NPORT-P/A false 0001047304-21-001011 0001047304 XXXXXXXX S000009670 C000030988 C000030996 C000026497 PIMCO Variable Insurance Trust 811-08399 0001047304 549300KNGHUU7TTJOR56 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Global Bond Opportunities Portfolio (Unhedged) S000009670 SIG2VU6GJ2VLC2XNC047 2021-12-31 2021-09-30 N 250532351.640000 110946228.350000 139586123.290000 0.000000 0.000000 41892434.340000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 722312.500000 0.000000 0.000000 2926613.280000 ZAR ARS BRL CAD CHF CNY DKK EUR GBP ILS JPY MYR NOK NZD PEN PLN SGD USD AUD N N/A N/A OP0013LZ2 -200000.000000 NC USD -67.480000 -0.0000483 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-11-17 XXXX 130.520000 N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 400000.000000 PA 462232.000000 0.3311447 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.72 N N N N N N N/A N/A OP0013R86 -200000.000000 NC USD -82.860000 -0.0000594 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2021-11-17 XXXX 149.140000 N N N N/A N/A OP0013T27 -200000.000000 NC USD -108.120000 -0.0000775 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-12-15 XXXX 94.880000 N N N N/A N/A OP0013WY3 -800000.000000 NC USD -502.980000 -0.0003603 N/A DCR 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 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-12-15 XXXX 336.020000 N N N N/A N/A OP00147W3 -200000.000000 NC USD -108.120000 -0.0000775 N/A DCR 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 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-12-15 XXXX 79.880000 N N N N/A N/A OP0014GV5 -600000.000000 NC USD -324.350000 -0.0002324 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-12-15 XXXX 298.150000 N N N N/A N/A OP0014SC4 -300000.000000 NC USD -188.620000 -0.0001351 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-12-15 XXXX 72.380000 N N N N/A N/A OP0015RP3 -700000.000000 NC USD -746.170000 -0.0005346 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.730000 USD 2022-01-19 XXXX -46.170000 N N N N/A N/A OP0014K24 -400000.000000 NC USD -251.490000 -0.0001802 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-12-15 XXXX 139.710000 N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 042735BD1 400000.000000 PA USD 404011.040000 0.2894350 Long DBT CORP US N 2 2022-04-01 Fixed 3.5 N N N N N N N/A N/A OP0013DS7 -400000.000000 NC USD -134.950000 -0.0000967 N/A DCR 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 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-11-17 XXXX 262.050000 N N N N/A N/A OP0015GY6 -500000.000000 NC USD -497.320000 -0.0003563 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2022-01-19 XXXX 27.680000 N N N N/A N/A 000000000 1.000000 NC USD -28180.270000 -0.0201884 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.36 Y Single Leg Swap 2031-06-21 0.000000 USD -13478.950000 USD 2600000.000000 USD -14701.320000 N N N N/A N/A OP00167W8 -500000.000000 NC USD -642.250000 -0.0004601 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2022-01-19 XXXX -60.750000 N N N N/A N/A OP00165Y6 -600000.000000 NC USD -770.690000 -0.0005521 N/A DCR 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 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2022-01-19 XXXX -5.690000 N N N N/A N/A OP0016203 -700000.000000 NC USD -794.510000 -0.0005692 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2022-01-19 XXXX 12.240000 N N N N/A N/A 000000000 1.000000 NC USD -93820.340000 -0.0672132 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.37 Y Single Leg Swap 2026-12-22 0.000000 USD -96777.920000 USD 3900000.000000 USD 2957.580000 N N N N/A N/A 000000000 1.000000 NC USD -4489.660000 -0.0032164 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 -5721.980000 USD 300000.000000 USD 1232.320000 N N N N/A N/A 000000000 1.000000 NC USD -5986.210000 -0.0042885 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 -11304.560000 USD 400000.000000 USD 5318.350000 N N N N/A N/A 000000000 1.000000 NC USD -10475.870000 -0.0075050 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 -13514.890000 USD 700000.000000 USD 3039.020000 N N N N/A N/A 000000000 1.000000 NC -9049.340000 -0.0064830 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 170466.710000 USD 131071852.000000 CLP 2021-10-20 -9049.340000 N N N N/A N/A 000000000 1.000000 NC -4632.200000 -0.0033185 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 457519.000000 USD 2907533.250000 DKK 2021-10-01 -4632.200000 N N N N/A N/A 000000000 1.000000 NC -700.950000 -0.0005022 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 99197.090000 USD 630000.000000 DKK 2022-04-01 -700.950000 N N N N/A N/A 000000000 1.000000 NC -2996.990000 -0.0021471 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 189645.970000 USD 161000.000000 EUR 2021-11-17 -2996.990000 N N N N/A N/A 000000000 1.000000 NC -5533.620000 -0.0039643 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 268697.090000 USD 227000.000000 EUR 2021-11-17 -5533.620000 N N N N/A N/A 000000000 1.000000 NC -4493.530000 -0.0032192 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 185345.960000 USD 156000.000000 EUR 2021-11-17 -4493.530000 N N N N/A N/A 000000000 1.000000 NC -1711.280000 -0.0012260 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 84022.320000 USD 71000.000000 EUR 2021-11-17 -1711.280000 N N N N/A N/A 000000000 1.000000 NC -3329.630000 -0.0023854 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 173107.830000 USD 126000.000000 GBP 2021-11-17 -3329.630000 N N N N/A N/A 000000000 1.000000 NC -17088.760000 -0.0122424 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1358398.720000 USD 27782378.200000 MXN 2021-10-27 -17088.760000 N N N N/A N/A 000000000 1.000000 NC 18672.670000 0.0133772 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1753824.460000 USD 15500000.000000 NOK 2021-11-17 18672.670000 N N N N/A N/A 000000000 1.000000 NC -444.890000 -0.0003187 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 37000.000000 USD 151248.600000 PEN 2021-11-04 -444.890000 N N N N/A N/A 000000000 1.000000 NC -4542.960000 -0.0032546 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 437968.300000 USD 1807188.610000 PEN 2022-03-08 -4542.960000 N N N N/A N/A 000000000 1.000000 NC -1576.780000 -0.0011296 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 40277.000000 USD 154037.530000 PLN 2022-02-18 -1576.780000 N N N N/A N/A 000000000 1.000000 NC 609.700000 0.0004368 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 88055.850000 USD 6538059.000000 RUB 2021-12-20 609.700000 N N N N/A N/A 000000000 1.000000 NC 874.170000 0.0006263 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 112967.270000 USD 8348677.000000 RUB 2021-11-22 874.170000 N N N N/A N/A 000000000 1.000000 NC 7894.220000 0.0056554 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 485000.000000 AUD 358587.180000 USD 2021-11-17 7894.220000 N N N N/A N/A 000000000 1.000000 NC 1471.530000 0.0010542 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 420000.000000 AUD 305164.400000 USD 2021-11-17 1471.530000 N N N N/A N/A 000000000 1.000000 NC 4018.940000 0.0028792 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 958000.000000 CAD 760369.420000 USD 2021-10-04 4018.940000 N N N N/A N/A 000000000 1.000000 NC -977.380000 -0.0007002 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 135000.000000 CAD 105606.460000 USD 2021-10-04 -977.380000 N N N N/A N/A 000000000 1.000000 NC -968.910000 -0.0006941 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3293563.110000 CNY 507034.000000 USD 2021-12-15 -968.910000 N N N N/A N/A 000000000 1.000000 NC 4663.010000 0.0033406 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2896552.790000 DKK 457519.000000 USD 2022-04-01 4663.010000 N N N N/A N/A 000000000 1.000000 NC 33304.700000 0.0238596 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2197000.000000 EUR 2580309.710000 USD 2021-11-17 33304.700000 N N N N/A N/A 000000000 1.000000 NC 1826.370000 0.0013084 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 386000.000000 GBP 521940.550000 USD 2021-11-17 1826.370000 N N N N/A N/A 000000000 1.000000 NC -5781.480000 -0.0041419 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2743780.000000 ILS 846453.800000 USD 2022-01-31 -5781.480000 N N N N/A N/A 000000000 1.000000 NC -7013.870000 -0.0050248 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1300260.000000 ILS 396868.420000 USD 2022-02-02 -7013.870000 N N N N/A N/A 000000000 1.000000 NC -8244.010000 -0.0059060 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2100630.000000 ILS 644246.460000 USD 2022-02-02 -8244.010000 N N N N/A N/A 000000000 1.000000 NC -1824.050000 -0.0013068 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1800540.000000 ILS 556938.380000 USD 2021-11-30 -1824.050000 N N N N/A N/A 000000000 1.000000 NC -6339.130000 -0.0045414 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1300325.000000 ILS 397191.340000 USD 2021-11-30 -6339.130000 N N N N/A N/A 000000000 1.000000 NC -7720.380000 -0.0055309 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1500450.000000 ILS 457914.980000 USD 2021-11-30 -7720.380000 N N N N/A N/A 000000000 1.000000 NC -12828.930000 -0.0091907 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1420000.000000 ILS 429626.040000 USD 2022-08-01 -12828.930000 N N N N/A N/A 000000000 1.000000 NC -855.230000 -0.0006127 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 299970.000000 ILS 92417.890000 USD 2022-04-06 -855.230000 N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513BD6 200000.000000 NS USD 222750.000000 0.1595789 Long EP CORP US N 2 N N N N/A N/A 000000000 1.000000 NC 4936.180000 0.0035363 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 45500000.000000 JPY 413880.060000 USD 2021-11-17 4936.180000 N N N N/A N/A 000000000 1.000000 NC 7338.920000 0.0052576 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 519000.000000 NZD 365630.470000 USD 2021-10-04 7338.920000 N N N N/A N/A 000000000 1.000000 NC 14514.400000 0.0103982 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1005000.000000 NZD 708315.960000 USD 2021-10-04 14514.400000 N N N N/A N/A 000000000 1.000000 NC 4401.200000 0.0031530 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 233000.000000 NZD 165252.710000 USD 2021-10-04 4401.200000 N N N N/A N/A 000000000 1.000000 NC 108018.690000 0.0773850 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3904370.900000 PEN 1049167.220000 USD 2021-12-27 108018.690000 N N N N/A N/A 000000000 1.000000 NC 29096.260000 0.0208447 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 865949.340000 PEN 238487.840000 USD 2021-10-15 29096.260000 N N N N/A N/A 000000000 1.000000 NC 133694.880000 0.0957795 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5525972.250000 PEN 1453056.070000 USD 2022-04-29 133694.880000 N N N N/A N/A 000000000 1.000000 NC 1536.330000 0.0011006 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1213278.250000 PEN 294585.110000 USD 2021-11-23 1536.330000 N N N N/A N/A 000000000 1.000000 NC -1114.780000 -0.0007986 N/A DFE MY N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 1762070.290000 USD 7382193.460000 MYR 2021-10-15 -1114.780000 N N N N/A N/A 000000000 1.000000 NC 1759.630000 0.0012606 N/A DFE MY N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 7382193.460000 MYR 1758083.700000 USD 2021-12-15 1759.630000 N N N N/A N/A 000000000 1.000000 NC 311.230000 0.0002230 N/A DFE RU N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 16684.640000 USD 1246409.000000 RUB 2021-11-22 311.230000 N N N N/A N/A 000000000 4.000000 NC USD 368.880000 0.0002643 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A EUOD 2022-03-14 998525.000000 USD 368.880000 N N N N/A N/A 000000000 -164000.000000 NC -273.560000 -0.0001960 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-10-29 N/A 1.070000 EUR 2021-10-29 XXXX 237.060000 N N N N/A N/A 000000000 -164000.000000 NC -114.360000 -0.0000819 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-10-29 N/A 1.100000 EUR 2021-10-29 XXXX 359.370000 N N N N/A N/A 000000000 -45000.000000 NC -74.330000 -0.0000533 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-12-01 N/A 1.100000 EUR 2021-12-01 XXXX 114.530000 N N N N/A N/A 000000000 -45000.000000 NC -131.210000 -0.0000940 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-12-01 N/A 1.070000 EUR 2021-12-01 XXXX 61.110000 N N N N/A N/A 000000000 -231000.000000 NC -464.790000 -0.0003330 N/A DFE US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-11-03 N/A 1.070000 EUR 2021-11-03 XXXX 158.210000 N N N N/A N/A 000000000 -231000.000000 NC -164.290000 -0.0001177 N/A DFE US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-11-03 N/A 1.100000 EUR 2021-11-03 XXXX 475.180000 N N N N/A N/A 000000000 -169000.000000 NC -551.650000 -0.0003952 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-11-23 N/A 1.070000 EUR 2021-11-23 XXXX -28.000000 N N N N/A N/A 000000000 -169000.000000 NC -232.560000 -0.0001666 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written None N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DFE 0.000000 N/A 0.000000 N/A 2021-11-23 N/A 1.100000 EUR 2021-11-23 XXXX 271.110000 N N N N/A N/A 000000000 300000.000000 NC 39686.910000 0.0284318 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Purchased FRANCE GOVT FRANCE GOVT OAT BD N/A 97.000000 EUR 2025-05-23 XXXX 16975.310000 N N N N/A N/A 000000000 -124.000000 NC 424304.680000 0.3039734 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2021-12-08 -23836292.720000 EUR 424304.680000 N N N N/A N/A 000000000 144.000000 NC -143.450000 -0.0001028 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 969500KCGF3SUYJHPV70 000000000 0.000000 NC 0.000000 0.000000 DIR FR N/A N/A FIN FUT EURO-OAT EUX 10YR 12/08/21 2021-12-09 N/A EUR N/A 196.000000 EUR 2021-11-26 XXXX -143.450000 N N N AT&T INC 549300Z40J86GGSTL398 ACI1K11M9 100000.000000 PA 117375.130000 0.0840880 Long DBT CORP US N 2 2025-03-02 Floating 2.875 N N N N N N N/A N/A 000000000 66.000000 NC -65.750000 -0.0000471 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 12/08/21 2021-12-09 N/A EUR N/A 113.600000 EUR 2021-11-26 XXXX -65.750000 N N N N/A N/A 000000000 -11.000000 NC 5386.950000 0.0038592 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-12-08 -1719257.680000 EUR 5386.950000 N N N N/A N/A 000000000 -85.000000 NC 216346.290000 0.1549913 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-12-08 -16720433.410000 EUR 216346.290000 N N N N/A N/A 000000000 -3.000000 NC 19387.440000 0.0138892 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-12-08 -706616.610000 EUR 19387.440000 N N N N/A N/A 000000000 -32.000000 NC 2929.790000 0.0020989 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-12-08 -4159124.840000 EUR 2929.790000 N N N N/A N/A 000000000 -8.000000 NC 9572.400000 0.0068577 N/A DIR DE N 1 Eurex N/A Call Written Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EUR-BUND 10YR EUX 12/08/21 2021-12-09 N/A EUR N/A 174.000000 EUR 2021-10-22 XXXX 9572.400000 N N N N/A N/A 000000000 30.000000 NC -29.890000 -0.0000214 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 EUR-BUND 10YR EUX 12/08/21 2021-12-09 N/A EUR N/A 182.500000 EUR 2021-11-26 XXXX -29.890000 N N N N/A N/A 000000000 57.000000 NC -56.780000 -0.0000407 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 EUR-BUND 10YR EUX 12/08/21 2021-12-09 N/A EUR N/A 187.000000 EUR 2021-11-26 XXXX -56.780000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKD3 100000.000000 PA USD 96049.390000 0.0688101 Long DBT CORP US N 2 2043-02-01 Fixed 3.1 N N N N N N N/A N/A 000000000 1.000000 NC -1032.420000 -0.0007396 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 152618.320000 USD 192000.000000 CAD 2021-10-04 -1032.420000 N N N N/A N/A 000000000 1.000000 NC -987.320000 -0.0007073 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 334954.560000 USD 4821335937.000000 IDR 2021-12-15 -987.320000 N N N N/A N/A 000000000 1.000000 NC -3158.670000 -0.0022629 N/A DFE NO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 319349.290000 USD 2765000.000000 NOK 2021-11-17 -3158.670000 N N N N/A N/A 000000000 1.000000 NC -42174.110000 -0.0302137 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 447134.090000 USD 1675992.700000 PEN 2021-11-12 -42174.110000 N N N N/A N/A 000000000 1.000000 NC -1341.130000 -0.0009608 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 124000.000000 USD 507507.200000 PEN 2021-11-04 -1341.130000 N N N N/A N/A 000000000 1.000000 NC 2290.580000 0.0016410 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 135689.150000 USD 10118883.000000 RUB 2021-11-22 2290.580000 N N N N/A N/A 000000000 1.000000 NC 1041.250000 0.0007460 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 88501.300000 USD 6602728.000000 RUB 2021-12-20 1041.250000 N N N N/A N/A 000000000 1.000000 NC 882.020000 0.0006319 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 125422.330000 USD 9313486.000000 RUB 2021-12-20 882.020000 N N N N/A N/A 000000000 1.000000 NC 4932.740000 0.0035338 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 131813.700000 CAD 109000.000000 USD 2022-02-14 4932.740000 N N N N/A N/A 000000000 1.000000 NC 8438.480000 0.0060454 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 210970.200000 CAD 175000.000000 USD 2022-02-14 8438.480000 N N N N/A N/A 000000000 1.000000 NC -298.060000 -0.0002135 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 171000.000000 CAD 134708.130000 USD 2021-10-04 -298.060000 N N N N/A N/A 000000000 1.000000 NC -1479.550000 -0.0010600 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3306196.860000 CNY 508472.000000 USD 2021-12-15 -1479.550000 N N N N/A N/A 000000000 1.000000 NC -1993.780000 -0.0014284 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2988253.880000 CNY 460902.000000 USD 2021-10-22 -1993.780000 N N N N/A N/A 000000000 1.000000 NC 1462.410000 0.0010477 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 475000.000000 DKK 75449.950000 USD 2021-10-01 1462.410000 N N N N/A N/A 000000000 1.000000 NC -6895.700000 -0.0049401 