -8643.330000 N N N N/A N/A 000000000 1.000000 NC -10553.790000 -0.0019165 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2588632.750000 CAD 3500000.000000 CAD 2020-07-02 -10553.790000 N N N N/A N/A 000000000 1.000000 NC 706.500000 0.0001283 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 268918.230000 CNY 1914000.000000 CNY 2020-09-16 706.500000 N N N N/A N/A 000000000 1.000000 NC 97441.240000 0.0176948 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1200194.340000 MXN 29913043.530000 MXN 2020-07-24 97441.240000 N N N N/A N/A 000000000 1.000000 NC 6151.550000 0.0011171 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 109413.970000 RUB 8240349.000000 RUB 2020-07-17 6151.550000 N N N N/A N/A 000000000 1.000000 NC 8989.280000 0.0016324 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 98002.090000 RUB 7628973.000000 RUB 2020-07-17 8989.280000 N N N N/A N/A 000000000 1.000000 NC 2171.330000 0.0003943 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 32090.820000 RUB 2443048.000000 RUB 2020-07-17 2171.330000 N N N N/A N/A 000000000 1.000000 NC 1483.160000 0.0002693 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 25912.870000 RUB 1953461.950000 RUB 2020-07-17 1483.160000 N N N N/A N/A 000000000 1.000000 NC 4835.910000 0.0008782 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 119210.290000 RUB 8857205.000000 RUB 2020-07-27 4835.910000 N N N N/A N/A 000000000 1.000000 NC -3975.140000 -0.0007219 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 125640.720000 RUB 8704389.000000 RUB 2020-08-14 -3975.140000 N N N N/A N/A 000000000 1.000000 NC -8476.970000 -0.0015394 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4212000.000000 CAD 3094056.910000 USD 2020-07-02 -8476.970000 N N N N/A N/A 000000000 1.000000 NC -12316.370000 -0.0022366 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3090000.000000 DKK 453571.300000 USD 2020-07-01 -12316.370000 N N N N/A N/A 000000000 1.000000 NC -163955.800000 -0.0297735 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 28961510.880000 GBP 35722268.600000 USD 2020-07-02 -163955.800000 N N N N/A N/A 000000000 1.000000 NC 4493.200000 0.0008159 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1584117.390000 AUD 2302000.000000 AUD 2020-07-02 4493.200000 N N N N/A N/A 000000000 1.000000 NC -228.630000 -0.0000415 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 552674.120000 CAD 750000.000000 CAD 2020-07-02 -228.630000 N N N N/A N/A 000000000 1.000000 NC 6066.720000 0.0011017 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 675872.000000 CAD 925800.000000 CAD 2020-07-02 6066.720000 N N N N/A N/A 000000000 1.000000 NC 98.200000 0.0000178 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 493859.260000 CHF 468000.000000 CHF 2020-07-02 98.200000 N N N N/A N/A 000000000 1.000000 NC 98907.840000 0.0179611 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8187000.000000 CNY 58782660.000000 CNY 2020-09-03 98907.840000 N N N N/A N/A 000000000 1.000000 NC -2853.850000 -0.0005182 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1992571.580000 EUR 1771000.000000 EUR 2020-07-02 -2853.850000 N N N N/A N/A 000000000 1.000000 NC -1093.120000 -0.0001985 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 338142.990000 EUR 300000.000000 EUR 2020-07-02 -1093.120000 N N N ARBOUR CLO IV DAC 4A N/A ACI1C2187 1200000.000000 PA 1339107.380000 0.2431749 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N N/A N/A 000000000 1.000000 NC -24229.110000 -0.0043999 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1455360.770000 NOK 13775000.000000 NOK 2020-07-02 -24229.110000 N N N N/A N/A 000000000 1.000000 NC -5008.150000 -0.0009095 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 205778.090000 RUB 14335469.000000 RUB 2020-07-27 -5008.150000 N N N N/A N/A 000000000 1.000000 NC -1846.410000 -0.0003353 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 99308.450000 RUB 6959030.000000 RUB 2020-07-27 -1846.410000 N N N N/A N/A 000000000 1.000000 NC -9885.970000 -0.0017952 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1136713.040000 SEK 10500000.000000 SEK 2020-07-02 -9885.970000 N N N N/A N/A 000000000 1.000000 NC 10373.400000 0.0018838 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7740000.000000 AUD 5351748.700000 USD 2020-07-02 10373.400000 N N N N/A N/A 000000000 1.000000 NC 7769.900000 0.0014110 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 816000.000000 CAD 608830.600000 USD 2020-07-02 7769.900000 N N N N/A N/A 000000000 1.000000 