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1583145.000000 ILS 484839.070000 USD 2022-01-31 -6895.700000 N N N N/A N/A 000000000 1.000000 NC 1212.040000 0.0008683 N/A DFE KR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 503276400.000000 KRW 426000.000000 USD 2021-10-28 1212.040000 N N N N/A N/A 000000000 1.000000 NC 14250.320000 0.0102090 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7382193.460000 MYR 1775205.830000 USD 2021-10-15 14250.320000 N N N N/A N/A 000000000 1.000000 NC 2714.130000 0.0019444 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1295512.900000 PEN 314368.580000 USD 2022-01-24 2714.130000 N N N N/A N/A 000000000 1.000000 NC 460.450000 0.0003299 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 68000.000000 SGD 50533.740000 USD 2021-12-15 460.450000 N N N N/A N/A 000000000 1.000000 NC 540.650000 0.0003873 N/A DFE SG N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 211000.000000 SGD 155915.120000 USD 2021-12-15 540.650000 N N N N/A N/A 000000000 1.000000 NC 1872.390000 0.0013414 N/A DFE CO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 187581.430000 USD 723683540.000000 COP 2021-11-19 1872.390000 N N N N/A N/A 000000000 1.000000 NC -1298.490000 -0.0009302 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 95202.630000 USD 81000.000000 EUR 2021-11-17 -1298.490000 N N N N/A N/A 000000000 1.000000 NC -297.040000 -0.0002128 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 98458.000000 USD 1417105994.000000 IDR 2021-12-15 -297.040000 N N N N/A N/A 000000000 1.000000 NC -3304.640000 -0.0023675 N/A DFE RO N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 140830.990000 USD 589000.000000 RON 2021-11-18 -3304.640000 N N N N/A N/A 000000000 1.000000 NC 59.140000 0.0000424 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3193.780000 USD 238556.000000 RUB 2021-11-22 59.140000 N N N N/A N/A 000000000 1.000000 NC 2101.910000 0.0015058 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 413000.000000 CAD 328169.500000 USD 2021-10-04 2101.910000 N N N N/A N/A 000000000 1.000000 NC 2696.680000 0.0019319 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 635000.000000 CAD 504035.460000 USD 2021-10-04 2696.680000 N N N N/A N/A 000000000 1.000000 NC -419.580000 -0.0003006 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 828979.200000 CNY 128000.000000 USD 2021-10-22 -419.580000 N N N N/A N/A 000000000 1.000000 NC 6218.350000 0.0044548 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 415000.000000 EUR 487332.180000 USD 2021-11-17 6218.350000 N N N N/A N/A 000000000 1.000000 NC 12887.950000 0.0092330 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 659000.000000 GBP 900854.910000 USD 2021-11-17 12887.950000 N N N N/A N/A 000000000 1.000000 NC -4624.390000 -0.0033129 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 844320.000000 ILS 257626.700000 USD 2022-01-31 -4624.390000 N N N N/A N/A 000000000 1.000000 NC 1873.880000 0.0013425 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17200000.000000 JPY 156463.660000 USD 2021-11-17 1873.880000 N N N N/A N/A 000000000 1.000000 NC 382.790000 0.0002742 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 484887779.000000 KRW 409672.000000 USD 2021-10-25 382.790000 N N N N/A N/A 000000000 1.000000 NC 174.060000 0.0001247 N/A DFE KR N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 151820124.000000 KRW 128324.000000 USD 2021-10-25 174.060000 N N N N/A N/A 000000000 1.000000 NC -1825.050000 -0.0013075 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 13633356.700000 RUB 185000.000000 USD 2021-10-22 -1825.050000 N N N N/A N/A 000000000 -3250000.000000 NC USD -315.250000 -0.0002258 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 3036.310000 N N N N/A N/A 000000000 -1750000.000000 NC USD -174.130000 -0.0001247 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 1554.000000 N N N N/A N/A 000000000 66.000000 NC -145387.980000 -0.1041565 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2021-12-08 11616743.720000 EUR -145387.980000 N N N N/A N/A 000000000 1.000000 NC USD 1744.130000 0.0012495 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-21 0.000000 USD -2417.090000 USD 100000.000000 USD 4161.220000 N N N N/A N/A 000000000 1.000000 NC USD 3488.260000 0.0024990 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-21 0.000000 USD -4863.840000 USD 200000.000000 USD 8352.100000 N N N N/A N/A 000000000 1.000000 NC USD 3488.260000 0.0024990 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 ITALY GOVT ITALY (REP OF) GOVT GLBL SR UNSECURED Y Single Leg Swap 2025-06-21 0.000000 USD -4869.900000 USD 200000.000000 USD 8358.160000 N N N N/A N/A OP0015148 -200000.000000 NC -1167.370000 -0.0008363 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.500000 EUR 2022-01-19 XXXX -58.690000 N N N N/A N/A OP00153X2 -200000.000000 NC -1167.370000 -0.0008363 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.500000 EUR 2022-01-19 XXXX -168.790000 N N N N/A N/A OP0012SN4 -200000.000000 NC -119.210000 -0.0000854 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.500000 EUR 2021-10-20 XXXX 825.750000 N N N N/A N/A OP0016FR0 -400000.000000 NC -2755.180000 -0.0019738 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.750000 EUR 2022-01-19 XXXX -486.880000 N N N N/A N/A 000000000 1.000000 NC -17851.880000 -0.0127892 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 33 Y Single Leg Swap 2030-06-21 0.000000 EUR -7353.450000 EUR 900000.000000 EUR -10498.430000 N N N N/A N/A OP0010BR7 -500000.000000 NC -27.420000 -0.0000196 N/A DCR US 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2021-10-20 XXXX 585.150000 N N N N/A N/A OP0013WX5 -2300000.000000 NC -1428.470000 -0.0010234 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2021-12-15 XXXX 1229.870000 N N N N/A N/A OP00116V2 -300000.000000 NC -77.420000 -0.0000555 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 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2021-11-17 XXXX 294.690000 N N N N/A N/A OP00115N1 -1000000.000000 NC -258.080000 -0.0001849 N/A DCR US 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.800000 EUR 2021-11-17 XXXX 870.380000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI137Q48 400000.000000 PA 316573.620000 0.2267945 Long DBT NUSS AU N 2 2030-05-21 Fixed 2.5 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMGX73II0 300000.000000 PA 206965.300000 0.1482707 Long DBT NUSS AU N 2 2031-11-21 Fixed 1 N N N N N N N/A N/A OP00107B7 -1260000.000000 NC -69.100000 -0.0000495 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2021-10-20 XXXX 1285.770000 N N N N/A N/A OP00161W4 -300000.000000 NC -347.590000 -0.0002490 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.750000 EUR 2022-01-19 XXXX 66.770000 N N N N/A N/A 000000000 1.000000 NC USD -736.980000 -0.0005280 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 -3456.740000 USD 100000.000000 USD 2719.760000 N N N N/A N/A 000000000 1.000000 NC USD -7369.750000 -0.0052797 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 -35861.900000 USD 1000000.000000 USD 28492.150000 N N N N/A N/A 000000000 1.000000 NC USD -5895.800000 -0.0042238 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 -27863.120000 USD 800000.000000 USD 21967.320000 N N N N/A N/A 000000000 1.000000 NC USD -2947.910000 -0.0021119 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 JAPAN GOVT JAPANESE GOVT BOND (20Y) #55 Y Single Leg Swap 2022-06-21 0.000000 USD -13807.980000 USD 400000.000000 USD 10860.070000 N N N N/A N/A 000000000 1.000000 NC USD -5158.840000 -0.0036958 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 -24426.250000 USD 700000.000000 USD 19267.410000 N N N N/A N/A 000000000 1.000000 NC -16145.650000 -0.0115668 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1363143.340000 USD 1254000.000000 CHF 2021-11-17 -16145.650000 N N N N/A N/A 000000000 1.000000 NC -900.350000 -0.0006450 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 97123.120000 USD 83000.000000 EUR 2021-11-17 -900.350000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 BMZ8B6II2 200000.000000 PA 125561.310000 0.0899526 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.75 N N N N N N N/A N/A 000000000 1.000000 NC -5828.510000 -0.0041756 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 420841.900000 USD 308000.000000 GBP 2021-11-17 -5828.510000 N N N N/A N/A 000000000 1.000000 NC -10181.430000 -0.0072940 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 669082.560000 USD 489000.000000 GBP 2021-11-17 -10181.430000 N N N N/A N/A 000000000 1.000000 NC 5291.040000 0.0037905 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 987766.480000 USD 3200000.000000 ILS 2021-11-30 5291.040000 N N N N/A N/A 000000000 1.000000 NC -250.290000 -0.0001793 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 39252.500000 USD 125734.820000 ILS 2021-10-14 -250.290000 N N N N/A N/A 000000000 1.000000 NC 337.290000 0.0002416 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 125000.000000 CAD 99026.030000 USD 2021-10-04 337.290000 N N N N/A N/A 000000000 1.000000 NC 36747.120000 0.0263258 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7301775.540000 DKK 1174095.330000 USD 2021-10-01 36747.120000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI1RRGQ0 4000000.000000 PA 2853119.460000 2.0439850 Long DBT NUSS AU N 2 2026-09-21 Fixed 0.5 N N N N N N N/A N/A 000000000 1.000000 NC -5259.820000 -0.0037682 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2130345.000000 ILS 658530.140000 USD 2022-08-01 -5259.820000 N N N N/A N/A 000000000 1.000000 NC 3000.230000 0.0021494 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1989000.000000 MXN 99121.410000 USD 2021-10-20 3000.230000 N N N N/A N/A 000000000 1.000000 NC -201.700000 -0.0001445 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 59000.000000 SGD 43244.240000 USD 2021-12-15 -201.700000 N N N N/A N/A 000000000 1.000000 NC 216.200000 0.0001549 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 311000.000000 SGD 229227.860000 USD 2021-12-15 216.200000 N N N N/A N/A 000000000 1.000000 NC 1774.290000 0.0012711 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 231000.000000 SGD 171876.190000 USD 2021-12-15 1774.290000 N N N N/A N/A 000000000 1.000000 NC -834.210000 -0.0005976 N/A DFE CZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 34793.000000 USD 743145.980000 CZK 2021-10-14 -834.210000 N N N N/A N/A 000000000 1.000000 NC -767.530000 -0.0005499 N/A DFE CZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 34720.000000 USD 743007.510000 CZK 2021-10-14 -767.530000 N N N N/A N/A 000000000 1.000000 NC -604.760000 -0.0004333 N/A DFE CZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 26109.000000 USD 558128.490000 CZK 2021-10-14 -604.760000 N N N AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA) 95980020140005848404 B081RMII3 100000.000000 PA 154814.970000 0.1109100 Long DBT NUSS ES N 2 2035-04-26 Fixed 4.22 N N N N N N N/A N/A 000000000 1.000000 NC -194.780000 -0.0001395 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 97612.000000 USD 1401610708.000000 IDR 2021-11-15 -194.780000 N N N N/A N/A 000000000 1.000000 NC -185.870000 -0.0001332 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 195062.000000 USD 2803821188.000000 IDR 2021-11-15 -185.870000 N N N N/A N/A 000000000 1.000000 NC 1215.140000 0.0008705 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 311050.210000 USD 22787227.000000 RUB 2021-10-22 1215.140000 N N N N/A N/A 000000000 1.000000 NC -6003.210000 -0.0043007 N/A DFE TH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 197716.000000 USD 6489272.420000 THB 2021-12-15 -6003.210000 N N N N/A N/A 000000000 1.000000 NC 20.740000 0.0000149 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9453600.000000 KRW 8000.000000 USD 2021-10-28 20.740000 N N N N/A N/A 000000000 1.000000 NC 2.670000 0.0000019 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1181610.000000 KRW 1000.000000 USD 2021-10-28 2.670000 N N N N/A N/A 000000000 1.000000 NC 1930.670000 0.0013831 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 763074580.000000 KRW 646000.000000 USD 2021-10-28 1930.670000 N N N N/A N/A 000000000 1.000000 NC -262.340000 -0.0001879 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 163690.890000 USD 207000.000000 CAD 2021-10-04 -262.340000 N N N N/A N/A 000000000 1.000000 NC 1002.920000 0.0007185 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 308879.000000 USD 2000362.180000 CNY 2021-10-22 1002.920000 N N N N/A N/A 000000000 1.000000 NC -15129.740000 -0.0108390 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1430951.000000 USD 9089572.470000 DKK 2021-10-01 -15129.740000 N N N N/A N/A 000000000 1.000000 NC -12734.910000 -0.0091233 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1541733.000000 USD 9816167.760000 DKK 2021-10-01 -12734.910000 N N N N/A N/A 000000000 1.000000 NC -77.930000 -0.0000558 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 95759.000000 USD 1376631384.000000 IDR 2021-11-15 -77.930000 N N N N/A N/A 000000000 1.000000 NC -6158.630000 -0.0044121 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1219103.240000 USD 1757000.000000 NZD 2021-10-04 -6158.630000 N N N N/A N/A 000000000 1.000000 NC -1840.220000 -0.0013183 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 39608.000000 USD 150228.550000 PLN 2021-11-15 -1840.220000 N N N N/A N/A 000000000 1.000000 NC -1787.360000 -0.0012805 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 42225.000000 USD 160848.410000 PLN 2021-11-15 -1787.360000 N N N N/A N/A 000000000 1.000000 NC 12286.770000 0.0088023 N/A DFE CH N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 641000.000000 CHF 700823.870000 USD 2021-11-17 12286.770000 N N N N/A N/A 000000000 1.000000 NC 44274.380000 0.0317183 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 8656185.000000 DKK 1392589.800000 USD 2021-10-01 44274.380000 N N N N/A N/A 000000000 1.000000 NC 15228.490000 0.0109097 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9055229.640000 DKK 1430951.000000 USD 2022-04-01 15228.490000 N N N N/A N/A 000000000 1.000000 NC 12828.020000 0.0091900 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9779166.170000 DKK 1541733.000000 USD 2022-04-01 12828.020000 N N N N/A N/A 000000000 1.000000 NC 173401.780000 0.1242257 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4606000.000000 GBP 6379738.360000 USD 2021-11-17 173401.780000 N N N N/A N/A 000000000 1.000000 NC 6153.200000 0.0044082 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1757000.000000 NZD 1218902.940000 USD 2021-11-02 6153.200000 N N N N/A N/A 000000000 1.000000 NC 353.790000 0.0002535 N/A DFE SG N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 113000.000000 SGD 83563.810000 USD 2021-12-15 353.790000 N N N N/A N/A 000000000 1.000000 NC -1665.920000 -0.0011935 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y Single Leg Swap 2024-06-21 0.000000 EUR -23888.330000 EUR 200000.000000 EUR 22222.410000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 282000.000000 PA USD 277581.860000 0.1988606 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 1.000000 NC 7969.800000 0.0057096 N/A DCR NL N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 SHELL INTERNATIONAL FINANCE BV SHELL INTERNATIONAL FIN Y Single Leg Swap 2026-12-22 5331.250000 EUR 0.000000 EUR 200000.000000 EUR 2638.550000 N N N N/A N/A 000000000 1.000000 NC -4852.070000 -0.0034760 N/A DFE GB N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 274341.280000 USD 200000.000000 GBP 2021-11-17 -4852.070000 N N N N/A N/A 000000000 1.000000 NC 52616.620000 0.0376947 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 10302261.000000 DKK 1657330.170000 USD 2021-10-01 52616.620000 N N N N/A N/A 000000000 1.000000 NC USD -12847.950000 -0.0092043 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 -19679.480000 USD 800000.000000 USD 6831.530000 N N N N/A N/A 000000000 1.000000 NC USD -14453.930000 -0.0103548 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 -22825.420000 USD 900000.000000 USD 8371.490000 N N N N/A N/A 000000000 1.000000 NC USD -4817.980000 -0.0034516 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 -7483.450000 USD 300000.000000 USD 2665.470000 N N N N/A N/A 000000000 1.000000 NC USD -6423.970000 -0.0046022 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 -9580.200000 USD 400000.000000 USD 3156.230000 N N N N/A N/A 000000000 1.000000 NC -5151.480000 -0.0036905 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 379706.020000 USD 518000.000000 AUD 2021-11-17 -5151.480000 N N N N/A N/A 000000000 1.000000 NC 1401.030000 0.0010037 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 388069.000000 USD 2525747.090000 CNY 2021-12-15 1401.030000 N N N N/A N/A 000000000 1.000000 NC -1023.470000 -0.0007332 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 203649.000000 USD 2925214236.000000 IDR 2021-12-15 -1023.470000 N N N N/A N/A 000000000 1.000000 NC -17763.580000 -0.0127259 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1020749.000000 USD 1189080718.000000 KRW 2021-12-15 -17763.580000 N N N N/A N/A 000000000 1.000000 NC -2803.720000 -0.0020086 N/A DFE MY N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 363582.700000 USD 1512989.400000 MYR 2021-10-22 -2803.720000 N N N N/A N/A 000000000 1.000000 NC 5593.240000 0.0040070 N/A DFE RU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 312604.400000 USD 23220130.020000 RUB 2021-10-22 5593.240000 N N N N/A N/A 000000000 1.000000 NC -5024.920000 -0.0035999 N/A DFE SG N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 199427.100000 USD 264000.000000 SGD 2021-12-15 -5024.920000 N N N N/A N/A 000000000 1.000000 NC 5857.190000 0.0041961 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1120000.000000 AUD 815704.850000 USD 2021-11-17 5857.190000 N N N N/A N/A 000000000 1.000000 NC -795.930000 -0.0005702 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 134000.000000 CAD 104998.400000 USD 2021-10-04 -795.930000 N N N N/A N/A 000000000 1.000000 NC -1706.450000 -0.0012225 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3904039.310000 CNY 600457.000000 USD 2021-12-15 -1706.450000 N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJQB0 259767.600000 PA 351381.560000 0.2517310 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 0.94979 N N N N N N N/A N/A 000000000 1.000000 NC -104.400000 -0.0000748 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2199375000.000000 IDR 153000.000000 USD 2021-11-01 -104.400000 N N N N/A N/A 000000000 -5900000.000000 NC USD -18.880000 -0.0000135 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 27098.430000 N N N N/A N/A 000000000 -3400000.000000 NC USD -10.880000 -0.0000078 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 15499.690000 N N N N/A N/A 000000000 -300000.000000 NC -41690.620000 -0.0298673 N/A DIR 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 DIR N/A IRS EUR R 0.45100 05/27/25-25Y LCH 2050-05-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.450000 EUR 2025-05-23 XXXX -18979.020000 N N N N/A N/A 000000000 2400000.000000 NC 12208.540000 0.0087462 N/A DIR US 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 N/A IRS EUR R 0.40000 01/27/22-10Y LCH 2032-01-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-01-25 XXXX -18117.140000 N N N N/A N/A 000000000 2200000.000000 NC 11191.170000 0.0080174 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.40000 01/27/22-10Y LCH 2032-01-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-01-25 XXXX -15751.490000 N N N BABSON EURO CLO 2015-1A BV N/A ACI0Y8ZQ5 138944.890000 PA 160925.540000 0.1152876 Long ABS-CBDO CORP IE N 2 2029-10-25 Floating 0.271 N N N N N N N/A N/A 000000000 -9700000.000000 NC -443.070000 -0.0003174 N/A DIR US N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 Call Written NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB OIS GBP R SONIO/0.01 02/07/22 LCH N/A N/A 2023-02-07 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.000000 GBP 2022-02-07 XXXX 12083.690000 N N N N/A N/A 000000000 -9700000.000000 NC -64469.310000 -0.0461860 N/A DIR US N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 Put Written NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB OIS GBP R SONIO/0.01 02/07/22 LCH N/A N/A 2023-02-07 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.000000 GBP 2022-02-07 XXXX -51942.550000 N N N N/A N/A 000000000 -1700000.000000 NC -77.650000 -0.0000556 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB OIS GBP R SONIO/0.01 02/07/22 LCH N/A N/A 2023-02-07 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.000000 GBP 2022-02-07 XXXX 2126.980000 N N N N/A N/A 000000000 -1700000.000000 NC -11298.750000 -0.0080945 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR GB OIS GBP R SONIO/0.01 02/07/22 LCH N/A N/A 2023-02-07 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.000000 GBP 2022-02-07 XXXX -9094.120000 N N N N/A N/A 000000000 -1900000.000000 NC -12628.010000 -0.0090468 N/A DIR US 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 OIS GBP R SONIO/0.01 02/07/22 LCH N/A N/A 2023-02-07 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.000000 GBP 2022-02-07 XXXX -10098.300000 N N N N/A N/A 000000000 -1900000.000000 NC -86.790000 -0.0000622 N/A DIR US 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 GB OIS GBP R SONIO/0.01 02/07/22 LCH N/A N/A 2023-02-07 0.000000 GBP 0.000000 GBP N/A GBP N/A 0.000000 GBP 2022-02-07 XXXX 2442.920000 N N N N/A N/A 000000000 -750000.000000 NC USD -5804.100000 -0.0041581 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 2.32000 01/27/22-30Y LCH N/A N/A 2052-01-27 0.000000 USD 0.000000 USD N/A USD N/A 0.020000 USD 2022-01-25 XXXX 14145.900000 N N N N/A N/A 000000000 1.000000 NC -51094.890000 -0.0366046 N/A DFE AU N 2 Australia and New Zealand Banking Group JHE42UYNWWTJB8YTTU19 -1130100.000000 USD 1500000.000000 AUD 2031-01-06 -58295.080000 N N N N/A N/A 000000000 1.000000 NC 52326.110000 0.0374866 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 -1035000.000000 USD 1500000.000000 AUD 2029-07-31 52100.840000 N N N N/A N/A 000000000 1.000000 NC 48976.160000 0.0350867 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 -966000.000000 USD 1400000.000000 AUD 2029-08-01 53886.310000 N N N N/A N/A 000000000 1.000000 NC 93777.680000 0.0671827 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 7017.480000 GBP 0.000000 GBP 200000.000000 GBP 86760.200000 N N N N/A N/A 000000000 1.000000 NC 43245.960000 0.0309816 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 0.000000 GBP 0.000000 GBP 100000.000000 GBP 43245.960000 N N N N/A N/A 000000000 1.000000 NC 36477.550000 0.0261326 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2050-11-15 0.000000 GBP 0.000000 GBP 100000.000000 GBP 36477.550000 N N N N/A N/A 000000000 1.000000 NC -129980.430000 -0.0931184 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP -7805.750000 GBP 480000.000000 GBP -122174.680000 N N N N/A N/A 000000000 1.000000 NC -24855.110000 -0.0178063 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP -21.850000 GBP 100000.000000 GBP -24833.260000 N N N N/A N/A 000000000 1.000000 NC -34768.650000 -0.0249084 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP 0.000000 GBP 140000.000000 GBP -34768.650000 N N N N/A N/A 000000000 1.000000 NC -52965.410000 -0.0379446 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2040-11-15 0.000000 GBP 0.000000 GBP 240000.000000 GBP -52965.410000 N N N N/A N/A 000000000 1.000000 NC 35601.180000 0.0255048 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 1996.180000 GBP 0.000000 GBP 280000.000000 GBP 33605.000000 N N N N/A N/A 000000000 1.000000 NC 16666.180000 0.0119397 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 0.000000 GBP 0.000000 GBP 140000.000000 GBP 16666.180000 N N N N/A N/A 000000000 1.000000 NC 15132.000000 0.0108406 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-11-15 0.000000 GBP 0.000000 GBP 140000.000000 GBP 15132.000000 N N N N/A N/A 000000000 1.000000 NC -58965.750000 -0.0422433 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-04-15 0.000000 GBP -6593.380000 GBP 700000.000000 GBP -52372.370000 N N N N/A N/A 000000000 1.000000 NC -21815.240000 -0.0156285 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-03-15 162.040000 GBP 0.000000 GBP 300000.000000 GBP -21977.280000 N N N N/A N/A 000000000 1.000000 NC 33137.920000 0.0237401 N/A DIR AU N 2 London Clearing house N/A AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2031-06-16 35727.310000 AUD 0.000000 AUD 2800000.000000 AUD -2589.390000 N N N N/A N/A 000000000 1.000000 NC -258331.720000 -0.1850698 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2031-06-16 0.000000 CAD -311359.170000 CAD 5400000.000000 CAD 53027.450000 N N N N/A N/A 000000000 1.000000 NC -8718.730000 -0.0062461 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 -7116.370000 CAD 400000.000000 CAD -1602.360000 N N N N/A N/A 000000000 1.000000 NC 6963.100000 0.0049884 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 -8858.370000 CAD 1100000.000000 CAD 15821.470000 N N N N/A N/A 000000000 1.000000 NC -2307.940000 -0.0016534 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2029-10-02 367.690000 CAD 0.000000 CAD 1400000.000000 CAD -2675.630000 N N N N/A N/A 000000000 1.000000 NC 12370.990000 0.0088626 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2049-03-08 0.000000 CAD 0.000000 CAD 400000.000000 CAD 12370.990000 N N N N/A N/A 000000000 1.000000 NC 26267.700000 0.0188183 N/A DIR CA N 2 London Clearing house N/A CAD-BA-CDOR 3M N/A N/A Y 2048-12-18 12945.550000 CAD 0.000000 CAD 400000.000000 CAD 13322.150000 N N N N/A N/A 000000000 1.000000 NC 11913.710000 0.0085350 N/A DIR CH N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 CHF-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2026-03-16 19210.880000 CHF 0.000000 CHF 600000.000000 CHF -7297.170000 N N N N/A N/A 000000000 1.000000 NC -17487.050000 -0.0125278 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-11-17 0.000000 EUR 0.000000 EUR 400000.000000 EUR -17487.050000 N N N N/A N/A 000000000 1.000000 NC -221400.670000 -0.1586122 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2027-03-16 0.000000 EUR -35975.220000 EUR 27900000.000000 EUR -185425.450000 N N N N/A N/A 000000000 1.000000 NC 28694.070000 0.0205565 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2024-03-18 18571.420000 EUR 0.000000 EUR 8700000.000000 EUR 10122.650000 N N N N/A N/A 000000000 1.000000 NC 15673.300000 0.0112284 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2050-05-27 0.000000 EUR 0.000000 EUR 100000.000000 EUR 15673.300000 N N N N/A N/A 000000000 1.000000 NC 30286.720000 0.0216975 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-11-18 0.000000 EUR 0.000000 EUR 200000.000000 EUR 30286.720000 N N N N/A N/A 000000000 1.000000 NC 904.580000 0.0006480 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-01-27 0.000000 EUR 0.000000 EUR 400000.000000 EUR 904.580000 N N N N/A N/A 000000000 1.000000 NC 252.110000 0.0001806 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-01-27 0.000000 EUR 0.000000 EUR 500000.000000 EUR 252.110000 N N N N/A N/A 000000000 1.000000 NC 21876.550000 0.0156724 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2032-03-16 154806.910000 EUR 0.000000 EUR 8100000.000000 EUR -132930.360000 N N N N/A N/A 000000000 1.000000 NC -1838.570000 -0.0013172 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2035-12-17 0.000000 EUR -8930.910000 EUR 100000.000000 EUR 7092.340000 N N N N/A N/A 000000000 1.000000 NC 1592.770000 0.0011411 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-03-18 0.000000 EUR -132978.620000 EUR 3200000.000000 EUR 134571.390000 N N N N/A N/A 000000000 1.000000 NC 4079.250000 0.0029224 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 6 Month ACT/360 Y 2052-09-23 0.000000 EUR -18756.950000 EUR 800000.000000 EUR 22836.200000 N N N N/A N/A 000000000 1.000000 NC -16271.830000 -0.0116572 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2029-06-19 0.000000 JPY -26194.590000 JPY 170000000.000000 JPY 9922.760000 N N N N/A N/A 000000000 1.000000 NC -68257.030000 -0.0488996 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2039-06-20 8604.040000 JPY 0.000000 JPY 480000000.000000 JPY -76861.070000 N N N N/A N/A 000000000 1.000000 NC -586.070000 -0.0004199 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 -10269.930000 JPY 100000000.000000 JPY 9683.860000 N N N BANC OF AMERICA FUNDING CORP 2005-8 N/A 05946XZ48 147997.640000 PA USD 140006.980000 0.1003015 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1289.410000 0.0009237 N/A DIR MY N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Klibor Interbank Offered Rate Y 2031-06-16 0.000000 MYR -255.320000 MYR 400000.000000 MYR 1544.730000 N N N N/A N/A 000000000 1.000000 NC 7091.620000 0.0050805 N/A DIR MY N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A Klibor Interbank Offered Rate Y 2031-06-16 234.040000 MYR 0.000000 MYR 2200000.000000 MYR 6857.580000 N N N N/A N/A 000000000 1.000000 NC 12571.500000 0.0090063 N/A DIR MY N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A Klibor Interbank Offered Rate Y 2031-06-16 0.000000 MYR -1459.110000 MYR 3900000.000000 MYR 14030.610000 N N N N/A N/A 000000000 1.000000 NC -970.980000 -0.0006956 N/A DIR NO N 2 London Clearing house N/A N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2026-03-10 340.160000 NOK 0.000000 NOK 6600000.000000 NOK -1311.140000 N N N N/A N/A 000000000 1.000000 NC -2810.080000 -0.0020132 N/A DIR NO N 2 London Clearing house N/A N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2025-03-18 0.000000 NOK 0.000000 NOK 2300000.000000 NOK -2810.080000 N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 56946.170000 PA USD 57642.000000 0.0412949 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.60639 N N N N N N N/A N/A 000000000 1.000000 NC 5197.920000 0.0037238 N/A DIR NO N 2 London Clearing house N/A N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2031-03-10 260.620000 NOK 0.000000 NOK 3500000.000000 NOK 4937.300000 N N N N/A N/A 000000000 1.000000 NC -6619.450000 -0.0047422 N/A DIR NO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A NOK-NIBOR-NIBR-Bloomberg 6M Y 2024-11-12 0.000000 NOK -11908.330000 NOK 1900000.000000 NOK 5288.880000 N N N N/A N/A 000000000 1.000000 NC 5328.730000 0.0038175 N/A DIR NZ N 2 London Clearing house N/A NZ$ Bank Bill 3M FRA N/A N/A Y 2025-12-16 0.000000 NZD -466.590000 NZD 150000.000000 NZD 5795.320000 N N N N/A N/A 000000000 1.000000 NC -1691.970000 -0.0012121 N/A DIR NZ N 2 London Clearing house N/A NZ$ Bank Bill 3M FRA N/A N/A Y 2024-03-18 0.000000 NZD -5.350000 NZD 100000.000000 NZD -1686.620000 N N N N/A N/A 000000000 1.000000 NC -85289.640000 -0.0611018 N/A DIR PL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-08-20 0.000000 PLN 0.000000 PLN 9400000.000000 PLN -85289.640000 N N N N/A N/A 000000000 1.000000 NC USD 409.110000 0.0002931 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-03-30 906.770000 USD 0.000000 USD 4200000.000000 USD -497.660000 N N N N/A N/A 000000000 1.000000 NC USD -260874.870000 -0.1868917 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-01-18 0.000000 USD -53998.700000 USD 5100000.000000 USD -206876.170000 N N N N/A N/A 000000000 1.000000 NC USD -58372.090000 -0.0418180 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-16 0.000000 USD -38608.050000 USD 2540000.000000 USD -19764.040000 N N N N/A N/A 000000000 1.000000 NC USD -15816.110000 -0.0113307 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-16 0.000000 USD -19640.790000 USD 700000.000000 USD 3824.680000 N N N N/A N/A 000000000 1.000000 NC USD -51011.320000 -0.0365447 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-06-16 0.000000 USD -48168.020000 USD 1000000.000000 USD -2843.300000 N N N N/A N/A 000000000 1.000000 NC USD -87.210000 -0.0000625 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-15 0.000000 USD -564.720000 USD 300000.000000 USD 477.510000 N N N N/A N/A 000000000 1.000000 NC USD 52036.080000 0.0372788 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-03-31 11202.290000 USD 0.000000 USD 765000.000000 USD 40833.790000 N N N N/A N/A 000000000 1.000000 NC USD 388184.540000 0.2780968 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-06-16 536008.500000 USD 0.000000 USD 5490000.000000 USD -147823.960000 N N N N/A N/A 000000000 1.000000 NC USD 85536.210000 0.0612784 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-06-16 71499.610000 USD 0.000000 USD 1250000.000000 USD 14036.600000 N N N N/A N/A 000000000 1.000000 NC USD 12371.450000 0.0088630 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-12-16 14130.950000 USD 0.000000 USD 1400000.000000 USD -1759.500000 N N N N/A N/A 000000000 1.000000 NC USD 306147.280000 0.2193250 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-12-16 0.000000 USD -89661.480000 USD 7700000.000000 USD 395808.760000 N N N N/A N/A 000000000 1.000000 NC USD 1695.690000 0.0012148 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 7808.960000 USD 0.000000 USD 300000.000000 USD -6113.270000 N N N N/A N/A 000000000 1.000000 NC USD 50319.150000 0.0360488 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2025-12-16 230844.680000 USD 0.000000 USD 8500000.000000 USD -180525.530000 N N N BANC OF AMERICA FUNDING CORP 2006-I N/A 05951VAH2 64993.730000 PA USD 56321.930000 0.0403492 Long ABS-MBS CORP US N 2 2046-10-20 Floating 3.15939 Y N N N N N N/A N/A 000000000 1.000000 NC USD 193802.880000 0.1388411 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-03-30 72611.380000 USD 0.000000 USD 1200000.000000 USD 121191.500000 N N N N/A N/A 000000000 1.000000 NC USD -73691.080000 -0.0527926 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 3900000.000000 USD -73691.080000 N N N N/A N/A 000000000 1.000000 NC USD 72760.320000 0.0521258 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2041-06-10 14769.690000 USD 0.000000 USD 800000.000000 USD 57990.630000 N N N N/A N/A 000000000 1.000000 NC USD -57313.700000 -0.0410597 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-15 0.000000 USD -112048.250000 USD 11500000.000000 USD 54734.550000 N N N N/A N/A 000000000 1.000000 NC USD -64332.010000 -0.0460877 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 3150000.000000 USD -64332.010000 N N N N/A N/A 000000000 1.000000 NC USD -69192.550000 -0.0495698 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 3600000.000000 USD -69192.550000 N N N N/A N/A 000000000 1.000000 NC USD 36258.180000 0.0259755 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2050-12-02 0.000000 USD -8790.000000 USD 300000.000000 USD 45048.180000 N N N N/A N/A 000000000 1.000000 NC USD 4109.010000 0.0029437 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-21 0.000000 USD -684.000000 USD 300000.000000 USD 4793.010000 N N N N/A N/A 000000000 1.000000 NC USD 8671.760000 0.0062125 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-21 0.000000 USD -5360.000000 USD 800000.000000 USD 14031.760000 N N N N/A N/A 000000000 1.000000 NC USD 5947.600000 0.0042609 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-08-11 0.000000 USD -5320.000000 USD 800000.000000 USD 11267.600000 N N N N/A N/A 000000000 1.000000 NC USD -54868.560000 -0.0393080 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-02-02 0.000000 USD -6915.000000 USD 600000.000000 USD -47953.560000 N N N N/A N/A 000000000 1.000000 NC USD 7387.800000 0.0052926 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2028-12-15 19426.440000 USD 0.000000 USD 1000000.000000 USD -12038.640000 N N N N/A N/A 000000000 1.000000 NC USD 70.940000 0.0000508 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-07-15 0.000000 USD -930.500000 USD 200000.000000 USD 1001.440000 N N N N/A N/A 000000000 1.000000 NC USD 8264.230000 0.0059205 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2052-01-29 0.000000 USD 0.000000 USD 150000.000000 USD 8264.230000 N N N N/A N/A 000000000 1.000000 NC USD -11881.200000 -0.0085117 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-10-15 0.000000 USD 0.000000 USD 800000.000000 USD -11881.200000 N N N N/A N/A 000000000 1.000000 NC USD 17181.480000 0.0123089 