NC -6062.850000 -0.0011010 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 925800.000000 CAD 675936.150000 USD 2020-08-04 -6062.850000 N N N N/A N/A 000000000 1.000000 NC -91739.880000 -0.0166595 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 58717164.000000 CNY 8187000.000000 USD 2020-09-03 -91739.880000 N N N N/A N/A 000000000 1.000000 NC -15803.620000 -0.0028699 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 11440580.000000 CNY 1596285.750000 USD 2020-09-16 -15803.620000 N N N N/A N/A 000000000 1.000000 NC -2228.820000 -0.0004047 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1621000.000000 EUR 1818963.980000 USD 2020-07-02 -2228.820000 N N N N/A N/A 000000000 1.000000 NC -501.020000 -0.0000910 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1197000.000000 EUR 1344327.960000 USD 2020-07-02 -501.020000 N N N N/A N/A 000000000 1.000000 NC 7172.540000 0.0013025 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2645000.000000 EUR 2978828.890000 USD 2020-07-02 7172.540000 N N N N/A N/A 000000000 1.000000 NC 16329.470000 0.0029653 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 577000.000000 GBP 731290.490000 USD 2020-07-02 16329.470000 N N N N/A N/A 000000000 1.000000 NC -6535.800000 -0.0011869 N/A DFE NO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7065000.000000 NOK 727471.110000 USD 2020-07-02 -6535.800000 N N N N/A N/A 000000000 1.000000 NC -677.670000 -0.0001231 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 31000.000000 NZD 19326.630000 USD 2020-07-02 -677.670000 N N N N/A N/A 000000000 1.000000 NC -2028.920000 -0.0003684 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1497000.000000 NZD 963985.070000 USD 2020-07-02 -2028.920000 N N N N/A N/A 000000000 1.000000 NC -2987.240000 -0.0005425 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2460000.000000 NZD 1584450.580000 USD 2020-07-02 -2987.240000 N N N N/A N/A 000000000 1.000000 NC 26026.580000 0.0047263 N/A DFE PE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2978348.800000 PEN 866832.210000 USD 2020-07-13 26026.580000 N N N N/A N/A 000000000 1.000000 NC 5366.090000 0.0009745 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2999015.250000 PLN 763568.680000 USD 2020-09-10 5366.090000 N N N N/A N/A 000000000 1.000000 NC -781.890000 -0.0001420 N/A DFE ZA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 160000.000000 ZAR 8432.490000 USD 2020-07-08 -781.890000 N N N N/A N/A 000000000 1.000000 NC USD -1246869.790000 -0.2264251 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-09-21 170.460000 USD 0.000000 USD 5500000.000000 USD -1247040.250000 N N N N/A N/A 000000000 1.000000 NC USD -5839.110000 -0.0010604 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-12-21 13819.800000 USD 0.000000 USD 4900000.000000 USD -19658.910000 N N N N/A N/A 000000000 1.000000 NC USD -10678.300000 -0.0019391 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-12-21 10550.040000 USD 0.000000 USD 3700000.000000 USD -21228.340000 N N N N/A N/A 000000000 1.000000 NC USD -3909.540000 -0.0007100 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2020-12-21 4562.180000 USD 0.000000 USD 1600000.000000 USD -8471.720000 N N N N/A N/A 000000000 -9500000.000000 NC USD -14593.900000 -0.0026502 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written USD-LIBOR-BBA-Bloomberg 1M N/A N/A N/A 0.000000 USD 2022-10-07 XXXX -4797.020000 N N N N/A N/A 000000000 -5250000.000000 NC USD -8169.000000 -0.0014834 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written USD-LIBOR-BBA-Bloomberg 1M N/A N/A N/A 0.000000 USD 2022-10-08 XXXX -2984.620000 N N N N/A N/A 000000000 269.000000 NC 941375.690000 0.1709489 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2020-09-08 43483612.640000 EUR 941375.690000 N N N N/A N/A 000000000 1.000000 NC -8874.540000 -0.0016116 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ITRAXX EUROPE SERIES 31 N/A N/A Y Single Leg Swap 2029-06-21 0.000000 EUR -79910.670000 EUR 10900000.000000 EUR 71036.130000 N N N N/A N/A 000000000 -1850000.000000 NC -2937.450000 -0.0005334 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX 394.050000 N N N N/A N/A 000000000 -650000.000000 NC -437.690000 -0.0000795 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX 256.160000 N N N N/A N/A 000000000 -650000.000000 NC -1032.080000 -0.0001874 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX -82.600000 N N N N/A N/A 000000000 -1200000.000000 NC -534.420000 -0.0000970 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-09-16 