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-12-15 23966.600000 USD 0.000000 USD 1200000.000000 USD -6785.120000 N N N N/A N/A 000000000 1.000000 NC USD -8386.400000 -0.0060080 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-12-15 0.000000 USD -14337.200000 USD 500000.000000 USD 5950.800000 N N N N/A N/A 000000000 1.000000 NC USD -97298.190000 -0.0697048 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-12-21 0.000000 USD -61002.900000 USD 2900000.000000 USD -36295.290000 N N N N/A N/A 000000000 1.000000 NC USD -7424.320000 -0.0053188 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-22 0.000000 USD -2130.000000 USD 300000.000000 USD -5294.320000 N N N N/A N/A 000000000 1.000000 NC USD -7889.540000 -0.0056521 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-15 0.000000 USD -2227.500000 USD 300000.000000 USD -5662.040000 N N N N/A N/A 000000000 1.000000 NC USD -4784.400000 -0.0034276 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-08-31 0.000000 USD 0.000000 USD 150000.000000 USD -4784.400000 N N N N/A N/A 000000000 1.000000 NC USD 8320.180000 0.0059606 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2031-10-06 0.000000 USD 0.000000 USD 210000.000000 USD 8320.180000 N N N N/A N/A 000000000 1.000000 NC USD -6538.600000 -0.0046843 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-06-23 0.000000 USD -1512.000000 USD 200000.000000 USD -5026.600000 N N N N/A N/A 000000000 1.000000 NC USD -16633.210000 -0.0119161 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-08-31 0.000000 USD 0.000000 USD 400000.000000 USD -16633.210000 N N N N/A N/A 000000000 1.000000 NC USD 47624.400000 0.0341183 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-12-15 114025.800000 USD 0.000000 USD 1500000.000000 USD -66401.400000 N N N N/A N/A 000000000 1.000000 NC USD -19053.450000 -0.0136500 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-12-15 0.000000 USD -21827.640000 USD 500000.000000 USD 2774.190000 N N N N/A N/A 000000000 1.000000 NC USD -11541.120000 -0.0082681 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-09-18 0.000000 USD 0.000000 USD 300000.000000 USD -11541.120000 N N N N/A N/A 000000000 1.000000 NC USD -23767.480000 -0.0170271 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2051-12-27 0.000000 USD 0.000000 USD 400000.000000 USD -23767.480000 N N N N/A N/A 000000000 1.000000 NC USD -133867.080000 -0.0959029 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 -150927.230000 USD 10800000.000000 USD 17060.150000 N N N N/A N/A 000000000 1.000000 NC USD 174493.340000 0.1250077 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-12-20 298012.950000 USD 0.000000 USD 2100000.000000 USD -123519.610000 N N N N/A N/A 000000000 1.000000 NC USD -301859.270000 -0.2162531 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-06-19 0.000000 USD -85463.990000 USD 3000000.000000 USD -216395.280000 N N N N/A N/A 000000000 1.000000 NC USD -1665.930000 -0.0011935 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 6300000.000000 USD -1665.930000 N N N N/A N/A 000000000 1.000000 NC USD 153.920000 0.0001103 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 3300000.000000 USD 153.920000 N N N N/A N/A 000000000 1.000000 NC USD -43.690000 -0.0000313 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 1100000.000000 USD -43.690000 N N N N/A N/A 000000000 1.000000 NC USD 108.110000 0.0000775 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 1400000.000000 USD 108.110000 N N N N/A N/A 000000000 1.000000 NC USD -451.480000 -0.0003234 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 2000000.000000 USD -451.480000 N N N N/A N/A 000000000 1.000000 NC USD -4024.270000 -0.0028830 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 -940.870000 USD 12800000.000000 USD -3083.400000 N N N N/A N/A 000000000 1.000000 NC USD -958.150000 -0.0006864 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 2900000.000000 USD -958.150000 N N N N/A N/A 000000000 1.000000 NC USD -2968.750000 -0.0021268 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2022-06-19 682.500000 USD 0.000000 USD 9100000.000000 USD -3651.250000 N N N N/A N/A 000000000 1.000000 NC USD 1009.210000 0.0007230 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2024-09-06 426.770000 USD 0.000000 USD 4400000.000000 USD 582.440000 N N N N/A N/A 000000000 1.000000 NC USD -10765.670000 -0.0077126 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 -5530.770000 USD 41600000.000000 USD -5234.900000 N N N N/A N/A 000000000 1.000000 NC 20164.250000 0.0144457 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 32730.490000 ZAR 0.000000 ZAR 7100000.000000 ZAR -12566.240000 N N N N/A N/A 000000000 1.000000 NC -17882.300000 -0.0128109 N/A DIR CH N 2 London Clearing house N/A N/A SARON Fixing 3 Y 2026-09-15 0.000000 CHF -7821.600000 CHF 2400000.000000 CHF -10060.700000 N N N N/A N/A 000000000 1.000000 NC 43769.730000 0.0313568 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2023-02-07 29790.570000 GBP 0.000000 GBP 6650000.000000 GBP 13979.160000 N N N N/A N/A 000000000 1.000000 NC -37522.900000 -0.0268815 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2024-03-18 0.000000 GBP -16525.050000 GBP 3300000.000000 GBP -20997.850000 N N N N/A N/A 000000000 1.000000 NC -2222.080000 -0.0015919 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2027-03-16 0.000000 GBP -490.140000 GBP 100000.000000 GBP -1731.940000 N N N N/A N/A 000000000 1.000000 NC -108079.550000 -0.0774286 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2032-03-16 21658.590000 GBP 0.000000 GBP 3600000.000000 GBP -129738.140000 N N N N/A N/A 000000000 1.000000 NC 116597.300000 0.0835307 N/A DIR GB N 2 London Clearing house N/A SONIA O/N Deposit Rates Swap N/A N/A Y 2052-03-18 0.000000 GBP -22823.690000 GBP 1300000.000000 GBP 139420.990000 N N N N/A N/A 000000000 1.000000 NC 6622.830000 0.0047446 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2051-12-15 6811.640000 JPY 0.000000 JPY 30000000.000000 JPY -188.810000 N N N N/A N/A 000000000 1.000000 NC 19013.580000 0.0136214 N/A DIR SG N 2 London Clearing house N/A N/A Singapore Domestic Interbank Overnight Rate Average Y 2031-09-15 0.000000 SGD -9094.130000 SGD 1200000.000000 SGD 28107.710000 N N N N/A N/A 000000000 1.000000 NC 3168.930000 0.0022702 N/A DIR SG N 2 London Clearing house N/A N/A Singapore Domestic Interbank Overnight Rate Average Y 2031-09-15 0.000000 SGD -1550.690000 SGD 200000.000000 SGD 4719.620000 N N N N/A N/A 000000000 1.000000 NC 584.180000 0.0004185 N/A DIR SG N 2 London Clearing house N/A N/A Singapore Domestic Interbank Overnight Rate Average Y 2031-12-15 0.000000 SGD -1558.820000 SGD 300000.000000 SGD 2143.000000 N N N N/A N/A 000000000 1.000000 NC 14021.230000 0.0100449 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -34.310000 BRL 5400000.000000 BRL 14055.540000 N N N N/A N/A 000000000 1.000000 NC 33437.450000 0.0239547 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 13100000.000000 BRL 33437.450000 N N N N/A N/A 000000000 1.000000 NC 17673.830000 0.0126616 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -7.210000 BRL 6800000.000000 BRL 17681.040000 N N N N/A N/A 000000000 1.000000 NC 9704.770000 0.0069525 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -3.510000 BRL 3800000.000000 BRL 9708.280000 N N N N/A N/A 000000000 1.000000 NC 13239.730000 0.0094850 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 5200000.000000 BRL 13239.730000 N N N N/A N/A 000000000 1.000000 NC 11766.790000 0.0084298 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 4700000.000000 BRL 11766.790000 N N N N/A N/A 000000000 1.000000 NC -88829.080000 -0.0636375 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -495.390000 BRL 62100000.000000 BRL -88333.690000 N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1FC9D3 500000.000000 PA 581063.060000 0.4162757 Long DBT CORP IT N 2 2022-05-25 Floating 0.951 N N N N N N N/A N/A 000000000 1.000000 NC -3006.000000 -0.0021535 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL 0.000000 BRL 1600000.000000 BRL -3006.000000 N N N N/A N/A 000000000 1.000000 NC -63433.480000 -0.0454440 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -853.900000 BRL 34100000.000000 BRL -62579.580000 N N N N/A N/A 000000000 1.000000 NC 12249.960000 0.0087759 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -16720.040000 BRL 11100000.000000 BRL 28970.000000 N N N N/A N/A 000000000 1.000000 NC -34649.110000 -0.0248227 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2022-01-03 0.000000 BRL -3518.760000 BRL 21900000.000000 BRL -31130.350000 N N N BANCA CARIGE SPA F1T87K3OQ2OV1UORLH26 ACI1BW9L5 600000.000000 PA 695399.150000 0.4981864 Long DBT CORP IT N 2 2021-10-25 Floating 1.151 N N N N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI1FY8R5 300000.000000 PA 362177.670000 0.2594654 Long DBT CORP IT N 2 2027-10-08 Fixed 0.875 N N N N N N N/A N/A 000000000 1.000000 NC 3595.470000 0.0025758 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2025-01-02 2498.310000 BRL 0.000000 BRL 400000.000000 BRL 1097.160000 N N N N/A N/A 000000000 1.000000 NC 9053.560000 0.0064860 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 TESCO PLC TESCO PLC UNSUB EMTN Y Single Leg Swap 2025-06-21 4576.350000 EUR 0.000000 EUR 400000.000000 EUR 4477.210000 N N N N/A N/A 000000000 1.000000 NC -9485.360000 -0.0067953 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4135709.610000 USD 5226311.000000 CAD 2021-10-04 -9485.360000 N N N N/A N/A 000000000 1.000000 NC -413.520000 -0.0002962 N/A DFE ID N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 101954.000000 USD 1465894612.000000 IDR 2021-12-15 -413.520000 N N N N/A N/A 000000000 1.000000 NC 131.920000 0.0000945 N/A DFE CN N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 3542674.180000 CNY 546558.000000 USD 2021-12-15 131.920000 N N N N/A N/A 000000000 1.000000 NC 16877.850000 0.0120914 N/A DFE MX N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 10686000.000000 MXN 530072.670000 USD 2021-12-03 16877.850000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 BJSF9FII4 100000.000000 PA 121191.250000 0.0868218 Long DBT CORP IT N 2 2024-09-24 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC -281896.190000 -0.2019514 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 20174384.640000 USD 17158897.200000 EUR 2021-11-17 -281896.190000 N N N N/A N/A 000000000 1.000000 NC 629.630000 0.0004511 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 30081.420000 USD 2252226.000000 RUB 2021-11-22 629.630000 N N N N/A N/A 000000000 1.000000 NC -11143.810000 -0.0079835 N/A DFE SE N 2 UBS AG BFM8T61CT2L1QCEMIK50 1261181.600000 USD 10940000.000000 SEK 2021-11-17 -11143.810000 N N N BANCO BRADESCO SA/CAYMAN ISLANDS BRANCH N/A 05947KAY6 300000.000000 PA USD 305028.000000 0.2185232 Long DBT CORP BR N 2 2023-01-27 Fixed 2.85 N N N N N N N/A N/A 000000000 55.000000 NC -801.020000 -0.0005739 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Purchased Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ECTRVYYCEF89VWYS6K36 000000000 0.000000 NC 0.000000 0.000000 DIR GB N/A N/A FIN FUT UK GILT ICE 12/29/21 2021-12-30 N/A GBP N/A 145.000000 GBP 2021-11-26 XXXX -801.020000 N N N N/A N/A 000000000 -55.000000 NC 287476.860000 0.2059495 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2021-12-29 -9274492.370000 GBP 287476.860000 N N N N/A N/A 000000000 -1471000.000000 NC USD -24787.820000 -0.0177581 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written None N/A N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2022-02-11 N/A 1.260000 USD 2022-02-11 XXXX -10273.460000 N N N N/A N/A 000000000 -11.000000 NC USD 18328.460000 0.0131306 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -1448992.180000 USD 18328.460000 N N N N/A N/A 000000000 61.000000 NC USD -190709.790000 -0.1366252 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-12-21 8872164.030000 USD -190709.790000 N N N N/A N/A 000000000 162.000000 NC USD -118552.890000 -0.0849317 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-12-31 19892460.980000 USD -118552.890000 N N N N/A N/A 000000000 -2.000000 NC USD 9372.120000 0.0067142 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -319031.250000 USD 9372.120000 N N N N/A N/A 000000000 -4.000000 NC USD 31181.540000 0.0223386 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -766437.500000 USD 31181.540000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAL9 200000.000000 PA USD 202661.420000 0.1451874 Long DBT CORP ES N 2 2026-03-25 Fixed 1.849 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 500000.000000 PA USD 536107.120000 0.3840691 Long DBT CORP GB N 2 2022-11-21 Fixed 7.625 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBN4 300000.000000 PA USD 332439.000000 0.2381605 Long DBT CORP GB N 2 2025-12-15 Floating 6.125 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI0G5LH6 200000.000000 PA 284863.310000 0.2040771 Long DBT CORP GB N 2 2022-09-15 Floating 7.875 N N N N Y BARCLAYS PLC GBP XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBB0 400000.000000 PA USD 423522.860000 0.3034133 Long DBT CORP GB N 2 2024-05-16 Floating 4.338 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI137384 250000.000000 PA 184738.740000 0.1323475 Long DBT CORP GB N 2 2023-06-15 Floating 1.811 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CR5G0 500000.000000 PA 377077.490000 0.2701397 Long DBT CORP GB N 2 2024-06-26 Floating 2.1669 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAP0 200000.000000 PA USD 229157.000000 0.1641689 Long DBT CORP GB N 2 2026-05-12 Fixed 5.2 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAW5 400000.000000 PA USD 452369.930000 0.3240794 Long DBT CORP GB N 2 2028-05-09 Fixed 4.836 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAG8 300000.000000 PA USD 304101.680000 0.2178595 Long DBT CORP US N 2 2023-12-15 Floating 1.126 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 200000.000000 PA USD 221179.590000 0.1584539 Long DBT CORP US N 2 2025-12-15 Fixed 4.25 N N N N N N BCAP LLC TRUST 2006-AA2 N/A 05530MAA7 127082.450000 PA USD 126610.060000 0.0907039 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.426 Y N N N N N BCAP LLC TRUST 2011-RR4 N/A 05533XAA0 390957.740000 PA USD 285013.310000 0.2041846 Long ABS-MBS CORP US N 2 2037-04-26 Fixed 5.25 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 48365.310000 PA USD 43928.990000 0.0314709 Long ABS-MBS CORP US N 2 2046-12-26 Floating 2.7271 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWG3 2880.680000 PA USD 3027.810000 0.0021691 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.48876 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN32 6706.860000 PA USD 6716.740000 0.0048119 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.47991 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-2 N/A 07384MN57 5281.660000 PA USD 4992.890000 0.0035769 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.66612 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2004-9 N/A 07384M3D2 1769.640000 PA USD 1803.410000 0.0012920 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.72739 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 97897.230000 PA USD 97954.790000 0.0701752 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.15113 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7 N/A 07384MYW6 2305.980000 PA USD 2388.670000 0.0017113 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.36564 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 61607.030000 PA USD 47849.390000 0.0342795 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.90988 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 67979.890000 PA USD 59437.900000 0.0425815 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.05681 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-5 N/A 073873AK7 112974.680000 PA USD 73071.090000 0.0523484 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.44522 Y N N N N N BGCLO 19A N/A 09075JAL3 500000.000000 PA USD 500624.180000 0.3586490 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 1.246 N N N N N N BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A N/A ACI1VBS38 250000.000000 PA 290402.710000 0.2080455 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.65 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAE0 200000.000000 PA USD 213050.690000 0.1526303 Long DBT CORP SG N 2 2027-09-18 Fixed 3.5 N N N N N N BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST 635400GSHSFIWYIDXC76 11043XAB9 86765.840000 PA USD 87217.400000 0.0624829 Long DBT CORP US N 2 2030-12-15 Fixed 3.35 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAN1 400000.000000 PA USD 432405.820000 0.3097771 Long DBT CORP US N 2 2026-09-15 Fixed 3.459 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429BE8 29000.000000 PA USD 30132.150000 0.0215868 Long DBT CORP US N 2 2023-03-15 Fixed 3.65 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087D35 -600000.000000 PA -552429.960000 -0.3957628 Short DBT NUSS CA N 2 2048-12-01 Fixed 2.75 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087ZH0 123071.000000 PA 124507.410000 0.0891976 Long DBT NUSS CA N 2 2044-12-01 Fixed 1.5 N N N N N N CATHEDRAL LAKE CLO LTD 2015-2A N/A 14918MAW3 470353.540000 PA USD 470516.780000 0.3370799 Long ABS-CBDO CORP KY N 2 2029-07-16 Floating 0.97613 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 15189WAK6 100000.000000 PA USD 104287.130000 0.0747117 Long DBT CORP US N 2 2023-04-01 Fixed 3.55 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 900000.000000 PA USD 922974.170000 0.6612220 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175AZ7 600000.000000 PA USD 789953.840000 0.5659258 Long DBT CORP US N 2 2035-10-23 Fixed 6.384 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A2 N/A 16163LAQ5 14307.990000 PA USD 13517.560000 0.0096840 Long ABS-MBS CORP US N 2 2037-07-25 Variable 2.90917 Y N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-3A N/A 16678RDT1 298737.890000 PA USD 292773.860000 0.2097442 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.266 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI19HN43 1200000.000000 PA 190407.840000 0.1364089 Long DBT CORP CN N 2 2026-02-26 Fixed 3.68 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BDG28WII3 14900000.000000 PA 2407836.680000 1.7249828 Long DBT CORP CN N 2 2027-04-10 Fixed 4.04 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 BD0F7YII8 5200000.000000 PA 803936.910000 0.5759433 Long DBT CORP CN N 2 2026-08-25 Fixed 3.05 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 ACI0XJLS3 11900000.000000 PA 1944174.000000 1.3928132 Long DBT CORP CN N 2 2027-08-24 Fixed 4.24 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI1MYJT1 18000000.000000 PA 2791163.620000 1.9995996 Long DBT NUSS CN N 2 2027-06-04 Fixed 2.85 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI1T9Y39 29200000.000000 PA 4659551.200000 3.3381192 Long DBT NUSS CN N 2 2027-12-03 Fixed 3.28 N N N N N N CHINA GOVT 300300CHN201808MOF68 ACI1SD6B4 5800000.000000 PA 909586.190000 0.6516308 Long DBT NUSS CN N 2 2025-10-22 Fixed 3.02 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 500000.000000 PA USD 500250.000000 0.3583809 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 1.07525 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV1 N/A 17329PAY8 587888.540000 PA USD 597104.050000 0.4277675 Long ABS-MBS CORP US N 2 2051-05-25 Variable 2.5 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV2 N/A 17329RAY4 198448.010000 PA USD 201558.800000 0.1443974 Long ABS-MBS CORP US N 2 2051-05-25 Variable 2.5 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3 N/A 17329VBA6 300000.000000 PA USD 303515.630000 0.2174397 Long ABS-MBS CORP US N 2 2051-05-25 Variable 2.5 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G2Z0 163927.610000 PA USD 172476.570000 0.1235628 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.48 Y N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXQ6 6113.120000 PA USD 6458.950000 0.0046272 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.21 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-OPT4 N/A 17307GUW6 500000.000000 PA USD 499635.000000 0.3579403 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.076 N N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 500000.000000 PA 3022.580000 0.0021654 Long DBT MUN AR N 2 2022-01-23 Floating 39.1188 N N N N N N CLECO POWER LLC TM1ZH54SJKLNHFCBFK92 185508AH1 100000.000000 PA USD 100032.940000 0.0716640 Long DBT CORP US N 2 2023-06-15 Floating 0.61575 N N N N N N CONSECO FINANCE SECUR CORP 2001-1 N/A 20846QGC6 603277.440000 PA USD 640462.190000 0.4588294 Long ABS-O CORP US N 2 2031-07-01 Variable 7.49 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDE1 600000.000000 PA USD 639446.260000 0.4581016 Long DBT CORP NL N 2 2023-09-26 Fixed 3.875 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 74977RDD3 500000.000000 PA USD 507346.130000 0.3634646 Long DBT CORP NL N 2 2023-09-26 Floating 0.99225 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 214286.230000 PA USD 190549.510000 0.1365104 Long ABS-MBS CORP US N 2 2046-12-20 Floating 0.28238 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668AGT6 14790.680000 PA USD 14176.720000 0.0101563 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.13211 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-56 N/A 12668ALV5 14780.600000 PA USD 13873.470000 0.0099390 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.59211 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-81 N/A 12668BBN2 76880.830000 PA USD 68050.940000 0.0487519 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.646 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB N/A 021467AA3 100316.130000 PA USD 73109.920000 0.0523762 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OC11 N/A 23244JAC0 152.570000 PA USD 1889.410000 0.0013536 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.426 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1 N/A 02150GAN8 37215.410000 PA USD 12160.650000 0.0087119 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.436 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB N/A 02152AAY5 20419.620000 PA USD 15187.710000 0.0108805 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2 N/A 02147BAJ4 42817.230000 PA USD 26578.670000 0.0190411 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63 N/A 12668AXF7 115144.310000 PA USD 113444.810000 0.0812723 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.90265 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 134895.970000 PA USD 106968.660000 0.0766327 Long ABS-MBS CORP US N 2 2046-07-20 Floating 0.29738 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1 N/A 126694A32 65311.980000 PA USD 55802.270000 0.0399769 Long ABS-MBS CORP US N 2 2046-03-20 Floating 0.50738 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB N/A 12667GKC6 9451.150000 PA USD 8968.080000 0.0064248 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 5.25 Y N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-25 N/A 12667TAE5 889036.830000 PA USD 877859.680000 0.6289018 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.306 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714M5 86455.020000 PA USD 84923.750000 0.0608397 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.486 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 78273.870000 PA USD 77460.420000 0.0554929 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.826 N N N N N N COUNTRYWIDE HOME LOANS 2004-12 N/A 12669FN58 418.320000 PA USD 427.840000 0.0003065 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.88695 Y N N N N N COUNTRYWIDE HOME LOANS 2004-16 N/A 12669FY23 2951.070000 PA USD 3003.170000 0.0021515 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.846 N N N N N N COUNTRYWIDE HOME LOANS 2004-22 N/A 12669F6Z1 5837.800000 PA USD 5946.210000 0.0042599 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.80221 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 3827.060000 PA USD 3881.110000 0.0027804 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.746 N N N N N N COUNTRYWIDE HOME LOANS 2005-1 N/A 12669GRM5 30941.440000 PA USD 28543.000000 0.0204483 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.726 N N N N N N COUNTRYWIDE HOME LOANS 2005-11 N/A 12669GUX7 282026.780000 PA USD 231469.450000 0.1658255 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.686 N N N N N N COUNTRYWIDE HOME LOANS 2005-18 N/A 126694EK0 41283.630000 PA USD 31764.610000 0.0227563 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 5.5 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 3224.310000 PA USD 3184.510000 0.0022814 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.726 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 4672.640000 PA USD 4555.990000 0.0032639 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.666 N N N N N N COUNTRYWIDE HOME LOANS 2005-4 N/A 12669GML2 287735.930000 PA USD 282634.660000 0.2024805 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.706 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZQ7 35982.140000 PA USD 31742.170000 0.0227402 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.546 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB9 N/A 126670LE6 186202.270000 PA USD 188278.350000 0.1348833 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.10925 Y N N N N N COUNTRYWIDE HOME LOANS 2006-OA4 N/A 126694F29 959930.020000 PA USD 342422.400000 0.2453126 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.626 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AD3 63018.260000 PA USD 60213.970000 0.0431375 Long ABS-MBS CORP US N 2 2047-05-25 Floating 2.55766 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 15075.580000 PA USD 8912.920000 0.0063852 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.146 N N N N N N CREDIT SUISSE AG/ ZURICH BRANCH ANGGYXNX0JLX3X63JN86 22546DAA4 400000.000000 PA USD 438669.600000 0.3142645 Long DBT CORP CH N 2 2023-08-08 Fixed 6.5 N N N N N N CREDIT SUISSE AG/NEW YORK BRANCH 549300D0YARF5HYP1809 22550L2A8 500000.000000 PA USD 501054.080000 0.3589569 Long DBT CORP CH N 2 2021-11-12 Fixed 2.1 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AR9 200000.000000 PA USD 209750.000000 0.1502657 Long DBT CORP CH N 2 2027-02-11 Floating 5.25 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AT8 600000.000000 PA USD 632334.120000 0.4530064 Long DBT CORP CH N 2 2023-06-09 Fixed 3.8 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-5R N/A 12640QAE3 104272.670000 PA USD 38931.930000 0.0278910 Long ABS-MBS CORP US N 2 2036-07-26 Fixed 6.5 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL9 N/A 12654WAC7 430021.910000 PA USD 433416.670000 0.3105013 Long ABS-MBS CORP US N 2 2059-10-27 Fixed 2.96128 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 289.590000 PA USD 285.200000 0.0002043 Long ABS-MBS CORP US N 2 2032-01-25 Floating 0.706 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-8 N/A 22541NX20 166.910000 PA USD 174.420000 0.0001250 Long ABS-MBS CORP US N 2 2033-04-25 Fixed 6.5 N N N N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 99367.860000 PA USD 101251.570000 0.0725370 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 250000.000000 PA 289601.960000 0.2074719 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.65 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CV0 14000.000000 PA USD 14622.700000 0.0104758 Long DBT CORP US N 2 2023-03-09 Fixed 3.7 N N N N N N DBS BANK LTD ATUEL7OJR5057F2PV266 23304RAB1 200000.000000 PA USD 200853.000000 0.1438918 Long DBT CORP SG N 2 2021-11-27 Fixed 3.3 N N N N N N DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4 N/A 251513BD8 121333.770000 PA USD 122387.840000 0.0876791 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.386 Y N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1J0CL3 200000.000000 PA 244152.590000 0.1749118 Long DBT CORP DE N 2 2027-01-20 Fixed 1.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI183TV9 300000.000000 PA 380666.870000 0.2727111 Long DBT CORP DE N 2 2026-02-12 Fixed 2.625 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1SQBN3 200000.000000 PA 244183.870000 0.1749342 Long DBT CORP DE N 2 2030-11-19 Floating 1.75 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 ACI1VTLL6 200000.000000 PA 266637.020000 0.1910197 Long DBT CORP DE N 2 2028-12-22 Floating 1.875 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 251525AP6 200000.000000 PA USD 215107.440000 0.1541037 Long DBT CORP DE N 2 2025-04-01 Fixed 4.5 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CK3 150000.000000 PA USD 152318.720000 0.1091217 Long DBT CORP DE Y 2 2032-05-28 Floating 3.035 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CD9 200000.000000 PA USD 213578.710000 0.1530086 Long DBT CORP DE N 2 2031-09-18 Floating 3.547 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 1100000.000000 PA USD 1101190.480000 0.7888968 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 500000.000000 PA USD 540989.470000 0.3875668 Long DBT CORP DE N 2 2025-11-26 Floating 3.961 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CF4 200000.000000 PA USD 206658.590000 0.1480510 Long DBT CORP DE Y 2 2032-01-14 Floating 3.729 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 25160PAE7 200000.000000 PA USD 236354.920000 0.1693255 Long DBT CORP DE N 2 2031-07-08 Floating 5.882 N N N N Y DEUTSCHE BANK AG EUR XXXX N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 25214BAY0 400000.000000 PA USD 411328.400000 0.2946771 Long DBT NUSS FR N 2 2024-10-16 Fixed 1.625 N N N N N N DORCHESTER PARK CLO LTD 2015-1A N/A 25820NAA2 263130.270000 PA USD 263558.440000 0.1888142 Long ABS-CBDO CORP IE N 2 2028-04-20 Floating 1.03425 N N N N N N DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST N/A 258258AA0 85239.330000 PA USD 85058.700000 0.0609364 Long DBT CORP GG N 2 2024-11-30 Fixed 5.125 N N N N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAL2 200000.000000 PA USD 209626.200000 0.1501770 Long DBT CORP NL N 2 2024-09-10 Fixed 2.65 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 385180.650000 PA 509912.660000 0.3653033 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 0.21963 N N N N N N EUROPEAN INVESTMENT BANK (EIB) 5493006YXS1U5GIHE750 B5374VII9 600000.000000 PA 435139.110000 0.3117352 Long DBT CORP N/A N 2 2023-07-21 Fixed 0.5 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 315000.360000 PA 424058.300000 0.3037969 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 1.01713 N N N N N N FAIRFAX FINANCIAL HOLDINGS LIMITED GLS7OQD0WOEDI8YAP031 BD9MMZII4 300000.000000 PA 384543.270000 0.2754882 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 1025.340000 PA USD 1022.080000 0.0007322 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 0.206 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 1097.890000 PA USD 1089.870000 0.0007808 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 0.236 N N N N N N FANNIE MAE 2006-48 N/A 31395NLE5 10085.760000 PA USD 10187.480000 0.0072983 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 0.486 N N N N N N FANNIEMAE WHOLE LOAN 2004-W12 N/A 31394A6Y7 11819.260000 PA USD 13645.910000 0.0097760 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3128JNTU9 10170.170000 PA USD 10309.820000 0.0073860 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 2.093 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDZD4 653.530000 PA USD 657.160000 0.0004708 Long ABS-MBS USGSE US N 2 2029-02-01 Floating 2.462 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJVZ0 228144.730000 PA USD 241317.920000 0.1728810 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KKUC1 638622.300000 PA USD 661508.570000 0.4739071 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLA56 187968.530000 PA USD 195128.470000 0.1397907 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLBK2 277199.820000 PA USD 287657.760000 0.2060791 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KMDF9 98500.580000 PA USD 105609.990000 0.0756594 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYR92 79079.740000 PA USD 83855.590000 0.0600744 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 3.5 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-35 N/A 313398VT3 9273.160000 PA USD 9207.410000 0.0065962 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 0.366 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-62 N/A 31395HHV5 17770.530000 PA USD 18238.070000 0.0130658 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 1.29211 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 ACI1C01S7 100000.000000 PA 117567.530000 0.0842258 Long DBT CORP US N 2 2023-05-21 Fixed 0.75 N N N N N N FINSBURY SQUARE 2018-2 PLC 18-2 N/A ACI163WL9 149490.630000 PA 201945.270000 0.1446743 Long ABS-MBS CORP GB N 2 2068-09-12 Floating 1.01713 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 ACI07BWB4 760.000000 NS 200708.730000 0.1437885 Long EP CORP GB N 2 N N N FNMA PASS THRU POOLS N/A 31405PAH3 417.890000 PA USD 420.940000 0.0003016 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 1.465 N N N N N N FNMA PASS THRU POOLS N/A 31405U6G9 1439.450000 PA USD 1506.240000 0.0010791 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 1.778 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 10489.670000 PA USD 11182.200000 0.0080110 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.422 N N N N N N FNMA PASS THRU POOLS N/A 31417DAQ6 4675.710000 PA USD 4993.030000 0.0035770 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138LYML8 6808.800000 PA USD 7234.900000 0.0051831 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138M8WF6 8151.140000 PA USD 8661.050000 0.0062048 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138MADG0 5007.010000 PA USD 5345.810000 0.0038298 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138MBMB9 34753.380000 PA USD 37191.620000 0.0266442 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138MBS56 13557.710000 PA USD 14417.760000 0.0103289 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138W9GM6 14386.940000 PA USD 15464.210000 0.0110786 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 380528.590000 PA USD 3811374.400000 2.7304823 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140FXLQ3 480770.200000 PA USD 524128.600000 0.3754876 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 3140FXQR6 254974.190000 PA USD 275894.630000 0.1976519 Long ABS-MBS USGSE US N 2 2060-03-01 Fixed 3 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 194645.560000 PA USD 1919594.480000 1.3752044 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140HAU57 95284.090000 PA USD 103419.890000 0.0740904 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 322932.380000 PA USD 348977.020000 0.2500084 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QDYC2 220466.160000 PA USD 236587.900000 0.1694924 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QF4L0 274156.040000 PA USD 283891.390000 0.2033808 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QGBH9 278443.410000 PA USD 289019.000000 0.2070542 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QGBJ5 281261.740000 PA USD 291251.850000 0.2086539 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QG3D7 376901.400000 PA USD 391689.500000 0.2806078 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QHC45 187929.650000 PA USD 195305.450000 0.1399175 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X47J9 41751.970000 PA USD 44716.930000 0.0320354 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 3140X6S93 139783.840000 PA USD 150046.060000 0.1074935 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 3140X7MW6 214474.420000 PA USD 228061.760000 0.1633843 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X8ML8 177966.420000 PA USD 184728.070000 0.1323399 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XBHT0 194082.950000 PA USD 206965.650000 0.1482709 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A29 200000.000000 PA USD 203190.000000 0.1455660 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1TC740 100000.000000 PA 136340.330000 0.0976747 Long DBT CORP US N 2 2024-06-14 Fixed 2.748 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI0Z5583 800000.000000 PA 926448.260000 0.6637109 Long DBT CORP US N 2 2021-12-01 Floating 0.000001 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI0Z5575 100000.000000 PA 114061.670000 0.0817142 Long DBT CORP US N 2 2024-12-01 Floating 0.151 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1JFLL0 1300000.000000 PA 1435305.730000 1.0282582 Long DBT NUSS FR N 2 2052-05-25 Fixed 0.75 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI05M6Y1 1300000.000000 PA 2339973.500000 1.6763654 Long DBT NUSS FR N 2 2045-05-25 Fixed 3.25 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI0V7KW3 1800000.000000 PA 2678971.430000 1.9192248 Long DBT NUSS FR N 2 2048-05-25 Fixed 2 N N N N N N FREDDIE MAC REFERENCE REMIC R006 N/A 31396JT21 134147.840000 PA USD 157801.340000 0.1130494 Long ABS-MBS USGSE US N 2 2036-04-15 Fixed 6 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPPH6 145684.340000 PA USD 145990.100000 0.1045878 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 0.44575 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 145684.340000 PA USD 9292.070000 0.0066569 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 1.90172 N N N N N N GALLATIN CLO IX LTD 2018-1A N/A 36361WAC0 221055.060000 PA USD 221165.590000 0.1584438 Long ABS-CBDO CORP KY N 2 2028-01-21 Floating 1.18425 N N N N N N GLP CAPITAL LP / GLP FINANCING II INC N/A 361841AL3 400000.000000 PA USD 468164.400000 0.3353947 Long DBT CORP US N 2 2029-01-15 Fixed 5.3 N N N N N N GNMA PASS THRU POOLS N/A 36202EV89 2148.630000 PA USD 2363.070000 0.0016929 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36202KP33 418.140000 PA USD 425.710000 0.0003050 Long ABS-MBS USGSE US N 2 2024-11-20 Floating 2.125 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121 N/A 38380TV37 13413.940000 PA USD 13687.980000 0.0098061 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 5718.250000 PA USD 5258.720000 0.0037674 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.626 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2 N/A 36262JAB1 198567.410000 PA USD 202071.010000 0.1447644 Long ABS-MBS CORP US N 2 2052-02-25 Variable 2.