XXXX 143.790000 N N N N/A N/A 000000000 -1300000.000000 NC -2789.500000 -0.0005066 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 497.180000 N N N N/A N/A 000000000 -1850000.000000 NC -1245.760000 -0.0002262 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX 227.510000 N N N N/A N/A 000000000 -1400000.000000 NC -3004.080000 -0.0005455 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 453.990000 N N N N/A N/A 000000000 -2500000.000000 NC -1683.450000 -0.0003057 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX 421.380000 N N N N/A N/A 000000000 -1400000.000000 NC -1457.100000 -0.0002646 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX -199.620000 N N N N/A N/A 000000000 -2500000.000000 NC -3969.530000 -0.0007208 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX 472.200000 N N N N/A N/A 000000000 -1200000.000000 NC -2475.310000 -0.0004495 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2020-09-16 XXXX -135.490000 N N N N/A N/A 000000000 -1300000.000000 NC -1353.020000 -0.0002457 N/A DCR DE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX -257.460000 N N N N/A N/A 000000000 1.000000 NC USD -3792.460000 -0.0006887 N/A DCR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -6913.480000 USD 200000.000000 USD 3121.020000 N N N N/A N/A 000000000 1.000000 NC USD -32235.940000 -0.0058539 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -60918.850000 USD 1700000.000000 USD 28682.910000 N N N N/A N/A 000000000 1.000000 NC USD -22754.780000 -0.0041321 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -40998.710000 USD 1200000.000000 USD 18243.930000 N N N N/A N/A 000000000 1.000000 NC USD -18962.310000 -0.0034435 N/A DCR US N 2 Citibank International Limited N/A JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -35380.700000 USD 1000000.000000 USD 16418.390000 N N N N/A N/A 000000000 1.000000 NC USD -32235.940000 -0.0058539 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -59493.450000 USD 1700000.000000 USD 27257.510000 N N N N/A N/A 000000000 3.000000 NC 2120.260000 0.0003850 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Long N/A JAPAN GOVT 2020-09-14 4221810.600000 JPY 2120.260000 N N N N/A N/A 000000000 1.000000 NC -14007.740000 -0.0025437 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3135814.300000 DKK 20705382.000000 DKK 2020-07-01 -14007.740000 N N N N/A N/A 000000000 1.000000 NC -5146.510000 -0.0009346 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2000052.740000 JPY 215400000.000000 JPY 2020-07-02 -5146.510000 N N N ARGENT SECURITIES INC 2005-W1 N/A 040104MX6 1578429.160000 PA USD 1401453.470000 0.2544967 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.6645 N N N N N N N/A N/A 000000000 1.000000 NC 5411.520000 0.0009827 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 108885.000000 ZAR 1984662.680000 ZAR 2020-07-08 5411.520000 N N N N/A N/A 000000000 1.000000 NC 14550.470000 0.0026423 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 20705382.000000 DKK 3142559.440000 USD 2020-10-01 14550.470000 N N N ARGENT SECURITIES INC 2005-W4 N/A 040104PT2 537603.620000 PA USD 470678.900000 0.0854728 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.5645 N N N N N N N/A N/A 000000000 1.000000 NC -3933.280000 -0.0007143 N/A DFE ZA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8832000.000000 ZAR 504700.680000 USD 2020-07-08 -3933.280000 N N N N/A N/A 000000000 1.000000 NC -4783.250000 -0.0008686 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 199881.860000 RUB 13958050.000000 RUB 2020-08-14 -4783.250000 N N N N/A N/A 000000000 1.000000 NC 6477.590000 0.0011763 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6594985600.000000 IDR 454000.000000 USD 2020-09-16 6477.590000 N N N N/A N/A 000000000 1.000000 NC 6271.640000 0.0011389 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 16721760.000000 RUB 240000.000000 USD 2020-08-14 6271.640000 N N N N/A N/A 000000000 1.000000 NC 1534.130000 0.0002786 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3669751.800000 RUB 53000.000000 USD 2020-07-17 1534.130000 N N N N/A N/A 000000000 1.000000 NC 151.850000 0.0000276 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 417000.000000 RUB 6000.000000 USD 2020-07-17 151.850000 N N N N/A N/A 000000000 1.000000 NC 51.260000 0.0000093 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 138954.400000 RUB 2000.000000 USD 2020-07-17 51.260000 N N N 2020-08-04 PIMCO Variable Insurance Trust /s/ Jason Nagler Jason Nagler Assistant Treasurer