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 N/A 36263KAB7 99122.320000 PA USD 100415.930000 0.0719383 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.5 N N N N N N GSAMP TRUST 2006-HE3 N/A 36244KAE5 500000.000000 PA USD 493864.300000 0.3538062 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.586 N N N N N N GSR MORTGAGE LOAN TRUST 2003-1 N/A 36229RJJ9 2436.150000 PA USD 2509.610000 0.0017979 Long ABS-MBS CORP US N 2 2033-03-25 Floating 1.84 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 44315.730000 PA USD 45686.820000 0.0327302 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.85921 N N N N N N GSR MTGE LOAN TRUST 2004-7 N/A 36228F4P8 1865.740000 PA USD 1921.080000 0.0013763 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.12199 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-SB1 N/A 41162BAA1 70856.980000 PA USD 69161.490000 0.0495475 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.93738 Y N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV36 400000.000000 PA 463080.670000 0.3317527 Long ABS-CBDO CORP IE N 2 2031-07-15 Fixed 1.04 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 527009.050000 PA 713317.120000 0.5110229 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.10022 N N N N N N HELMERICH & PAYNE INC 254900NAOGHJ88RZ4C73 423452AE1 100000.000000 PA USD 100100.900000 0.0717126 Long DBT CORP US N 2 2031-09-29 Fixed 2.9 N N N N N N HOME EQUITY MTGE TRUST 2006-5 N/A 43709PAB4 152594.260000 PA USD 141960.520000 0.1017010 Long ABS-MBS CORP US N 2 2037-01-25 Variable 6 N N N N N N HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 N/A 43789XAA2 193583.840000 PA USD 194609.680000 0.1394191 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.657 N N N N N N HSBC BANK CANADA DMB80L5QKUQ124HSYW98 40427HTF0 500000.000000 PA USD 502359.530000 0.3598922 Long DBT CORP CA N 2 2021-11-28 Fixed 3.3 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BZ1 400000.000000 PA USD 426784.680000 0.3057501 Long DBT CORP GB N 2 2025-03-11 Floating 3.803 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 200000.000000 PA USD 221424.950000 0.1586296 Long DBT CORP GB N 2 2028-03-13 Floating 4.041 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CC1 100000.000000 PA USD 110421.980000 0.0791067 Long DBT CORP GB N 2 2030-05-22 Floating 3.973 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 918MUEII2 200000.000000 PA 343615.340000 0.2461673 Long DBT CORP GB N 2 2028-09-11 Fixed 6.75 N N N N N N HUNGARY GOVT 5299003F3UFKGCCMAP43 445545AM8 200000.000000 PA USD 197250.000000 0.1413106 Long DBT NUSS HU N 2 2031-09-22 Fixed 2.125 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579AL6 100000.000000 PA USD 100146.730000 0.0717455 Long DBT CORP US N 2 2023-10-01 Fixed 1.3 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR15 N/A 45660LVM8 98088.120000 PA USD 93534.160000 0.0670082 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.97673 Y N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AL7 700000.000000 PA USD 710843.540000 0.5092509 Long DBT CORP NL N 2 2023-10-02 Floating 1.13013 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 977UCSII1 4900000.000000 PA 1603467.800000 1.1487301 Long DBT NUSS IL N 2 2022-01-31 Fixed 5.5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 BJGTFKII9 3500000.000000 PA 1093712.680000 0.7835397 Long DBT NUSS IL N 2 2022-07-31 Fixed 0.75 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VWZN0 1400000.000000 PA 434271.620000 0.3111137 Long DBT NUSS IL N 2 2021-11-30 Floating 0.000001 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VNWB9 3400000.000000 PA 1054396.000000 0.7553731 Long DBT MUN IL N 2 2022-02-02 None 0 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 300000.000000 NS USD 342780.000000 0.2455688 Long EP CORP US N 2 N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1WZJ67 300000.000000 PA 93039.590000 0.0666539 Long DBT MUN IL N 2 2022-04-06 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513YJJ8 200000.000000 PA USD 240978.800000 0.1726381 Long DBT NUSS IL N 2 2048-01-17 Fixed 4.125 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 46513JXN6 200000.000000 PA USD 212580.600000 0.1522935 Long DBT NUSS IL N 2 2050-01-15 Fixed 3.375 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1M29S4 200000.000000 PA USD 222380.000000 0.1593138 Long DBT NUSS IL N 2 2060-05-13 Fixed 3.8 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1LYDJ0 1200000.000000 PA 1490038.770000 1.0674691 Long DBT NUSS IT N 2 2025-07-01 Fixed 1.85 N N N N N N JAMESTOWN CLO V LTD 2014-5A N/A 470473AF6 13883.740000 PA USD 13902.530000 0.0099598 Long ABS-CBDO CORP KY N 2 2027-01-17 Floating 1.35388 N N N N N N JAPAN BANK FOR INTERNATIONAL COOPERATION 549300TJ3QFYVCTSCJ29 471048CD8 600000.000000 PA USD 619128.140000 0.4435456 Long DBT NUSS JP N 2 2024-10-17 Fixed 1.75 N N N N N N JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM) 5493007YYYNZ4NMEOD64 471068AS5 400000.000000 PA USD 394119.270000 0.2823485 Long DBT NUSS JP N 2 2025-09-02 Fixed 0.625 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1LHMV0 60000000.000000 PA 543668.630000 0.3894862 Long DBT NUSS JP N 2 2030-03-20 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1YZ4K0 210000000.000000 PA 1893235.990000 1.3563211 Long DBT NUSS JP N 2 2031-06-20 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1B32J1 100000000.000000 PA 871162.230000 0.6241038 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BP5D0MII4 54000000.000000 PA 488802.010000 0.3501795 Long DBT NUSS JP N 2 2051-06-20 Fixed 0.7 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 BJB9V0II4 10000000.000000 PA 91845.990000 0.0657988 Long DBT NUSS JP N 2 2048-12-20 Fixed 0.7 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 151794000.000000 PA 1402077.650000 1.0044535 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1ZKC15 190000000.000000 PA 1707340.220000 1.2231447 Long DBT NUSS JP N 2 2021-11-01 None 0 N N N N N N JP MORGAN MORTGAGE TRUST 2003-A2 N/A 466247AZ6 2361.990000 PA USD 2491.130000 0.0017847 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.90518 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A7 N/A 46629DAK1 84965.680000 PA USD 80919.670000 0.0579711 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.14468 Y N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV4 N/A 46654DAD5 694898.020000 PA USD 718468.610000 0.5147135 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV6 N/A 943DWLII3 700000.000000 PA USD 717331.030000 0.5138985 Long ABS-MBS CORP US N 3 2051-11-25 Fixed 0.7 N N N N N N JP MORGAN MORTGAGE TRUST 2021-LTV7 N/A 943DLG905 1100000.000000 PA USD 1129920.450000 0.8094791 Long ABS-MBS CORP US N 3 2051-11-25 Variable 2.5 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A1 N/A 466247LZ4 1303.460000 PA USD 1330.950000 0.0009535 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.28532 N N N N N N JT INTERNATIONAL FINANCIAL SERVICES BV 549300U2F0PG10VZUN93 ACI155428 500000.000000 PA USD 529609.000000 0.3794138 Long DBT CORP NL N 2 2023-09-28 Fixed 3.5 N N N N N N JUBILEE CLO 2014-XI BV 14-11A N/A ACI1W2T93 250000.000000 PA 289066.440000 0.2070882 Long ABS-CBDO CORP NL N 2 2030-04-15 Floating 0.61 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 250000.000000 PA 290031.010000 0.2077793 Long ABS-CBDO CORP NL N 2 2031-04-15 Floating 0.65 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 BQ13R2II3 1.000000 PA 0.170000 0.0000001 Long DBT CORP DK N 2 2047-10-01 Fixed 3 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 BKLH46II9 11975929.490000 PA 1738095.370000 1.2451778 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 5207740.110000 PA 764329.150000 0.5475681 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N KUWAIT GOVT 549300FSC1YD0D9XX589 M6417JAA6 1600000.000000 PA USD 1773425.600000 1.2704885 Long DBT NUSS KW N 2 2027-03-20 Fixed 3.5 N N N N N N LANDWIRTSCHAFTLICHE RENTENBANK 529900Z3J0N6S0F7CT25 ACI04QSX1 200000.000000 PA 152355.150000 0.1091478 Long DBT NUSS DE N 2 2023-01-24 Fixed 4.25 N N N N N N LANDWIRTSCHAFTLICHE RENTENBANK 529900Z3J0N6S0F7CT25 ACI09B035 500000.000000 PA 377662.770000 0.2705590 Long DBT NUSS DE N 2 2024-04-23 Fixed 5.375 N N N N N N LCM 30 LTD N/A 50200YAQ1 500000.000000 PA USD 500145.230000 0.3583058 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.21425 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC 213800MBWEIJDM5CU638 ACI1D3YZ8 200000.000000 PA 275201.070000 0.1971550 Long DBT CORP GB N 2 2024-07-11 Fixed 1.75 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 ACI01SSR3 600000.000000 PA 975003.840000 0.6984963 Long DBT CORP GB N 2 2027-03-30 Fixed 4.875 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0808H1 200000.000000 PA 344597.600000 0.2468710 Long DBT CORP GB N 2 2029-06-27 Floating 7.875 N N N N Y LLOYDS BANKING GROUP PLC GBP XXXX N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAB9 400000.000000 PA USD 449773.820000 0.3222196 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65 N N N N N N LUMEN TECHNOLOGIES (CENTURYLINK INC) 8M3THTGWLTYZVE6BBY25 15669GAH7 228027.500000 PA USD 225810.620000 0.1617715 Long LON CORP US N 2 2027-03-15 Floating 2.3341 N N N N N N LUMINENT MORTGAGE TRUST 2006-1 N/A 550279AM5 228251.900000 PA USD 208748.120000 0.1495479 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.806 Y N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI0675L2 4500000.000000 PA 1106766.750000 0.7928917 Long DBT NUSS MY N 2 2028-06-15 Fixed 3.733 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI1D3N31 900000.000000 PA 213711.720000 0.1531038 Long DBT NUSS MY N 2 2034-07-05 Fixed 3.828 N N N N N N MALAYSIA GOVT 254900GSIL471JOBYY43 ACI12K9Z0 1800000.000000 PA 463648.870000 0.3321597 Long DBT NUSS MY N 2 2033-11-07 Fixed 4.642 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 300000.000000 PA 348096.470000 0.2493776 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 0.69 N N N N N N MANHATTAN WEST 2020-1MW N/A 563136AA8 400000.000000 PA USD 408281.440000 0.2924943 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 400000.000000 PA USD 399999.840000 0.2865613 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.16613 N N N N N N MASTR ADJUSTABLE RT MTGE TRUST 2004-4 N/A 576433ME3 260247.400000 PA USD 269416.020000 0.1930106 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.65077 N N N N N N MASTR ALT LN TR 2006-2 N/A 5764342H6 43879.950000 PA USD 3328.240000 0.0023844 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.486 Y N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 2328.650000 PA USD 2296.960000 0.0016456 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.52375 N N N N N N MERRILL LYNCH MORTGAGE BACKED SEC 2007-1 N/A 59024NAC1 4239.360000 PA USD 4346.560000 0.0031139 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.71443 Y N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M70 4278.250000 PA USD 4195.270000 0.0030055 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.85896 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 35831.700000 PA USD 35811.530000 0.0256555 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.506 N N N N N N A10 BRIDGE ASSET FINANCING 2020-C LLC N/A 66981EAA1 315766.320000 PA USD 317530.930000 0.2274803 Long ABS-MBS CORP US N 2 2040-08-15 Fixed 2.021 N N N N N N MF1 2021-FL5 LTD N/A 55282XAA8 200000.000000 PA USD 200265.630000 0.1434710 Long ABS-MBS CORP KY N 2 2036-07-15 Floating 1.01448 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBC2 200000.000000 PA USD 201351.440000 0.1442489 Long DBT CORP JP N 2 2024-05-25 Floating 0.75925 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAV1 700000.000000 PA USD 712841.340000 0.5106821 Long DBT CORP JP N 2 2023-07-16 Floating 2.721 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4R3 12880.140000 PA USD 12993.990000 0.0093089 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.10035 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468M4 900000.000000 PA 712901.470000 0.5107252 Long DBT CORP US Y 2 2023-02-03 Floating 0.74 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE5 N/A 61749NAE7 2047569.430000 PA USD 1323285.150000 0.9480062 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.336 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 897969.270000 PA USD 516364.030000 0.3699250 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.196 N N N N N N MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP N/A ACI1H1MY4 400000.000000 PA 553672.610000 0.3966530 Long DBT CORP US N 2 2023-12-05 Fixed 2.55 N N N N N N NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION 4NYF266XZC35SCTGX023 63743HEQ1 400000.000000 PA USD 407466.300000 0.2919103 Long DBT CORP US N 2 2022-09-15 Fixed 2.3 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 638602BR2 500000.000000 PA USD 509348.220000 0.3648989 Long DBT CORP GB N 2 2023-02-13 Fixed 1.7 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 245887.300000 PA 284965.940000 0.2041506 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.95 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BG5 400000.000000 PA USD 466073.920000 0.3338970 Long DBT CORP GB N 2 2029-05-18 Floating 4.892 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 ACI0LCK78 200000.000000 PA 240902.260000 0.1725832 Long DBT CORP GB N 2 2023-03-22 Fixed 2.5 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 ACI115315 100000.000000 PA 116377.680000 0.0833734 Long DBT CORP GB N 2 2022-03-02 Fixed 0.625 N N N N N N ACE SECURITIES CORP 2005-HE5 N/A 004421RH8 500000.000000 PA USD 501141.600000 0.3590196 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.986 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-2 N/A 64352VKV2 227698.820000 PA USD 227997.010000 0.1633379 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.821 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 426590.090000 PA USD 441354.330000 0.3161878 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 360248.920000 PA USD 371082.470000 0.2658448 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 200000.000000 PA USD 219859.600000 0.1575082 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N NOMURA ASSET ACCEPTANCE CORP 2005-AR5 N/A 65535VPU6 6868.150000 PA USD 6396.740000 0.0045826 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.318 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BKDSHHII6 2495867.600000 PA 362717.210000 0.2598519 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BH3VWJII6 1.280000 PA 0.190000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0WLGL0 1.080000 PA 0.170000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 2 N N N N N N NOVASTAR HOME EQUITY LOAN 2006-1 N/A 669884AE8 500000.000000 PA USD 486516.250000 0.3485420 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.626 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1CY5Z3 2701309.680000 PA 391731.980000 0.2806382 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 8112209.540000 PA 1189790.730000 0.8523704 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI19Y843 1.510000 PA 0.230000 0.0000002 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BDDX39II4 1.070000 PA 0.160000 0.0000001 Long DBT CORP DK N 2 2050-10-01 Fixed 1.5 N N N N N N OBX TRUST 2018-1 N/A 67112FAD2 139181.130000 PA USD 139382.720000 0.0998543 Long ABS-MBS CORP US N 2 2057-06-25 Floating 0.736 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 4826.270000 PA USD 4632.490000 0.0033187 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.67487 Y N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 500000.000000 PA USD 502250.950000 0.3598144 Long ABS-MBS CORP US N 2 2026-01-15 Floating 1.034 N N N N N N ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV N/A 68622TAA9 200000.000000 PA USD 204250.000000 0.1463254 Long DBT CORP US N 2 2028-04-30 Fixed 4.125 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 686330AK7 100000.000000 PA USD 107141.570000 0.0767566 Long DBT CORP JP N 2 2024-12-04 Fixed 3.25 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HM2 100000.000000 PA USD 104340.560000 0.0747500 Long DBT CORP US N 2 2025-06-15 Fixed 3.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HR1 100000.000000 PA USD 96671.880000 0.0692561 Long DBT CORP US N 2 2046-12-01 Fixed 4 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2020-2 DAC 20-2A N/A ACI1SDQ48 292448.770000 PA 339211.220000 0.2430121 Long ABS-CBDO CORP IE N 2 2030-02-15 Floating 0.87 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-4A N/A 69700KAA1 124667.420000 PA USD 124742.260000 0.0893658 Long ABS-CBDO CORP KY N 2 2026-11-15 Floating 1.02475 N N N N N N PENTA CLO 2 BV 2015-2A N/A ACI0W8H61 132567.530000 PA 153660.320000 0.1100828 Long ABS-CBDO CORP NL N 2 2028-08-04 Floating 0.79 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DB5 300000.000000 PA 57694.040000 0.0413322 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638CY6 800000.000000 PA 219280.690000 0.1570935 Long DBT NUSS PE N 2 2026-08-12 Fixed 8.2 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638DP4 100000.000000 PA USD 91075.000000 0.0652465 Long DBT NUSS PE N 2 2032-12-01 Fixed 1.862 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 4100000.000000 PA 995116.460000 0.7129050 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BV3 800000.000000 PA 199811.340000 0.1431456 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638CE0 200000.000000 PA 48582.420000 0.0348046 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AC3 2700000.000000 PA 674363.280000 0.4831163 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35 N N N N N N PETRONAS CAPITAL LIMITED 549300G7YFX3540OYR85 716743AP4 200000.000000 PA USD 216812.910000 0.1553255 Long DBT CORP MY N 2 2030-04-21 Fixed 3.5 N N N N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI1893B8 -9200000.000000 PA -2451260.750000 -1.7560920 Short DBT NUSS PL N 2 2029-10-25 Fixed 2.75 N N N N N N AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST N/A 00908PAA5 84640.000000 PA USD 86625.640000 0.0620589 Long DBT CORP CA N 2 2031-07-15 Fixed 3.3 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 P1910WRC5 620000.000000 PA 3168.460000 0.0022699 Long DBT NUSS AR N 2 2025-04-12 Floating 37.8958 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI19CPF7 600000.000000 PA USD 683220.000000 0.4894613 Long DBT NUSS QA N 2 2029-03-14 Fixed 4 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 1100000.000000 PA USD 1158446.300000 0.8299151 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 M8489SAH0 400000.000000 PA USD 467207.600000 0.3347092 Long DBT NUSS QA N 2 2028-04-23 Fixed 4.5 N N N N N N QATAR PETROLEUM 254900QTESJKJ3P87J26 74730DAC7 200000.000000 PA USD 198354.000000 0.1421015 Long DBT CORP QA N 2 2031-07-12 Fixed 2.25 N N N N N N QATAR PETROLEUM 254900QTESJKJ3P87J26 74730DAE3 200000.000000 PA USD 200286.000000 0.1434856 Long DBT CORP QA N 2 2041-07-12 Fixed 3.125 N N N N N N QUEENSLAND TREASURY CORPORATION 98INKCEEHOU5YJS0HQ88 ACI02GUD6 800000.000000 PA 620281.630000 0.4443720 Long DBT CORP AU N 2 2023-07-21 Fixed 4.25 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQL2 126486.750000 PA 102487.620000 0.0734225 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.072 N N N N N N RECKITT BENCKISER TREASURY SERVICES PLC 213800LAXWIUOOBZ3908 75625QAF6 300000.000000 PA USD 301202.030000 0.2157822 Long DBT CORP GB N 2 2022-06-24 Floating 0.68925 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAF7 457524.130000 PA USD 226859.770000 0.1625232 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.294 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 124451.660000 PA USD 47799.120000 0.0342435 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.506 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QS17 N/A 74922SAD0 168894.390000 PA USD 164779.720000 0.1180488 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6 Y N N N N N RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7 N/A 76111XZV8 43132.580000 PA USD 42011.690000 0.0300973 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 252537.230000 PA 343762.790000 0.2462729 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 1.29979 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 583570.640000 PA 787710.040000 0.5643183 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86838 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 291785.320000 PA 393855.020000 0.2821592 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86838 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0BQ7 100000.000000 PA 110706.370000 0.0793104 Long DBT NUSS RO N 2 2033-04-14 Fixed 2 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1X0DG7 100000.000000 PA 107783.780000 0.0772167 Long DBT NUSS RO N 2 2041-04-14 Fixed 2.75 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3VF1 100000.000000 PA 108421.910000 0.0776738 Long DBT NUSS RO N 2 2042-04-13 Fixed 2.875 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI1Z3TC1 200000.000000 PA 226809.290000 0.1624870 Long DBT NUSS RO N 2 2030-07-13 Fixed 1.75 N N N N N N SA GLOBAL SUKUK LIMITED 5493007DFAVKU7UOGR47 78397PAB7 300000.000000 PA USD 298501.500000 0.2138475 Long DBT CORP KY N 2 2026-06-17 Fixed 1.602 N N N N N N SA GLOBAL SUKUK LIMITED 5493007DFAVKU7UOGR47 78397PAD3 200000.000000 PA USD 202083.400000 0.1447733 Long DBT CORP KY N 2 2031-06-17 Fixed 2.694 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 936CPX004 500000.000000 PA 579206.810000 0.4149458 Long DBT CORP SE N 2 2021-10-12 None 0 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 200000.000000 PA USD 215602.000000 0.1544580 Long DBT CORP KY N 2 2025-08-08 Fixed 5.125 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 ACI0CTJV0 200000.000000 PA 279337.350000 0.2001183 Long DBT CORP GB N 2 2022-06-24 Floating 7.375 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAF2 200000.000000 PA USD 201731.240000 0.1445210 Long DBT CORP GB N 2 2023-01-10 Fixed 3.571 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 48266XAC9 200000.000000 PA USD 229612.800000 0.1644954 Long DBT NUSS KY N 2 2029-01-19 Fixed 4.303 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 48266XAA3 300000.000000 PA USD 303975.300000 0.2177690 Long DBT NUSS KY N 2 2022-04-20 Fixed 2.894 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0Y0CZ7 200000.000000 PA USD 206530.800000 0.1479594 Long DBT NUSS SA N 2 2023-03-04 Fixed 2.875 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAH2 800000.000000 PA USD 876476.000000 0.6279106 Long DBT NUSS SA N 2 2025-04-17 Fixed 4 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAT6 200000.000000 PA USD 230839.400000 0.1653742 Long DBT NUSS SA N 2 2029-04-16 Fixed 4.375 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG399 800000.000000 PA USD 801208.800000 0.5739889 Long DBT NUSS SA N 2 2021-10-26 Fixed 2.375 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 ACI0QG3C2 300000.000000 PA USD 323826.000000 0.2319901 Long DBT NUSS SA N 2 2026-10-26 Fixed 3.25 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAF6 400000.000000 PA USD 471167.200000 0.3375459 Long DBT NUSS SA N 2 2047-10-04 Fixed 4.625 N N N N N N SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH) 529900JL0HDVGZMUJF32 44963BAD0 400000.000000 PA USD 437246.000000 0.3132446 Long DBT CORP DE N 2 2029-05-15 Fixed 6.375 N N Y N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1 N/A 81378AAB7 5755.200000 PA USD 4053.500000 0.0029039 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.136 N N N N N N SERBIA GOVT 254900W94OCY91V32O78 ACI20JHB7 100000.000000 PA 112258.380000 0.0804223 Long DBT NUSS RS N 2 2028-09-23 Fixed 1 N N N N N N SERBIA GOVT 254900W94OCY91V32O78 ACI20JFB9 100000.000000 PA 109002.500000 0.0780898 Long DBT NUSS RS N 2 2036-09-23 Fixed 2.05 N N N N N N SHRIRAM TRANSPORT FINANCE COMPANY LIMITED 335800TM2YO24B76XL26 Y7758EEC1 200000.000000 PA USD 203750.000000 0.1459672 Long DBT CORP IN N 2 2022-10-24 Fixed 5.95 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI01TEL9 200000.000000 PA 166854.030000 0.1195348 Long DBT NUSS SG N 2 2042-04-01 Fixed 2.75 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI1YT4G3 500000.000000 PA 370076.230000 0.2651239 Long DBT NUSS SG N 2 2031-07-01 Fixed 1.625 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI1CY252 100000.000000 PA 78924.660000 0.0565419 Long DBT NUSS SG N 2 2039-07-01 Fixed 2.375 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI0NWWL8 100000.000000 PA 77379.810000 0.0554352 Long DBT NUSS SG N 2 2036-08-01 Fixed 2.25 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 B9L2YVII9 100000.000000 PA 86348.730000 0.0618605 Long DBT NUSS SG N 2 2033-09-01 Fixed 3.375 N N N N N N SINGAPORE GOVT 549300ZSV6VOGFH1ER70 ACI20SJP4 500000.000000 PA 363679.590000 0.2605414 Long DBT NUSS SG N 2 2051-10-01 Fixed 1.875 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 288754.270000 PA USD 290064.580000 0.2078033 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAB8 72188.570000 PA USD 73584.940000 0.0527165 Long ABS-O CORP US N 2 2053-07-15 Floating 1.18375 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 400000.000000 PA USD 400138.220000 0.2866605 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.03788 N N N N N N SOUNDVIEW HOME EQUITY LN TR 2006-3 N/A 83612HAD0 600000.000000 PA USD 582946.860000 0.4176252 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.586 N N N N N N SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY 254900TDPILDN6AUAD69 BLLCYZII1 200000.000000 PA 142561.600000 0.1021316 Long DBT MUN AU N 2 2032-05-24 Fixed 1.75 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HA4 100000.000000 PA USD 100263.850000 0.0718294 Long DBT CORP US N 2 2023-04-03 Floating 0.69 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HC0 100000.000000 PA USD 100533.390000 0.0720225 Long DBT CORP US N 2 2024-04-01 Floating 0.88 N N N N N N SP STATIC CLO 2020-1A N/A 78472HAA5 233118.650000 PA USD 233421.700000 0.1672241 Long ABS-CBDO CORP KY N 2 2028-07-22 Floating 1.53825 N N N N N N SPAIN GOVT 9598007A56S18711AH60 ACI1B8TR3 400000.000000 PA 472969.090000 0.3388368 Long DBT NUSS ES N 2 2024-07-30 Fixed 0.25 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAJ9 400000.000000 PA USD 407812.000000 0.2921580 Long DBT CORP US N 2 2023-06-15 Fixed 3.95 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAD2 175000.000000 PA USD 187118.750000 0.1340525 Long DBT CORP US N 2 2025-03-20 Fixed 4.738 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CC2 300000.000000 PA USD 298614.090000 0.2139282 Long DBT CORP GB N 2 2032-06-29 Floating 2.678 N N N N N N STANLINGTON NO 1 PLC 17-1 N/A ACI0SNHR7 455313.170000 PA 614862.710000 0.4404899 Long ABS-MBS CORP GB N 2 2046-06-12 Floating 1.06713 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 500000.000000 PA USD 501043.100000 0.3589491 Long ABS-O CORP KY N 2 2038-04-18 Floating 1.28413 N N N N N N STRATTON MORTGAGE FUNDING 21-2A N/A ACI1W61K9 648862.310000 PA 879337.080000 0.6299602 Long ABS-MBS CORP GB N 2 2060-07-20 Floating 0.95035 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 3181.320000 PA USD 3208.550000 0.0022986 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.44043 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-4 N/A 86359BNU1 6250.830000 PA USD 6380.890000 0.0045713 Long ABS-MBS CORP US N 2 2034-04-25 Floating 2.36235 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 1846.650000 PA USD 1880.900000 0.0013475 Long ABS-MBS CORP US N 2 2034-03-19 Floating 0.78738 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 954.800000 PA USD 979.650000 0.0007018 Long ABS-MBS CORP US N 2 2034-07-19 Floating 0.66738 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 58285.740000 PA USD 56904.570000 0.0407666 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.58738 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 270612.330000 PA USD 261697.660000 0.1874811 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.646 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 206894.870000 PA USD 203987.890000 0.1461377 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.526 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR4 N/A 86364MAC4 200899.260000 PA USD 185121.030000 0.1326214 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.306 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 51059.330000 PA USD 45149.210000 0.0323451 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.506 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAF3 213397.760000 PA USD 187113.520000 0.1340488 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.466 Y N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 3984.150000 PA USD 4028.340000 0.0028859 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.586 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXP7 79456.890000 PA USD 75544.750000 0.0541205 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.366 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 141400.990000 PA USD 128140.160000 0.0918001 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.466 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-4 N/A 02660LAB6 275630.260000 PA USD 178970.560000 0.1282152 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.296 N N N N N N SUNTRUST ALTERNATIVE LN TRUST 2005-1F N/A 86789MAA5 298979.210000 PA USD 256821.380000 0.1839878 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.736 Y N N N N N SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED 549300MJAANHLHOVTO40 87124VAD1 600000.000000 PA USD 626593.240000 0.4488936 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 232412.060000 PA USD 232720.180000 0.1667216 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 1.08288 N N N N N N TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE N/A 881561CE2 9053.630000 PA USD 8806.040000 0.0063087 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.026 N N N N N N TESCO PLC 2138002P5RNKC5W2JZ46 G87623HR1 83000.000000 PA 114384.930000 0.0819458 Long DBT CORP GB N 2 2022-02-24 Fixed 6.125 N N N N N N TESCO PROPERTY FIN 4 PLC 213800UCE6O94DGHWT77 B3LSHBII8 143665.300000 PA 253829.800000 0.1818446 Long DBT CORP GB N 2 2040-10-13 Fixed 5.8006 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 665920.000000 PA 900553.230000 0.6451596 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.95035 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 362425.700000 PA 492410.030000 0.3527643 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.09713 N N N N N N TOWD POINT MORTGAGE FUNDING 2019-AUBURN 13 PLC 19-A13X N/A ACI1G4DQ6 332960.000000 PA 450276.620000 0.3225798 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.95035 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1206036.200000 PA USD 1252011.260000 0.8969454 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 305647.430000 PA USD 313852.900000 0.2248453 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 342507.250000 PA USD 345439.870000 0.2474744 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A N/A 89231XAA9 500000.000000 PA USD 524553.800000 0.3757922 Long ABS-O CORP US N 2 2031-11-25 Fixed 2.56 N N N N N N TREASURY CORPORATION OF VICTORIA 549300ZJM7BQW1P9UV75 ACI06FV19 100000.000000 PA 89389.840000 0.0640392 Long DBT MUN AU N 2 2032-12-20 Fixed 4.25 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI1WK7V8 277221.680000 PA 375657.650000 0.2691225 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 0.90035 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 03027XAW0 400000.000000 PA USD 443783.700000 0.3179282 Long DBT CORP US N 2 2029-08-15 Fixed 3.8 N N N N N N UBS AG / STAMFORD BRANCH BFM8T61CT2L1QCEMIK50 90261AAB8 750000.000000 PA USD 794766.890000 0.5693739 Long DBT CORP CH N 2 2022-08-17 Fixed 7.625 N N N N N N UMBS PASS THRU POOLS N/A 01F0204B2 -2000000.000000 PA USD -2057187.480000 -1.4737765 Short ABS-MBS USGSE US N 2 2036-11-16 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0324A9 -100000.000000 PA USD -106705.080000 -0.0764439 Short ABS-MBS USGSE US N 2 2036-10-19 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0206A2 -1000000.000000 PA USD -1002773.450000 -0.7183905 Short ABS-MBS USGSE US N 2 2051-10-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0206B0 -8200000.000000 PA USD -8208007.870000 -5.8802463 Short ABS-MBS USGSE US N 2 2051-11-10 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F0226A8 -300000.000000 PA USD -309339.850000 -0.2216122 Short ABS-MBS USGSE US N 2 2051-10-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0226B6 -4000000.000000 PA USD -4116718.720000 -2.9492321 Short ABS-MBS USGSE US N 2 2051-11-10 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0306C7 -2500000.000000 PA USD -2608414.380000 -1.8686774 Short ABS-MBS USGSE US N 2 2051-12-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0326A7 200000.000000 PA USD 211628.910000 0.1516117 Long ABS-MBS USGSE US N 2 2051-10-14 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0326B5 700000.000000 PA USD 741233.740000 0.5310225 Long ABS-MBS USGSE US N 2 2051-11-10 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0326C3 100000.000000 PA USD 105890.530000 0.0758604 Long ABS-MBS USGSE US N 2 2051-12-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406A0 -200000.000000 PA USD -214292.970000 -0.1535203 Short ABS-MBS USGSE US N 2 2051-10-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 16900000.000000 PA USD 18126900.290000 12.9861765 Long ABS-MBS USGSE US N 2 2051-11-10 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 943DMQ902 -1100000.000000 PA USD -1129433.580000 -0.8091303 Short ABS-MBS USGSE US N 2 2050-12-14 Fixed 2.5 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 500000.000000 PA USD 572380.900000 0.4100557 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 ACI14WP35 -700000.000000 PA -1020208.710000 -0.7308812 Short DBT NUSS GB N 2 2049-01-22 Fixed 1.75 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BMBL1FII0 800000.000000 PA 882688.120000 0.6323609 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 442640.000000 PA USD 495853.250000 0.3552310 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 1824102.000000 PA USD 2196119.050000 1.5733076 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 528.790000 PA USD 520.880000 0.0003732 Long ABS-MBS CORP US N 2 2031-10-25 Floating 0.786 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 265664.000000 PA USD 370795.270000 0.2656391 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SW9 2900000.000000 PA USD 2837695.300000 2.0329351 Long DBT UST US N 2 2041-02-15 Fixed 1.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810ST6 800000.000000 PA USD 718875.000000 0.5150046 Long DBT UST US N 2 2040-11-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 200000.000000 PA USD 179742.190000 0.1287680 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 81962.170000 PA USD 81982.660000 0.0587327 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.00613 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 500000.000000 PA USD 499612.910000 0.3579245 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 1.11475 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 400000.000000 PA USD 400317.240000 0.2867887 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.23425 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 BYMYT4II9 300000.000000 PA 419451.070000 0.3004963 Long DBT CORP GB N 2 2027-04-15 Fixed 5 N N N N N N VOYA CLO LTD 2017-1A N/A 92916MAF8 500000.000000 PA USD 500039.090000 0.3582298 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 1.08388 N N N N N N WAMU MORTGAGE P/T CERTIFICATES 2007-OA1 N/A 92926WAA5 166785.090000 PA USD 161020.530000 0.1153557 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.79211 Y N N N N N WAMU MTGE P/T CERT 2007-HY2 N/A 92926UAA9 17176.800000 PA USD 17335.850000 0.0124195 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.99281 Y N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 32246.680000 PA USD 31926.130000 0.0228720 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.88637 Y N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 250000.000000 PA USD 250018.800000 0.1791144 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 1.06388 N N N N N N WASHINGTON MUTUAL 2002-AR19 N/A 929227ZS8 31863.180000 PA USD 33711.880000 0.0241513 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.59849 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 1621.180000 PA USD 1616.240000 0.0011579 Long ABS-MBS CORP US N 2 2042-08-25 Floating 1.49211 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A 929227R65 2447.470000 PA USD 2513.800000 0.0018009 Long ABS-MBS CORP US N 2 2033-06-25 Floating 2.57692 N N N N N N WASHINGTON MUTUAL 2004-AR1 N/A 92922FLD8 9138.990000 PA USD 9484.160000 0.0067945 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.42668 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X40 2610.690000 PA USD 2620.540000 0.0018774 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.726 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 16540.250000 PA USD 17000.870000 0.0121795 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.626 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 2372.480000 PA USD 2380.470000 0.0017054 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.706 N N N N N N WASHINGTON MUTUAL 2006 AR7 N/A 93363CAC3 111035.990000 PA USD 109769.610000 0.0786393 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.763 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAF2 40457.290000 PA USD 39336.410000 0.0281807 Long ABS-MBS CORP US N 2 2036-09-25 Variable 2.77373 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 2431.100000 PA USD 2415.850000 0.0017307 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.76237 Y N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 13300.480000 PA USD 13407.540000 0.0096052 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.58418 Y N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 N/A 93935AAC6 34923.630000 PA USD 24304.000000 0.0174115 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.03211 Y N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE5 N/A 93934XAB9 34019.580000 PA USD 18015.600000 0.0129064 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.146 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAL6 400000.000000 PA USD 403758.990000 0.2892544 Long DBT CORP US N 2 2022-04-01 Fixed 3.15 N N N N N N N/A N/A 000000000 10329208.000000 PA 2597072.850000 1.8605523 Long RA PL N 2 Repurchase N -0.2500000 2023-08-20 9200000.000000 PLN 9749272.750000 PLN N N N N/A N/A 000000000 -4589928.000000 PA -5313000.000000 -3.8062523 Short RA GB N 2 Reverse repurchase N -0.5800000 2021-11-22 3100000.000000 EUR 4332839.830000 EUR N N N N/A N/A 000000000 809000.000000 PA USD 809000.000000 0.5795705 Long RA US N 2 Repurchase N 0.0000001 2021-10-01 826000.000000 USD 825258.250000 USD UST N N N N/A N/A 000000000 -409467.000000 PA -473989.460000 -0.3395678 Short RA LU N 2 Reverse repurchase N -0.5500000 2021-11-22 400000.000000 EUR 408312.670000 EUR N N N N/A N/A 000000000 916160.000000 PA 1234434.160000 0.8843531 Long RA GB N 2 Repurchase N 0.7300000 2022-01-21 800000.000000 GBP 865334.860000 GBP N N N N/A N/A 000000000 -11816020.000000 PA USD -11823385.310000 -8.4703157 Short RA US N 2 Reverse repurchase N 0.2200000 2023-06-21 11937500.000000 USD 12425003.260000 USD CDS N N N N/A N/A 000000000 -504972.000000 PA USD -505286.770000 -0.3619893 Short RA US N 2 Reverse repurchase N 0.2200000 2023-06-21 500000.000000 USD 529609.000000 USD CDS N N N N/A N/A 000000000 1.000000 NC USD 14580.850000 0.0104458 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 ABU DHABI GOVT ABU DHABI GOVT Y Single Leg Swap 2026-12-21 14665.870000 USD 0.000000 USD 500000.000000 USD -85.020000 N N N N/A N/A 000000000 -20.000000 NC 22139.480000 0.0158608 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2021-12-15 -2045551.180000 AUD 22139.480000 N N N N/A N/A 000000000 -11.000000 NC 1200.260000 0.0008599 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2021-12-15 -925967.610000 AUD 1200.260000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 3640000.000000 PA 20133.360000 0.0144236 Long DBT NUSS AR N 2 2022-04-03 Floating 36.1445 N N N N N N N/A N/A 000000000 1.000000 NC -9035.660000 -0.0064732 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 584605.960000 USD 796000.000000 AUD 2021-11-17 -9035.660000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 68000.000000 PA USD 22997.600000 0.0164756 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1.000000 NC 519.090000 0.0003719 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 141624.000000 USD 917567.730000 CNY 2021-10-22 519.090000 N N N N/A N/A 000000000 1.000000 NC 788.500000 0.0005649 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 212436.000000 USD 1376415.330000 CNY 2021-10-22 788.500000 N N N N/A N/A 000000000 1.000000 NC -665.690000 -0.0004769 N/A DFE CZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 35007.000000 USD 753748.320000 CZK 2022-01-20 -665.690000 N N N N/A N/A 000000000 1.000000 NC -722.300000 -0.0005175 N/A DFE CZ N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 34934.000000 USD 750903.540000 CZK 2022-01-20 -722.300000 N N N N/A N/A 000000000 1.000000 NC -1837.040000 -0.0013161 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 85949.190000 USD 540000.000000 DKK 2021-10-01 -1837.040000 N N N N/A N/A 000000000 1.000000 NC -10085.430000 -0.0072252 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 996130.000000 USD 6330406.150000 DKK 2021-10-01 -10085.430000 N N N N/A N/A 000000000 1.000000 NC -47275.390000 -0.0338683 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2022740.360000 USD 1704000.000000 EUR 2021-11-17 -47275.390000 N N N N/A N/A 000000000 1.000000 NC -2404.640000 -0.0017227 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 185575.690000 USD 158000.000000 EUR 2021-11-17 -2404.640000 N N N N/A N/A 000000000 1.000000 NC -781.160000 -0.0005596 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 155063.000000 USD 497371.860000 ILS 2021-10-14 -781.160000 N N N N/A N/A 000000000 1.000000 NC -29997.620000 -0.0214904 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2176279.920000 USD 2544506482.000000 KRW 2021-12-15 -29997.620000 N N N N/A N/A 000000000 1.000000 NC -890.320000 -0.0006378 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 97011.500000 USD 1989000.000000 MXN 2021-10-20 -890.320000 N N N N/A N/A 000000000 1.000000 NC -878.060000 -0.0006290 N/A DFE MY N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 360725.130000 USD 1512989.400000 MYR 2021-12-22 -878.060000 N N N N/A N/A 000000000 1.000000 NC -2865.520000 -0.0020529 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 488872.800000 USD 4250000.000000 NOK 2021-11-17 -2865.520000 N N N N/A N/A 000000000 1.000000 NC -1368.350000 -0.0009803 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 210759.930000 USD 865949.340000 PEN 2021-10-15 -1368.350000 N N N N/A N/A 000000000 1.000000 NC -1884.700000 -0.0013502 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 43415.000000 USD 165194.680000 PLN 2021-11-15 -1884.700000 N N N N/A N/A 000000000 1.000000 NC -1956.400000 -0.0014016 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 52361.000000 USD 200624.160000 PLN 2022-02-18 -1956.400000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 44000.000000 PA USD 13970.000000 0.0100082 Long DBT NUSS AR N 2 2035-07-09 Variable 1.125 N N N N N N N/A N/A 000000000 1.000000 NC 153.820000 0.0001102 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7236.250000 USD 541958.000000 RUB 2021-11-22 153.820000 N N N N/A N/A 000000000 1.000000 NC 763.370000 0.0005469 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 66335.300000 USD 4947751.000000 RUB 2021-12-20 763.370000 N N N N/A N/A 000000000 1.000000 NC 766.890000 0.0005494 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 66641.260000 USD 4970572.000000 RUB 2021-12-20 766.890000 N N N N/A N/A 000000000 1.000000 NC -1776.660000 -0.0012728 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3246417.580000 CNY 501110.000000 USD 2021-10-22 -1776.660000 N N N N/A N/A 000000000 1.000000 NC -2972.200000 -0.0021293 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6649011.780000 CNY 1026993.680000 USD 2021-10-22 -2972.200000 N N N N/A N/A 000000000 1.000000 NC 10152.510000 0.0072733 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6306499.030000 DKK 996130.000000 USD 2022-04-01 10152.510000 N N N N/A N/A 000000000 1.000000 NC 3037.930000 0.0021764 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 129000.000000 GBP 176858.470000 USD 2021-11-17 3037.930000 N N N N/A N/A 000000000 1.000000 NC 44.180000 0.0000317 N/A DFE HK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 331556.830000 HKD 42643.000000 USD 2021-12-15 44.180000 N N N N/A N/A 000000000 1.000000 NC 28623.200000 0.0205058 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 190000000.000000 JPY 1736115.870000 USD 2021-11-01 28623.200000 N N N N/A N/A 000000000 1.000000 NC 1675.250000 0.0012002 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 19400000.000000 JPY 176038.140000 USD 2021-11-17 1675.250000 N N N N/A N/A 000000000 1.000000 NC 1890.790000 0.0013546 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 12900000.000000 JPY 117833.120000 USD 2021-11-17 1890.790000 N N N N/A N/A 000000000 1.000000 NC 881.200000 0.0006313 N/A DFE MX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1989000.000000 MXN 96402.860000 USD 2021-12-03 881.200000 N N N N/A N/A 000000000 1.000000 NC 920.610000 0.0006595 N/A DFE MY N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1512989.400000 MYR 361699.590000 USD 2021-10-22 920.610000 N N N N/A N/A 000000000 1.000000 NC 1794.280000 0.0012854 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2655000.000000 NOK 305405.890000 USD 2021-11-17 1794.280000 N N N N/A N/A 000000000 1.000000 NC 1628.880000 0.0011669 N/A DFE PE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 865949.340000 PEN 209020.090000 USD 2022-03-28 1628.880000 N N N N/A N/A 000000000 1.000000 NC 12365.880000 0.0088590 N/A DFE SE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5955000.000000 SEK 692802.360000 USD 2021-11-17 12365.880000 N N N N/A N/A 000000000 1.000000 NC -3896.140000 -0.0027912 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 166937.110000 USD 121000.000000 GBP 2021-11-17 -3896.140000 N N N N/A N/A 000000000 1.000000 NC -131916.630000 -0.0945055 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 13945088.560000 USD 1536884027.000000 JPY 2021-11-17 -131916.630000 N N N N/A N/A 000000000 1.000000 NC 2323.680000 0.0016647 N/A DFE RU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 128952.760000 USD 9627291.000000 RUB 2021-11-22 2323.680000 N N N N/A N/A 000000000 1.000000 NC -7395.550000 -0.0052982 N/A DFE TH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 232752.020000 USD 7628075.090000 THB 2021-12-15 -7395.550000 N N N N/A N/A 000000000 1.000000 NC -607.770000 -0.0004354 N/A DFE SG N 2 BNP Paribas S.A. N/A 144200.290000 USD 195000.000000 SGD 2021-12-15 -607.770000 N N N N/A N/A 000000000 1.000000 NC 16908.270000 0.0121131 N/A DFE AU N 2 BNP Paribas S.A. N/A 1373000.000000 AUD 1009694.730000 USD 2021-11-17 16908.270000 N N N N/A N/A 000000000 1.000000 NC -2189.330000 -0.0015684 N/A DFE CN N 2 BNP Paribas S.A. N/A 2966702.260000 CNY 457368.000000 USD 2021-10-22 -2189.330000 N N N N/A N/A 000000000 1.000000 NC -1627.500000 -0.0011659 N/A DFE CN N 2 BNP Paribas S.A. N/A 2929893.730000 CNY 452228.000000 USD 2021-10-22 -1627.500000 N N N N/A N/A 000000000 1.000000 NC -198.370000 -0.0001421 N/A DFE CN N 2 BNP Paribas S.A. N/A 542000.000000 CNY 83760.200000 USD 2021-10-22 -198.370000 N N N N/A N/A 000000000 1.000000 NC 5812.950000 0.0041644 N/A DFE DK N 2 BNP Paribas S.A. N/A 1380000.000000 DKK 220766.220000 USD 2021-10-01 5812.950000 N N N N/A N/A 000000000 1.000000 NC 2.420000 0.0000017 N/A DFE HK N 2 BNP Paribas S.A. N/A 21069.270000 HKD 2709.430000 USD 2021-12-15 2.420000 N N N N/A N/A 000000000 1.000000 NC -17.310000 -0.0000124 N/A DFE ID N 2 BNP Paribas S.A. N/A 488665340.000000 IDR 34000.000000 USD 2021-11-01 -17.310000 N N N N/A N/A 000000000 1.000000 NC 0.000000 0.0000000 N/A DFE KR N 2 BNP Paribas S.A. N/A 4736.000000 KRW 4.000000 USD 2021-10-22 0.000000 N N N N/A N/A 000000000 1.000000 NC 3.860000 0.0000028 N/A DFE KR N 2 BNP Paribas S.A. N/A 1180201.000000 KRW 1000.000000 USD 2021-10-28 3.860000 N N N N/A N/A 000000000 1.000000 NC 11489.660000 0.0082312 N/A DFE MX N 2 BNP Paribas S.A. N/A 8576000.000000 MXN 424832.070000 USD 2021-11-08 11489.660000 N N N N/A N/A 000000000 1.000000 NC 85.950000 0.0000616 N/A DFE SG N 2 BNP Paribas S.A. N/A 97000.000000 SGD 71514.020000 USD 2021-12-15 85.950000 N N N N/A N/A 000000000 1.000000 NC -56.430000 -0.0000404 N/A DFE SG N 2 BNP Paribas S.A. N/A 121000.000000 SGD 89044.570000 USD 2021-12-15 -56.430000 N N N N/A N/A 000000000 1.000000 NC -208.110000 -0.0001491 N/A DFE SG N 2 BNP Paribas S.A. N/A 58000.000000 SGD 42501.460000 USD 2021-12-15 -208.110000 N N N N/A N/A 000000000 1.000000 NC -1214.930000 -0.0008704 N/A DCR GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 BRITISH TELECOMMUNICATIONS PLC BRITISH TELECOM PLC WURO SR UNSEC Y Single Leg Swap 2028-06-21 0.000000 EUR -1007.730000 EUR 200000.000000 EUR -207.200000 N N N N/A N/A 000000000 1.000000 NC USD -7893.540000 -0.0056550 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-22 0.000000 USD -7120.000000 USD 200000.000000 USD -773.540000 N N N N/A N/A OP00153Y0 -200000.000000 NC USD -765.930000 -0.0005487 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 104.000000 USD 2021-12-15 XXXX 56.070000 N N N N/A N/A OP0010DV6 -100000.000000 NC USD -32.030000 -0.0000229 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2021-10-20 XXXX 417.970000 N N N N/A N/A OP0010NV5 -100000.000000 NC USD -32.030000 -0.0000229 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2021-10-20 XXXX 417.970000 N N N N/A N/A OP00135R8 -100000.000000 NC USD -128.020000 -0.0000917 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 102.000000 USD 2021-11-17 XXXX 359.980000 N N N N/A N/A OP00137H8 -100000.000000 NC USD -128.020000 -0.0000917 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 102.000000 USD 2021-11-17 XXXX 346.980000 N N N N/A N/A OP0013KG5 -100000.000000 NC USD -108.870000 -0.0000780 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2021-11-17 XXXX 296.130000 N N N N/A N/A OP0015RS7 -700000.000000 NC USD -2680.740000 -0.0019205 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 104.000000 USD 2021-12-15 XXXX 14.260000 N N N N/A N/A OP0012FF5 -100000.000000 NC USD -39.450000 -0.0000283 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 103.000000 USD 2021-10-20 XXXX 400.550000 N N N N/A N/A OP0012Q48 -100000.000000 NC USD -39.450000 -0.0000283 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 103.000000 USD 2021-10-20 XXXX 330.550000 N N N N/A N/A OP0014V55 -100000.000000 NC USD -228.440000 -0.0001637 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2021-12-15 XXXX 131.560000 N N N N/A N/A 000000000 1.000000 NC USD -121647.130000 -0.0871484 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.36 Y Single Leg Swap 2026-06-21 0.000000 USD -123955.000000 USD 1300000.000000 USD 2307.870000 N N N N/A N/A OP0016HZ0 -200000.000000 NC USD -1016.270000 -0.0007281 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2022-01-19 XXXX -96.270000 N N N N/A N/A 000000000 1.000000 NC USD -63484.260000 -0.0454804 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2030-12-21 0.000000 USD -29587.280000 USD 4800000.000000 USD -33896.980000 N N N N/A N/A 000000000 1.000000 NC USD -7308.080000 -0.0052355 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.35 Y Single Leg Swap 2025-12-21 0.000000 USD -7339.960000 USD 300000.000000 USD 31.880000 N N N 2021-11-05 PIMCO Variable Insurance Trust /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX